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PostPosted: Fri Jul 22, 2011 8:34 pm 
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Joined: Fri Jul 22, 2011 8:29 pm
Posts: 11
Hi,

I have a strategy which accesses the real time quotes for stock, futures, options , depending on some conditions. Can openquant support this?. I am evaluating openquant to integrate with IB execution and data source. To simply put it, multi-instrument strategy. It would be great if this is supported.

Thx
Nagendra


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PostPosted: Fri Jul 22, 2011 8:50 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
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Hi,

yes, possible, take a look at this FAQ

viewtopic.php?f=64&t=6566

Regards,
Anton


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PostPosted: Sat Jul 23, 2011 6:46 am 
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Hi Anton,

Thanks for the reply. What if I dont know insturment name affront and need to create it dynamically. It happens with Options. I will not be knowing options name affront , because ticker will contain the strike price part. Name will be of format <stock name><exipiration date><strike price><option type>. This instrument name has to be created dynamically. Can you please kindly let me know if this is possible. neater way is just to have options order type, without creating this instrument. Something like this

Buymarket (instrument.put, strike price, expiration date).

Please let me know if any of this is possible.

Thx
Nagendra


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PostPosted: Sat Jul 23, 2011 10:37 am 
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Hi,

unfortunately you can not do it dynamically in the strategy, but you can try to think how to use Scenario functionality to achieve what you want. You can use strategy Scenario to create and add instruments to the strategy programmatically before strategy run. In principle you can calculate a list of all possible strikes before you run the startegy and add corresponding options to the strategy instrument list.

Regards,
Anton


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PostPosted: Sat Jul 23, 2011 11:00 am 
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Joined: Fri Jul 22, 2011 8:29 pm
Posts: 11
Hi Anton,

Thanks for suggestion. Yes I will try that one as well. But is it possible to add this enhancement for future?. If you are looking enhancement for next release, then making instrument as an object types "stock_future", "stock_options", "stock_options_future", then if any instrument is defined as this object type, then one should be able to access derivatives of this instruments in very simple way. I understand one issue you can face is what if IB or any broker changes the format?. If they change it should be simple update. I am sure many people will be interested in this. Thanks a lot for the help. I should be completing my testing next week.

Thx
Nagendra


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PostPosted: Sat Jul 23, 2011 12:00 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
Hi,

it's not just about creating instruments on the fly (which is possible) and sending orders for these instruments (which is easy to add), it's about the entire strategy event processing chain, and the latter is a bit tricky to change to fully support dynamic instruments. Note that every strategy instrument is subscribed for market data, registered in the strategy portfolio, so that we can calculate positions, strategy performance, trace execution reports and orders, etc. After all a new instance of a strategy object is created for each strategy instrument, and OnStrategyStart() is called for each instrument when you run a strategy. Plus all this should work in the simulation mode the same way as it works in the live trading.

Thus if you just want to send an order for an instrument that is dynamically created but not registered in a strategy, I think this is possible to add. If you want a dynamically created instrument to be the same as all other strategy instruments, this is most likely a feature request for the new framework we are currently working on.

Regards,
Anton


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PostPosted: Sat Jul 23, 2011 2:01 pm 
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Joined: Fri Jul 22, 2011 8:29 pm
Posts: 11
Hi anton,

For now just sending the order would suffice. I can write a simple code to track its profitability and manage things.

But adding dynamic strategy object is a great feature. I think this may be only tool that may support that as well. As a trader with little over 10 years experience, I feel that future will be multi-instrument, multi-time-frame and multi-positionsize-trade.

I will be happy to use whatever you are offering now (This is the best match I found in the market so far for my need). But in future if you enhance this, please please kindly keep me posted.

thx
Nagendra


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