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.
9,797 documents
This short forum exchange clarifies how VeighNa’s live market recording module stores data. The recording interval determines how often data is written; the feature records incoming real-time bars or ticks to a database rather than downloading historical…
This tutorial examines how probabilistic queue-position assumptions affect simulated limit-order fills and market-making results. It implements a grid quoting strategy based on a GLFT-style market-making model, estimates order-arrival intensity from observed…
This five-minute DAX strategy defines an opening range from the high and low recorded during the first trading hour. It sets long and short breakout levels one opening-range width beyond the corresponding extreme, using a configurable multiplier. During the…
This intraday strategy looks to short crude oil when a five-minute candle signals a downside breakout. The signal requires both candle range and volume to exceed three times their respective averages over a 276-bar lookback, with the candle closing below its…
A forum exchange clarifies whether a strategy can retrieve tick data for futures product indices or weighted continuous contracts, using iron ore and an example continuous symbol. The reply explains that symbols ending in a continuous-contract convention are…
The post describes a time-based controller for starting and stopping automated domestic futures trading robots. It checks the current time and weekday, uses a status flag to avoid repeated starts, and calls platform functions to restart or stop two named…
This FORTS Expert Advisor places limit orders around the best bid and ask when its spread condition is met. The spread input is measured in minimum price steps, so the threshold is converted using the instrument’s tick size. Once an order is accepted and a…
This VeighNa forum exchange discusses how to obtain current account funds through the CTP trading interface. A user asks whether account balances can be retrieved synchronously, like an HTTP request, rather than through asynchronous updates. A reply points…
This short description presents a Fast Stochastic oscillator variant that aims to reduce noise and lets users select the indicator timeframe through an input parameter. The example timeframe is four hours. It also notes that the indicator depends on a…
This reference explains advanced order instructions for futures and options trading through TqSDK. It compares ordinary limit orders, FAK orders that cancel any unfilled remainder, and FOK orders that cancel unless the full quantity can execute immediately.…
This platform comparison organizes crypto futures venues around practical selection criteria: contract and market availability, fees, leverage, regional access, and security or regulatory status. Its table contrasts several exchanges, while the surrounding…
This short forum post gives a data access pattern for retrieving historical benchmark or stock data from a trade module. The example requests closing prices and volume for a benchmark symbol over a specified lookback, using daily frequency, and assigns the…
This document proposes an hourly strategy using Supertrend, an exponential moving average, the middle of the Bollinger Bands, and an ATR-based volatility filter. In the code, long entries require price below the Supertrend line and above the EMA; short…
The newsletter assesses a sharp rise in Bitcoin volatility alongside macroeconomic catalysts and crypto market positioning. It uses options implied volatility and term-structure richness as indicators of stress, noting that a high backwardation reading has…
This example compares a grid market-making strategy in HftBacktest using CME market-by-order Level-3 data and Level-2 depth reconstructed from that same feed. Quotes are arranged around a reservation price that shifts with inventory, with position limits,…
This document is a brief outline of a presentation on machine learning in finance. It names four application areas: Lasso regression for commodity futures price prediction, decision trees for detecting possible financial fraud, logistic regression for…
This brief description introduces an indicator implementing a trading approach based on Woodies CCI. The stated method is to focus on patterns formed by the Commodity Channel Index in the traded market. It says the approach does not rely on the appearance of…
The document describes a ProRealCode indicator that smooths price inputs before calculating Heikin-Ashi open, high, low, and close values. A second set of configurable averages smooths those derived candle values. The indicator can either draw the smoothed…
An index price is an external reference value associated with an instrument. Derivatives venues may use it when calculating mark prices, funding, or settlement values. The update described here records the instrument, current price, event time, and…
This example outlines a staged workflow for obtaining option data through an Interactive Brokers connection. It configures an instrument provider for an underlying futures contract and a put option, then checks whether the gateway or trading workstation is…
This chart indicator marks the European pre-opening range with a rectangle, reports its high, low, and range width, then extends horizontal lines at the range boundaries into the following session. The supplied implementation uses an 08:05 to 09:00 time…
This TqSdk guide explains how to run timed actions inside the main loop driven by wait_update, rather than pausing the program with a separate sleep loop. For actions tied to the trading session, it recommends checking the market timestamp in quote.datetime,…
This code describes a mean-reversion strategy for the spread between Dalian Commodity Exchange coke and coking coal futures. It calculates a weighted value spread using contract prices, contract multipliers, and a specified leg ratio, then estimates the…
A user describes running one VeighNa process and one strategy connected to two SimNow futures accounts through separate CTP gateways. Both accounts return order acknowledgements, and the second account appears to have executed trades when checked in another…