bt for low-frequency / trend following trading
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Does BT fit to low freq trading (for instance make 2 orders per day after exchange opens and before closing according to predictions, therefore I don't need any streaming price info) ? And if it does, should I create custom broker/store classes to connect with trade API (Alpaca for example)?
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@artur-space said in bt for low-frequency / trend following trading:
therefore I don't need any streaming price info) ?
If you are going to do something before the exchange closes, it's because your strategy has calculated something based on the price evolution during the day. It's very difficult to conceive how this can be done without having the price evolution during the day.
@artur-space said in bt for low-frequency / trend following trading:
Does BT fit to low freq trading (for instance make 2 orders per day after exchange opens and before closing according to predictions
The term "HFT" (which is really a misnomer) has nothing to do with categorizing what you do as low frequency trading. With backtrader and any other platform you can execute 2, 20, 200 and 2000 trades if you wish.
@artur-space said in bt for low-frequency / trend following trading:
And if it does, should I create custom broker/store classes to connect with trade API (Alpaca for example)?
You obviously need to read the prices before the market opens and before it closes (even if you think that's not streaming). Alpaca has a broker for backtrader. You probably need to run it twice a day, but it still remains to be seen how you think you can do something pre-market close without having the intraday prices.
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@backtrader said in bt for low-frequency / trend following trading:
You obviously need to read the prices before the market opens and before it closes (even if you think that's not streaming). Alpaca has a broker for backtrader. You probably need to run it twice a day, but it still remains to be seen how you think you can do something pre-market close without having the intraday prices.
Thanks for the answer! I understand your points and they are reasonable. But I've tried this API and they provide access to intraday prices ONLY if you have live trading account. And it doesn't fit my possibilities, I wanted to try just paper-api. That's why I am searching for other approaches / APIs. Could you suggest any ?
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You don't have any other approach if you want to operate before the close. You need to have the price updated before you operate.
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@backtrader said in bt for low-frequency / trend following trading:
You don't have any other approach if you want to operate before the close. You need to have the price updated before you operate.
Ok, and how can I get it? Alpaca live account isn't allowed for me. What API with paper-trading abilities should I use ?
