Login
Login

Ticks of type TRADE and Depth

Home 21090308 Forums Applications Trading Strategies (Algo Quant) Ticks of type TRADE and Depth

  • This topic is empty.
Viewing 1 post (of 1 total)
  • Author
    Posts
  • #1927
    jerson
    Member

    Hi,

    I am wondering what would be the correct way to expose trades to Strategies in AlgoQuant framework.

    Per the Tutorial strategies implement DepthHandler, but it doesn’t seem like Depth exposes the TRADE data.
    When receiving Tick Data you receive both Quotes (BID or ASK) which are well modeled by Depth, but you also receive ticks for the trades executed. It seems important to be able to make decisions on those ticks in a Strategy .
    Am I mistaken ? What would be your suggestion to implement those whilst keeping in the “spirit” of AlgoQuant ?

    Thanks a lot.

Viewing 1 post (of 1 total)
  • You must be logged in to reply to this topic.