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
A VeighNa Trader user reports that the platform cannot load its iFind data service module, even though the relevant Python packages are installed and can be imported. The community reply points to the global configuration: the provider name must be entered…
Peek+ is a configurable indicator that looks back over a window to find when the most recent highest high or lowest low occurred. It turns those offsets into separate streak measures associated with persistent upward and downward extreme-setting. A signal…
This forum response offers a troubleshooting sequence for multiple VeighNa strategies that appear to stop responding. It recommends checking whether logs continue, adding output in tick or bar callbacks to confirm incoming data, verifying that a strategy is…
This short forum exchange explains why a vn.py CTA strategy receives trade notifications through only one `on_trade` method when both the base template and the strategy define that callback. The strategy inherits from the template, and defining `on_trade`…
The discussion describes a rolling-window backtest in which parameters are optimized on a sequence of historical months and then applied to the next month. As the test advances, the training window shifts forward by one month, so each new period is evaluated…
A trader asks where an individual can access tick-by-tick trades that include buyer or seller initiation, intending to calculate aggressive buying and selling volume at each price for an order-imbalance strategy. The reply says that ready-made aggressor-side…
A short forum exchange asks how to obtain roughly two decades of historical futures and options data at hourly, daily, weekly, and monthly frequencies for backtesting. One reply says that such data must be purchased, particularly minute-level data. The…
A VeighNa community exchange discusses penetration-test information that was collected, but showed a timestamp seven hours off. A respondent suggests checking the computer’s time zone, noting that the machine may be set to UTC. This points to a basic…
This brief forum exchange asks whether VeighNa's main engine position converter loads positions that are already held when it initializes. The question gives a concrete example: whether a long position carried from the previous day will be reflected in the…
A trader asks how to identify the originating strategy for each trade received in a trade callback, so fills from one strategy can be grouped together. The reply suggests capturing the order’s reference field when an order arrives and using it to identify…
This short forum post concerns an error that repeatedly appears when connecting VeighNa, also known as VN.PY, to Interactive Brokers through the IB API. The traceback ends with a Python TypeError: the API invokes the wrapper’s error callback with more…
This overview explains vn.py as a modular framework for automated trading. The MainEngine coordinates gateways, applications, databases, and data services, while the EventEngine routes market, order, and other messages to subscribed components. A typical…
This forum exchange clarifies how VeighNa's local stop orders are displayed and triggered. The price shown in the stop-order interface is the trigger price, rather than the price of the limit order that may be sent after triggering. A user reports that…
The discussion explains that the number of contracts a default VeighNa strategy can subscribe to depends on available CPU, memory, and network capacity, as well as strategy complexity and the frequency of incoming market data. Tick feeds generally require…
This event outline describes a quantitative study of option spread strategies, with a focus on gold options. Topics include straddles and strangles, bull and bear spreads, butterfly spreads, and put-call parity. It proposes examining the structure of these…
This Chinese-language forum post examines how a futures gateway updates a position object’s prior-day volume while processing investor-position responses. The shown handler creates or retrieves a position by instrument and position direction, then applies…
The discussion clarifies that a strategy’s position variable represents net exposure. A long position of one unit followed by an additional short opening trade of one unit nets to zero in that variable, rather than retaining separate counts for long and…
This short forum post reports that version 1.2.0 of an option hedging engine and its monitoring component appear to submit many orders before the market opens, with those orders rejected. The author suggests the components should check whether the current…
This brief forum post advocates managing market data as files rather than relying solely on a database, particularly when handling large volumes of tick data. The author shares a personal approach using Parquet files and points readers to an implementation…
The post asks why Alpha158 labels use different forward-return horizons in two implementations. It compares a label spanning the close at T+1 to the close at T+3 with a Qlib label spanning T+1 to T+2, then relates those choices to China’s T+1 stock-trading…
This forum exchange concerns a VeighNa strategy that logged minute bars during a SimNow session but produced no logs or apparent activity the next morning, even though the interface still showed a CTP connection. A participant recommends adding internal…
This forum exchange concerns changing a Turtle-style CTA strategy from a fixed number of contracts to dynamically calculated trade size based on risk. A user reports editing the strategy code through a backtest interface but seeing results continue to use…
The discussion addresses adding five- and fifteen-minute intervals to VN.py version 3.4.0 for backtesting. One reply suggests that when the source data is already stored at those resolutions, importing and selecting it as one-minute data can work because…
This brief VeighNa forum exchange asks how to adjust bar construction for the morning futures market break from 10:15 to 10:30. A respondent explains that the BarGenerator currently divides data according to timestamps and asks which kind of bar the user…