Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
560 documents
This short post raises a question about how a BarGenerator routine determines when to finish a multi-minute bar. It points to a condition that checks whether the current minute, incremented by one, is divisible by the configured window size. The author uses…
This Chinese-language forum discussion considers how to demonstrate that a VeighNa trading system can pause trading when account trading permissions are restricted. Participants note that the trader application does not provide subaccount permissions, and…
This event outline introduces advanced FinRL development topics, including the FinRL-Tutorials project, reinforcement-learning portfolio allocation, stock trading in China’s A-share market, and ensemble strategies. It distinguishes portfolio allocation from…
This forum exchange concerns the data requirements for calculating a 200-period moving average on 15- or 30-minute bars when a strategy begins with one-minute data. The original poster is concerned that loading many one-minute records and aggregating them at…
This brief Chinese forum thread concerns VNstation failing to open after installation. One participant reports encountering the same problem and being unable to fix it after spending an afternoon troubleshooting. They later report that installing the…
This Chinese-language announcement outlines a community session devoted to building FinRL agents and comparing reinforcement-learning algorithms for quantitative investment. Its educational agenda covers how the DRLAgent class wraps different algorithms…
This Chinese-language forum thread raises an implementation issue in quantitative trading software: a contract can be dynamically subscribed to through the engine and strategy code, yet its market data may not arrive at the strategy. The original poster says…
A short VeighNa community discussion asks whether performance statistics are calculated from total account capital or from the capital associated with the traded instrument. The poster observes that when starting capital is large relative to fixed order…
The discussion explains a timing issue in CTA strategies using the CTP interface: order status updates may arrive before trade updates, and the position is updated with the trade notification. A strategy that reacts to a fully filled order inside its order…
A VeighNa community question asks whether contracts can be screened by indicator values and displayed as a list. The reply proposes using the portfolio strategy module to create a strategy instance, subscribe it to a defined range of contracts, and apply the…
This forum exchange explains why a VeighNa user may receive two order callbacks that both appear as “submitting” and share an order number, even though their timestamps differ. The reply attributes this to distinct status updates from the underlying CTP…
The discussion explains how to inspect a strategy's logical position during a VeighNa backtest. The strategy's `self.pos` value represents its net position quantity and updates as the strategy processes opening and closing trades. It is scoped to the…
This forum post explores how VeighNa's historical bar loading relates to strategy initialization, bar aggregation, and trading decisions. The author asks whether loading bars at minute, hourly, or daily intervals supplies the corresponding historical data,…
This short Chinese-language post asks how to retrieve position data from a CTP trading gateway. The author shows a connection sequence that loads gateway settings, initiates a connection, pauses for login and initial contract, account, and position queries,…
This brief Chinese forum reply addresses a user whose CTP connection is failing without producing log output. It explains that an “inactive front end” status means the CTP server is currently unavailable, and suggests trying again during trading hours. The…
This forum exchange addresses a connection failure encountered while following a VeighNa tutorial on retrieving option quotes through the CTP interface. The questioner has authorization for a futures broker’s test account and asks whether completing…
The document reports a failure during a VeighNa CTA backtest when the engine calculates performance statistics. The traceback points to annual downside-risk calculation, where the Empyrical statistics package accesses NumPy’s removed `NINF` attribute. NumPy…
This brief forum exchange answers whether data sources for VeighNa, an algorithmic trading platform, are free. One user reports authentication errors while trying credentials from an example configuration for a Tushare integration. A respondent explains that…
The article explains why futures research often uses constructed continuous series: individual contracts expire, so a longer history requires rules for selecting and joining successive contracts. A direct splice can create an artificial price gap at a roll,…
This post describes a macOS setup problem connecting VeighNa’s CTP interface to a futures broker. The reported symptoms are an initial 4040 error followed by repeated 4097 errors. The author says the broker’s troubleshooting materials targeted Windows, while…
This forum post analyzes how a trading strategy’s tick callback interacts with order cancellation and order status updates in an event-driven trading engine. A cancellation request does not immediately change an order’s status: the engine waits for an order…
A trader reports that their local receipt timestamp from a CTP feed appears earlier than the timestamp on the tick, including an example with a difference of roughly a second. They initially suspect that a server-time tick should arrive after its timestamp…
This forum exchange explains a compatibility problem that can arise when connecting standard CTP accounts alongside accounts that use a customized asset management API. Although both interfaces resemble CTP, their API libraries may differ. Replacing DLL…
The article introduces fair value gaps (FVGs) through patterns of three consecutive candlesticks. It calls the pattern balanced when the third candle’s range overlaps the ranges of the first two, and unbalanced when the third candle leaves a gap relative to…