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We deployed 1.2.1 today

David

27 May, 2010 10:11 AM via web

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A new version was deployed today.

Market Runner Improvements :

• FIX: Intraday market data shipped with market runner should not be rolled.

Website Improvements :

• User and global statistics can be filtered on a weekly, monthly, yearly period. Weekly is the default.
• FIX: zooming in backtest results should consider only the period with data

What we are working on :

• Mixing bar frequencies
• User-controlled paper trading to update backtest performance every day.
• More control on order lifecycle

Please download the latest version of Market Runner here.

1. 2 Posted by skaak on 27 May, 2010 05:03 PM

   

   Thanks for the new version, but please clarify the difference between EOD and intraday data. Does

   http://support.algodeal.com/faqs/getting-started/market-data
   

   thus apply only to EOD and not to intraday data shipped with MarketRunner?

   If yes then why?

   If yes then models build using EOD will have nice, smooth, rolled data and realistic returns but intraday models will run into expiry related jumps every now and again. An intraday strategy buying just before expiry will do well but not in real life for example.

   I think EOD and intraday data should be treated the same and as explained in

   If not, how does the treatment differ?

   Regards

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2. Support Staff 3 Posted by Mathieu on 02 Jun, 2010 08:17 AM

   

   Hi Skaak,

   You're perfectly right. Intraday market data is currently not adjusted. When the underlying contracts switch, a gap may appear in the prices. This allows some strategies to take advantage of this gap.

   We understand that some kinds of strategies might be tricked by this gap. We will probably provide both rolled and unrolled intraday data in the future. We have to find a nice way to feed the strategy with events such as "prepare for roll" to do that correctly. However, if you run on really short bars, this should not have such a big impact, on minute bars for instance.

   I hope this answers your question. Sorry about the delay...

   Mathieu

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3. Mathieu closed this discussion on 02 Jun, 2010 08:17 AM.

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