mixing tick data and bars
Eliot Stock
via web
Hi there,
Forgive me if I'm jumping the gun here since tick data isn't out yet, but when it does become available, will it be possible to write a strategy that uses both tick data and bars?
I'd like to use, say, 5 minute bars to set up some internal state but once a bar closes I don't want to wait for the close of the next bar to trade. I might want to trade during a bar, depending on the ticks. Will this be possible? What will the @MarketData annotation on the strategy class look like?
Thanks,
Eliot Stock.
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Support Staff 2 Posted by Eric on 08 Apr, 2010 09:23 AM
Hi Eliot,
Yes, in the end, we want to be able to mix ticks & bars. That said, I don't think that will be possible in the first release of ticks.
That is still some distance in the future, too. Much remains to be decided and sorted out (not least scalability issues). The format of the annotations (and of the API) has not been decided yet.
For the moment, we are concentrating on providing shorter bars, down to the minute.
I hope this helps,
Eric
Eric closed this discussion on 08 Apr, 2010 09:23 AM.
Eliot Stock re-opened this discussion on 09 Apr, 2010 11:59 AM
3 Posted by Eliot Stock on 09 Apr, 2010 11:59 AM
Ok thanks. What about mixing bars of different lengths? Like daily and hourly in the same strategy? Doesn't seem possible with the annotations as they are now but I just wondered if that might be coming sooner than the tick data.
Support Staff 4 Posted by Eric on 09 Apr, 2010 03:24 PM
It is true that, technically, that could come earlier than ticks. I suppose we could do that.
It all depends on what we'll think will be the most expected feature, once we actually have shorter bars running. But we're not there yet anyway. We'll decide on the priorities after we're done with them.
Eric closed this discussion on 09 Apr, 2010 03:24 PM.