Data synch while running a strategy
Author: stolmax
Creation Date: 8/13/2009 10:52 AM
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stolmax

#1
I am writing a strategy that requires me to work with data at different scale/interval settings. Is there a way to force data to resync while running a strategy? For example:

1. I am starting with data in Daily scale
2. Then after doing some manipulation, I need to get data an a minute scale with interval set to 30 min for the same security.

What should I do to re-sync my data at run-time? Also, is it possible to define a strategy that is not tied up to any security? I want to run a stragety on several securities at once. Thanks in advance.
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Eugene

#2
QUOTE:
Then after doing some manipulation, I need to get data an a minute scale with interval set to 30 min for the same security.

Typically, you would do the same thing in a different way i.e. set your basis time frame to 30 min, get the data, set scale to Daily and do some more data processing. This is how the WealthScript Guide instructs - please see "Multi-Time Frame Analysis" for information and code samples. Nonetheless, in Version 5 accessing lower timeframes becomes possible: here and here.

QUOTE:
Also, is it possible to define a strategy that is not tied up to any security? I want to run a stragety on several securities at once.

Wealth-Lab strategies are not tied up to a security. If you can illustrate what stands behind this running on several securities at once e.g. pair trading or accessing external symbol's data, we'll point you in the right direction.
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stolmax

#3
Thanks Eugene. I am considreing pair trading, this is why I was asking a questrion. I want to be able to run multiple instances of this strategy on multiple pairs. Thanks
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stolmax

#4
Eugene, another quick question for you. Can you explain me the concept of ActivePosition and Positions in WLScript? Thanks
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Eugene

#5
QUOTE:
Can you explain me the concept of ActivePosition and Positions in WLScript?

An "active position" or ActivePositions?

Btw, have you seen their QuickRef entries? Another helpful resource is the WealthScript Guide, Programming Trading Strategies > Single-Position Strategies and Multi-Position Strategies.

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stolmax

#6
Thanks Eugene!
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zanek

#7
Awesome, I was just wondering how to do this today ("Multi-Time Frame Analysis")

Thanks guys !
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