Pair Trading
Author: vitordantas
Creation Date: 7/22/2010 11:35 AM
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vitordantas

#1
Hi, i´m a newbie here !! And i´m trying to implement a class that might make easier to implement pairs strategies. I created a Pair Class that retrieves all pair from a datafile and create a ratioSerie for each pair. So some questions...

1) Cheking on other thread here, i suspected that i need to create all series before start the Main Trading Loop. Is that the only way ou the best ???

2) Any i may encapsulate on a Class buy and sell orders ?? Cause i want to put some "intelligence" to minimize slippage, for that i would also need the real time bid and ask
where do i access it ?

4) I haven´t wound a broker extension, witch i would need to operate brazilian market, it is possible to do ?? If is do anybody have any example code ??

I´m attching the code below somay help somebody and more than that ideas are welcome.

Thank´s A lot.


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