Instrument correlation properties allow you to access instrument information during a test.

 

Note:

These do not include zero sized trades.

 

Correlation Property Names:

Description:

closelyCorrelated

String representation of all the closely correlated instruments. Symbols separated by colons.

looselyCorrelated

String representation of all the loosely correlated instruments. Symbols separated by colons.

 

 

closelyCorrelatedLongUnits

number of units long for all loosely correlated instruments

closelyCorrelatedShortUnits

number of units short for all closely correlated instruments

looselyCorrelatedLongUnits

number of units long for all loosely correlated instruments

looselyCorrelatedShortUnits

number of units short for all loosely correlated instruments

 


closelyCorrelatedLongInstruments

number of long closely correlated instruments

closelyCorrelatedShortInstruments

number of short closely correlated instruments

looselyCorrelatedLongInstruments

number of long loosely correlated instruments

looselyCorrelatedShortInstruments

number of short loosely correlated instruments

 


closelyCorrelatedLongQuantity

total quantity long for closely correlated instruments

closelyCorrelatedShortQuantity

total quantity short for closely correlated instruments

looselyCorrelatedLongQuantity

total quantity long for loosely correlated instruments

looselyCorrelatedShortQuantity

total quantity short for loosely correlated instruments

 


closelyCorrelatedLongRisk

total risk for closely correlated long instruments

closelyCorrelatedShortRisk

total risk for closely correlated short instruments

looselyCorrelatedLongRisk

total risk for loosely correlated long instruments

looselyCorrelatedShortRisk

total risk for loosely correlated short instruments

 


closelyCorrelatedLongMargin

total margin for closely correlated long instruments

closelyCorrelatedShortMargin

total margin for closely correlated short instruments

looselyCorrelatedLongMargin

total margin for loosely correlated long instruments

looselyCorrelatedShortMargin

total margin for loosely correlated short instruments

 


closelyCorrelatedLongProfit

total profit for closely correlated long instruments

closelyCorrelatedShortProfit

total profit for closely correlated short instruments

looselyCorrelatedLongProfit

total profit for loosely correlated long instruments

looselyCorrelatedShortProfit

total profit for loosely correlated short instruments

 

Links:

Correlation Functions

See Also:

 

 


Edit Time: 9/25/2017 09:09:58 AM


Topic ID#: 231

 

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