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Getting sessions/instruments to communicate between each oth
http://www.smartquant.com/forums/viewtopic.php?f=59&t=10299
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Author:  eelofi [ Mon Aug 13, 2012 10:32 pm ]
Post subject:  Getting sessions/instruments to communicate between each oth

Hi,

I created a risk mitigation strategy, which seems to be working (on paper) pretty ok.

The idea is that I'm counterbalancing a risky position with less risky ones. And once the risky position is closed I'd need to get rid of the counterbalance. But I have a problem, how to get the instruments to communicate between each other?

The elegant way would be to have possible new event which can be fired on need. For example:

In the OnOrderFilled (of the risky one)
I'd include ActionEvent(less_risky_1)
ActionEvent(less_risky_2)

If I don't have this OnActionEvent which could be fired up from the risky instrument, I end up in all sorts of other clumsy and slow ways of fixing this. (For example global variants + timers etc, which are clumsy and slow). The ActionEvent would allow an instantanious and very elegant way of letting the less risky instruments to know that they need action on.

Or is there another fast way of communicating between the instruments?

Thx,
Eelofi

Author:  Dr. Anton Fokin [ Fri Aug 17, 2012 4:58 pm ]
Post subject:  Re: Getting sessions/instruments to communicate between each

This looks like an interesting feature. I'll talk to our guys to see if this can be (easily) implemented.

Regards,
Anton

Author:  eelofi [ Mon Aug 20, 2012 3:25 pm ]
Post subject:  Re: Getting sessions/instruments to communicate between each

Yes Anton,

this would be a nice feature to have. It would allow multiple interesting features at getting the instrument to react like it is doing for OnBar, OnQuote, OnOrderFilled, Onetc... Once the ActionEvent would fire, I would then take care of all of the other logic from there onewards.

Don't know whether it's complicated to do or not, the ActionEvent should resemble the other OnSomething events, with perhaps the possibility of passing a parameter or two in it. For example ActionEvent(Instrument) allowing to tell who was the one who fired up the event.

Thx,
Eelofi

Author:  eelofi [ Mon Sep 03, 2012 10:53 am ]
Post subject:  Re: Getting sessions/instruments to communicate between each

Hi Anton,

any news on this? Did you decide to implement this?

Thx,
Eelofi

Author:  Dr. Anton Fokin [ Mon Sep 03, 2012 7:59 pm ]
Post subject:  Re: Getting sessions/instruments to communicate between each

Yes, we will implement this feature.

Regards,
Anton

Author:  truebilly [ Tue Sep 04, 2012 4:17 am ]
Post subject:  Re: Getting sessions/instruments to communicate between each

This is an awesome idea!

Right now I am developing a pair-trading strategy. I have to use static variables and make queries to global Portfolio.Positions class to do all the position management tasks, which is indeed clumsy. This feature would be an improvement to pair-trading strategy development.

Author:  eelofi [ Wed Sep 05, 2012 9:31 pm ]
Post subject:  Re: Getting sessions/instruments to communicate between each

Great news Anton!

Any idea when this feature will be available?

Thx,
Eelofi

Author:  eelofi [ Mon Sep 17, 2012 3:37 pm ]
Post subject:  Re: Getting sessions/instruments to communicate between each

eelofi wrote:
Great news Anton!

Any idea when this feature will be available?

Thx,
Eelofi


Anton,

just a rough timeline, please :lol:
- this wk
- nxt wk
- this mnth
- nxt mnth
- this year
- nxt year

Which of these?

Thx,
Eelofi

Author:  Dr. Anton Fokin [ Mon Sep 17, 2012 3:52 pm ]
Post subject:  Re: Getting sessions/instruments to communicate between each

It's checked into the source code base, so that this feature should be available in the next relase. This or next week I guess.

Regards,
Anton

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