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Use iteratee library to generalize jafarLoop #3

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tsani opened this issue Oct 27, 2015 · 0 comments
Open

Use iteratee library to generalize jafarLoop #3

tsani opened this issue Oct 27, 2015 · 0 comments

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@tsani
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tsani commented Oct 27, 2015

The jafarLoop function expects the dataset to be given to it in list form. This won't generalize to livetesting, because when livetesting, the data is not available all at once. By using an iteratee library like conduit or pipes, we can write jafarLoop as a data "sink". Then, livetesting vs backtesting merely boils down to a choice of a data source.

In fact, we can generalize jafarLoop even more. It can be thought of not just as a data sink, but as a pipe in its own right. It transforms incoming data points into trading signals. Then, for testing, we make a sink for trade signals that simply logs them, and for live trading, we make a sink for trade signals that makes the appropriate API calls to perform the trade.

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