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Executing 3rd party signals
http://www.smartquant.com/forums/viewtopic.php?f=44&t=10948
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Author:  arcturius [ Tue May 12, 2015 7:32 pm ]
Post subject:  Executing 3rd party signals

I have this idea of trading 3rd party signals using my OQ platform. I receive signals into my newly created strategy. I then want to do a proprietary calculations and send corresponding order to the market using OQ, and track it as if it was the order generated by my strategy. The problem is that I dont know upfront what signals for what symbols I will receive from 3rd party software and, hence, my strategy is going to trade. it could be equity, equity options, futures or FX.

So I would like to ask developers what solutions do you have here. My strategy will receive a signal from 3rd party software, make calculations and trade this signal. While position is open, OQ needs to keep track of the symbol quote to calculate portfolio PnL. Once the position is closed, there is no need for the OQ to keep track of the symbol quote anymore.

Thank you,

Author:  Dr. Anton Fokin [ Tue May 12, 2015 10:03 pm ]
Post subject:  Re: Executing 3rd party signals

Are you worried about performance / latency? I mean why would you remove an instrument from OQ strategy once it's added and position is opened/closed?

Regards,
Anton

Author:  arcturius [ Tue May 12, 2015 11:06 pm ]
Post subject:  Re: Executing 3rd party signals

No, I didnt mean it is a problem if instrument is not removed afterwards. Rather than it is important to add instrument on the fly with quotes and historical data being downloaded for it. Is there any code example how this could be done in OQ?

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