 Posted 3/4/2010 11:47:17
|
|
|
|
If I try running a live system with "None" specified as a real time data provider, I get an error. The system continues to run though. This is the error:
There were errors starting live data retrieval for the following symbols:
A: A service with the specified name () does not exist. It may have been renamed. Please set the new service name by configuring this folder.
In this case, "A" was the only symbol checked in a watchlist when I ran the live system. If there are more, I get a similar error for each symbol.
|
|
|
Posted 3/5/2010 05:16:33
|
|
|
|
It sounds like you want to run a simulation. Live, by definition, requires a real time data feed, though the failure notification might be made smoother. By design, running a system requires a flow of data. There are two choices. One choice is for data to flow from historic data stored on your computer, whick is accomplished by simulation. The other is to invoke live running, which requires real time data. If you have saved or imported a time series into RightEdge, then click "System" on the tool bar and then "Run Simulation".
-Pete
(See also rightedge-ats Yahoo group  )
|
|
|
Posted 3/6/2010 21:57:05
|
|
|
|
| No, I do want to run a live system, but I don't see why a live system has to require a live data feed. For example, one could have a system that doesn't rely a streaming tick or bar feed - it performs its analysis using historical data and places orders at start up. That's just one simple example. If that doesn't diverge with RE philosophy and intended design, then I agree that there should be a better notification mechanism (if one at all), that warns me about a lack of a live data source.
|
|
|
Posted 3/7/2010 07:49:16
|
|
|
|
| Ok, that clears things up. Partly, its just a wording question. The processing you want to do on historical data is called simulation, and is what you want to do. However, you want to do one more step and that is to generate a real market order. That would be similar to using historical EOD data to generate market-on-open (MOO) orders for the following day. I don't believe that is built-in to RE, but you can code it yourself. Run a simulation and record the orders in a flat file. To submit the real orders, start RE but designate a fake live feed, e.g. the IB demo account. You would have to designate your real broker for trades. Wait for the market to open, either by detecting the first demo tick after market opens or on a timer trap. Read the flat file and issue the order(s). Closing positions could be handled similarly. I'm sure others on the list can suggest better approaches. You have made a good point, and solving it neatly would enable EOD, end-of-week and even monthly strategies to be run through RE conveniently, based possibly on just (Yahoo) historical data (no live feed needed).
-Pete
(See also rightedge-ats Yahoo group )
|
|
|
Posted 3/8/2010 11:04:16
|
|
|
|
| I see what you are suggesting, but I don´t understand why this has to be so complicated. I want and need to run a live system to keep track of when order are executed and cancelled. The way that the live system mechanism is currently implemented suits me just fine. The only thing I want to do is chop off the live data feed, mainly to simplify things and get rid of unnecessary invocations of NewBar(). My system would place orders before market open, when I start it, and then just wait for messages from the broker with updates on order status during the day. That's it! Is there anything logically wrong with what I'm trying to accomplish? If not, then selecting 'None' for live data provider should be a valid option when running a live system and should not generate an error.
|
|
|
Posted 3/9/2010 06:40:40
|
|
|
|
Seems like a reasonable mode of operation to me. There are some things I don't know, however:- Could live orders be submitted from simulation mode? Distinguishing which should and which shouldn't seems a bit tricky.
- Could orders be submitted to the broker before the market opens? Are there timing constraints?
- Live running without a data feed should be allowed. (This would also enable trading manually.) Wouldn't the watchlist still have to be correct?
I'm sure there are other considerations, but I like the drift of your thinking. I'd like to see others chime in on this.
-Pete
(See also rightedge-ats Yahoo group )
|
|
|
Posted 3/9/2010 23:20:56
|
|
|
|
This is something that we are looking at for the next version. It would probably be an "End-of-day" live trading mode, where it would run a historical simulation and submit the orders from the last bar to a live broker. Of course at this early point there's no guarantee that we will be able to address this in the next version.
Thanks,
Daniel
|
|
|
|