Miscellaneous¶
This section collects various notes for package users and developers as well as caveats related to the trading functionality.
Functionality notes¶
- Order placement time in backtesting: Controlled by
s_pnow
signal. For example, set it to the Open-price of the OHLC-signal to fill orders at the opening of the next OHLC timestep. - Single action per timestep: If e.g. a sell-order is initiated at a timestep
t
, position update (if the corresponding order is complete) is the only action that would take place att+1
. This behavior differs from quantstrat backtesting where a sequence such assell(t), buy(t+1), sell(t+2)
is possible (an example of that in quantstrat can be found if running the full date range ofOHLC_BA.csv
intest/quantstrat/goldencross/quantstrat_goldencross.R
, with 3 sequential transactions around 2012-09-06).
Developer notes¶
Run all tests and re-generate API documentation before each commit to the master
branch.
Run tests (Julia, package root directry e.g. ~/.julia/v0.3/TradingLogic
):
using TradingLogic
include("test/runtests.jl")
Re-generate docstrings (Julia):
using Lexicon, TradingLogic
# verify docstring parsing list
Docile.Cache.getraw(TradingLogic)
# generate Markdown documentation file
save("docs/api.md", TradingLogic)
Generate rst
-file for the documentation system (shell):
pandoc --from=markdown --to=rst --output=docs/source/api.rst docs/api.md
Commit once each of these steps is error-free.