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trendmanagement / Tmqr-framework-2

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Thinking about the future #3

Open alexveden opened 7 years ago

alexveden commented 7 years ago

Someday we can want to trade another market, maybe something exotic like Russia or China, what do you think, should I include features which will help us to move smoothly to new markets?

Some pains I've felt when I was moving between different markets:

  1. Time zones - main enemy of global trading, different markets have different time zones and DST rules. This is really annoying, but most dangerous side effect, difference in time zones could lead to unpredictable future-reference errors. Only way to handle this, to know the quotes timezone and convert them when we are working with different markets in single strategy.

  2. Symbol name duplication / uniqueness - for example in mid-2000 we had in Russia future contract with root 'ES' (it was RAO EES single stock future), obviously it will conflict with ES (S&P500). So I propose to add exchange name to every symbol request we require, for example it could look like datafeed.get('ES:GLOBEX')

  3. 1-digit year in contract ticker - so unfortunately we have short ticker looks like 'ESU7' for year 2007 and 2017, this is not good when we want to test long periods of time. I propose to convert ticker name to 2-digit year format 'ESU17' or 'ESU07', and undo conversion when we need to execute the trade.

  4. Trading session beginning and end - some futures only liquid in particular range of trading session, out of this range we can see spikes and non-liquid market. Because I need to implement intraday data processing in the future, I need to use clean and liquid qutoes data. Also sometimes trading session hours are shifted by exchange rules changes, I don't know about the US but in the RU it happened many times in the past.

@spickering-git @nikolas-joyce If you have something to add I appreciate this.

nikolas-joyce commented 7 years ago

I have already had requests for the Dalian, Hong Kong and Singepore so I think planning for this eventually is a great idea. I would like to do the RTS and the ruble. I guess we may need a international holiday calendar in the database. As for shifting trading times this has reacently happened in the grains and meats.

alexveden commented 7 years ago
  1. Currency conversion - include multiple currency conversion to allow us to add different markets to single campaign