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Fair price for ATS

  #46 (permalink)

Elite Member
Trading Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Futures
Posts: 88 since Jun 2009
Thanks: 35 given, 84 received

It never fails to surprise me that so many people take the view that an "ATS can never work", or that they fail over time.

This is so wrong!

TBH I am particularly surprised that Big Mike takes his view about automated systems. He must have been barking up the wrong tree in his endeavours.

I personally know of a commercially available, but not well known, ATS based on NinjaTrader that is consistently profitable, is almost completely "set and forget" as it has very few parameters to tweak and as it trades around the natural tendencies of the market, is not prone to diminishing performance over time.

This is mainly because it does not use any indicators at all, but has a lot of internal logic to make trade decisions. BTW I am not saying anything more about what the system is or where to get it.

I am working on my own ATS and am close to finishing it. It has taken me months of work - thousands of hours, probably - but it seems solid now, though I worry that NT might not be the best platform for it (time will tell).

It is a set and forget system and this is what has been the challenge. The system has to deal with all market conditions without user intervention or parameter tweaking. Implementing this has been extremely challenging - in fact I think this is pretty much the most difficult software project I have undertaken, and I have many years of commercial programming experience with blue chip and Government clients.

Would I sell licences for this ATS, assuming that it actually works under live conditions? Almost certainly not, and if I did, I would charge $1000s per month for the licence as it would actually be worth that.

Having said that, I have two very good friends who are multi millionaires and are very senior and experienced in capital markets and both have expresssed a desire to give some me funds to manage with the ATS. They have great contacts so fund management could be a possibility, assuming that the transition to live goes smoothly. The ATS should work with any liquid future, by the way.

Another friend is the best programmer I've ever come across. He develeoped a HFT system for a major bank that made 500,000 profit a day! He has spent a year developing another HFT system for a fund that is finally live and most importantly, finally profitable.

So automated trading systems are possible, profitable and do work over time, even based on NT. They are far from easy to develop though if you want to avoid curve fitting and guarantee longevity.

To answer the question about an ATS being detrimental to the love of trading from my point of view:

I personally do not love trading, even though I find it quite enjoyable when I manually trade the signals that the ATS uses, to test the veracity of the system.

I have decided that I am not a good discretionary trader, but want to benefit financially from the opportunities in the markets.

This is why I have invested so much time in developing an ATS .I have enjoyed (mostly) the technical challenge and really deeply want the controlled risk/rewards and discipline that the ATS brings. I just don't trust myself to follow my own rules day in and day out and I also don't want to be tied to the screen for hours on end.

In effect, I am using my programming expertise, and interest in trading, to overcome my failings as a discretionary trader, but that is fine by me!


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