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 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…
The article questions the use of deep learning to forecast stock or futures returns from historical indicators. Its author says they tried both classification and regression approaches, including recurrent networks, and found the results poor. They also…
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…
This short forum exchange discusses whether frequently querying account and position data through a CTP gateway might trigger limits at the brokerage counter. One participant asks about querying multiple instruments and positions; another replies that the…
This Python module documents functions for calculating common technical indicators from market bars and options data. The visible functions include average true range, bias, Bollinger Bands, directional movement, KDJ, MACD, parabolic SAR, and Williams %R.…
This example demonstrates a portfolio-strategy backtest for a pair trading strategy on two Dalian Commodity Exchange continuous contracts. It configures minute data over a specified historical interval and supplies commission rates, slippage, contract sizes,…
The document explains how TqSdk’s wait_update loop drives data subscriptions, background tasks, and trading requests. Call get_* methods once and keep their returned objects as live references; subsequent update calls refresh them. Use is_changing to respond…
This note introduces the Average Modified Moving Average (AMMA), a moving average described as similar to an exponential moving average. It gives a recursive calculation: each value combines the current price with the next bar’s AMMA, weighted by the…
This teaching example ports a close-based trend strategy into JavaScript and extends it across multiple cryptocurrency futures symbols. It calculates an exponential moving average of typical price as a midline, computes ATR, and places upper and lower bands…
This Chinese-language report summary examines intraday price, volume, and trading characteristics using minute data to build factors and compare their behavior in stocks and futures. The factor families include return-distribution statistics such as realized…
This research summary compares high-frequency factors built from minute data in stocks and futures. It groups signals into return-distribution measures, intraday volume patterns, price-volume relationships, order-flow measures, and trend strength. Reported…
This one-hour Hang Seng strategy uses RSI thresholds to enter long or short positions, with an ATR-based filter that requires volatility relative to price to exceed a set level. It also restricts entries to a specified UK-time window and disables order…
This weekly digital asset review combines regulatory and product news with market indicators for Bitcoin, Ethereum, and Solana. It discusses ETF holdings and weekly flows, futures open interest across exchanges, long-short ratios, and funding rates. The…
The note shows a routine for retrieving open orders and cancelling each one, then reports a failure when the returned value is null and the code tries to read its length. The accompanying exchange response identifies the cause: the API key does not match the…
This strategy trades the DAX using signals calculated on an hourly timeframe and entries managed on a one-minute chart. A long signal requires a bullish candle pattern, a fast EMA crossing above a slower EMA, and RSI crossing above its midpoint; the short…
This guide describes connecting to AX Exchange, a regulated venue for derivatives on traditional asset classes. It outlines perpetual and dated futures, including USD cash settlement, funding payments, contract sizing, margin, and how the adapter maps venue…
This forum exchange discusses how to test a broker-imposed order cancellation limit when orders in a futures test environment appear to fill immediately. A respondent explains that broker-maintained test environments may use matching rules that differ from…
This market commentary links Federal Reserve expectations and geopolitical events with moves in bonds, gold, equities, and crypto. It reports that markets were pricing a greater chance of the Federal Reserve holding rates, while gold continued rising amid…
The document describes an MQL5 class for calculating the Relative Strength Index (RSI) with a ring buffer. The class can process a full input array or individual values, and its initialization accepts an RSI period, smoothing method, buffer capacity, and an…
The document describes an MQL5 class for calculating the Relative Strength Index (RSI) with a ring buffer. The class can process a full input array or individual values, and its initialization accepts an RSI period, smoothing method, buffer capacity, and an…
A forum exchange addresses how to monitor current account profit or obtain opening fill prices inside a spread trading strategy. The question notes that the spread-trading forum’s trade callback cannot be called directly from the strategy, and asks for…
A short developer forum exchange diagnoses a problem that appears when the CTP and CTP test interfaces are loaded in the same VeighNa application. The initial question concerns which API files are accessed and why a DLL in the test interface directory does…
The document describes a Swinglines indicator that connects selected bar highs and lows to represent trend direction. It classifies bars by comparing each day’s high and low with the previous day: higher highs and lows, lower highs and lows, inside days, and…