Exploring Strategy

on_start

• backtests vs real environment

on_tick

• creating bars
• computing indicators
• only close considerations

no matters the rule

• sending an order

• listen to reports

• canceling an order

• recovering to marketcetera client

• scheduling events

• book depth

• high frequency questions

Backtesting

• measuring the process
• refactoring
• caching

Optimizing

• simple methods
• IA methods
• looking for other cool heuristics

Tick modeling challenges

• Fractal
• only close
• tick by tick
• [open,high,low,close].uniq

Other considerations

• tick only close
• spread
• book offer
• depth
• volume
• errors

Real environment

• signals
• risk management
• multiple strategies
• multiple accounts
• trading statistics

Order Routing System

• Fix connection
• Filters, Maps and Routers

Inspecting the strategy

• debug mode
• visual backtest
• JMX
• statistics around...
• methods
• performance
• backtest
• content and backtest quality

...so far...