That questions was only about the original ET thread and not about TZ itself. TZ is alive and well. Sincerely, Wayne
Umm. Apparently, I'm the guilty party. *smile* Technically, TZ only stores and reads tick data. However, some people don't have tick data going back far enough so they plan to settle for 10 second or 1 minute data. In that case, you can convert bar data to tick data by just splitting each bar into 4 ticks. That's very important because when you run the strategy live it will only have tick input from the data feed. TZ is based on the philosophy that it should run exactly the same in historical testing as when you flip the switch to live trading hands free. That is designed into most of TZ but never tried. Looking around last week, I see a few more things that need adjusting to support multiple instruments (or tickers as you call them). In contrast, TZ support up to 32 bar intervals per ticker all simultaneously. Again, the architecture of TZ is built you handle portfolio trading of any number of instruments (tickers) and ALSO any number or models on the same instruments, etc. However, we have to make a few adjustments to get it fully working. That will probably after documentation. Hey, that's a cool suggestion. Would you mind submitting a ticket to add these crucial stock trading features? Wow. It would be very cool to allow an unlimited number of tickers for that sort of thing. I had only been thinking on the order of a few tickers until this moment. That would be a cool feature. Questions: Do you desire to use "tick" data for all those tickers? Also, give me an idea of how many you want use? My thought it to make TZ unlimited for ticker number and test it for say 30 or 40 tickers. But I assume if you wanted to watch 1,000 or more than additional testing and performance issues would need to be handled. Just some thoughts. Again, if you submit a ticket, it can then be prioritized and other people can chime in with ideas or "vote" that they want it to to bump the priority. Hey, since TZ doesn't have this and it's relatively easy to add, we should discuss your DREAM system for this. Think of everything other systems do that you like and what you DREAM they could do. And post that to the ticket. I only like to build DREAM software myself. *smile* Wayne
Wayne ok this is what I want for a DREAM software: lets use "ticker" when referring to stock security code so sticking to the convention I should be able to do this: if GOOG.bar[t].close > AAPL.bar[t-1].close then.. etc. GOOG being ticker for GOOGLE and AAPL for AAPL i.e. using official tickers. so we can name each instrument on the go! getting more advance with ticker groups: Example: tickers math: ZOOM = new ticker = GOOG.Bar[t].close + AAPL.bar[t].close Vector/matrix operation: assume TICKERS as array of tickers A to Z for TICKER[i...n] do if ticker.Bar[t].close > GOOG.bar[t].close then tradingsignal.buy 100 of ticker else exit and continue.. this should be able to handle unlimted number of tickers.. time dynamics: I should be able to do analyse any time frame I choose from tick, 1min, 5min, 10min, 15min, 30min, 1hour, and daily. this will let me investigate a strategy across time frames. for example: assume timeframes array of 8 time types above. I like to do something like: using timeframe[tick]; if GOOG.Bar[t].close > AAPL.Bar[t].close do.. or for timeframe[i...n] do if GOOG.bar[t].close > GOOG.bar[t-1].close etc. etc. this allows finding the optimal time frame for a given strategy. i.e. finding the time-frame that maximises profit. there are many features I like to see. I will star creating tickets on your site. many thanks
This is an excellent summary. Sorry, I belatedly saw you say you will create a ticket. I will respond and discuss it with you there because tickets work just like threads. That way the notes will be organized in one place when that item comes up next to work on. Specifically, we have a design for how to "code" the multiple tickers in a model that was discussed somewhere else here on ET (see it gets lost without a ticket). Anyway, when you create a ticket, I'll reply with the current design ideas adapted to meet your ideas and we can go from there. Wayne
You could start a new one. I'm okay with answering TZ questions either on elitetrader or in the TZ forums themselves. There's different advantages to each.
Were you going to post a ticket? I was interested in discussing this. Your idea of "ticker math" was very interesting. I have some thoughts. Any way. I'm looking forward to your ticket. Wayne