VeighNa Spread Trading: Historical Data and Indicator Initialization
Summary
This forum exchange discusses a VeighNa spread-trading strategy that cannot calculate a historical spread moving average because no data service is configured. A respondent advises checking the data-feed fields in the application’s global configuration. The user asks whether this requires connecting a purchased database, since CTA strategies can appear to retrieve history without one.
A second respondent explains that CTA strategies also attempt to load data from the database when no data service is configured. If data is unavailable, the strategy may wait without reporting an error until enough historical data has accumulated in the live cache for initialization and indicator calculations. The exchange provides a practical explanation of differing startup behavior, but does not detail data-provider setup, the spread calculation, or how much cached history is needed. It is a troubleshooting discussion rather than evidence about a trading strategy’s performance.
Key ideas
- Spread-trading indicator initialization may fail when historical bars are unavailable.
- The forum recommends reviewing data-feed settings in the global configuration.
- CTA strategies also query a database for historical data.
- A CTA strategy may wait for sufficient live-cached history before initializing calculations.
- The discussion does not specify required history length or provider configuration steps.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.