I have a question about open quant

Discussion in 'Trading Software' started by kzhu, Aug 21, 2008.

  1. kzhu


    Sorry if my questions is too simple or has been answered before. I am new here... :)

    1: How to design a strategy that have multiple "instruments in the play" in one piece of code. Somethign like

    if AMZN go up 5% from previous bar, and if oil is down and if Japanese Yen is up against Euro then enter a position, but the size of the position is based on the price of MSFT.

    2: Is there a way to just programatically add all the stocks as my instruments (rather than adding them one by one manually)? I is the UI fully automatable?


  2. kzhu


    Two other quick questions. Hope you have answers for me...

    1: How to write a strategy for something like

    foreach(Instrument ins in AllUSStocks)
    foreach(Instrument ins in AllUSStocksInEnergySector)
    foreach(Instrument ins in AllUSStocksInFinancialSectorAndRegionBnnksSubSector)

    1: How to deal with Options Expirations and Earning Releases
    I mean what if I want to define a strategy for something lke

    if instrmentA drops 20% after the ER, then do something 2 days before the next ER? Or

    If(frontMonthMSFT25call > 0.08)
    roll it over to the next month on the expiration Friday

    many many thanks!
  3. PS. I don't think that everyone on ET is interested in reading about details of OpenQuant strategies and, secondly, it would be much more useful to have this discussion on SmartQuant forums so that other OpenQuant users and prospects can use the forum as a knowledgebase.

    After all we are software developers and not the experts in all possible trading strategies (for example we are not experts in heavy option trading, although OpenQuant supports options and other derivaties), so that in certain cases you may expect more professional feedback from OpenQuant user community who may have already developed types of strategies you are interested in.