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branch: master

Apr 11, 2013

  1. fhxalgo

    Create test.pl

    authored

Aug 03, 2012

  1. fix bug in gen_exit_order

    gfeng authored

Jul 31, 2012

  1. roll back gen_exit_order change

    gfeng22 authored

Jul 27, 2012

  1. use summary(sw_score_list)[?]) as exit condition

    gfeng authored

Jul 26, 2012

  1. fix open position after close bug

    change exit condition
    gfeng authored
  2. fix residual position Qty issue

    gfeng authored

Jul 12, 2012

  1. leihetito

    change shortsell to sell for IB API

    leihetito authored

Jun 19, 2012

  1. add gen_eod_report func

    gfeng authored

Jun 15, 2012

  1. fix:

    Rserve>++++++BEGIN BASIC WINDOW [ 201 ] ++++++++++++++++++++++
    Rserve>processing bwnum:  201
    Rserve> time begin:  2012-06-14 16:09:04.720
    Rserve> time   end:  2012-06-14 16:10:59.720
    Rserve>trading_end:  20120614 16:00:59
    Rserve>done setting up...
    Rserve>done computing index returns...
    Rserve>calling gen_eod_order(), all position are to be cleared...
    Rserve>EOD reached, gen_eod_order.
    Rserve>Error in add_new_order(sector, "buy", default_qty, limit_px,
    bwnum, idx_time[length(idx_time)],  :
    Rserve>  object 'default_qty' not found
    org.rosuda.REngine.REngineException: eval failed, request status: error
    code: 127
            at
    org.rosuda.REngine.Rserve.RConnection.parseAndEval(RConnection.java:454)
            at org.rosuda.REngine.REngine.parseAndEval(REngine.java:108)
            at
    com.fhx.statstream.StatStreamRealtimeService.tick(StatStreamRealtimeService.java:54)
            at
    com.fhx.strategy.java.TickDataContainer.flushBasicWindow(TickDataContainer.java:80)
            at
    com.fhx.strategy.java.TickDataContainer.addATick(TickDataContainer.java:112)
            at
    com.fhx.strategy.java.MarketDataHandler.run(MarketDataHandler.java:110)
            at
    com.fhx.strategy.java.MarketDataIB$1.run(MarketDataIB.java:103)
            at
    java.util.concurrent.Executors$RunnableAdapter.call(Executors.java:441)
            at
    java.util.concurrent.FutureTask$Sync.innerRun(FutureTask.java:303)
            at java.util.concurrent.FutureTask.run(FutureTask.java:138)
            at
    java.util.concurrent.ThreadPoolExecutor$Worker.runTask(ThreadPoolExecutor.java:886)
            at
    java.util.concurrent.ThreadPoolExecutor$Worker.run(ThreadPoolExecutor.java:908)
            at java.lang.Thread.run(Thread.java:662)
    gfeng authored

Jun 13, 2012

  1. add numeric check for kelly size

    gfeng authored

Jun 07, 2012

  1. update to use QQQ

    update back test script to use kelly formula
    gfeng authored

Jun 05, 2012

  1. leihe

    change to use NDX index

    leihe authored

Jun 04, 2012

  1. leihe

    dummy commit

    leihe authored

May 23, 2012

  1. fhxalgo

    add Kelly's allocation formula for trade size

    authored

May 17, 2012

  1. fhxalgo

    add test order function

    authored

May 15, 2012

  1. fhxalgo

    Merge remote-tracking branch 'origin/master'

    authored
  2. fhxalgo

    return orderlist as data frame instead of list

    authored
  3. update: return basic window order to Java

    gfeng authored

May 11, 2012

  1. return current basic window order back to Java

    gfeng authored
  2. add ret_order from process_bw_data() call

    gfeng authored
  3. merge backtest and real-time process_bw_data code into same function

    add gen_eod_order.
    gfeng authored

May 09, 2012

  1. fix .csv file extension

    gfeng authored
  2. bug fix.

    gfeng authored
  3. Merge branch 'master' of git@github.com:fhxalgo/fhx_model.git

    Conflicts:
    	tickcount_func.r
    gfeng authored

May 08, 2012

  1. add order entry/exit lines to the plot

    gfeng authored

May 04, 2012

  1. fhxalgo

    make bwnum a global var

    authored
  2. fhxalgo

    remove first 2 cols of the basic window(timestamp)

    authored

May 01, 2012

  1. add rownames to bwdat data frame

    save each bw tick to file
    gfeng authored
  2. fhxalgo

    Merge remote-tracking branch 'origin/master'

    authored
  3. fhxalgo

    check just basic window return to confirm buy/sell signals

    authored
  4. create tickcount_main.r that contains all init global R variables only

    gfeng authored
  5. add pnl report

    gfeng authored

Apr 29, 2012

  1. add order entry/exit functions

    gfeng authored

Apr 24, 2012

  1. add plots to tick_count model

    gfeng authored

Apr 16, 2012

  1. initial version for tickcount model.

    gfeng authored
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