Implemented basic charting in my backtester. For now only D1 works, since I haven't yet reintegrated the old tick -> candle convertor I had. My tick storage keeps in each daily tick file header the OHLC bid/ask info for the day, and I use that.
For fun I made an animated gif with UTC daily candles from all the tick providers I have, except TrueFX which has some missing days and screws up the animation:
http://dl.dropbox.com/u/190212/ff/veloce_daily.gif
Even if everything is implemented in IronPython, scrolling the chart is much smoother than other charting packages at the moment. WPF hardware rendering FTW. Of course, this may change when I'll start drawing more stuff, like indicators or chart objects. By moving some stuff to C++/CLI I think it will be possible to draw even continuous data (MT4 line chart, but much more dense) fast enough, without leaving Python.
I'll do a modular backtester design, just like in audio synths or in CEP engines. I'll be able to do stuff like this:
The language to describe such graphs will be represented in YAML, something like this:
This will be extremely easy to implement, unlike a GUI like drag'n'drop approach.
Who would have thought that my days designing audio software will be so useful for trading...
For fun I made an animated gif with UTC daily candles from all the tick providers I have, except TrueFX which has some missing days and screws up the animation:
http://dl.dropbox.com/u/190212/ff/veloce_daily.gif
Even if everything is implemented in IronPython, scrolling the chart is much smoother than other charting packages at the moment. WPF hardware rendering FTW. Of course, this may change when I'll start drawing more stuff, like indicators or chart objects. By moving some stuff to C++/CLI I think it will be possible to draw even continuous data (MT4 line chart, but much more dense) fast enough, without leaving Python.
I'll do a modular backtester design, just like in audio synths or in CEP engines. I'll be able to do stuff like this:
Inserted Code
main_tick -> broker
main_tick -> main_candle -> main_candle_filler -> main_market_open_filter -> main_candle_collector
main_candle_collector -> trading_system
main_candle_collector -> ema_candle_source -> ema -> ema_collector
ema_collector -> trading_system
main_candle_collector -> main_chart
ema_collector -> main_chart Inserted Code
TickSource:
id: main_tick
broker: Dukascopy
instrument: EUR/USD
start: 2009-01-01
end: None
CandleBuilder:
id: main_candle
period: H4
EmptyFiller:
id: main_candle_filler
MarketOpenFilter:
id: main_market_open_filter
start_day: Sunday
start_time: 22:00:00
end_day: Friday
end_time: 20:00:00
Collector:
id: main_candle_collector
CandleSource:
id: ema_candle_source
select: low
EMA:
id: ema
period: 34
Collector:
id: ema_collector
Broker:
id: broker
slippage: 2
equity: 10000
currency: EUR
TradingSystem:
id: trading_system
active_hours:
- london:
start_time: 08:00:00
end_time: 16:00:00
- ny_close:
start_time: 18:00:00
end_time: 20:00:00
tp: 100
sl: 200
Chart:
id: main_chart
color_theme: NinjaTrader
..... Who would have thought that my days designing audio software will be so useful for trading...
