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MultiCharts lag time?
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MultiCharts lag time?

  #21 (permalink)
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@bobbakerr, that's not very funny, but that's interesting to know, for people who don't already knows it: back and forward testing, simulation with a real-time data feed, can be very different from real life results...
The VPS I gave you to test is in Chicago, not in NY, so you could be 15-18ms faster with a server in NY.
But it will change your results (or not a lot): 140 R.T. in 97 minutes, this is not HFT, but it's impossible for an individual trader who pays usual commissions and use this hardware/software/network combo to make money. Losing "only" $1200 is a good result for 140 R.T. !
Individual auto traders can't play the same game as the professionals: they are working with micro-seconds latency, and we are dealing with milli-seconds (X 1000), our commissions are much much bigger, ... For an individual, a good bot will take few trades per hour, sometimes few per session, but not hundreds or thousands, it's impossible to make money with too many trades, the commissions and the slippage will destroy your account very quickly.

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  #22 (permalink)
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sam028 View Post

... back and forward testing, simulation with a real-time data feed, can be very different from real life results...

... it's impossible for an individual trader who pays usual commissions and use this hardware/software/network combo to make money...

... Individual auto traders can't play the same game as the professionals: they are working with micro-seconds latency, and we are dealing with milli-seconds (X 1000), our commissions are much much bigger...


I believe you're entirely right, Sam.

But I still believe in the Magic.

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  #23 (permalink)
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Thanks for your very informative response Bob, really appreciate it, and I already learned quite a lot from it.


bobbakerr View Post
But the slippage got me again. Granted, it was only 1/2 as bad as the first time I tried this on Automatic mode with another datafeed, but it was not good. Most trades were 1 cent to 8 cents worse than what the strategy showed, most of those 4 cents to 5 cents. And that's per side. So each R.T. was clobbered $180 to $200 for just 1 contract.
[Ö]
P.S.: After exiting MultiCharts and re-entering, at 12:40 the Strategy showed a +16,027 Net profit for the day on 273 R.T.'s. And during that 1 1/2 hours that I traded for Real, the Strategy showed +6900 Net profit. And I lost over -$1200 !

Thatís indeed brutal, and very hard to overcome. Personally I find it very disturbing to experience so much slippage Ė I thought that slippage in real-time would be a lot less, especially since you use the Rithmic data feed, MultiCharts and co-location. Did you try the system on other markets or was it designed specifically for CL?

Btw, thanks for the further information of the system performance and the big difference between real-time and backtested. Quite insightful and very important.



bobbakerr View Post
Yes, I used the 2-cent Range bars for the actual trading, with Limit Orders at 2 cents worse than the Close of the preceeding bar, using the Rithmic data feed. But I kept the OEC data feed for the Signals (but I changed them to 2-cent Range bars also). The backtesting results for this showed +79,803 Net for 1 Contract on nearly 2000 R.T.'s for a 64% Success Ratio in only 4 1/2 days. The biggest Drawdown was only -$892. And these results were based on OEC data all the way (both the 2-cent Trading graph using the near-term expiration month and the 2-cent Signal graph, using the next month's out contract. (Rithmic wouldn't let me backtest at all.)

Using 2 forward-testing days using the Rithmic data feed on the 2-cent near-term expiration contract, it made + 33,543 Net on 480 R.T.'s for an 81% Success Ratio and a biggest Drawdown of only -$241 for the 1st day, and the 2nd day showed + 24,125 Net on 395 R.T.'s. That was good enough for me to try it for Real.

The theoretical results are quite impressive, and in real-time trading with your 2 cents Limit Order in effect you already give up a whole bar of a potential move. Is that 2 cent move in the beginning the Ďmake or breakí component of your strategy, or do you think not getting filled and other time consuming activities (like hardware or software) are to blame? (I tried to make a diagram, see attachment, with the time leaks but I don't understand where all those seconds are coming from. I'd love to hear your opinion on this. ).

I also noticed that the volume in CL on 2 cent range bars is somewhat small Ė some bars donít even have 50 contracts traded during RTH. Off course, for two seconds thatís quite a lot, but perhaps the liquidity is not enough if you are retail trader who wants to squeeze in his order between the other traders?



bobbakerr View Post
UNLESS the Computer or MultiCharts couldn't keep up. I noticed a lot of signals weren't acted on when they qualified to be acted on. And there is also the possibility that I may have programmed the thing wrong in my Code. It made sense to me and it worked in the Backtesting mode, but maybe in Real Time, Real Life, I missed something critical.

Wow, thatís not good. Did you uncover the source of these discrepancies? Have you contacted MC support, because those missing trades, especially with an active strategy as yours, are perhaps Ďkillingí the whole strategy.


bobbakerr View Post
I think the biggest 'error' or problem is the fact that I (and most of us) are buying and selling in 'retail' mode. Those who are members of the exchange (or whatever) I think have better access to the prices than we do, no matter what computer or data feed we are using. Sometimes I wouldn't get filled for 5 seconds or more. By then, the price had already had a nice move and I was buying or selling short at the wrong end of that move.

I think Big Mike called it right in one of his posts: "Don't try to scalp Crude Oil." He goes for the Big Runs and that is probably all we can do. Yes, there IS 'Magic' in this game, but we, the little guys, aren't allowed to use it. I really believe that now.

Thanks Bob, very insightful. Thanks. If you had to make an new strategy, letís say on the CL, what time frame would you use?


sam028 View Post
@bobbakerr, that's not very funny, but that's interesting to know, for people who don't already knows it: back and forward testing, simulation with a real-time data feed, can be very different from real life results...
The VPS I gave you to test is in Chicago, not in NY, so you could be 15-18ms faster with a server in NY.
[..]
Individual auto traders can't play the same game as the professionals: they are working with micro-seconds latency, and we are dealing with milli-seconds (X 1000), our commissions are much much bigger, ... For an individual, a good bot will take few trades per hour, sometimes few per session, but not hundreds or thousands, it's impossible to make money with too many trades, the commissions and the slippage will destroy your account very quickly.

Thanks for your interesting comment Sam. Can you perhaps comment on the latency of the VPS that you provided for Bob?

This because Bobs mentions some trades weren't filled for 5 seconds or more, so I'm wondering where all those seconds are going. Iím quite a beginner at this, and Iíve attached a basic theoretical model from a book about high frequency trading to better understand why it takes ďso longĒ to get filled.

If I may assume that the VPS has a latency of 100 ms, and the broker of Bob is DMA, which letís say takes another 100 ms to send the order, and MultiCharts with the Rithmic datafeed takes 2 seconds to process the strategy and submit the order (again, just assuming). Would the other 2.8 seconds than just be the time it takes to fill the order which is at the exchange? Or am I missing a crucial bottleneck with these steps?

I'm very curious what both of you think about this, especially since the (relative) slow fills are breaking this strategy.

Regards,

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MultiCharts lag time?-hftdiagramtheoretical.png  
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  #24 (permalink)
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Latency is probably more like 1ms or 2ms for a Chicago VPS, you can go around the world almost in 100ms.

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  #25 (permalink)
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Jura View Post
...
Thanks for your interesting comment Sam. Can you perhaps comment on the latency of the VPS that you provided for Bob?

This because Bobs mentions some trades weren't filled for 5 seconds or more, so I'm wondering where all those seconds are going. Iím quite a beginner at this, and Iíve attached a basic theoretical model from a book about high frequency trading to better understand why it takes ďso longĒ to get filled.

If I may assume that the VPS has a latency of 100 ms, and the broker of Bob is DMA, which letís say takes another 100 ms to send the order, and MultiCharts with the Rithmic datafeed takes 2 seconds to process the strategy and submit the order (again, just assuming). Would the other 2.8 seconds than just be the time it takes to fill the order which is at the exchange? Or am I missing a crucial bottleneck with these steps?

I'm very curious what both of you think about this, especially since the (relative) slow fills are breaking this strategy.

Regards,

It's hard to find what was the bottleneck, if we have bottleneck here, without all details and logs (signal at xx:xx:xx.xxx, order sent at yy:yy:yy.yyy, received at zz:zz:zz.zzz, blah blah blah). The only think I can say is:
- from the VPS to NY we have 17 ms to 20 ms latency (vs 1 ms to2 ms to CME),
- the cpu load of @bobbakerr was a bit higher than the other VPS on this server (25% of two Xeon cores), but that's not too heavy, and the overall loadof the physical server was low (10% for 8 cores)
- his VPS did not use all the physical memory available (a bit more than 1GB for 1.5GB available)
- the disk i/o and network i/o were also quite low,
so no bottleneck on the VPS side...

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  #26 (permalink)
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bobbakerr View Post
P.S.: After exiting MultiCharts and re-entering, at 12:40 the Strategy showed a +16,027 Net profit for the day on 273 R.T.'s. And during that 1 1/2 hours that I traded for Real, the Strategy showed +6900 Net profit. And I lost over -$1200 !

there is not enough information on yours posts to determine if the -$1200 was because of the strategy produced bad signals, beacuse of slippage (and how many ticks), if because of the platform and execution network(TS is slow regardless of how close you get), or if because of transactional costs... as an example, I am still testing eminishark trader and depending on the type of timeframe or bar I use for signal generation it will loose money because of the commissions... in your case, it might be the same, but hard to tell without clear data that we can look at to direct you better... you would need to provide trade statistics.

As to the actual lost, as long as you are properly capitalized it is not that big of a deal IMO.. so though it was silly to test with real cash immediately, I have done the same so I can understand... I would recommend you look at IBKR given their simm/demo account is actually better than most things out there... you can setup MC/NT/etc to trade against it using any other live feed to generate the live signals that you so desire.

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  #27 (permalink)
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Jura View Post

Quoting bobbakerr
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... After exiting MultiCharts and re-entering, at 12:40 the Strategy showed a +16,027 Net profit for the day on 273 R.T.'s. And during that 1 1/2 hours that I traded for Real, the Strategy showed +6900 Net profit. And I lost over -$1200 !

That’s indeed brutal, and very hard to overcome. Personally I find it very disturbing to experience so much slippage – I thought that slippage in real-time would be a lot less, especially since you use the Rithmic data feed, MultiCharts and co-location. Did you try the system on other markets or was it designed specifically for CL?

No, I have only tried it on CL. Perhaps a less volatile market with more volume would work. I'll give ES a try.


Quoting 
The theoretical results are quite impressive, and in real-time trading with your 2 cents
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).

I think the fact that I am merely a retail trader ('little guy') is what hurt me. I don't have the access or 'power' of the professionals. I need to either try for bigger moves (with bigger losses also) or like I said above, something less volatile and with more volume.


Quoting 
Have you contacted MC support, because those missing trades, especially with an active strategy as yours, are perhaps ‘killing’ the whole strategy?

No. The last time I contacted MC with a question about this, it took two tries to get a response. Then the question was not directly answered. So I'm not going to contact them about this again.


Quoting 
If you had to make an new strategy, let’s say on the CL, what time frame would you use?

I have no idea yet. Maybe around 5 minutes? Or around 12- or 13-cent Range Bars?


Last edited by bobbakerr; June 8th, 2011 at 11:53 AM. Reason: typing mistake
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  #28 (permalink)
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Sysot1t
there is not enough information on yours posts to determine if the -$1200 was because of the strategy produced bad signals, beacuse of slippage (and how many ticks), if because of the platform and execution network(TS is slow regardless of how close you get), or if because of transactional costs... as an example, I am still testing eminishark trader and depending on the type of timeframe or bar I use for signal generation it will loose money because of the commissions... in your case, it might be the same, but hard to tell without clear data that we can look at to direct you better... you would need to provide trade statistics.

As to the actual lost, as long as you are properly capitalized it is not that big of a deal IMO.. so though it was silly to test with real cash immediately, I have done the same so I can understand... I would recommend you look at IBKR given their simm/demo account is actually better than most things out there... you can setup MC/NT/etc to trade against it using any other live feed to generate the live signals that you so desire.

I can tell you the transaction costs: -$630.14 for the 141 R.T.'s. (So I lost -$630 on the trades alone.)

I'm going to rest, daydream, and look at other possible setups for awhile.

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Here is a good webinar on backtesting The Truth About Drawdowns - Trader Kingdom.

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bobbakerr View Post
I can tell you the transaction costs: -$630.14 for the 141 R.T.'s. (So I lost -$630 on the trades alone.)

I'm going to rest, daydream, and look at other possible setups for awhile.

off the bat... your edge is too tiny and will always be taken away by slippage... also, your broker is too expensive.. but a lower cost one or even with prof fees that wont make a difference to you.. not to mention that you still have to add into your transaction costs whatever infrastructure costs you have to cover before you make some $$$... lets call it the carry cost...

anyhow..

you are paying 11% more comms than the lowest cost broker we discuss on the forum, Crossland, you should address your comms with your current broker..

with prof fees (assuming $1.25RT/car) you would have lost less, but still loss given your loss per contract was around $4.04, which tells me that your edge is less than 50% winners to certain extent.. again, not enough data being provided by you for any of us to give you some constructive feedback, so I am taking stabs at the dark with my comments..

if you used NT7 for this trades, it would help if you publish the report for the day.. that does not show the strategy so no risk to you there.. if you used TS8/9, then it has the same thing .. export the report and remove your account data... if MC, same thing, export, remove... showing the trade performance does not mean you expose your strategy logic..

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