SmartQuant Discussion

Automated Quantitative Strategy Development, SmartQuant Product Discussion and Technical Support Forums
It is currently Sat Apr 04, 2020 1:43 am

All times are UTC + 3 hours




Post new topic Reply to topic  [ 14 posts ] 
Author Message
 Post subject: Basic questions about OQ
PostPosted: Sun Apr 27, 2008 1:06 am 
Offline

Joined: Sat Mar 29, 2008 7:54 pm
Posts: 6
1. Why does OQ lack some basic features? Why can't I add / delete multiple instruments using GUI?

2. Why is the documentation so quiet about multiple strategies? I understand OQ supports backtesting multiple strategies as one strategies? Anybody got any example?

3. Why isn't there no info on live trading multiple strategies? Does anyone know if it is even possible to simultaneously run multiple strategies in live, paper or simulation modes with minimal or no changes to individual strategies?

4. Why isn't there a simple drag and drop feature? I can't figure out how to add indicators to a chart using GUI?

5. Anyone got any example, a complete code example that has custom position sizing and calculates custom performance results such as sharpe ratio in C# code.. Again, documentation is useless on this topic.


Top
 Profile  
 
 Post subject:
PostPosted: Sun Apr 27, 2008 12:05 pm 
Offline

Joined: Fri May 25, 2007 1:57 am
Posts: 24
Quote:
3. Why isn't there no info on live trading multiple strategies? Does anyone know if it is even possible to simultaneously run multiple strategies in live, paper or simulation modes with minimal or no changes to individual strategies?

I trade 11 strategies in live mode with real money. I initially developed them as individual projects (1 solution - 1 project), and later created a single solution and added all 11 existing projects to it. Zero code change. Works extremely well. No cross-talk between the strategies at all.

Quote:
4. Why isn't there a simple drag and drop feature? I can't figure out how to add indicators to a chart using GUI?

I find OpenQuant to be an excellent Automated Trading System development and execution platform. However, it does not lend itself well to rapid interactive exploration and experimentation. For that I use Amibroker. I use AB as my discovery tool, kind of like Excel, to test tens of ideas, and to run thousands of backtests (AB backtest is roughly 150 times faster than OQ). I then use OpenQuant as my development plaform, for easily developing robust unattended automated trading code. After many years of trying out almost every tool out there, and writing my own custom ATS applications, I settled on this combination. It works well for me.


Top
 Profile  
 
 Post subject:
PostPosted: Mon Apr 28, 2008 3:11 pm 
Offline

Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
Hi,

we've just published an updated OQ getting started guide which includes multiple strategies and other OQ 2.x changes.

Regards,
Anton


Top
 Profile  
 
 Post subject: update
PostPosted: Fri May 02, 2008 7:47 am 
Offline

Joined: Sat Mar 29, 2008 7:54 pm
Posts: 6
The updated document still does not have any example code to illustrate how to use custom money management, show custom performance results for backtesting, sharpe ratio calculation :(

Can you just show us one strategy example with the above info, even if the strategy is totally dummy? Thanks


Top
 Profile  
 
 Post subject:
PostPosted: Fri May 02, 2008 2:15 pm 
Offline

Joined: Wed Feb 27, 2008 7:37 am
Posts: 28
Dr. Anton:
Yes, the new Users guide is a step better than what you had earlier. In my opinion, the best value add of OQ is it's open architecture (to some point) which allow users to code whatever strategies they have, and other flexibilities like using any data feed etc. Thanx to .NET and C#, this was possible.

Where your product documentation lacks, is loads of code snippets etc. Also, more importantly, since you have a varied level of expertise in C# programming among your loyal users, it would really help if the API docs are well documented as well.. I know that is a "No Value (read $$) Add" project to you as you rather cater to Institutions who have their in house super experienced coders and do not rely on your extensibility of the API docs, but for us novices who cannot afford a $100-$200 coder and have a desire to code and learn, it becomes difficult. Some of the samples that you provided (Indicators/Provider codes) are also not very well documented.

A revision of API docs with a paragraph or 2 for each of the useful function calls would really help. An example would be, document very well the provider sample that you include in the Samples\Provider directory. A rich presence of code snippets, whether in doc or in a separate place on this forum will be very welcome.

Thanx


Top
 Profile  
 
 Post subject:
PostPosted: Fri May 02, 2008 3:04 pm 
Offline

Joined: Thu Mar 20, 2008 4:41 pm
Posts: 273
Location: Sweden
csharp_student wrote:
Dr. Anton:
Yes, the new Users guide is a step better than what you had earlier. In my opinion, the best value add of OQ is it's open architecture (to some point) which allow users to code whatever strategies they have, and other flexibilities like using any data feed etc. Thanx to .NET and C#, this was possible.

Where your product documentation lacks, is loads of code snippets etc. Also, more importantly, since you have a varied level of expertise in C# programming among your loyal users, it would really help if the API docs are well documented as well.. I know that is a "No Value (read $$) Add" project to you as you rather cater to Institutions who have their in house super experienced coders and do not rely on your extensibility of the API docs, but for us novices who cannot afford a $100-$200 coder and have a desire to code and learn, it becomes difficult. Some of the samples that you provided (Indicators/Provider codes) are also not very well documented.

A revision of API docs with a paragraph or 2 for each of the useful function calls would really help. An example would be, document very well the provider sample that you include in the Samples\Provider directory. A rich presence of code snippets, whether in doc or in a separate place on this forum will be very welcome.

Thanx


I just wanna ask for a clarification, you don't feel the Strategy Development guide is well-documented enough?
Cause in my opinion, it's very well documented, with more comments than code.
If the code in there still is to complicated, then, IMHO, I think a C# book from amazon is the next stop.


Top
 Profile  
 
 Post subject:
PostPosted: Fri May 02, 2008 3:12 pm 
Offline

Joined: Wed Feb 27, 2008 7:37 am
Posts: 28
Letharion:
Thanx for the tip. I was more referring to the API documentation and code snippets in there. Do you find that adequate? Perhaps you do not need to program additional adapters etc, or perhaps you are in the smart programmer catagory....

Cheers


Top
 Profile  
 
 Post subject:
PostPosted: Fri May 02, 2008 3:46 pm 
Offline

Joined: Thu Mar 20, 2008 4:41 pm
Posts: 273
Location: Sweden
I'm a bit confused :)
I'll definitely agree that the API documentation isn't worth much, if there are any code examples in there at all, I have missed them.
But you didn't know about the strategy guide at all? Anyway, I think that guide is very good :)

As for additional adapters, I have "coded" a fix adapter, it passed a testrun this week and I'm gonna try taking it live first thing monday :D
I say "coded", cause there wasn't much to do, in OQ's and QuickFIX's favor, a great deal of the work was already done. Assuming you can use a FIX connection, that is.

As for smart programmer, I'd like to consider myself smart ;) But I have no formal education, I just learn what I need to know for each situation :)


Last edited by Letharion on Thu May 08, 2008 12:59 pm, edited 1 time in total.

Top
 Profile  
 
 Post subject:
PostPosted: Fri May 02, 2008 10:49 pm 
Offline

Joined: Tue Apr 29, 2008 11:00 pm
Posts: 43
I would be interested in more API documentation, as well. A manual that definines every single bit of code which is native to OQ. I have been rummaging through the help files, but something very simple like what wealthlab has would be a big help. I like to know the limits, otherwise I feel I dont have control of my code.

http://www.wealth-lab.com/cgi-bin/Wealt ... erence.htm


Top
 Profile  
 
 Post subject: thanks
PostPosted: Fri May 02, 2008 11:31 pm 
Offline

Joined: Sat Mar 29, 2008 7:54 pm
Posts: 6
Thanks guys for the replies. But can anyone of C# gurus or documentation graspers please answer my questions:

1. How do I make my strategy show custom backtesting report; one that shows sharpe ratio for example?
2. How do I backtest multiple strategies inside a single container such that the backtest report shows cumulative sharpe, cumulative drawdown of all the strategies together?
3. How do I code my strategy to use a custom money management? Say, I want to double up on longs when market gaps up at the open? Any example code?

I understand that OQ is a great product and most of you are great coders. But I am just a trader who started coding (not the other way around). So, if anybody can donate a complete code samples (they dont have to make money at all), please do so.


Top
 Profile  
 
 Post subject: Re: thanks
PostPosted: Sun May 04, 2008 4:52 pm 
Offline

Joined: Thu Mar 20, 2008 4:41 pm
Posts: 273
Location: Sweden
emanresu wrote:
Thanks guys for the replies. But can anyone of C# gurus or documentation graspers please answer my questions:

1. How do I make my strategy show custom backtesting report; one that shows sharpe ratio for example?
2. How do I backtest multiple strategies inside a single container such that the backtest report shows cumulative sharpe, cumulative drawdown of all the strategies together?
3. How do I code my strategy to use a custom money management? Say, I want to double up on longs when market gaps up at the open? Any example code?

I understand that OQ is a great product and most of you are great coders. But I am just a trader who started coding (not the other way around). So, if anybody can donate a complete code samples (they dont have to make money at all), please do so.


Unfortunately, I don't think these things are quite as easy to do as one would like.
Adressing the two questions about sharpe ratio:
To my knowledge, there is no built in function in OQ to show sharpe ratio.
(1) However, anyone who understands SR should be able to make an indicator in any chart showing the sharpe ratio. I understand this may not help you much of you understand SR but not programming.
If you'd like to increase the chances of getting help with this, tell us how this functionality would help :)

(2) The "best-pratice" approach, I think, to the second question would be if one could draw an indicator in the Performance window instead of the charts. Since Equity, PnL and Drawdown already shows there cumultive for all instruments and strategies in a solution, this hopefully wouldn't be to much of an issue. I do believe this would require some work from SQ however, cause I haven't seen any way of affecting the performance window.

A somewhat more crude approach could be:
(a) Use the indicator from question 1, each strategy prints it's SR value to a file in c:\sr\
(b) OnStrategyStop reads all files in that folder, and pop's up a little windows with the result.

(3) I'm not sure I understand, please elaborate.
In Pseudo-code, you mean like?
Code:
If(gap up) buy contractsize * 2
else buy contractsize


Top
 Profile  
 
 Post subject: Documentation
PostPosted: Thu May 08, 2008 6:15 am 
Offline

Joined: Thu Apr 03, 2008 6:28 am
Posts: 49
I do have to agree that there is a lot to be desired in the OQ documentation. The Introduction to OpenQuant Strategy Development PDF (http://www.smartquant.com/introduction/openquant_strategy.pdf) is very helpful in a basic sort of way, but there is still information missing, such as:
    how to actually do more than one strategy in a single project
    samples for handling multiple instruments
    how to use the OnPositionValueChanged() function, since that's even referenced in the PDF documentation as something that is used, but isn't shown anywhere

Certainly the API documentation would be more useful if it included more samples. Plenty of "documented" classes, members, etc. are not described in more detail than a single phrase or sentence, not to mention a code sample.


Top
 Profile  
 
 Post subject:
PostPosted: Thu May 08, 2008 12:57 pm 
Offline

Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
There is a FAQ section in this forum. You are welcome to add your basic questions to this section if the Getting Strated Guide + FAQ don't give you an answer.

Regards,
Anton


Top
 Profile  
 
 Post subject:
PostPosted: Tue Jul 28, 2009 1:48 am 
Offline

Joined: Thu Mar 16, 2006 12:15 pm
Posts: 184
As a former wealth-lab user I have to agree with several people here:
Some code snipets in the documentation would provide big help for people starting to use OQ who are not C# savy. Copy-pasting such snipets makes life easier.

I think there are many potential users who do not buy OQ because of this little lack of documentation (for programmers its definately ok). Before OQ "in the old smartquant times" this was totally different. I did not use it by then just because there was virtually no documentation. That changed a lot. Thank you!
But as I said: An improvement would be worthwile.

_________________
Expect the unexpected. May your MM/RM be with you.


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 14 posts ] 

All times are UTC + 3 hours


Who is online

Users browsing this forum: No registered users and 1 guest


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB® Forum Software © phpBB Group