I'm looking at the helpful pairs example to get my head round WL syntax.
I have an existing pairs strategy currently coded in Zorro (essentially in a customised version of C) where everything iterates over each pair in the portfolio (20 pairs) to check for signals.
Trying to figure out the equivalent WL syntax. Is it just a case of defining the pairs in a string vector inside
I have an existing pairs strategy currently coded in Zorro (essentially in a customised version of C) where everything iterates over each pair in the portfolio (20 pairs) to check for signals.
Trying to figure out the equivalent WL syntax. Is it just a case of defining the pairs in a string vector inside
CODE:and then iterating over them inside
public class PairsTrading : UserStrategyBase{ }
CODE:? Thanks in advance for any recommendations.
public override void Initialize(BarHistory bars){}
Rename
You might consider doing this in PreExecute. PreExecute provides you a list of all BarHistories that are participating in this DateTime "bar." So it's a good place to examine them all and make some decision that's based on the whole group of symbols instead of just the single one.
Many thanks - I'll take a look at the manual for that
Your Response
Post
Edit Post
Login is required