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Unmanaged vs Managed orders
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Unmanaged vs Managed orders

  #11 (permalink)
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NinjaTrader View Post
You are welcome. I am not sure what you mean by your question?

What I mean is, apart from connection/overfill/rejection, which are largely handled in unmanaged, what complex stuff stops you enhancing managed to include longstop/shortstop bracket without too much trouble? I'm trying to understand what your issues are.

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  #12 (permalink)
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Xeno View Post
What I mean is, apart from connection/overfill/rejection, which are largely handled in unmanaged, what complex stuff stops you enhancing managed to include longstop/shortstop bracket without too much trouble? I'm trying to understand what your issues are.

From what I understand, it's overfills that are the problem - not being able to cancel out the other stop on a fill where the bracket is tight. But let's hear it from NinjaTrader direct - I'm not speaking for them.

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  #13 (permalink)
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eman View Post
@Xeno - say i wanted to enter a trade with an initial target of +20 and a protective stop of -10. after the trade moves +5 in my favor, i would like to tighten my stop to -5, leaving the target of +20 un-touched. if the trade continues to move in my favor, after +12 of profit, i remove the target and tighten my stop to +2 and then on each and every uptick, i trail my stop up until the market retraces and takes me out.

this is a hypothetical example that illustrates how i have used the unmanaged approach. hope this helps.

cheers,
-e

Thanks for the reply. I wasn't so much looking for examples, more opinions. Was switching to unmanaged a good thing, was it easy, do you always use it now, even though managed might do what you want, are there pitfalls not mentioned in the NT docs.

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  #14 (permalink)
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Xeno View Post
Was switching to unmanaged a good thing

yes, absolutely


Xeno View Post
was it easy

i find that the extra lines of code required resulted from having to flush out a more granular set of rules to manage the trade. the implementation was no more or less easy/difficult than coding managed. the added difficulty comes with the opportunity to be more precise. and in our particular case, it resulted in fewer lines of code overall, oddly enough.


Xeno View Post
do you always use it now

yes


Xeno View Post
even though managed might do what you want, are there pitfalls not mentioned in the NT docs.

managed did most of what i needed, but switching to unmanaged made it much easier to write re-usable code blocks. and that is the way i like to develop, so i switched and haven't really looked back.

cheers,
-e


Last edited by eman; April 29th, 2011 at 03:51 PM.
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  #15 (permalink)
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Adamus View Post
Can I just ask, what part of that example cannot be coded within the managed order scenario?


baruchs View Post
This has nothing to do with managed<>unmanaged. You can do it the same with managed.

sorry, you guys are right. i mistook "unmanaged" for "advanced order handling" at first. and my example better demonstrated why i used AOH instead of SetStopLoss().

we did eventually migrate from managed to unmanaged because the strategy was multi-tiered and each tier could have multiple stop-handling triggers/rules. it simply became easier use our own "wrappers" with the unmanaged methods rather a couple of bloated switch() statements.

so maybe it's more correct to say i use my own managed version of the unmanaged setup? sorry for muddying the waters. i do still really appreciate NT allowing us to "get creative" :-)

cheers,
-e


Last edited by eman; April 29th, 2011 at 03:52 PM. Reason: clarifying unmanaged from AOH -- sorry for confusing
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  #16 (permalink)
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Xeno View Post
What I mean is, apart from connection/overfill/rejection, which are largely handled in unmanaged, what complex stuff stops you enhancing managed to include longstop/shortstop bracket without too much trouble? I'm trying to understand what your issues are.

Thanks for the clarification.

Unmanaged approached covers the requirements of strategy developers to submit multiple opposing entry orders simultaneously. We felt that exposing this unlimited approach was a smarter decision (for both business and practical reasons) than trying to fit it into our managed code base.

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  #17 (permalink)
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eman View Post
yes, absolutely


i find that the extra lines of code required resulted from having to flush out a more granular set of rules to manage the trade. the implementation was no more or less easy/difficult than coding managed. the added difficulty comes with the opportunity to be more precise. and in our particular case, it resulted in fewer lines of code overall, oddly enough.


yes


managed did most of what i needed, but switching to unmanaged made it much easier to write re-usable code blocks. and that is the way i like to develop, so i switched and haven't really looked back.

cheers,
-e


I totally agree with eman. I am in the transition from managed to unmanaged, after playing with managed mode for a few months, with much frustration.

Reasons for the transition:

1. As users of NT, we do not know what is happening behind the managed solution. It is something that adds some protection but also asserts a lot of restrictions.

2. My aim is unattended trading, which means a lot of rare scenarios must be dealt with in the code. I have heard from TradeStation (perhaps NinjaTrader has the same view?) that the aim of strategy trading is to relieve traders from repetitive works that can be done better by computers, which is a different perspective. In reality, error-handling, which is highly critical to unattended trading, can only be dealt with on a case-by-case basis, since a lot depends on the broker and the exchange, and factors out of control of platform companies.

3. Due to restrictions under managed mode, we are essentially trading freedom for some level of protection. That means in many cases, we must "work-around" the restrictions, which can be a nightmare for software maintenance and code reuse, and in many cases, can make code more complex.

My current view of this issue is that if you are experienced in programming and you want fully-automated trading, unmanaged seems to be the only way to go. With that said, I have only programmed in the unmanaged mode for a short period of time, not long enough to discover serious issues. Experienced programmers please chime in and share what you find.

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edgefirst View Post

My current view of this issue is that if you are experienced in programming and you want fully-automated trading, unmanaged seems to be the only way to go. With that said, I have only programmed in the unmanaged mode for a short period of time, not long enough to discover serious issues. Experienced programmers please chime in and share what you find.

Yes, please do.

I've now started with unmanaged, and it does seem the way to go. I deliberately started with something hard - bracketing, stop and reverse and all handling partial fills. It seems to be working fine, and I can see that I'll stay with unmanaged.

Just seems a shame that each of us doing it are reinventing the wheel and coming up with a load of reusable code which is probably fairly similar.

I like writing my own code, and it's a good way to keep control and knowledge of what's going on, but I would have seriously considered buying a well designed library to handle it all.

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  #19 (permalink)
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edgefirst View Post

My current view of this issue is that if you are experienced in programming and you want fully-automated trading, unmanaged seems to be the only way to go. With that said, I have only programmed in the unmanaged mode for a short period of time, not long enough to discover serious issues. Experienced programmers please chime in and share what you find.

I trade live un attended in managed mode. You can code around most of the 'issues' with managed mode.

Think and code simply. You can do a lot and it makes your life easier.

Math. A gateway drug to reality.
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  #20 (permalink)
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Unmanaged can work well... depending on your programming ability. Just remember, if things go to hell.... you're on your own.

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