Simulation environments - Traders Hideout | futures io social day trading
futures io futures trading

Simulation environments
Updated: Views / Replies:1,954 / 1
Created: by FGBL07 Attachments:2

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Thread Tools Search this Thread

Simulation environments

  #1 (permalink)
Elite Member
Oberhausen, Germany
Trading Experience: Advanced
Platform: Sierracharts
Broker/Data: Interactive Brokers/DTN IQFeed
Favorite Futures: Bund Future
Posts: 278 since Aug 2011
Thanks: 100 given, 311 received

Simulation environments

For some time I wanted to to conduct a little experiment: to run one and the same trading system in two different simulation environments.

I'm using Sierrachart and DTN IQFeed as data feed. Sierrachart offers a simulation environment for automatic and manual trading. So this is the first testing/simulation environment, let's call it the DTN instance (of Sierrachart).

My Broker is Interactive Brokers, they offer a paper trading account. I installed a second instance of Sierrachart connected to this paper trading account, this is the second simulation environment. Let's call it the IB instance.

My real trading account and the paper trading account run in different instances of IB's TWS. So both testing environments can run simultaneously and do not interfere with my real trading (done manually).

Sierrachart offers a feature called "remote chart", that is I can open and use a chart in one instance of Sierrachart that is running in another instance of Sierrachart.

Since the trading system I tested relies heavily on bid/ask data and DTN IQFeed offers the most reliable bid/ask data, I opened a remote chart of the GBL future in the IB instance which was fed by DTN's data in the DTN instance.

This was the symbol I used to trade: GBL (Future on German 10-year Notes) traded at Eurex. Symbol is GBL-201203/6-DTB for IB and BDH12/BDM12 for DTN. Ticksize is 0.01. One tick is worth 10€.

The system was programmed using the Spreadsheet System for Automatic trading facility of Sierrachart. The trading system itself is not of interest because it is a losing system, winning or losing was not the purpose of this test. It is a kind of countertrend system, it identifies overbought/oversold conditions and then sells/buys.

For the order management I used attached orders. Entry was done via limit orders (3 ticks below/above market), target 9 ticks, stop loss 5 ticks with the stop moving to (BE + 1 tick) after the trade was 5 ticks above/below entry.

Signal was evaluated once per bar, at the open of a bar. When an opening order was not filled, it was canceled at the open of the next bar.

Due to the usage of the remote chart the entry signals were fired virtually identically in both environments, only differences due to run time differences on my PC (a dual-core system).

After the opening signal the instances operated differently. The DTN instance did all the simulation work - fills of open and target, trigger of stop loss/trailing - within itself. The IB instance sent the orders (including attached orders) to IB's servers. The fills were simulated by the IB servers, the trailing stop was monitored by the IB instance on my PC using IB's data feed and the stop loss raised if conditions were met. The IB instance did not know that it was connected to a paper trading account, it "thought" to be trading real.

I ran this test from the second week of January 2012 to end of March 2012. That is I did not run any kind of backtest, the simulation was done in real time.

I had to drop a few data from one instance or the other because on some days I forgot to start both instances or just forgot to store the results. About a week of test results had to be dropped for the these reasons.

A short statistic of the results is shown in the screenshot. Commission has not been taken into account.

There is a 16% difference in the number of trades and a 45% difference in the P/L. I had not expected the results to be identical, but the difference in the number of trades surprised me. If anything I had expected to see less trades from the IB instance because here Sierrachart has to sent the orders to an IB (paper trade) server instead of simulating the fills in its own environment.

The difference in the number of trades is a more like 20% because there were about 30 trades from the IB instance which were missing from the DTN instance and 4 the other way round. The missing trades account for 21 ticks of the 59 ticks difference in P/L. I think that a 38 tick difference spread over more than 140 trades is not much to worry about.

From a statistical point of view the two results are identical. I had run an ANOVA test in Excel. ANOVA looks at averages and variances and from this point of view there is no difference.

I have attached the workbook and the spreadsheet I used in the IB instance.

Sorry, looks like I cannot upload the spreadsheet.

Attached Thumbnails
Simulation environments-snag-17.06.2012-11.59.28.png  
Attached Files
Register to download File Type: cht MyBidAskGBLIB.cht (148.3 KB, 4 views)
Reply With Quote
The following user says Thank You to FGBL07 for this post:
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.


futures io > > > Simulation environments

Upcoming Webinars and Events (4:30PM ET unless noted)

Journal Challenge $1600 in Prizes & Free Journalytix for all participants!


Trading Resolutions for 2019 - Avoiding Mistakes w/GFF Brokers

Feb 19

3 Excellent Entries, and How To Automate Them w/Kevin Davey

Feb 21

The Driving Force Behind the Market w/Earn2Trade

Mar 5

TBA w/Stage5 & iSystems

Mar 12

TBA w/John Grady @ No BS Day Trading

Mar 19

Day Trading Oil Futures: Reducing Risk & Increasing Profits w/DTN IQFeed

Mar 26

Similar Threads
Thread Thread Starter Forum Replies Last Post
Just curious:For how long did you paper-trade or simulation-trade? Piperion Traders Hideout 3 November 19th, 2013 02:08 AM
monte carlo simulation interpretation help needed wallsteetking NinjaTrader Programming 2 October 21st, 2011 07:36 AM
looking for C# code for a keyboard command simulation max-td NinjaTrader Programming 3 December 29th, 2010 10:24 AM
CalculateOnBarClose as a bool or as a simulation within OnBarUpdate chapter SARdynamite NinjaTrader Programming 5 July 5th, 2010 02:02 AM
Monte Carlo Simulation Big Mike Psychology and Money Management 3 February 7th, 2010 12:06 PM

backtest, backtesting, bid/ask, broker, brokers, commission, data, data feed, dtn, dtn_iqfeed, es, eurex, fed, information, interactive brokers, iqfeed, limit orders, order management, orders, paper trading, real time, short, sierrachart, signals, simulation, statistical, stop loss, trading, trading account, trading system, trailing stop, tws

All times are GMT -4. The time now is 10:15 PM. (this page content is cached, log in for real-time version)

Copyright © 2019 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432 WhatsApp Business,
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2019-02-18 in 0.20 seconds with 15 queries on phoenix