![]() ![]() QuantOffice maintains trading calendars and holidays for all exchanges. Trading Calendars, Trading Sessions and Exchanges One of the exciting features of dynamic optimization is the ability to define a “meta strategy”, that is, a strategy which controls, in respect of when they run, other “sub” strategies created in QuantOffice. QuantOffice supports optimization of model parameters by brute-force, genetic and dynamic (walk-forward) methods. Such bars are stored in TimeBase in real-time and are accessible to QuantOffice in real-time. For example, users can define logic for “by equal volume” or “by equal trade number” bar generation. In addition to accessing time-based bars created by TimeBase, QuantOffice can be used to create bars using more complex techniques, which are then stored in TimeBase. For example, the user may use quarterly fundamental data combined with daily bar data for daily portfolio rebalancing and minute-bar, news or tick data for refinement of execution strategies. Users can combine different periodicities to construct a strategy. Supported Data and Periodicitiesĭaily, intra-day and tick periodicity data, Level I and Level II (market depth/order book), news and fundamental data are supported. ![]() Synthetic instruments range from baskets, to the output of strategies themselves. Supported InstrumentsĮquities, options, futures, currencies, pairs, baskets and custom synthetic instruments are supported. In addition to superior engineering, QuantOffice performance is enhanced by the ability to pre-load events from TimeBase into memory cache. The output of models operating over hundreds of instruments across years’ worth of tick data literally takes seconds. The run-time operation of the models (in back-testing and simulation modes) is immensely fast, as a result of message processing measured in millions of records per second. All data can dumped out into Excel, csv and PDF formats. For example, right mouse-clicking on a single point on a graph, will show all the underlying market data before, on and after that point. The performance of the charting is extraordinary: it takes mere seconds to back-test all instruments in the S&P500 across years’ of tick data.Īll data can also be shown in tabular form. This allows for rapid evaluation, refinement and re-running of models in an iterative process. Microscopic inspection of this output can be performed to see the movement of ticks within bars and the generation of signals, orders and executions at tick periodicities. The output of strategies (indicators, trading signals, orders, executions and P&L) is rapidly displayed graphically, at the instrument and portfolio levels. events created as interim output of the strategy itself, or a “meta strategy”, that is a model which orchestrates other “sub strategies”. OnBarClose, OnBarOpen, OnTick ) or develop more sophisticated events, e.g. Strategy developers can use provided events (e.g. As such, QuantOffice utilizes TimeBase’s integrated message bus for CEP. ![]() QuantOffice is deployed with TimeBase as its data source. Conversely, users can generate process logic diagram from the code that is, they can toggle between the code and graphical representation of the strategy or model. Using “drag and drop”, users create a process logic flow diagram pressing a button then generates the underlying C# code. In addition to creating strategies and models in C#, users can also use the visual process logic builder. QuantOffice: Studio also provides a rich set of libraries of industry standard technical indicators, statistical and econometric models with which to develop strategies. QuantOffice: Studio provides a full C# development environment including two-way integration with Microsoft Visual Studio, Matlab and R. Time series data for back-testing, simulation and production trading is provided by connectivity to the TimeBase database. Once a strategy has been perfected, the strategy (as represented by C# code) is published in Strategy Trading Server for production execution. OnBarClose, OnBarOpen, OnTick, OnOrderBookChange ) for both portfolio and instrument level granularity and allows combinations of daily, intra-day bar, tick and custom event periodicities to be used in the creation of proprietary order execution algorithms. QuantOffice is the product for the visual development, debugging and back-testing of integrated Alpha/EMS strategies using C# and Dot Net.
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