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Experiences with Collective2

  #35 (permalink)

Market Wizard
Boca Raton
 
Trading Experience: Advanced
Platform: Variety
Broker/Data: Optimus Futures, LLC
Favorite Futures: Futures
 
mattz's Avatar
 
Posts: 2,384 since Sep 2010
Thanks: 2,320 given, 3,459 received

We have decided that the best thing is to execute is in-house in our own brokerage, as we find 2nd party execution a bit cumbersome, at time expansive and does not allow us to see the real picture from a risk management perspective.

Our procedure:

1) All systems are executed in house on a server. Most of the time the developer delivers the code protected.
We sign all non-disclosure agreements.
2) We test the system up to 3 months with forward testing, to see if the hypothetical match the signals. We have learned the hard way that with Range bar you can some incredible results while the reality is far from it.
3) All signals have to run on TradeStation, because after all is said and done we have found it is the best platform to generate the signals from.
4) Execution is done via NinjaTrader/Rithmic or CQG/TradeMaven.
5) All orders are executed as MIT on TS then sent as market orders.

As far as using 2rd party system executions:
Sadly some developers are not on top of their system execution. They can shoot an order that might not hit the server and no execution while a liquidating position might get triggered. It is very frustrating to have developer of this kind because you need to start closing positions manually. While customers assume that orders get executed right, this is not always the case. Technology is not perfect. When we have a system that shoots and no execution is done due to data failure or anything else, we know what is the order is and we can act accordingly and in a timely fashion.

The cost of execution in house is small as compare to the execution of systems with C2 and Strategy Runner. I don’t have to pay expansive routing fees.

Consider:

C2 wants $1.99 per side that is besides broker commissions. They say 1.99 on their site and I assume it's per side.

Strategy Runner wants $0.8 RT, which is very reasonable, and I would choose it over C2 any day. They do have a $75/Month minimum. But, They are very negotiable when it comes to volume.
Also, they do have a good real time platform to watch positions.

Strategy Runner has a number of systems developers that are truly on top of things, and watch their trades and see if execution was done right. I personally reached out to them and discussed execution.

Back to in-house execution…

In-house execution allows us to execute without paying on a per contract basis. Sometimes the developers make a lot more than the broker that way, and that should not be the case. I feel brokers and customers take more risk, not the developers.

Above all, if we have a system with a lot of contracts, we can say enough!
Systems can only carry that many contracts, and if someone cares about the integrity of performance, then at some point they close it. At the very least, they have slight modifications for entry in terms of time so not all contracts are just thrown into the market. Slippage control is the key to performance.

The system execution technology is not perfect, but with the release of MultiCharts and the ability to run easy language and execute it on one machine using a low latency solution could solve lots of headaches for us as well. All will be done on one machine. With all the system execution difficulties, I am still going to execute most of my business in house, because that is the best risk management you can do and so far proven to be the best.
I hope I have brought to light things that would help people make the right decision when it comes to systems selection and execution.

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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