kevinkdog 

Thanks for the comment. If one of your goals with an algo is "make money every day/week/month/year" you can simply make that a requirement of anything you build, just like you'd have goals for certain returns, drawdowns, trades per year, etc. Of course, you may not be able to hit that goal, or any of your other goals, with your strategy. And many times the goals may conflict, forcing you to choose one over the over (like maybe some losing months are better in return for some big winning months). Thanks!

Great information @kevinkdog, thanks.

I never really thought about an algo in those terms before - however I'm a big believer in the backwards forward principle. Always start at the end and work back towards the beginning.

Up until now, the trade exit always represented the end point for me. But thanks to your advice "the end" should really be represented by the goals as you mentioned above. Sure makes good sense to me.

Is it possible to include order flow data from a platform like Jigsaw in a strategy? Thanks.

phantomtrader 

Is it possible to include order flow data from a platform like Jigsaw in a strategy? Thanks.

Thanks for the question.

Never tried, but what I do is based on 5-10 years of historical data, and I do not believe you could have order flow historical data going back that far. Probably best to ask your question in an order flow thread.

Thanks, Kevin.

phantomtrader 

Is it possible to include order flow data from a platform like Jigsaw in a strategy? Thanks.

There is a lot you can do with Order Flow by using Cumulative Delta or per bar Delta for sure. Getting Jigsaw to play nice might be quite difficult.

Ron


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Kevin

I’m about to jump into your book, Kindle edition. Thanks for taking all the time and hard work writing it. Looking forward to it.

I too started in paper charts back in the late 90’s calling my broker for quotes etc pencil and ruler in hand. So thankful for our amazing technology these days....lol

Ron


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Blash 

There is a lot you can do with Order Flow by using Cumulative Delta or per bar Delta for sure. Getting Jigsaw to play nice might be quite difficult. Ron Sent from my iPhone using futures.io

Yes, I agree. I use ninZaVolumeDelta which I find extremely helpful. However, I run into the same problem - can't access the output for testing. I do a lot of research - not necessarily to develop a strategy, but just asking questions about the data. I think NT8 has a cumulative delta whose data can be downloaded - not sure. I might take a look at that.
Thanks for the suggestion.

phantomtrader 

Yes, I agree. I use ninZaVolumeDelta which I find extremely helpful. However, I run into the same problem - can't access the output for testing. I do a lot of research - not necessarily to develop a strategy, but just asking questions about the data. I think NT8 has a cumulative delta whose data can be downloaded - not sure. I might take a look at that. Thanks for the suggestion.

Yeah Ninja’s Order Flow Cumulative Delta can be loaded into Excel, for example, very easily with StreamWriter and a little messing around. If you would like my StreamWriter just let me know.

Ron


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Blash 

Yeah Ninja’s Order Flow Cumulative Delta can be loaded into Excel, for example, very easily with StreamWriter and a little messing around. If you would like my StreamWriter just let me know. Ron Sent from my iPhone using futures.io

What is StreamWriter? I use an export function that I developed myself - just exports to Excel.

phantomtrader 

What is StreamWriter? I use an export function that I developed myself - just exports to Excel.

C# code one can use to export. I have it export a bunch of stuff and you can just add on more..... whatever you like.

Ron


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