OpenQuant -- RightEdge -- and IB

Discussion in 'Automated Trading' started by Batman28, Oct 10, 2007.

  1. I have a important question, but now that RightEdge is finally released - is anyone using it?

    Can someone please help me with this:

    in OpenQuant - does a "bar" mean a full set of open, high, low, close for the specific chosen time interval?

    and if so, does Interactive Brokers give 1 minute 'bars'? i.e. I want to have a OHLC for every minute.

    Also, if this is in fact the definition of a bar, then in openquant or rightedge, can I compare bars i.e. if current bar < bar (n-1)? if this is possible, which specific data does it use to compare - open, high, low or close? - or can the user choose whichever?

    I would seriously appreciate any input..

  2. In RightEdge, a bar includes values for the Open, High, Low, Close, Volume, and potentially the Bid/Ask. Live data from Interactive Brokers comes in as ticks, and RightEdge can aggregate them into one minute bars. Historical 1 minute bars can also be downloaded from IB.

    As far as comparing bars, you would specify which bar element you wanted to compare. So you could have something like if (bar.Close < prevBar.Close). Of course you could also compare the close versus the open to detect a gap, or anything else you wanted to do.

  3. Daniel,

    can I have a exit as exit bar = entry bar +60, i.e. 60minutes after entry

    in other words, can I compare bars values that are not consecutive? and entry/exits on the nth bar? bar(n+50) etc

    hope that makes..
  4. Yes, you can compare bar values that are not consecutive. You have access to all of the previous bars. If you want to close a position 60 bars after it opens, there is a timeout setting in the system properties that will do it automatically. You can also set it individually for each position if you want.

  5. Since RightEdge is a kind of replica of OpenQuant (as our users say, not me :D ), I am not going to repeat what was said above.

    If you want to learn more about OpenQuant strategy development, take a look at OpenQuant Strategy Development Guide

  6. Anton,

    I know openquant pretty well.. I'm still even thinkin of buying ur studio. but I really don't find your documentation useful - esp. with what I want to do.

    does openquant also use a TIMER? to have a exit on bar+n? etc.

    basically consider a strategy that calculates n and on trade entry it instantaniously calculates exit on bar+n. do we have to use a timer for this in open quant?

    as for your original .net api, would u offer a cut down version of it - i.e. all i need is get bar, and market order..??
  7. You can also set a time stop (as well as price stop) and exit when the stop is triggered.

    I am not sure I follow your API question. Do you want an API that you can use to build other applications in Visual Studio / .NET?


  8. It's a set of introductory documentation, so it probably doesn't cover advanced topics, though our users find it useful in getting started with OpenQuant and especially C# (since many of OQ users are non programmers)

    We discuss more adavnced questions on our forum, which is quite active. You are welcome to use it at

  9. correct, an API to use in VS seems very flexible, plus I'd be able to use other components/libraries too. this is for personal use, not to build applications for commerce.

    Also, I had downloaded ur demo ages ago, I wanted to have 2nd look at it but the demo has expired, I downloaded it again, but doesn't work. any possible ways to have another demo? for now, if I get OQ do what I want, I'd be interested in buying it..

    also, does it compile OHLC per minute using IB ticks?

  10. You would need QuantDeveloper from QuantHouse to develop custom trading applications, although you can easily use third party components and libraries with OpenQuant. I know that our customers use R / Matlab libraries with OpenQuant.

    Just drop us an email to and we will send you an extended license key.

    You can build bars of any type (time, tick, volume) and size from IB ticks (trade, bid, ask). You can also use different time frames in OpenQuant strategy simultaneousely.

    #10     Oct 13, 2007