Hello.
I want to find out an one thing. If I want to execute my algorithm on the daily bars (daily trading system) I should use a consolidator to create the daily bars from the minute data? Or can I simply use for daily resolution:
AddSecurity(SecurityType.Forex, symbol, Resolution.Daily);
It depends on how you want your orders be filled. For instance, if your algorithm places limit and/or stop orders that will be filled during the day, you need to choose minute bars. Otherwise, you can choose daily data.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Alexandre, thank you, So if I use the limit orders I don't need the consolidators. Am I right?
It depends on the limit orders.
For example, say we buy an asset at market for $100 and have submitted a limit order of $105 and a stop order of $98. The next day, the price goes up to $110, but closes at $95. In this case, the stop order will be filled at $95, despite the fact we should closed the position at $105. On the order hand, if you limit and stop orders are distant from the market price (limit order of $120, stop order of $95), it should OK to use daily data, because we do not expect a 25% bounce in one single day.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Thanks!
Unless you have very strong performance reasons to go with daily source data, I recommend going with minute source data and manually producing daily bars (e.g. with consolidators). This is simply because you will be less surprised this way down the line; minute data exposes subtleties.
Thanks @Petter and @Alexandre
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
QuantConnect™ 2018. All Rights Reserved
|