I have a requirement to trade around 10 sometimes to 100 instruments per day - with a fixed amount of £5K each...
A bulk Order list is generated from a scanned instrument list of around 2000 instruments... etf and stocks..
So to use a strategy I can can do...
for each instrument in list add bars....
but that is 2000 daily bars Array elements added to 1 strategy...
seems like quite a bit for the memory to handle
The trouble is that - etfs and stocks may come and go so it means restarted each time there is an instrument list change. The issue I have is that Strategies are tied to bars... which may be a performance limitation
The pattern I am going to use to solve this is:
INDICATOR
create 1 generic signals indicator - containing the order logic and exit logic..it will plot a 1 or -1 for entry and exit.
Market Analyser
use the market analyser
add the instrument list
Add 2 columns type indicator/ for the order and exit signals
The indicator will dump the orders to file/stream
Q.WILL IT COPE WITH 2000 instrument loaded????
STRATEGY
leave a strategy running that reads the order list at 15:30PM
for each order place the order using the correct bars/instrument etc.
Daily bars 2 days, tick and period calculation.
Q.WILL IT COPE WITH 2000 instrument loaded????
BESPOKE
I may have to write a bespoke application/service which simply reads the order list and places the orders directly via an API to the broker...
But I want to keep this within NT....
Q. Perhaps an alternative then is use the NT Client...?
for each order etc....
So my feasibility study is this:
- Performance of 2000 instruments + daily bars
- Look for unsupported methods - that allow a strategy to place orders for an instrument without loading bars..
- use NT Client
- Hybrid NT & Bespoke API direct
It would be great to recommend and prove that NT is a feasible choice for this project...
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