We deployed 1.2.0 today
A new version was deployed today.
Market Runner Improvements :
- One minute bars
- Fixed bug in backtest time estimations and durations
Website Improvements :
- Anonymous login to let users test posting strategies before they create an account.
What we are working on :
- Paper trading
Please download the latest version of Market Runner here.
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2 Posted by skaak on 14 May, 2010 06:35 PM
Hi, I see there is a 365 day limitation. Is this going to stay?
Also, maybe to go in a different thread - when the system goes live, I assume you'll do all the data gymnastics behind the scenes in terms of rolling the futures and so on and also in supplying a strategy with a number of historical bars to get it fired up and then seamlessly moving over to the live data as it comes in?
Regards
3 Posted by skaak on 18 May, 2010 04:57 AM
I note you've started a discussion on this. The 365 day limitation is not a serious problem, but going live is the tough one. I suppose you could either change the futures data so that the most distant ones are correct and the more recent ones are adjusted - this will be easy to accommodate but it means that the prices you make decisions on are not the actual, current ones. Otherwise you could change, as I think you do currently, the distant prices and let the current ones be the same as the market. But this means that a strategy potentially has to be retested each time a new contract is rolled to. You could also try and have the best of both worlds by using any of these but also supply an additional bar series to the strategy that contains the adjustment factor for the instrument.
Regards
4 Posted by skaak on 18 May, 2010 07:27 AM
Apologies for the clutter, this also relates to
The adjustment is done through multiplying with a factor and so models built using percentage changes will not be affected when you roll? Please confirm.
Regards
Support Staff 5 Posted by Eric on 18 May, 2010 07:36 AM
365 days limitation: I assume you are referring to the fact you get an error when trying to backtest a strategy with 1-min bars and a period of more than a year.
The 1-year limitation is for 1-min bars. For longer bars, this limitation is significantly raised (for example, 15-mins bars are limited to 10 years, which pretty much covers all the data we have for some instruments).
This limitation is mostly there for performance reason. Having a significant number of people backtest 1-mins strategies over 10 years would make the wait unbearable. That said, we are constantly working on performances. Maybe we'll be able to completely remove these limits in the futures.
6 Posted by skaak on 18 May, 2010 07:45 AM
Thanks, yes I meant the 1 minute bars. Maybe allow one to remove the
restriction locally?
Regards
----- Message from
***@tenderapp.com ---------
Date: Tue, 18 May 2010 00:38:41 -0700
From: Eric
<***@tenderapp.com>
Reply-To: ***@algodeal.com
Subject: Re: We deployed 1.2.0 today [General Public Discussion]
To: ***@ferra4funds.com
Support Staff 7 Posted by Eric on 18 May, 2010 07:54 AM
Rolling with factors: in backtest mode, we automatically apply factors in a reverse way, starting from the current date (as you described). That is, the price you would see for today is the actual price on the market. However, the further you go in the past, the more factors are applied.
Models based on percentage changes should work.
As for the actual live mode, we are still working on it.
8 Posted by skaak on 24 May, 2010 03:33 PM
Hi there,
I assume the 1.5 x tick size slippage is fair for EOD or hourly, but it seems a bit high for the higher frequency stuff such as 1 or 5 minute?
Still, I'd rather penalize the strategy too much than too little before putting real money into it, so I'm not really asking for a change, just for some comments on slippage as the frequency increases. Is the 1.5 still applicable?
Regards
Support Staff 9 Posted by Eric on 25 May, 2010 01:31 PM
Well, the slippage represents the difference between a current price and the actual bid/ask value that would be used for filling your order.
I don't think this depends on the length of the bar you are observing...
Eric closed this discussion on 25 May, 2010 01:31 PM.