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cheat-on-open with live brokers

  • There is a certain strategy that makes decisions with pre-opening prices at time prior to market opening, and place orders at open.

    The backtesting can be done by using cheat-on-open. Now, suppose I have an external live source for such pre-opening prices. To live trade the strategy, the live broker should call next_open() some time before the opening of next bar, but without the opening price data updated (since they are unknown), unlike with bbroker. The difference should be quite clear.

    The difficulty mostly lies in specifying a particular clock time, so that the live broker can call the method prior to market opening by that much of time. I've looked and can't see how this can be implemented easily.

  • administrators

    That's why the name was chosen: cheat. Because you look at the opening price which you shouldn't have access to. It is meant for a study, research, but if you use to validate your strategy, you are cheating yourself.

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