VisualQuant Getting Started Guide
Contents
1. 12 4 1 Opening and Running Existing Strate cies eebe Ee 12 Working with Blocks on Diagrams eere eee 12 5 Zoomms and Sliding the Diger ain E 13 5 2 Chekims and Dracoing e 13 Block Types ANG oi Din Leit e E 14 6 1 BOC dioc ce crc err HET crc D HMM ROME 14 SN MM SOCKS E 14 OE OTS ele 14 0 1 5 MEOMPOSITS EE 14 6 2 User DLES Dynamic Link DiBrartes ine diit a 7 Creating Your First Strategy eee Eegeregie 15 7 1 Creatine ae NEWS OPW O EE 7 2 Creant o ANEW PIO EE 7 3 nette Historical Dafa ee 53 Usine the Output Console BIGCkeeryemei tpe cebe ul etos eaten 73 9 2 sine the Viewer Console BIOGR EE 7 4 tUsme a c hart DIS aenea nod isis tos es Eia toe oct uto tie NEIN Serer irr e DE tender IESU 7 5 Editing MetaData Properties for Chart Links ssseeceeceeeeecccccceeeecesssessseeeeeeeeeeeeeceeaees 7 6 Generatim Dars fron Trade RE 7 7 Piltcrine Incoinine Trade Data Ee ee 7 8 Chaueine Block e EE 8 Capturing LIve D EE 26 8 1 Creatine a ING WS eege eege ee ee 8 2 riets gtt Be EE 8 3 Di gram tor Capturing RE EE 9 Creating a Simple Moving Average Strategy 28 9 Moving Average Eege 9 2 EGO NC EE 9 3 EE 9 4 MVaevanp Results inthe Center E EE 10 hYel lape eBg iir gpe m 28 IOL Generaune a Strates yA pplicaion o iiti t n eR I v Da Idm aet Hac Eas ceed 1 Introduction VisualQuant is an IDE2. 24 Output GoodTrades we changed the name of the output port public event OutputEventHandler Output public NoBadTrades Input BadTrades we changed the name of the input port public void OnInput EventInfo eventInfo object data cast incoming event data as trade data Trade trade data as Trade if trade Price gt 20 55 discard all trades above 20 55 else send all trades below 20 55 to the output port Output trade Next save the code modifications and build the modified block To build a single modified block right click the block in the Block Explorer and choose Build from the popup menu To rebuild all modified blocks click the Build icon in the File toolbar Here is a picture of a block that needs rebuilding 4 j local a L3 Execution C Indicators 4 y Market Data Adder a Order Book After the block has been rebuilt you can drag it on to the diagram and link it in between the Instrument block and the chart block Here is what my diagram looks like and here is the output that I saw when I ran the new filtered data All CSCO trades above 20 55 were filtered out and do not appear on the chart 25 Instrument M Dec 04 15 335 1545 15 50 15 55 16 00 16 05 16 10 1615 16 20 Being able to filter out bad data so easily is a big win for automated trading systems and now you can see how easy it is to do with VisualQuant 7 8 Changing Block Interface Names
3. If you modify the structural code names of a block such as the name NoBadTrades in the previous example you must delete all instances of the block from all diagrams rebuild the block and then drag and relink the block on all affected diagrams This is because block structure modifications cannot be automatically updated on diagrams Since the interface signature of the block changes VisualQuant sees the modified block as a completely different block Only you know that it is supposed to be the same block except with a different name So you are responsible for making the diagram changes 8 Capturing Live Data This section shows how to capture live data from a market data provider and store it into the historical database for future use during back testing simulations 8 1 Creating a New Instrument To create a new instrument right click somewhere in the Instrument window to see a pop menu of options One of the options will be to create a new instrument 26 Mew Instrument Symbol IBM Type Bock iom Type custom Exchange SMART Currency USD Cancel Currently the dialog can only be used to create stock instruments Futures Forex and Options instruments are not supported yet because the dialog has no contract maturity dates and no alternate exchanges or symbols for various providers Support for these instruments is currently being added to the next version of the product 8 2 Importing Data Currently VisualQuan
4. added to or subtracted from the selection set To drag a set of selected blocks click and drag the title bar of one of the blocks in the selection 13 6 Block Types and Functions This section describes block types and their functions 6 1 Block Types 6 1 1 Binary Blocks Binary blocks are blocks that do not expand into user editable code when they are double clicked on the diagram They are not editable because they represent hardcoded aspects of the application that users should not change Binary blocks look like light blue code blocks but they won t open into code Here is an example Instrument 6 1 2 Code Blocks Code blocks are blocks that do expand into user editable code files when they are double clicked on the diagram These blocks are editable to give users the ability to modify the internal code to suit user requirements For example all new block types created by users will normally be editable code blocks Code blocks can be recognized by their light blue color and double clicking will open their code Position 6 1 3 Composite Blocks Composite blocks are container blocks that group a set of other blocks into one block that is more easily manipulated by users Double clicking a composite block opens up a new block diagram that represents the block contents of the composite block Composite blocks can be nested within each other Composite blocks can be recognized by their dark blue color Double clic
5. integrated development environment for designing and executing computerized quantitative trading applications on either historical or live market data It is the latest generation in a 10 year evolution of IDE platforms for programming and executing event driven computerized trading strategies 1 1 Goals of This Document The main goal of this document is to provide a short introduction to the new architecture most interesting features and some useful user interface most manipulations This is not intended to be a full blown user manual because the product itself 1s still under development Instead this document is only a short introduction to existing product features We expect this document to grow over time as the product itself 1s developed further 2 VisualQuant Architecture 2 1 The Current Generation of Trading Platform Architecture The current generation of SmartQuant trading platform is illustrated by the two existing products QuantDeveloper and OpenQuant This generation of platform is based on an event driven architecture in which the events and data flows inside the framework are predefined by the product This design enables programmers to focus their coding efforts on the strategy itself without worrying about having to code the underlying event data and reporting information flows QuantDeveloper is an industrial strength programming platform for institutions and hedge funds It contains several main programs for progra
6. mode control e The first button arrow runs the simulation e The second button square stops the simulation e The third button gears with arrow generates a standalone runtime application that can be moved to other computers e The trading mode drop down box specifies the trading mode of the application e The fifth button pin updates user interface controls such as charts and graphs during the simulation For faster simulations do not update charts and real time The Trading Mode dropdown box provides three choices for selecting your trading mode currently only Live and Simulation are implemented e Simulation historical market data simulated trade execution e Paper Trading live market data live trade execution on a test account with fake money e Live Trading live market data live trade execution on a real account with real money 4 Working with Existing Strategy Projects Before describing the detailed mechanics of working with block diagrams and strategies it is probably useful to first describe how to run existing sample strategies 4 1 Opening and Running Existing Strategies To open an existing strategy solution so that you can run it click on the strategy solution name in the list of recent solutions shown on the Start Page This will load the solution into the Solution Explorer window pane in the top right of the IDE Run the example solution by clicking on the Run icon an arrow triangle The chart control
7. products QuantDeveloper QD and OpenQuant OQ 2 5 1 Functional Flexibility With previous products users could not change predefined data and event flows within the trading engine With VisualQuant they can change blocks inside the trading engine to suit their needs 2 5 2 Functional Extensibility With previous products users could not extend the functionality of the underlying trading engine With VisualQuant they can add extensions by coding and adding their own functional blocks 2 5 3 Data and Event Flow Transparency Previous products hid much of the action behind the scenes within the trading engine preventing users from seeing or influencing the data order execution and control flows within the engine But with VisualQuant all event flows are visible and accessible to users on the design canvas 2 5 4 More Specific Trading Architectures Previous products implemented one generic and powerful trading engine to support all possible user trading strategies In contrast VisualQuant enables users to add just the functionality that they require and no more to their trading applications Constructing dedicated engines that are optimized for specific strategies is now possible 2 5 5 Increased Efficiency and Performance Previous products lost efficiency because their generic trading engines had to perform all functions all of the time whether or not users required the extra statistical calculations the extra data manipulatio
8. tab shows the top level block diagram for that strategy project The screenshot below shows the strategy diagram for a Simple Moving Average Crossover strategy X3 Thread i 3 3 SMA Crossover Start Page En Instrument CSCO CSCO Ric C GOS tevel2 Execution Simulator Runs Commands to Produce Transactions Moving Average Indicator Calculator SMA Wale el Crosses E Lo Below rp Buy P 101 Dec 04 14 30 15 00 15 15 15 30 15 45 16 00 16 15 MEME LLL L IME LLL ive nioe uui LLLLLALA LLil 1L a d E e X0 E LLL 0L 11S Buy and Sell Commands 3 3 Understanding the IDE Toolbars This section describes the various application toolbars 3 3 1 The File Toolbar File View Tools Help Ty D 3 ED z hA b uU GR Simulation The file toolbar provides five buttons one for creating new solutions and projects one for opening existing solutions and projects one for saving the current file one for saving all files and one for rebuilding all changed files In general toolbars can be relocated by clicking and dragging the vertical row of four dots at the left side of the toolbar Free floating toolbars have not yet been implemented Docking toolbars on the left or right side of the screen is not yet implemented 11 3 3 2 The Execution Toolbar File View Tools Help v J ee Simulation T il The execution toolbar provides four buttons and a training
9. 3 19 PM 107500 1 2010 06 03 12 43 19 PM 107500 2 2010 06 03 12 43 19 PM 107500 1 2010 06 03 12 43 20 PM 107500 5 Congratulations You ve just created and run your first VisualQuant strategy Wasn t that easy 7 3 2 Using the Viewer Console Block For this example drag the Viewers Console block on to the diagram Link up the console block just like before Here is what your diagram should look like now I ve left the Output Console block on the diagram but you can remove it if you like Right click the title bar of a block to remove it from the diagram Now the instrument Trade output is connected to two different viewers Instrument Console Before you run this example turn off the Update Controls option in the Execution toolbar to prevent VisualQuant from trying to update the console block with every incoming trade from the instrument database If you forget to do this on a big data set you re in for a VERY slow running simulation But since we re only using a tiny ES set you can update the controls or not try it both ways Once you have disabled the Update Controls option you can run the simulation The word DISABLED will appear in the Viewer Console block while the simulation runs 19 Instrument Console ES Juno Console Once the simulation is complete the DISABLED word will be replaced with trade data obtained from the database as shown below Instrument ES Junlo 2010 06 03 12 15 14
10. PM 107500 1 2010 05 03 12 15 38 PM 107500 1 Ka 2010 05 03 12 15 38 PM 107500 2 2010 06 03 12 15 42 PM 107500 1 2010 06 03 12 15 42 PM 107500 1 2010 05 03 12 15 54 PM 107500 2 2010 05 03 12 15 54 PM 107500 3 2010 05 03 12 15 54 PM 107500 2 2010 05 03 12 15 54 PM 107500 1 2010 05 03 12 15 54 PM 107500 2 2010 05 03 12 15 56 PM 107500 1 P O A nensngn Sn Console 7 4 Using a Chart Display To add a chart display to the simulation drag and link a Viewers Chart block on to the diagram and link the Trade output of the instrument to the input of the chart block You can remove the other two viewers if you like or leave them on the diagram as you please Right click the title bar of a block to remove it from the diagram After you have the links in place be sure to check the Update Controls toolbar option to disable it unless you want to see how it slows things down Run the simulation Here is what my chart looked like 20 Instrument 107520 00 107510 00 107500 00 107490 00 107480 00 12 36 12 40 12 42 010 Jun 03 12 32 12 38 You can set chart properties by clicking on the chart block and setting properties in the chart window By default the chart uses a value of 30 for the event window size meaning the chart will show the most recent 30 events If you want more data to show increase the value to 3000 or so w
11. VisualQuant Getting Started Guide Version 1 0 3827 2010 07 10 Kevin Jameson ymarQuant where science meets finance 1 NYT OCU CUO Ve CNET 4 1 1 Gods OFTHIS Eeer 4 NISSEN eeh 4 2 4 The Current Generation of Trading Platform Architecture ccccccccccccceeeeeessseeseesseseeeeeeeeees 4 22 The Mam PLO DIGIMS e EE 4 2 3 VisualQuant The Next Generation Platform Architecture cccccccccccccceeecccesecseeecseessseeeees 5 2 4 K EN Ee 5 2 5 Key Architectural Features and Advantages enne nnne 6 2 WUC ional Ele XIDIHL oec ictor uoe oo feront s botes tac ecu neu dates tubes tu puc cuta dlos eaaet 6 2 3 2 AOC TOT al Ee e 6 25 9 Dataand Byent Flow tere 6 2 4 More specife Trading Arehitec res iie oe o d vba lepore alae eee 6 2 5 9 Ancteased Biliciency EE 6 25 0 SIMPE RE att EEN 6 Touring the IDE Vu e le 6 3 Working With Dockable Window Panes neren 7 ZEE The Soliton Explorer Window Et e e R 8 S12 The Block Explorer Window Een 8 S3 TheProperdes Widow Pane corason a iso dienes mede fatte head yeas cdonewaienes 9 oJ TNS COUT GE Window Pae ndash esuada dieta pestes total adeptes ranas 10 3 2 Working Wilh the Center Window E Eegenen 10 2024 Ee 10 23 22 Ihestrateoy Diasram DD E 11 3 3 Understandinz the IDE TO OUD AUS 2 mede eie Etha na inia ER ao ume Eod itae Eesiaten toit 11 GK EK e E 1 S52 The Excctiom eege DOR CREE Ze ie medias 12 Working with Existing Strategy Projects
12. ar off a window click and drag the title bar Pay attention there is a difference between using the TITLE BAR of a window and using the TAB of a window when there are multiple tabs in one pane If you drag and drop a TITLE BAR you will see a PARTIAL set of drop indicators that will let you select the WINDOW PANE to hold the window when you drop it The dropped window will occupy the whole window pane and will show up as a TAB inside of the window pane But if you drag and drop a TAB then you will see a FULL set of drop indicators that will let you drop the tab in the upper lower left right sections OF THE SAME WINDOW PANE You will have to practice to see the different kinds of drop indicators and their effects To re dock a window tear it off and drop it that 1s drop your mouse arrow on one of the 8 re docking indicators that appear The four outside docking indicators located near the top bottom left and right sides of the main window will cause the tear off window to occupy the whole edge of the IDE The four inside docking indicators will cause the tear off window to share the associated section of the center IDE window e g dropping the tear off window on the top inside indicator will split the center pane with a horizontal line and will show the tear off window 1n the top half of the center pane In all cases the new area to be occupied is indicated by a light blue shadow To float a window tear it off and dr
13. are far less data intensive should be ok using System using SuartQuant Blocks Name Console public class Console Block Parameterinput Prerix 3 Public string Prerrxs LLU public void OnInput EventInfo eventInfo object data System Console WriteLine Prefix data The Viewers Console is a binary block that implements a separate GUI window object that can be dragged and docked in the normal ways We will use the Viewers Console block for this example because the Output Console block is WAY too slow for our purposes 7 3 1 Using the Output Console Block Drag the Output Console block on to the diagram Link the two blocks by right clicking the Trade output of the Instrument block and drag the link to the Input of the Console block Here is what your diagram should look like Instrument The output from this strategy will appear in the IDE Output window at the bottom of the screen Be sure that you have the output window on display using menu View Output Be sure that the trading mode on the toolbar is in Simulation mode Be sure that the Update Console option on the toolbar is disabled no square box around it Now run the simulation to see the ES trade data in the IDE output window Here is what my output window looked like at the end of the simulation 18 Output l e 2010 06 03 12 42 53 PM 107500 24 2010 06 03 12 42 53 PM 107500 1 2010 06 03 12 4
14. face for assembling strategies from building blocks This way non programmers can learn to create and experiment with strategies without having to understand C programming Complete and functional strategies can be created simply by dragging and interconnecting a suitable suit of building blocks on to the development canvas 2 4 VisualQuant Event Model All blocks within VisualQuant communicate through events When users link two blocks on the canvas VisualQuant passes an event emitted by the sending block to the receiving block For example a sender block might emit bid ask quotes and a receiver block might be a quote filter that filtered the input stream to remove bad quotes with zero prices Or a receiver block might calculate an algorithmic indicator from the quote stream or might display the stream of quote events on a chart window Users can visually create complex trading applications from blocks that can be deployed in a co located fashion on servers at the brokers or can be deployed on trader desktops In principle any trading application that can be defined by event flows can be implemented with VisualQuant For example using the new VisualQuant block model it is possible to implement a similar version of the second generation fixed architecture OpenQuant trading engine model 2 Key Architectural Features and Advantages Here are some key features and advantage of the new VisualQuant model as compared to the previous generation
15. generate bars sent both Trade and Bar event flows to a chart and sent the Bar event flow to an Output Console block as well When the simulation is run the chart will display both 22 trade and bar data and the output window will show the OHLCV open high low close volume of each minute bar The simulation takes about 20 or 30 seconds to run on my machine Be sure to DISABLE the Update Controls icon on the toolbar unless you want to see the chart update in real time Instrument CSCO Time Bar 1 Dec 04 15 35 1545 15 50 15 55 1600 1605 16 10 1615 16 20 7 7 Filtering Incoming Trade Data One of the many problems to solve in automated trading systems is defending your algorithm from bad incoming trade and quote data Sometimes you can receive a bad trade or quote value that 1s way off of the current market price Your algorithm might treat the bad value as a real value and change your position or order flow to your disadvantage This example shows you can insert a simple data filter block in the incoming trade flow to filter out bad values or values that you don t like Normally you would filter to exclude trades with prices and volumes that are not positive values But for this example well filter out CSCO trades whose price value is less than 20 55 This will clip the trade chart in the previous example at 20 55 so that no trades above 20 55 will show on the chart Here s how we will define a custom filter for our pro
16. hich is recommended by the developers Properties e UN JE A az zy El Cl Parameters Event Window Size 20 7 5 Editing MetaData Properties for Chart Links You can feed multiple event streams into a chart block such as chart data for two instruments or for an instrument and multiple technical indicators You can tell the chart block what color and position to use for each of the input streams by changing the metadata associated with each link input stream To specify these properties right click an incoming link to the chart block and choose Edit MetaData from the popup menu 21 Instrument ES Jup LU Edit Metadata y 107520 00 Remove Link 107510 00 Show All 107500 00 Arrange 107490 00 Console 107480 00 010 Jun O3 12 32 12 36 12 38 12 40 12 42 When the metadata dialog appears you can change the properties associated with the input stream Chart Instrument ES Jun10 Metadata Editor Metadata Pad Number Console Mone 7 6 Generating Bars from Trade Data To generate bars from trade data connect the Trade output of the instrument block to the Tick input of the MarketData Tick block You can adjust the size of the time bars to a different value if you like or just use the default of 60 seconds 1 minute bars In the diagram below I have changed instruments to CSCO to get more data than the ES instrument added a Time Bar block to
17. ject Right click on the Block Explorer Market Data folder to define a new filter block Choose Market Data as the destination folder Do not check Composite Block or Strategy Block checkboxes Double click it to open up the code editor 23 Insert our filter code Splice the filter into the Trade output link from the instrument block Run the project to see the new chart clipped above 20 55 Be sure to DISABLE the Update Controls icon on the toolbar as usual Here is the dialog I filled out Mame NoBadTrades Descnption Filters unwanted trades Location Market Data Composite E Is Strategy m Here is the skeleton code generated by VisualQuant using System using SmartQuant Blocks using SmartQuant Framework Name NoBadTrades public class NoBadTrades Block Output Output public event OutputEventHandler Output public NoBadTrades j LE lnpur public void OnInput EventInfo eventInfo object data d j j When this block appears on a diagram see below we want to see BadTrades and GoodTrades on the input and output of the block instead of the default Input and Output labels so we need to change the strings in the code above We ll also add in some code to filter out the unwanted trades Here is what the code looks like after these modifications using System using SmartQuant Blocks using SmartQuant Framework Name NoBadTrades public class NoBadTrades Block
18. king opens their block diagram Here is an example of a dark blue composite block and its associated block diagram 14 TradeStat stics Number 9 ongTransactions Number fShortTransactions OtyBought P a QtySold NetPosition 6 2 User DLLs Dynamic Link Libraries VisualQuant is implemented using the NET framework so VisualQuant code blocks can reference and use any valid NET assembly to perform simulation functions For example user code can call external third party DLL assemblies and users can create and use their own DLL assemblies 7 Creating Your First Strategy This section explains how to create and execute several simple block diagram strategies 7 1 Creating a New Solution To create a new solution use the menu sequence File New Solution to get the new solution dialog shown below The new solution files will be stored in the normal Application Data space for your operating system The dialog below shows part of the pathname for Windows7 15 Mew Solution Name Testl Location C Users jameson Documents VisualQuantis Pa Cancel The new solution will appear in the Solution Explorer and in the Recent Solutions list The solution is still empty so you will have to add one or more new or existing projects to it before it can be run 7 2 Creating a New Project To create a new project use one of two methods The first method is the menu sequence File New Project The second meth
19. mming and backtesting trading strategies QuantDeveloper for collecting and managing large quantities of trade and quote data for teams of programmers DataCenter and for executing trading strategies in real time in a black box fashion CATS Computerized Automated Trading System OpenQuant is a simplified much less expensive retail product for individual traders and small hedge funds It only contains one main program which is a single IDE that can perform all the functions of collecting data and programming backtesting and executing strategies This product uses a more modern GUI library for a more modern look and feel 2 2 The Main Problems to Solve Even though the current generation products were very powerful and could harness all the power provided by the underlying C and NEI programming platforms they still had some significant limitations The first main problem and probably the biggest limitation to be solved was that both previous products defined a hard coded underlying trading engine architecture that managed flows of market data orders and executions The architecture was very useful because it allowed users to concentrate on their strategy code only and provided a powerful API to the functions of the trading engine This was a great time saver because traders were not required to code their own implementations for data and order flows as they were required to do before QD was first created 10 years ago But as
20. ns the extra indicator calculations the extra portfolio calculations etc In contrast VisualQuant enables users to implement the minimal and optimal functionality that is required by a strategy so that no extra work is performed and no extra CPU cycles are wasted As a consequence backtests can run faster and more efficiently in time CPU and space memory 2 5 6 Simpler User Interface Previous products required all strategies to be created using C programming methods In contrast VisualQuant allows non traders to create and run strategies using drag drop and connect methods 3 Touring the IDE Interface This section is an overview of the visual interface of the program 3 1 Working With Dockable Window Panes This section summarizes the functions of the various window panes in the IDE All window panes are tear off and dockable which means that you can tear off and relocate the window panes to suit your preferences in visual display structure Any window that can be torn off can also be floated over top of the IDE simply by not re docking the window pane Here is a list of things you can do with dockable window panes To auto hide a dockable window click the pin icon to unpin the window The window will slide into the edge of the IDE and will leave a tab showing To show a window temporarily move your mouse over the tab to pop out the window To show a window permanently click the pin icon to pin the window To te
21. o our examples will take much less time to run Drag the ES instrument from the Instrument Explorer on to the canvas This gives us the instrument source but we still need a block to display the data somehow There are several ways to display the data First from the Block window see the different kinds of viewers in the Viewers category In the picture below notice that there are two blocks named Console Lj local L Execution Ll Indicators L3 Market Data L3 Market Data Providers 4 y Output B Console L3 Portfolio Ll Statistics Lj Strategies L3 Trading 4 y Viewers C Chart 4 Console 4i 3 MultiTable X Order Manager Zi Portfolio Viewer 4 Table B Delay InstrumentSplitter B Semaphore The Output Console is a code block that prints incoming event information to the IDE console output window using System Console WriteLine You get to provide a prefix string to mark each line of output that is written to the output window Double click the Output Console block in the Block Explorer to see the code that implements this block WARNING This is way too slow except for very small data sets We can use it for ES because ES only has a tiny amount of data 17 Whenever you use this block BE SURE to NOT send large streams of data such as trades or quotes to this block It will be overwhelmed with data and will appear to hang the simulation Sending orders or bars which
22. od is to right click the solution node in the Solution Explorer to get the popup menus for adding either new or existing projects to the selected solution node X Solution Explorer s H x Add B B Test P New Project E Existing Project K 9 Properties L M As with solutions project data is stored in the normal Application Data space for your operating system The example pathname below is for a Windows7 system Name Test Project Location C Users jameson Documents VisualQuanty mm Cancel Once you have added a new project a blank block diagram canvas tab will open up in the center window pane ready for you to drag blocks on to it If you have added an existing project to the solution you might have to double click the project in order to open up its block diagram Now you are ready to start dragging and linking blocks on to the diagram to create an executable strategy 16 In the examples that follow we will start with simple strategies that merely display data and then work up to more complex examples that capture live data and run strategy logic to buy and sell instruments 7 3 Displaying Historical Data Our first example will display the historical ES Jun10 ES Emini S amp P500 Futures data that ships with the VisualQuant distribution to show how to access historical data from the database We will use the ES instrument because it has the least historical data in the database s
23. oject Runner window will open up so you can run the standalone solution The Runner will show all the user visible chart and table controls that were defined by the block diagrams Here is where you will see charts with trading signals performance statistics and so on Console Generate Application Icon If you want to see the charts update in real time as the simulation runs click the Update UI icon it is a Pin icon on the toolbar Updating the UI during simulations REALLY slows down the simulations so it is not something that you want to do normally But for these examples turn on the updates 28
24. op it anywhere on a docking indicator To return a floating window to its previous docked location double click its title bar You will probably have to practice for a while before you understand the meaning of all the various drop indicators and what the final result will look like 3 1 1 The Solution Explorer Window Pane The solution Explorer window pane shows the currently active solution Each solution can contain one or more strategy projects At execution time each strategy project is run within its own separate computational thread The screenshot below shows one strategy solution that contains six strategy projects Each strategy project will open up into its own top level diagram within the center window pane Each strategy project can be enabled or disabled so you can run only the projects that interest you at run time Each strategy project has one top level Diagram that specifies the event flow within the strategy Solution Explorer Ix 4 L I Demo Project 4 49 Advanced SMA Crossover a4 Diagram n Bollinger Bands Strategy 19 My Front End EI Order Blotter Order Blotter with Automation P B SMA Crossover w Enabled Ka Remove A Properties 4 3 1 2 The Block Explorer Window Pane The block Explorer window pane shows a hierarchical organization of all blocks that are known to the program The screenshot below shows the various categories that are shipped with the product 4 T local 4 K Execution E Bu
25. s should update as the simulation runs 5 Working with Blocks on Diagrams When you first open a new strategy project the top level block diagram for that strategy will appear in the center window In the diagram below a simple moving average crossover strategy is shown 12 33 Thread i 33 SMA Crossover Start Page Instrument Instrument CSCO CSC Bic E Sek tevez Execution Execution Simulator Simulator Runs Commands to Produce Transactions Zoom Time Bar Control en Time Bar 1Minute w n G tor m enera Moving Average Indicator Calculator 15 30 15 45 16 00 15 15 15 00 101 Dec 04 14 30 5 1 Zooming and Sliding the Diagram To zoom the diagram in or out either use the zoom control on the top left corner of the diagram or simply use the mouse wheel The mouse wheel method is far more convenient To slide the diagram after zooming it right click the diagram and drag it to your new location 5 2 Clicking and Dragging Blocks To select and move a single block click and drag it by the title bar To select multiple blocks click and drag somewhere on the diagram so the selection marquee covers the blocks that you are interested in As each block is selected an outline is drawn around the block To add or subtract single blocks from an existing collection of selected blocks hold down the control key and click the single block of interest It will be
26. t has no data import capabilities The only way to get data into the application is by capturing live data shown in an example later in this document 8 3 Diagram for Capturing Data To capture live data into an instrument connect the Trade Bid and Ask outputs of an instrument block to the inputs of the Market Data Providers Historical Database block not available in this version of the product 21 9 Creating a Simple Moving Average Strategy 9 1 Moving Average Indicators 9 2 Trading Actions 9 3 Displaying Results 9 4 Viewing Results in the Center Tab 10 Advanced Features 10 1 Generating a Strategy Application VisualQuant has the ability to generate a complete standalone strategy application that you can bundle up and run on one or more different computers For example you might want to generate a standalone application to run on a server computer that is not used for development and where VisualQuant is not installed In another scenario you might want to distribute various blocks of the strategy on to different front end and server computers To generate a standalone application you must tell VisualQuant to generate compile a new executable application from the diagrams Click on the Generate Application icon on the toolbar to generate a new executable for the solution PIONEER ooo File View Tools Help t a F gt A eg Simulation d Start Page je 1 I 1 When generation is complete a new Pr
27. with most models that evolve over time the fixed architecture model became too restrictive as users developed more complex trading strategies For some strategies users wanted more functionality than the framework could provide For example the framework would not let users insert trade or quote filters between the market data source and the trading engine perhaps to clean up or augment incoming trades and quotes Users could only access the engine through the top level API and could not add their own code between the internal parts of the engine Of course they could not extend the functions of the engine either As a second example users could not directly access order and execution data flows to create their own reports or real time analysis modules 2 3 VisualQuant The Next Generation Platform Architecture VisualQuant is based on the next generation of trading platform architecture The first major goal of VisualQuant is to provide a new development model that enables users to assemble their own underlying framework using predefined or user provided building blocks This way users can have full access to all functional blocks within the underlying trading engine and can extend the constructed engine as they please with their own building blocks to support whatever advanced filters strategies and reports that they can imagine A second major goal of VisualQuant is to provide a more convenient drag drop and connect visual user inter
28. y EI BuyOrder CJ Execution Simulator CJ Order EI Sell SellOrder l Indicators Market Data l Market Data Providers Output 4 K Portfolio DN Account B HasPosition E Portfolio Position DN PositionValue DN Transaction l Statistics 4 y Strategies 8 AutoStopLimit B Bollinger Bands Strategy B OOStrategy RandomBuySell Trading b Viewers Bi Delay B Semaphore Ka IK 4 n 3 1 3 The Properties Window Pane The properties window pane shows the properties of the selected block The screenshot below shows the property for the Simple Moving Average block which currently has a length of 14 simple Moving Average Lenath 3 1 4 The Output Window Pane Your strategy code can print text to the output window pane which is shown below The screenshot below contains no output because none was printed Output 3 2 Working With the Center Window Pane The center window pane is a tab control that contains multiple tabs of various kinds 3 2 1 The Start Page Tab The first tab in the center pane is usually the start pane If you want to NOT show the start pane when you start the program you can turn the start pane off in the program options Start Page VisualOuant Recent Solutions News 4B Demo Project 4B MD Trader 8 OpenQuant RECENT Solutions These links way down here are for NEW and EXISTING solutions 10 3 2 2 The Strategy Diagram Tab Each strategy diagram
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