Dynamic instrument support for strategies

[GoogleCodeExporter]

Add support for Strategies to pick up their list of instruments dynamically
at runtime.  For example, a strategy which trades the top 10 list of gappers.

This may make backtesting the strategy more difficult.

Original issue reported on code.google.com by tyrotra...@gmail.com on 23 May 2007 at 11:19

[GoogleCodeExporter]

Call it the "StrategyInstrumentSource"

Plan to support:

    * Push, not pull.  I.e.: SIS should manually push a list of instruments as soon
as they become available rather than have it polled at startup.

    * Backtesting integration: the strategies have instruments added as usual, but if
there is an SIS present at runtime, then any saved instruments will be ignored.

    * The SIS does not withdraw Instruments after adding; if, for some reason, an
Instrument is no longer viable during the trading day, then the Strategy will 
have to
check for this and take appropriate (in)action.

Original comment by tyrotra...@gmail.com on 26 May 2007 at 4:40

• Added labels: Priority-High
• Removed labels: Priority-Low

[GoogleCodeExporter]

yes, that is good strategy. it is much beter to push list of instrument at 
runtime.
for example, SIS can grap top 20 most active or win/lost instruments, and 
calcuate 
gapper or performance , then provide sell/bug strategy automatically.

Original comment by tonyqiu1...@gmail.com on 26 May 2007 at 5:54