0 registered members (),
1,397
guests, and 7
spiders. |
Key:
Admin,
Global Mod,
Mod
|
|
|
How to use end of data in live trading
#466612
06/23/17 16:45
06/23/17 16:45
|
Joined: Jun 2016
Posts: 30 france
stephane97490
OP
Newbie
|
OP
Newbie
Joined: Jun 2016
Posts: 30
france
|
Hi everybody , I have some difficulty for implementing a live trading. I have a solution to the problem but It requires to use R. So It's not a efficient solution. First of all, suppose you have the the strategy below : function run() { StartDate = 20110101; EndDate = 20171231; BarPeriod = 60*24; // LookBack = 600;
set(PRELOAD|LOGFILE|PLOTNOW); assetHistory("^GSPC",FROM_AV); asset("^GSPC"); PlotHeight1 = 800; // height of the chart with results PlotWidth = 2000;
///////////////////////////////// vars Price = series(priceClose()); vars high=series(priceHigh()); vars low=series(priceLow()); vars zerolag=series(KAMA(Price,10)); vars fastema = series(EMA(Price,50)); vars slowema = series(EMA(Price,80));
asset("SPX500"); if(fastema[0]>slowema[0]) { enterLong();
}
if(fastema[0]<slowema[0]) { exitLong();
}
}
I use it for backtest, and it's working but It's not the case in live trading (no asset data for ^GSPC). I've said that , there is a solution to solve it : the use of R. I call R via the script and I do all calculation in R, and I retrieve the signal for trading. In real case, if I have a lot of calculation, and multiple account to manage. It's became hard to do this.
So can you give me some advise or suggestion to solve my problems without using R . THANKS FOR YOUR HELP !! :-)
|
|
|
|