I finally got around to playing with quantopian tonight, and I have a few questions (apologies, I am sure I could figure out the answers with some time but then they wouldn't be answered in public!):
- can we access our strategy's rolling risk/return profile from within? This would be helpful in implementing the ever-necessary variations of Kelly criterion position sizing.
- how are the minute bars fed into the handle_data function, every minute or every minute that has data? If the latter, what about when observing multiple stocks? Do we detect the blankness with NaN, or 0 volume, or something else?
- has any one already explored building equal-volume frames from the one minute data?
More as I get to them!