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Traiding with a lot of contracts on the ES
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Traiding with a lot of contracts on the ES

  #1 (permalink)
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Traiding with a lot of contracts on the ES

Hello.
My name is Tal and this is my first post (by the way sorry about my English mistakes). I trade the Emini S&P 500 for a year. I'm a NT/Global Futures-GZT/CQG. I invested a lot of hours (10-15 per day) in learning the graphs and saw good results on strategies I built and traded manually. Now, I finished writing my strategies as automated strategies and checked them on market replay for more than two years back (with data I recorded and downloaded). The results where better then I even expected: 20% monthly profit and more than 91% percent profitable. So, I started running my algorithms on sim account and saw more or less the same results for three consecutive months.
Now, I'm in a little situation because of the trick NT did last March...
I didn't purchase any type of NT liscense because I was trading on the Global Zen Trader manually, now that I want to run my NT strategies live, I can't do it with Global Futures. I want to put some more money in my account and start trading big on my strategies, but I have some concerns...
I understood that my only option trading my automatic strategies on NT is to open an account in NT brokerage but I don't know how good they are since they are new, and they use cqg's continuum (which I didnt even hear about it before).
I talked with brokers from other companies (like optimus) and all of them saying bad things about NT brokers and platform. They say NT brokers cant handle a large amount of contracts and my fills will be bad. They recommended me to transfer my strategies to MultyCharts and TT. They even say that continuum is not as good as CQG.
Even though I know they were trying to say everything to get me as a client, I did get a little confused, so I have some questions and I'll really appreciate your honest help.
first. What would you do if you were me? Would you give NT/continuum a chance? Do you have other suggestions?
second. I dont really know how to work with a large number of orders (100 contracts per trade), I heard that icebergs can be a solution but I dont know exactly how to do it.
Third, all of this backtests seems too good to be true... Am I doing it wrong?
Thanks!

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  #2 (permalink)
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  #3 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
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Continuum is a CQG white label, it's exactly the same thing.
NinjaTrader bought Mirus to create NinjaTrader Brokerage (Mirus had some problems after cancelling Rithmic solutions and using their home made data/order feed which didn't worked well) and Mirus had a very good reputation. Most the Mirus crew still in NT Brokerage so I don't think it can be seen as a "new" brokerage.

PS: if your backtests are too good to be true then something might be wrong . Few months of real time trading, with a simulation account but a real time data feed, will show you the truth.

Success requires no deodorant! (Sun Tzu)
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  #4 (permalink)
Trading Apprentice
israel tel aviv
 
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sam028 View Post
PS: if your backtests are too good to be true then something might be wrong . Few months of real time trading, with a simulation account but a real time data feed, will show you the truth.

Thanks for the reply! I am running the strategies on real time data feed for the last 3 months, on a simulation account. Is this what you mean?

By the way, does anybody know how to work with more contracts? My algorithms were tested on 10 contracts per trade but I know there is a big difference between working with 10 and working with 100 contracts live.

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  #5 (permalink)
Administrator: Retired Backtester
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talka View Post
Thanks for the reply! I am running the strategies on real time data feed for the last 3 months, on a simulation account. Is this what you mean?

By the way, does anybody know how to work with more contracts? My algorithms were tested on 10 contracts per trade but I know there is a big difference between working with 10 and working with 100 contracts live.

The bid/ask size for the ES is usually above 100 contracts during business hours so you may not see a big difference.
But start by making profits with 1, 2, 5, 10 contracts first, then you can start to think about trading 100 cars .

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  #6 (permalink)
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sam028 View Post
Continuum is a CQG white label, it's exactly the same thing.
NinjaTrader bought Mirus to create NinjaTrader Brokerage (Mirus had some problems after cancelling Rithmic solutions and using their home made data/order feed which didn't worked well) and Mirus had a very good reputation. Most the Mirus crew still in NT Brokerage so I don't think it can be seen as a "new" brokerage.

PS: if your backtests are too good to be true then something might be wrong . Few months of real time trading, with a simulation account but a real time data feed, will show you the truth.

Continuum is a new API for CQG, it's not the same as the old CQG API.

It's not a white label - it's a CQG product.

Seems good to be - they just have a few more things to add to it - like symbol search.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #7 (permalink)
Market Wizard
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talka View Post
Hello.
My name is Tal and this is my first post (by the way sorry about my English mistakes). I trade the Emini S&P 500 for a year. I'm a NT/Global Futures-GZT/CQG. I invested a lot of hours (10-15 per day) in learning the graphs and saw good results on strategies I built and traded manually. Now, I finished writing my strategies as automated strategies and checked them on market replay for more than two years back (with data I recorded and downloaded). The results where better then I even expected: 20% monthly profit and more than 91% percent profitable. So, I started running my algorithms on sim account and saw more or less the same results for three consecutive months.
Now, I'm in a little situation because of the trick NT did last March...
I didn't purchase any type of NT liscense because I was trading on the Global Zen Trader manually, now that I want to run my NT strategies live, I can't do it with Global Futures. I want to put some more money in my account and start trading big on my strategies, but I have some concerns...
I understood that my only option trading my automatic strategies on NT is to open an account in NT brokerage but I don't know how good they are since they are new, and they use cqg's continuum (which I didnt even hear about it before).
I talked with brokers from other companies (like optimus) and all of them saying bad things about NT brokers and platform. They say NT brokers cant handle a large amount of contracts and my fills will be bad. They recommended me to transfer my strategies to MultyCharts and TT. They even say that continuum is not as good as CQG.
Even though I know they were trying to say everything to get me as a client, I did get a little confused, so I have some questions and I'll really appreciate your honest help.
first. What would you do if you were me? Would you give NT/continuum a chance? Do you have other suggestions?
second. I dont really know how to work with a large number of orders (100 contracts per trade), I heard that icebergs can be a solution but I dont know exactly how to do it.
Third, all of this backtests seems too good to be true... Am I doing it wrong?
Thanks!

Tal, what I conveyed to you, is that we no longer support Ninja, and why we also choose not support this platform. It's simple, we want to put our efforts into platforms that are not our competitors, so we never face the situation again that our customers are solicited.

I gave you platforms with other options, such as Multicharts, because according to our experience this is potentially a good platform for automation, and our customers who have automated scripts, it ran well. We have other platforms that are capable of automation, but we did not hear good or bad feedback, therefore, I prefer to give practical than theoretical advice.

I have tried to warn you against hypothetical models that are way too good, and the issue of latency from your specific location. This applies to any platform and data feed. Your fills may likely be different in real life, and not all the limit orders may be filled. The TT option came to mind, because it is the cheapest option to save you money on routing.

Lastly, I did end the conversation with understanding that I really appreciate the effort that you placed into this.
I do not want you to experiment, and if you believe in the validity of your method running on your preferred platform, then go for it.

All my advice was sincere with the best intentions to help you across all perspectives.

I wish you well in the implementation of your strategy.

Matt

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

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

Last edited by mattz; April 17th, 2015 at 03:16 PM.
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  #8 (permalink)
Trading Apprentice
israel tel aviv
 
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sam028 View Post
The bid/ask size for the ES is usually above 100 contracts during business hours so you may not see a big difference.
But start by making profits with 1, 2, 5, 10 contracts first, then you can start to think about trading 100 cars .

Just for being clear. I was trading 2-5-10 contracts manually based on the strategies and I did very good. I'm confident about my strategies. I'm planning to go big and I don't know how big it's going to be. It's in my interest to know as much as I can about how to do this, before I jump into this. Does anyone in this forum work with 100+ contracts?


mattz View Post
Tal, what I conveyed to you, is that we no longer support Ninja, and why we also choose not support this platform. It's simple, we want to put our efforts into platforms that are not our competitors, so we never face the situation again that our customers are solicited.

I gave you platforms with other options, such as Multicharts, because according to our experience this is potentially a good platform for automation, and our customers who have automated scripts, it ran well. We have other platforms that are capable of automation, but we did not hear good or bad feedback, therefore, I prefer to give practical than theoretical advice.

I have tried to warn you against hypothetical models that are way too good, and the issue of latency from your specific location. This applies to any platform and data feed. Your fills may likely be different in real life, and not all the limit orders may be filled. The TT option came to mind, because it is the cheapest option to save you money on routing.

Lastly, I did end the conversation with understanding that I really appreciate the effort that you placed into this.
I do not want you to experiment, and if you believe in the validity of your method running on your preferred platform, then go for it.

All my advice was sincere with the best intentions to help you across all perspectives.

I wish you well in the implementation of your strategy.

Matt

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

Matt I'm sorry for bringing your company name up here. Actually you are just a small example and I talked with others too as you allready know.
I must say I have only good things to say so far about optimus and you specific. you can call me anytime on phone so we can discuss other options for me (to get the best fills for my automated strategy). It seems that you are an expert in this field, and I would prefer working with people like you if it's possible.
Thanks!

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  #9 (permalink)
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talka View Post
Would you give NT/continuum a chance? Do you have other suggestions?

TT is by far the best execution platform I have come across (amongst NT, TradeStation, TOS and SC) and the most versatile (in terms of order execution). By this, I dont mean charting etc. Simply that TT outperforms when it comes to the different ways it supports execution of orders.

This may not apply to you since ES is a thick market and getting filled is not that big of an issue.

TT has a simulation engine but when it comes to automated backtesting, it falls behind the others by a lot.


talka View Post
I dont really know how to work with a large number of orders (100 contracts per trade), I heard that icebergs can be a solution but I dont know exactly how to do it.

Icebergs are limit orders submitted to the exchange with an order qualifier that specifies what portion of your order gets submitted (displayed) for execution at a time. I have heard some platforms support synthetic icebergs but I am not sure. TT supports native iceberg orders. I am pretty sure NT, TradeStation and MultiCharts do not. But again, as noted by @sam028, for ES, you may not need this feature.

EDIT: Just another note on Icebergs. I dont think they really make a difference. Whether you enter a position using an iceberg or not, the people/algorithms that are interested in knowing this will know regardless.

For Iceberg order reference: http://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Qualifiers


talka View Post
Third, all of this backtests seems too good to be true... Am I doing it wrong?

For ES, a backtest can come very close to actual execution depending upon how you are assuming your fills. If you are assuming a buy order being filled at the best offer and vice versa for sell then you can almost always replicate that live by using a stop limit order to enter. But I am sure you know that the fills in a backtest are generated by a piece of code that will assume the same market conditions at all times which is not true. The difference between assuming fills using a limit order is that your order may not get filled and assuming fills using a stop order is that you have no idea how much your order will slip.

One of the things that I used to check in the past is the difference between my average profit per trade and commissions. This leaves you with your average profit per trade without any slippage. This has to be greater than 3 ES ticks/contract for a backtest to be valid for me. Otherwise its a breakeven strategy at best. The larger this difference, the more confidence I would have in a backtest. Of course, this is just one of the many things one would want to look for in a backtest.

As noted by @sam028, you would be better off if you started trading cash with a small size and increase it (or not) depending upon how your strategy does in live markets.


Last edited by Hulk; April 17th, 2015 at 04:36 PM.
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  #10 (permalink)
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talka View Post
Just for being clear. I was trading 2-5-10 contracts manually based on the strategies and I did very good. I'm confident about my strategies. I'm planning to go big and I don't know how big it's going to be. It's in my interest to know as much as I can about how to do this, before I jump into this. Does anyone in this forum work with 100+ contracts?

My recommendation is to always start small, and gradually build your positions.
Any tweaking that is necessary, is done on a small size, and from there you build.
As excited as you are, don't let enthusiasm run over practicality and real life scenario.




talka View Post
Matt I'm sorry for bringing your company name up here. Actually you are just a small example and I talked with others too as you allready know.
I must say I have only good things to say so far about optimus and you specific. you can call me anytime on phone so we can discuss other options for me (to get the best fills for my automated strategy). It seems that you are an expert in this field, and I would prefer working with people like you if it's possible.
Thanks!

I appreciate the kind words, and no need to apologize, just wanted to clarify our motivation while respect our competitors and do not think they are "Bad".

I am not an expert, but learned a great deal from excellent customers who have shared with me their knowledge about technology, execution, etc and I consider them to be the experts because they did put their capital behind their theories. I simply share their practical experience, and convey this to new potential customers. All I want is customers avoiding costly mistakes.

I will reach out next week to help you further. Have a good weekend.
Matt

There is a risk of loss in futures trading. Past performance is not indicative of future results.

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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