Hi Tzuan-Ta
That's a very good question. There's no easy way to do that yet given
the existing scripting setup.
However, we are working on integrating the Esper complex event
processing libraries into the Photon scripting engine which will make
it fairly trivial to do what you want.
We have a few prototypes of this running, and it will make it into the
core product in the next month or so.
Hopefully, I should be able to post a writeup on how to get that
working in the next couple weeks, even before it's released.
On Tue, Sep 30, 2008 at 12:10 AM, Tzuan-Ta Wang <
[hidden email]> wrote:
> Hello,
>
> Has anyone tried implementing a moving average calculation based on
> historical tick level data?
>
> I scoured the photon scripting API but couldn't find anything of the sort.
> Would this be something we'd have to implement from scratch? Like for
> instance, build a global hash to store tick data as they arrive
> (on_market_data_message)?
>
> Any insights are greatly appreciated. thanks!
>
> -TT
>
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--
Toli Kuznets
http://www.marketcetera.com: Open-Source Trading Platform
download.run.trade.
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