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September 16, 2005
QuantDeveloper 1.0 build 80 is released
- Float to double conversion issue is resolved. We have decided to keep private float fields in Trade, Quote, MarketDepth, Bar, Daily classes but convert them to double properties. Float to Double conversion takes less time than Double to Double conversion, so that we do not observe any performance degardation, rather perfromance improvement (both memory allocation and processing speed).
- Enhanced limit/stop order execution simulation with intraday / daily bars. A limit/stop order is now checked against bar open price first and if limit/stop condition is fullfilled, the order is filled with bar open price; if not, the order price is checked against bar high/low and filled with order price; otherwise checked against bar close and filled with bar close price.
- Added LongEntry(price), Buy(price), Sell(price), and other corresponding methods in the strategy components. These methods force execution simulator to fill market orders with specified price. This possibility was requested by several QD users who want to have full control over fill price. Note that you should use these methods very carefully, since you can not dictate fill price to your broker in real life.
- Fixed simulations with daily data issue. If daily session (daily bar size) is set to 24h by default, then daily bar is emitted at 00:01 of the next day, which leads to one day shift in the strategy performance reports. Now daily end time is set to 23:59.
- Fixes in TT FIX adapter and IB interfaces
- DC, the Data Ceneter history provider is added to the list of providers. There will be a separate announcement about our new product, SmartQuant Data Center, on this blog.
Posted by admin at September 16, 2005 11:35 PM