Simulating ATM strategies in backtesting

April 30th, 2012, 09:09 PM

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.

Thanks.
Alex

May 2nd, 2012, 08:27 AM

There is shared ATM managing code on the forum, but the LOM is the biggest and most notable project:

NJAMC Local Order Manager (LOM) Collaboration

Please review the LOM WIKI before posting questions to this thread. (

Hi All,

This thread is going to appeal more to Strategy Writers and Programmers. I have been an Elite member for quite some time now and have learned a lot about indicators and strategies …

NT Local Order Manager (LOM) Guide

The Local Order Manager (has been designed to replace the internal NinjaTrader order management functions. It is based upon Unmanaged Order Management function. The goal is to create complex and flexible features that can easily be re-used, freeing the …

Mike

May 2nd, 2012, 09:14 AM

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.
-Alex

Simulating ATM strategies in backtesting

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Simulating ATM strategies in backtesting