Quantstrat pair trade

On Sun, 2011-05-08 at 13:46 -0500, G See wrote:

Thank you Brian. That was extremely helpful.  It now runs, and I think
it does what I wanted it to do.

Thank you!  This is a much cleaner example of how you can extend
existing functionality without having to extensively rewrite the
infrastructure!  This version should probably go to algotr8der and to
the list. It's much better than the first attempt.

I will probably make it a little more sophisticated with regard to
order sizing and dividend accounting, but here's what I've got.

May I include this example in the quantstrat demos ?
(credited to you, of course)

Incidentally, I am in the middle of changing function buildSpread (in
FinancialInstrument) to allow for other spreading methods (there is an
unexposed function that does this now), and will eventually add ratio
calculator utility functions too.

Regards,

 - Brian

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock