OpenQuantGettingStartedGuideChinese.docx

1、OpenQuantGettingStartedGuideChineseOpenQuantGetting Started GuideOpenQuant入门指南Version 3.2.2, 2011-07-31Kevin Jameson凯文 詹姆森翻译：伍侃、张毅1 Introduction引言OpenQuant is an IDE (integrated development environment) application for designing and executing computerized quantitative trading strategies on either hi

2、storical or live market data. OpenQuant is a simpler, more modern, and less expensive version of the original professional QuantDeveloper IDE.OpenQuant是一个利用历史或实时数据进行设计和执行量化交易的IDE（集成开发环境），它比面向专家的QuantDeveloper的更加简单、现代和便宜的产品。In particular, the OpenQuant IDE has a modern look and feel, a better window

3、docking system, better drag and drop capabilities, a simpler programming API, and an easy way of switching between Simulation Trading, Paper Trading, and Live Trading modes.特别的是，这个IDE有一个现代的外观和风格，一个更好的窗口停靠系统，更方便的拖拽功能，更简单的编程API和在模拟、仿真和实盘之间转换的简易方式。Here is a list of other SmartQuant documents that might

4、 be of interest to OpenQuant users. These other documents discuss general trading and strategy development topics. You might want to read the documents in the following order to maximize your learning speed.以下是一些SmartQuant其他文档的列表，你也许会对它们感兴趣。这些文档讨论的主题是交易和策略开发，你可以考虑按下面的顺序阅读这些文档以便于加快学习速度。1.System Archi

5、tecture Manual. This manual introduces SmartQuant system terminology, major system components, and system configurations for solving typical user goals.系统构架手册。这本手册介绍了SmartQuant系统的术语、主要系统组件和典型的为了达到用户目标的系统配置。2.Getting Started Manual. This OpenQuant manual (the one you are reading now) shows you how to

6、 use the OpenQuant IDE to configure and execute a simple strategy on historical data stored in the IDE database. You can choose a financial instrument, run a strategy, and inspect the simulation results.入门指南。该指南（即本手册）描述了如何使用该框架配置、执行一个基于存储在OpenQuant IDE数据库中的历史数据的简单策略。你可以选择一个金融产品，运行策略并且查看模拟结果。3.Strate

7、gy Development Manual. This manual shows you how to design and code user- defined strategies on user-specified financial instruments. The manual begins with an overview of trading system design, then moves on to SmartQuant system concepts, and finally discusses the SmartQuant code for several strate

8、gies in depth.策略开发手册。该手册描述了如何基于用户自定义的金融产品去设计和编写策略。该手册以交易系统设计综述开始，然后描述了SmartQuant系统概念，最后深入讨论了SmartQuant中几个交易策略的代码。1.1 Intended Audience面向的读者This document is an introductory Getting Started document for the OpenQuant IDE, written at a level that is suitable for novice strategy developers. Experienced

9、strategy developers will have no problems at all understanding the information provided here.本文档是介绍OpenQuant IDE的入门文档。适合初学的策略开发人员。有经验的策略开发人员在理解本文的所有内容时不会有任何问题。1.2 Goals of This Document编写目的The main goal of this document is to show you how to use the new OpenQuant IDE to create and run computerized t

10、rading strategies on either historical or live market data, using either simulated or live trade execution modes. In particular, this document discusses the purpose and use of all IDE windows so you can use the IDE productively.本文档的主要目的是说明如何使用新的OpenQuant IDE利用历史或实盘数据来模拟或实盘执行交易策略。此外，本文档讨论了所有IDE窗口的建立目

11、的和使用方法，这样，你就能有效率的使用这个IDE了。This document does not talk about the theory and classification of computerized trading strategies. Nor does describe how to write profitable and efficient trading systems using trend following, gap trading, volatility trading, or arbitrage trading strategies. For that kind

12、 of information, read the SmartQuant Strategy Development Manual.本文档讨论的不是计算机交易策略的理论和分类，更没有描述如何编写有效的趋势跟随、跳空交易、波动率交易或者套利策略。想了解这些内容，请阅读SmartQuant策略开发手册。After reading this document, you should have a good understanding of how the OpenQuant IDE works,and should be able to write and test your own trading

13、strategies right away.阅读这篇文档之后，你能深入了解OpenQuant IDE如何工作，并且能够立刻编写和测试自己的交易策略。2 Installing the License File安装证书文件The license file for the OpenQuant application is named OpenQuant.license. Copy this file into the SmartQuant Framework/bin/ directory, normally located here in a typical default installation

14、 on Windows7:OpenQuant的证书文件被命名为OpenQuant.license。把这个文件复制到SmartQuant的Framework/bin/目录下，一般在Windows 7下默认安装在如下地址：C:Program FilesSmartQuant LtdOpenQuantFrameworkbinOpenQuant.licenseOnce OpenQuant can find the license file, the splash screen will not show a “Demo version”warning.只要OpenQuant能找到这个证书文件，启动画面就

15、不会显示“Demo version”警告了。3 Touring the OpenQuant IDE Interface浏览OpenQuant开发界面This section provides an overview of the main elements of the OpenQuant user interface. The interface is intended to support the activities of这一部分提供了OpenQuant用户界面主要元素的概述。界面能支持如下功能：Financial instrument analysis with technical i

16、ndicators such as moving averages使用技术指标对金融合约分析，如移动平均线Strategy development in C# using the OpenQuant programming API, and使用C#语言，利用OpenQuant API进行策略开发Automatic trading in Simulation, Paper Trading, and Live Trading modes of operation以模拟、仿真和实盘模式进行自动化交易First, here is a screenshot of the entire IDE, show

17、ing menus, dockable toolbars (deliberately spread apart for visual separation), dockable side and bottom windows, and a chart of AMZN shown in the center window pane.首先，这里有一张完整主界面的截图，展示了菜单、停靠工具栏（为了观看刻意展开），停靠侧边栏和底部窗口，还有一个在中心面板的图表窗口正显示股票AMZN。The OpenQuant IDE is modeled after modern software developme

18、nt IDEs such as Visual Studiothe main difference being that OpenQuant is intended for computerized quantitative trading strategy development, whereas Visual Studio is intended for general software development.OpenQuant集成开发环境是以时下流行的软件开发环境为模型，例如Visual Studio主要区别是OpenQuant是面向计算机量化交易策略开发，而VS面向通用软件开发。3.1

19、 Understanding IDE Menus了解IDE菜单This section introduces the IDE menus, one by one. A screenshot of each menu is followed by a brief description of the menu functionality. 这一部分一一介绍了IDE菜单。每个菜单都有一个截图和一段简短的菜单的功能描述。3.1.1 The File Menu文件菜单The File Menu provides the usual menu choices for creating new solut

20、ion containers and strategy projects, opening existing solutions and strategies, and accessing recently used solutions and strategies. A solution container can contain multiple strategy projects. Each strategy within a solution can implement a different algorithm, using different instruments (ticker

21、s) and code blocks.文件菜单提供了通用的菜单选项，如创建一个新的解决方案和策略项目，打开已存的解决方案和策略，访问最近使用的解决方案和策略。一个解决方案容器能包含多个策略项目。每个策略与解决方案结合，使用不同的合约和代码块能实现不同的算法。3.1.2 The Edit Menu编辑菜单The Edit Menu provides the usual cut / copy / paste / undo / redo options for editing C# strategy source code files. (No choices are selectable in t

22、his screenshot because the main window is a candlestick chart of AAPLyou must have some text (code) selected before any of these choices will become active.)编辑菜单提供了通用的剪切/复制/粘贴/撤销/恢复选项，这些选项能编辑C#策略源文件。（在截图中没有选项能选择，这是因为主窗口是一个AAPL股票的蜡烛图当你在使用这些选项之前，你必须有一些文本（代码）能选择。）3.1.3 The View Menu视图菜单The View Menu pr

23、ovides choices for many different window panes and toolbars. Here is a brief description of the various window panes. Many of the window panes listed on the View menu are visible in the entire screenshot shown at the start of this section. 视图菜单提供了许多不同的面板和工具栏。这有个多种面板的简单描述。在视图菜单中罗列了许多面板，可以在本章节开始的完整截图中

24、明显地看出来。All of the docking panes on the left, bottom, and right side of the interface are modern “tear-off” windows panes. By grabbing the pane title bar with your mouse, you can tear off the panes and reposition them at other screen locations inside or outside of the main window boundaries. 左侧、底部、左侧

25、的停靠面板都是现代的可分离面板，通过鼠标拖动窗口标题栏，可以分离面板或者把面板定位在界面的其他位置，主窗口边界内外均可。The list below only gives a short introductory statement about each menu choice on the View menu. A more detailed picture and description of each window pane referenced by the View menu is shown later in this document.以下列表只给出了每个视图菜单按钮的简短介绍。

26、更多的细节图片和每个视图面板的描述会在这篇文档之后的内容中列出。The Instruments window pane (top left) shows financial instruments that are defined for use by the IDE. The Instruments is visible underneath the menu in this screenshot. You must define your favorite instruments here before you can use them in a trading strategy.合约面板

27、（左上）展示了已定义的金融合约。截图中的菜单遮挡了这些合约。你在交易策略中使用你喜欢的合约之前，必须先对这些合约下好定义。The Indicators window pane (bottom left) shows various technical indicators that you can drag and drop onto a chart of an instrument for analyzing instrument behavior. The Indicators tab is inactive in this screenshot. 指标面板（左下）展示了多种技术指标，你能

28、拖拽它们到一个合约的图表上来分析这些合约的行为。指标选项卡在这个截图中非活动状态。The Order Manager grid (center tab) helps you to view, enter, and cancel trading orders that are sent to the Execution provider that is responsible for executing trading orders.报单管理（中央选项卡）帮助你查看、入场和撤销已发送给交易接口的交易指令，负责执行交易指令。The Portfolio grid (center tab) shows

29、 all the trades for all the instruments that were executed as part of your strategy. A separate Portfolio is provided for each trading mode (Simulation, Paper Trading, or Live Mode). The Portfolio grid shows your open positions when you are in live trading mode, profit and loss for those positions,

30、as well as Account values and Account transactions. 投资组合（中央选项卡）显示了作为你策略部分的已执行的所有合约的所有交易。一个分离的投资组合提供了各种交易模式（模拟、仿真或者实盘模式）。当你在实盘交易模式的时候，投资组合选项卡显示你的开仓头寸，这些头寸的盈亏，还有账户权益和交易记录。The Providers window pane (bottom left) shows providers for trade Execution, Historical Market Data, Instrument definitions, and re

31、al time Market Data. The dockable Providers pane shares docking space with the Indicators pane in the bottom left of the screen. 提供商面板（左下）显示了交易执行，历史数据、合约、实时行情提供商。提供商面板与指标面板共享左下停靠空间。The Provider Errors window pane (bottom center) shows error messages that might arise from providers. Typical errors in

32、clude connection failure messages, and data request failures. Check this window for information if you have trouble with providers. 提供商错误面板（中下）显示提供商引发的错误。典型的错误包括连接失败信息，和数据请求失败。如果你的提供商出现问题，请查看这个窗口的信息。The Broker Info window pane (center tab) shows information about your current broker account, when you are paper trading or live trading with a real brokerage account. The center tab is empty if you are doing simulated trading. 账号信息面板（中央）。当你仿真或实盘交易一个实际账号时会显示账户信息。模拟下只显示空白。The Solution Explorer w