Is there a way to make an algorithm mashup?
Say I have 3 totally separate and distinct algorithms, but I want to run them all under one algorithm - with each algorithm still thinking for itself and wont trade over each other.
Basically I want to have one algorithm running 3 functions - is it possible with Q?
yes it is possible but not easy, I'm actually working on a version where I can distribute across multiple algo, the main issue bein the algos not stepping on each other toes, meaning you have to record positions/portfolio and fills/order per algos to know where to allocate (it would be really nice if we could put a comment on orders!)
a question that arises from that, do you rebalance between your algos ?
I'll post an example probably by the end of the week once I've cleanup my code!
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