Wednesday, October 27, 2010

New release: Explore Data, Meta Strategies and IE bugfix

We've released version 1.8 of our framework and website last week.

Meta Strategies
For strategy writing, the most significant new feature is the Meta Strategy. It allows for strategies made of several sub-strategies. The sub-strategies follow the same pattern as normal strategies (including extending the AbstractStrategy class), while the parent strategy must extend AbstractMetaStrategy.

The great thing with meta-strategies is that they allow for fine-tuning the association between strategies and instruments. For example, you might want to have a specific strategy that trade slowly on a stock, while another is dedicated to trading quickly on a futures. For example:

public class MetaStrategy extends AbstractMetaStrategy {
public void createStrategies() {
addStrategy(new BuyAtOpen(), APPLE, Daily);
addStrategy(new BuyAtOpen(), E_MINI_SP, Minute);
addStrategy(new SellAtClose(), E_MINI_SP, Daily);
addStrategy(new SellAtClose(), E_MINI_SP, Daily);

public class BuyAtOpen extends AbstractStrategy {
public void onOpen(OpenPrice open) {

public class SellAtClose extends AbstractStrategy {
public void onClose(Bar bar) {
Older-style (non-meta) strategies still work the same way.

Data Exploration
We have made available the graphs for all the market data. We are hoping that this will help quants that want to make sure that data are available at particular dates.

The red arrows indicate when the Futures contract has rolled to another underlying contract. For Stocks, they give the dates of corporate actions (stock splits, dividends and the like).

The data are available down to the day level (with 1-minute bars):

Also, note that you can tune the filters and see the differences in the graph.

We are quite excited with this new feature. Do let us know what you think!

Cool code search (in samples)
If you pay attention to the pictures above, you'll notice a search field for instrument. In both this field and on the samples pages, it is now possible to search simply by typing text.
Search on the Samples page:
And on the Explore Data page:

It's really fun. Try it!

IE bug fix
Last but not least, we have fixed a nasty bug on the Dashboard that was breaking the site entirely under Internet Explorer. Most of our users are under Firefox or Chrome, so this was not affecting many of you. But those that did use IE were prevented from browsing our website when logged in.

If you visited us in the past and went away because of this, we are sorry for the bug. Please give it another try.

No comments:

Post a Comment