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Futures Contracts Expiry Date Handling in Algorum.
(function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({‘gtm.start’: new Date().getTime(),event:’gtm.js’});var f=d.getElementsByTagName(s)[0], j=d.createElement(s),dl=l!=’dataLayer’?’&l=’+l:”;j.async=true;j.src= ‘https://www.googletagmanager.com/gtm.js?id=’+i+dl;f.parentNode.insertBefore(j,f); })(window,document,’script’,’dataLayer’,’GTM-KWV7336′); When your algo is dealing with Futures, you need to specify the correct futures contract name as the symbol ticker to trade. This introduces challenges in backtesting, as the algo has to have…
Slippage Modelling during Backtesting and Paper Trading in Algorum.
Slippage is the most important factor that effects the profit & loss of your strategy, if your strategy depends on Market orders. When you place a Market order, there are two factors that affect slippage, Time (Latency) and Market Depth.…
Algorum – A Modern Approach to Algo Trading for Quant Developers.
Algorum is an Algo Trading SaaS platform, which allows Quant/Algo Developers to Develop Test, Deploy and Monitor Algo Trading Strategies without managing any Software, Hardware and Data infrastructure. Though Algo Trading is prevalent in India (~50% of the stock trading…
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