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Simulating ATM strategies in backtesting
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Simulating ATM strategies in backtesting

  #1 (permalink)
Elite Member
San Jose, CA
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anachronist's Avatar
Posts: 27 since Apr 2012
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Simulating ATM strategies in backtesting

I posted this on the NinjaTrader support forum, but someone wrote to me privately and suggested I create an account here at Big Mike's.

I am working on replacements for the ATM strategy methods so that they work in backtesting while retaining the ability to submit ATM strategies on live data. I think this might be useful to the community, and I want to gauge the interest from others.

I'd like this to be a shared development effort if possible. Is there an established place where NinjaTrader coders go to share code and collaborate on a project?

The thing I'm working on is called BAtm, for Backtestable ATM. I don't have anything testable yet. The objective is to implement the features of ATM strategies using the Unmanaged orders approach in backtesting, in a way that is transparent to the strategy developer. Drop-in replacements for the existing ATM strategy methods would be developed. For example, AtmStrategyCreate() would become BAtmStrategyCreate(), and it would internally use the Unmanaged orders approach for historical data and automatically switch over to the regular ATM strategy methods for live trading.

A few set-up steps are required in Initialize() and OnStartup(), and a single call to a maintenance method would be needed in OnOrderUpdate() and OnBarUpdate(), but otherwise one would code things the same way as when using NinjaTrader's ATM strategies.

The set-up steps could be simplified if there were a way to access the user's ATM strategies from NinjaTrader's database, but I haven't figured that out, and NinjaTrader support won't support questions about it.

Finally, has anyone already done anything like this? Or already working on it? Contact me if you are.


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  #3 (permalink)
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There is shared ATM managing code on the forum, but the LOM is the biggest and most notable project:


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Thanks Mike. LOM looks pretty much like what I've been designing although it seems to lack the implementation of all the ATM strategy features that I was planning. I should collaborate on this.

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