OpenQuant - SmartQuant's new product for the retail market

1) no difference

2) You can click on the instrument in the Instrument window and set Factor in the Properties window, then Value will be calculated as Qty * Factor * Price. Factor is a FIX definition for BigPoint, etc.

You can set Slippage and Commission in the properties of the Execution Simulator (Providers window)

Regards,
Anton

 

Hi Anton,

I have questions for you too...

1) Can two chart windows communicate between each other? For instance, can I send info back and forth between a daily chart of Euro/US$ and an intraday chart of crude oil?

2) How realistic is backtesting in terms of real-time execution? For instance, if a buy limit order is sent during backtesting, will the strategy 'execute' that order if that limit price happens to be at the low of the next bar?

3) Could you please let me know between the real-time data vendors for openquant, which one provides the most historical tick data.

Thanks.

 

1) I am not sure what you want to do exactly. Indeed you have access to time series of EUR/USD and crude oil prices in your strategy code, so that you can do whatever you want with the data.

2) Yes, it will. There are several options that control simulated execution.

3) OpenTick, eSignal, IB ... depends on the quality of data you are looking for.

Regards,
Anton

 

Thanks Anton. I have some more questions for you.

1) What I meant was that can 'one single strategy' have access to multiple time series for different symbols with different sampling times, ie. 1000 tick bars for crude oil and daily bars for EUR/USD.

2) Can we get historical futures tick data using OpenTick and form 'custom continous futures' contracts in Open Quant?

 

1. Sure you can do it

BarSeries series = Strategy.GetBars(Instrument, BarSize);

2. Yes, why not. Though you would need to prepare a continuous series yourself from multiple series of different expirations.

Regards,
Anton

 

Thank you Anton.

 

Anton, a suggestion if you don't mind. Provide examples directly in your documentation. Your documentation is aimed at people that really know C language but those of us that don't could easily implement the simpler strategies if there were examples for all the permutations of all the code that could be easily found... I know that is true because I was able to do that in NinjaTrader, their docs have examples 100%. As it is I have to look through the example strategies, through the forums, and I may not find what I need...

 

Hi,

we have started a FAQ section on our forums to build a collection of frequently used code samples (f.ex. how to work with bars of different sizes, etc.).

http://www.smartquant.com/forums/viewforum.php?f=64

We plan to turn it into a code recipes book when we have enough info. You are welcome to post your requests to this forum and we will add corresponding code examples.

Regards,
Anton

 

Thanks Anton, I posted a question at that forum

 

Anton,

With OpenQuant, may I build a portfolio of different markets with different strategies, backtest the portfolio and trade it in real-time? Let's say for the portfolio I have 10 different strategies for 10 different markets....

Thanks.