Live Functional Strategy Quickstart¶

This guide focuses on function-style strategy entry with LiveRunner, covering both paper and broker_live modes.

1. When to use this¶

You prefer on_bar(ctx, bar) style over subclassing Strategy.
You want a fast migration path from function-style backtests to live sessions.
You need direct submit_order(...) in broker_live.

2. Two runtime modes¶

2.1 paper (simulated matching)¶

Start with paper mode to verify callback flow:

Example: 38_live_functional_strategy_demo.py
Typical setup:
trading_mode="paper"
strategy_cls=on_bar
initialize/on_order/on_trade/on_timer/context

2.2 broker_live (real broker order routing)¶

Switch to broker_live after gateway connectivity is verified:

Example: 39_live_broker_submit_order_demo.py
Audit example: 42_live_broker_event_audit_demo.py
Key points:
trading_mode="broker_live"
call ctx.submit_order(...) inside on_bar
pass explicit client_order_id for idempotency tracking
optional on_broker_event for unified event_type/owner_strategy_id/payload persistence

3. Function-style template¶

def initialize(ctx):
    ctx.sent = False

def on_bar(ctx, bar):
    if not ctx.sent and hasattr(ctx, "submit_order"):
        ctx.submit_order(
            symbol=bar.symbol,
            side="Buy",
            quantity=1.0,
            client_order_id="demo-1",
            order_type="Market",
        )
        ctx.sent = True

runner = LiveRunner(
    strategy_cls=on_bar,
    initialize=initialize,
    on_order=on_order,
    on_trade=on_trade,
    on_timer=on_timer,
    context={"strategy_name": "demo"},
    instruments=instruments,
    broker="ctp",
    trading_mode="broker_live",
)
runner.run(duration="30s", show_progress=False)

4. Common troubleshooting¶

submit_order not injected yet
Cause: trader gateway binding is not ready.
Fix: guard with hasattr(ctx, "submit_order") before placing.
duplicate active client_order_id
Cause: reused active client id.
Fix: generate a fresh client_order_id for each new order.
Market data arrives but no trades
Cause: trader gateway not connected, risk rejection, or invalid lot/tick constraints.
Fix: inspect on_order status and rejection reason first.

5. Suggested rollout¶

Step 1: validate callback flow in paper mode.
Step 2: run broker_live with minimum order size.
Step 3: add advanced logic after connectivity is stable.