OpenQuant or RightEdge in order to have dynamic run-time watch-lists?

Discussion in 'Automated Trading' started by ophth1, Jan 14, 2009.

  1. ophth1


    We are currently considering to use OpenQuant or RightEdge for automated trading. We like the event triggered c# framework of both of them. We started to look at Amibroker and Neoticker intially and both frameworks (OQ and RE) seem so be much more advanced from a object orientated point of view.
    However, in both systems maybe some important taks are missing or impossible:

    1. Is it possible to read in and create the list of symbols to be used in a strategy e.g. from a file DURING strategy execution i.e. on-the-fly? That would make life easier....

    But the more important topic is:
    2. The typical scenario will be: we have a list of e.g. 5000 symbols, only maybe 50 of them will be active and followed with real time data by the strategy (with IB as data provider). These symbols need to be activated (included in the strategy) or inactivated (excluded from strategy) during execution of the strategy. How can we accesss the list of symbols (or instruments in Openquant) to activate or deactivate them during execution on-the-fly? Can we add instruments for real time streaming on-the-fly to a virtual portfolio and delete them from it either?
    This would be an extremely important step, because the importance of the symbols in the strategy needs to be reassigned subsequently. Are there any code snippets or demo programs available demonstrating how we could go for these two steps in rightedgde or OPenquant? One of the reason for this is that IB is limiting us to 50 symbols/instruments for simultaneous real time data streaming. Which symbols are needed cannot be determined in advance and will change during the running strategy. Is it possible to set any property in both packages determing which of the symbols will get real time data and which ones will not? Or how could we do our own filtering in order to have only 50 streaming symbols out of maybe 5000?

    Or could someone suggest any other package which is more suitable for this approach and also providing a robust, modern object-orientated programming framework!?