any strategy examples using technical indicators and historical data?

Hi,

It's not entirely clear how one would compare a on_bid or on_ask to a technical indicator like 200 day moving average, or even whether the market Data is persisted at all for similar purposes - I am guessing I have to make a call to some external system?

Are there any examples of more complex strategies?

Thanks,

Tom

This message was edited 1 time. Last update was at 27/02/2009 18:05:06

Hi Tom,

I posted a similar question in the regular "Help" section:

After looking and looking I can't really find any features to support strategies that use Period or Bar data.
Everthing seems aimed at streaming or tick data. Is that correct?

Is the the use of Period Data "left as an exercise to the reader" since it is ultimately derived from tick data?

To me it seems that having some kind of framework or interface to support the following would be useful:

1. The creation of period data from a specified data feed
2. Persistance of period data to some storage
3. Retrieval of period data from the persistence mechanism
4. Callbacks in the strategy agent interface for "onPeriodRollover" as exist for onBid onAsk.

My feeling so far is that since its open source we can do what we want, i.e. my #1 ... #4 above.
But I'd thought that this would be a pretty basic set of features to be included in the baseline product.
I'm not too sure how the "BarGenerator" would really fit into the architecture, it would be a Module that would subscribe to the datafeed.
Then I imagine the BarGenerator publishing bars in the same way the datafeed publishes ticks.
Strategies interested in bar data would subscribe to bar feeds. Some other persistence writer would subscribe to bars to create historical data.

But alas, I have more ideas than time!

This message was edited 1 time. Last update was at 27/02/2009 18:40:40

Hi,

I was also thinking on what is the best approach to have "bar data". My opinion is that it should be provided natively by the marketcetera datafeed because this would simplify the integration with data providers (for instance interactive brokers data API provides a "bar data" api).
I believe this is easy to implement for them and absolutely required. If this API is not available means in my opinion that this is a special support service available just to the paying customers.

I would like to be wrong,
Ildefons

This message was edited 2 times. Last update was at 02/03/2009 08:18:30

Hi all,

Are there any examples of more complex strategies?

We will add examples of complex strategies soon. I will notify this forum when we do.

I was also thinking on what is the best approach to have "bar data". My opinion is that it should be provided natively by the marketcetera datafeed because this would simplify the integration with data providers (for instance interactive brokers data API provides a "bar data" api).
I believe this is easy to implement for them and absolutely required. If this API is not available means in my opinion that this is a special support service available just to the paying customers.

Our architecture is built with modularity in mind, and since "bar data" is a generic calculation (i.e., not coupled with a specific data provider), there are multiple ways of implementing it in our platform. Since we are open source it can be done by anyone (not just us). There are other similar features that can be added to the platform - it is all a matter of priorities and time. To answer one comment made here - currently "bar data" is not available as open source or as a service for paying customers.

Such features can be filed as new feature/RFE (Request For Enhanced) in our issue tracking system here - http://www.marketcetera.org/jira and those that are interested in it can add their vote.

In addition, we can use the help of contributors - there are always more features to develop than developers...

So if you are interested in this feature (or any other feature) and are willing to develop and contribute it back - please let us know.

Thanks,
Yoram

Hi Yoram,

I would be happy to do it, so it is a good opportunity to lear a liltle bit on the metc internals. Could you please indicate me what is the best way to implement it? (as a strategy, as a CEP request, enlarging the API, using the existing API somehow,...)

Cheers,
Ildefons

IMHO, providing bar data and the related call back mechanism is a basic requirement for any trading platform or framework. Now 2 years have passed. Is there any progress made in this area?

This message was edited 2 times. Last update was at 27/04/2011 13:47:32

Do it yourself as I did. Basically is there 2 solutions:

Use ohlc bars plugin for esper or write your own.

I decide to write my own. It's the draft that do it:

After it just add it to compute on your strategy:

I'm planning to give back to the opensource every plugin and utilities that I'm coding. I've been building indicators over bars with multiple timeframes and symbols.

I hope this helps.

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