Hi, I've been digging into creating very hybrid models consisting of multiple alpha models, each working on different timeframes and also each having different symbols (Idea is to backtest and launch a whole portfolio in one go).

I got a hang of some things already (see the code attached) but it doesn't seem to be trading futures.Is there a way to have both index for calculations and rolling futures for trading in the framework environment?

Thank you 

P.S. some code is in #, like the insights (I have been debugging). When they are un-#-ed, they still don't send any orders. It's probably because of order handling

 

Author

Vytautas Zukauskas

July 2023