SmartQuant Discussion

Automated Quantitative Strategy Development, SmartQuant Product Discussion and Technical Support Forums
It is currently Tue Sep 17, 2019 10:49 pm

All times are UTC + 3 hours




Post new topic Reply to topic  [ 6 posts ] 
Author Message
PostPosted: Fri Jan 11, 2008 2:54 pm 
Offline

Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6816
Trade data is not always available from a data provider (FOREX on IB is a typical case). In this situation the only possibility to run a strategy requiring bar data is to build bars from quotes.

- click on IB market data provider in the Providers window
- switch to Properties window
- expand BarFactory section
- select alternative Input (bid, ask, bidask, middle, spread) for the BarFactory


Attachments:
barquote.JPG
barquote.JPG [ 119.05 KiB | Viewed 5683 times ]
Top
 Profile  
 
 Post subject:
PostPosted: Fri Jan 11, 2008 11:27 pm 
Offline

Joined: Wed May 04, 2005 6:06 pm
Posts: 98
Location: SF Bay Area
May I suggest that the QuantServer Explorer should also have the ability to make historical bars from historical quotes? I've written a script to do this, but building it into the application would seem to make more sense.


Top
 Profile  
 
 Post subject:
PostPosted: Tue Jan 15, 2008 12:34 am 
Offline

Joined: Thu Mar 16, 2006 12:15 pm
Posts: 184
Could you provide this script? And yes I agree it would be very nice to have this feature within OQ

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


Top
 Profile  
 
 Post subject:
PostPosted: Mon Feb 11, 2008 5:04 pm 
Offline

Joined: Mon May 01, 2006 1:09 pm
Posts: 103
What is the differences among "BidAsk", "Middle" and "Spread"?


Top
 Profile  
 
 Post subject:
PostPosted: Mon Feb 11, 2008 5:51 pm 
Offline

Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6816
BidAsk

bid is used to calculate bar low and ask is used to calculate bar high

Middle

(Bid + Ask) / 2

Spread

Ask-Bid

Regards,
Anton


Top
 Profile  
 
 Post subject:
PostPosted: Tue Aug 19, 2008 4:02 pm 
Offline

Joined: Thu Jan 31, 2008 11:39 am
Posts: 166
What is if I use 2 Strategies in one Solution, using Quotes as Input for the one and Trades as Input for the other strategy? Barfactory is set on Solution or Proivder level so it seems impossible to have 2 different Input Modes in one Solution.

That is e.g. if you have one Strategy trading the FDAX, where Trades are sufficent, and the other trading EUROSTOXX50 where it is necessary to have Quotes as Input.

Is it possible to set the barfactory input in the code maybe?

Thanks for ur help,
H.M. :shock:


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 6 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