Code to rotate through watchlists
Author: deepbuyer
Creation Date: 8/26/2008 5:14 PM
profile picture

deepbuyer

#1
could somebody post an example of code that wraps around a simple intraday script and allows rotation through a given list of watchlists?

Some background on why this code is needed. I am testing an intraday script and it can only be run on a 5-min watchlist of <130 symbols because of memory limit. I would like to run the script on several watchlists and output the trades into a file. Eugene wrote a script that outputs the trades into a file. But I still have to manually change the watchlists to collect the trades from all of them.

To summarize, a general code that could rotate through watchlists for a given script would be very helpful.
profile picture

Eugene

#2
Unfortunately there's no WL4's WatchListSelect equivalent in WL5 so far.
profile picture

Cone

#3
WL4's WatchListSelect wouldn't be useful because it works for one WatchList per script only.

What's required is a Scan tool, which was replaced by the Strategy Monitor in Version 5. Set up your scripts to run in the Strategy Monitor, once for each DataSet. Once Activated they'll run automatically throughout the day, every 5 minutes (for a 5-minute DataSet).
profile picture

Eugene

#4
QUOTE:
WL4's WatchListSelect wouldn't be useful because it works for one WatchList per script only.
Oops, that's right. Actually was thinking of looping through WatchListNames and then processing WatchListSymbols but memory failed on me. ;)
profile picture

deepbuyer

#5
could I use the Strategy Monitor to cycle through watchlists during backtest? I tried adding scripts but when I activate them WL5 asks for account #. I only have the demo version.
profile picture

Cone

#6
For each Strategy that your add to the Monitor (can be the same one several times), you associate a DataSet (or symbol), Sizing, and Data Loading for each one. In this sense, the processing for each Strategy runs in parallel. It's a little different than serially "cycling" through DataSets, but the result is the same.
profile picture

deepbuyer

#7
i have upgraded to WLP5.1 version (Demo) and it still asks me for Account # when I try to active a strategy in Strategy Monitor. Is Strategy Monitor disabled in the Demo?

I am using WL offline, could this be a problem? I just would like to use Strategy Monitor for backtesting, I don't need the live data feed.
profile picture

Cone

#8
It's not disabled per se, but it's required to specify an account. You need to connect to Fidelity at least once for that. (In Developer 5, a "paper" account is provided for this purpose.) It's not a problem offline provided that you've connected once, but you won't find the Strategy Monitor too useful for "backtesting". It's primarily an Alert tool for all Strategies that you want to trade, wrapped into a single window.
profile picture

deepbuyer

#9
got it! thanks!
profile picture

deepbuyer

#10
just to clarify: i could not create a demo account with fidelity using WLP5.1. i tried creating a fake (demo) one, but it won't take it.

so basically, Strategy Monitor can't be used in demo, is this correct? But it can be used in Developer version via paper trading account, is this correct?
profile picture

Cone

#11
Pro is available only to U.S. residents who have a qualifying Fidelity account.
Developer is not available to U.S. or Canadian residents. (You can download, install, and activate the trial, but that's it if you live in the U.S.)

So, your options are limited to Pro or Developer depending on your residence. Later this year, Fidelity is planning to introduce paper accounts for testing.