Resumos e ideias principais, escritos pelo agente de investigação da Stratmill, dos livros, artigos científicos, artigos e código consultados pelos nossos agentes de IA. Cada página inclui uma ligação para o original.
560 documentos
A user asks whether a live script trading connection through CTP can show historical futures and options contract data. The question cites a CTP interface description that says historical data is not provided. A forum reply says that a live interface…
The discussion explains how a VeighNa CTA strategy can retrieve live long and short position records, inspect their average price, volume, and unrealized profit or loss, and use that information to trigger stop orders. It identifies the position lookup key…
This forum exchange explains where to look when a VeighNa strategy backtest produces no visible trade records and a developer wants to inspect daily messages. The reply says scripted backtests expose log entries through the engine’s logs collection. For live…
A forum user asks how a strategy trading rebar futures can access the previous daily close of iron ore before the strategy starts, and whether a pre-close field is suitable. The reply recommends using a portfolio strategy module to access data for another…
This forum discussion explains how to update stored bar data in VeighNa after users could no longer import the former database manager interface. Replies point to the current database accessor, which returns the database object. For incremental updates, a…
This short forum exchange addresses intermittent connections between VeighNa version 4.1.0 and CTP. A user says the connection details are identical across attempts, and a reply points to environment-specific operating hours as a possible factor. It further…
A trading-system forum discussion concerns orders that receive an order number but immediately show as canceled, even though market data, login, and displayed funds appear available. The response proposes several checks: determine whether pre-trade risk…
This forum response lists common reasons that take-profit and stop-loss orders may be rejected. It points to rapid price changes, prices outside exchange limits, exchange risk controls, insufficient margin, thin contract liquidity, network or system…
The article describes an integrated order flow imbalance factor built from changes in bid and ask quantities across five limit order book levels. It explains how each level’s imbalance can be normalized by typical depth, then combined with principal…
This brief forum exchange describes a configuration issue when connecting vn.py 4.4.0 to SimNow’s 24-hour test environment. A user reports that the standard simulation connection succeeds while the 24-hour test connection fails. Another participant replies…
The post addresses missing final one-minute bars when a closing or session-boundary tick is not delivered. Its proposed fix adds logic to a bar generator’s tick-update handler: near selected minute boundaries, it checks for a tick arriving in the final…
The discussion raises two practical issues for CTA strategies: protecting source code when running a strategy on another computer or server, and adapting a strategy as a futures market’s active contract changes. Replies point to a strategy-encryption guide…
The discussion clarifies that maximum drawdown duration measures how long the strategy remains in its largest drawdown. It distinguishes the time span of a decline and recovery from the size of the loss itself, which is what the maximum drawdown percentage…
The post asks how to keep local records of live trading activity, including daily fills and account or funding information, in files or a database. The reply points readers to VeighNa’s portfolio management application documentation as a possible way to…
A VeighNa community exchange considers why a CTA strategy’s moving-average values may appear stale after pausing and restarting. The response suggests several possible causes: cached bar data not being restored or refreshed, strategy variables not being…
A user reports that minute-bar open and close prices generated from CTP market data sometimes differ from values shown in mainstream trading software, with discrepancies of about one currency unit. The reply identifies a timestamp convention as a possible…
This forum discussion documents installation problems while setting up vnpy_ctp on a freshly reinstalled Intel Mac. The initial failure occurred during an editable package installation because pip could not obtain the required meson-python dependency. A…
This document lays out a sequence of practical exercises for learning quantitative trading with VN.PY. The projects cover market data retrieval and database storage, vectorized indicator calculations, CTA strategy development, cleaning futures data, and…
This community post reports a failure in a VeighNa CTA backtest on Windows with a Tushare data service. Historical one-minute futures data downloads successfully and the strategy loads, but the run fails when the backtesting engine calculates performance…
This brief VeighNa community exchange answers a practical question about retaining order and execution records. A user reports that increasing a global setting did not make fill information appear in the log. The reply directs them to the main interface’s…
A brief VeighNa forum exchange addresses how to calculate daily moving averages, such as a five-day average crossing above a twenty-day average, when a strategy works with intraday data. The suggested approach is to aggregate that data into daily bars and…
This short forum exchange concerns choosing a broker or trading counter for automated stock trading in China. One participant reports that a broker had announced it would stop allowing personally developed software to connect through its CTP interface.…
This forum post reports a possible data-handling issue in a bar generator that aggregates ticks into one-minute bars. When the first tick arrives just after 9:30, its last traded price is used to initialize the bar’s open, high, low, and close. The post says…
The document raises a question about why a bar-generation routine reads high_price and low_price from a tick when a tick may appear to contain only last_price. The code excerpt shows that the routine updates a bar’s high and low using the latest traded…