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PostPosted: Wed Nov 01, 2017 1:28 am 

Joined: Mon Oct 23, 2017 2:11 pm
Posts: 3
Dear Fellow Traders/Coders,
I read that OpenQuant is able to run multiple strategies in one solution on one instrument, but I don't see how to do it. I need them to be able to communicate and to be in the same timestep when running on historical data. So, creating separate Scenarios doesn't seem to be OK. But one Scenario seems to be able to run only one strategy instance.
Can somebody provide code sample or explanation how to run multiple instances in the same time?

PostPosted: Thu Nov 02, 2017 2:32 am 

Joined: Tue Oct 13, 2009 12:19 pm
Posts: 237
Hi there,

as a general advise, try to use Visual Studio to code any strategies. Once done, reopen in OQ to run them...

Debugging, Context help is much better in VS...

I need them to be able to communicate

this is best done with a global variable.
Define a Namespace (like AlloController) and add an instance of that to the Global variables in the scenario:
AlloController alloController = new AlloController();
strategy.Global.Add("allocator", alloController);

Then, under your strategy, make a reference to the global AlloController like this:
public AlloController alloController;

//and add below into OnStrategyStart to link to the global instance of the AlloController....
protected override void OnStrategyStart(){
alloController = Global["allocator"] as AlloController;

And once that is in place, you can have Events fire from the AlloController or whatever you like. Or Rank the strategies...

Sorry, I am super involved right now, and hardly have time for free Support. You can check out the team fom SQ/OQ for paid consultancy or myself.


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