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PostPosted: Thu Apr 04, 2013 2:29 am 
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Joined: Thu Jun 08, 2006 3:56 pm
Posts: 537
Location: BC Canada
Currently OpenQuant allows me to manually set connection parameters for any predefined provider.

For example, if I want to connect to a QuantBase provider, I must manually select QuantBase in the providers window, and then manually configure the hostname and connection port in the properties window for that provider.

This is not an optimal process when I have multiple providers that I commonly use, because I am forced to repeatedly erase and reconfigure the provider properties whenever I want to switch providers.

A much more convenient process would be to allow me to configure provider parameters in a simple text file for all of my commonly used providers. Then when I wanted to switch providers, I could choose any one of my “Named Providers” from a drop-down box or list box in the properties window, and thereby save myself the effort of manually erasing, remembering, and reconfiguring the properties when I want to switch providers.

For example, here is a possible syntax for the Named Providers file:
Code:
# comments are ignored
// comments are ignored

# Quantbase providers, remote AWS, and local
#
Provider RemoteData
Category HistoricalData
Type QuantBase     // right side comments are ignored
Host ec2-107-107-107-107.compute-1.amazonaws.com
Port 5333
SecureChannel False
End-provider

Provider LocalData
Category HistoricalData
Type QuantBase
Host localhost
Port 5333
SecureChannel False
End-provider

# real time market data providers
#
Provider IB-realtime
Category MarketData
Type IB
Host localhost
Port 1234
SecureChannel False
End-provider

# for executing trades
Provider IB-trading
Category Execution
Type IB
Host localhost
Port 1234
SecureChannel False
End-provider


I imagine a menu choice “Configure Named Providers” under the Tools menu, which would open a text file such as the example shown above. The text file could be stored in the normal user documents folder, where it would be visible to users (they could modify it with any editor of their choice):

Documents / OpenQuant / Configuration / NamedProviders.txt

This approach would make it easy for a user to switch provider configuration parameters, even if the same actual provider was used on both sides of the switch. That is, using the same provider, this method would make it very easy to switch sets of parameters for that same provider.

As a second example of where this Named Provider feature could be used, it’s always a hassle for me to switch between strategies that use bar data and strategies that use trade data. Whenever I switch, I have to remember to go into the execution provider and change all of my fill on bar settings, fill on trade settings, fill on next trade, bar factory settings, and so on. The process is quite tedious.

I think it would be more convenient if execution provider names and parameters were stored as part of the solution, so that when I loaded a solution, my previously used execution settings (that were appropriate for that strategy solution) would also be loaded for me.

The Named Provider feature described in this post would make it easy for me to reload a previously saved set of parameters, even if they were not saved as part of the solution. Therefore this feature suggestion could act as a workaround to save users time (and to let them share parameter sets conveniently) even if saving execution parameters as part of the solution file was never implemented.


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