Screening Futures Contracts with a VeighNa Portfolio Strategy

Summary

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 desired screening logic inside the strategy. This offers a high-level implementation path: choose the contract universe, receive its data, evaluate the conditions, and then list matches or submit orders according to the strategy.

The exchange does not include sample code, details for displaying results, or guidance on indicator calculation and data timing. It also does not specify how to manage subscriptions across a large universe or handle missing and stale data. The response is therefore useful as an architectural pointer, rather than a complete recipe. A practical implementation would need to define the universe and indicators precisely and decide whether screening should only report candidates or also place trades.

Key ideas

• The portfolio strategy module can host screening logic across subscribed contracts.
• Subscribe the strategy to a defined range of instruments before evaluating indicator conditions.
• The reply mentions both screening and order submission as possible strategy actions.
• No example code or output-display procedure is provided.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.