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STF discretionary spot Forex system development journal
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STF discretionary spot Forex system development journal

  #141 (permalink)
Elite Member
Dartmouth NS
 
Futures Experience: Intermediate
Platform: MC, MC.Net, NT, TWS
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Switched back to paper yesterday after I was done for the day to trade straight "price action" in anticipation of reading Al Brooks' books. I've watched or read everything I can get my hands on by Al but still have no clue what I'm doing, just want to get used to watching each bar form. Since then made (lucky) 13 trades, down $201 (paper), and expect to lose a heck of a lot more :-/ Not sure how long I'll keep this up but it's fun so far and will probably persevere the rest of the day--likely will not post results unless I actually learn something from it.

ETA: In addition, liquidated most of my gold and oil stock/ETF holdings yesterday after the dip in Brent/WTI was not immediately dismissed as fat fingers, replaced the bull crude ETF with a bear ETF since in any event might be enough to trigger a pullback if folks are in the mood--counter trend trade that I want to keep an eye on today, not sure when common sense will kick in again and the trend will resume...lucky if the glitch lasts to this weeks' inventory numbers I suppose but prepared for a day trade.


Last edited by bnichols; September 18th, 2012 at 10:20 AM.
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  #142 (permalink)
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Futures Experience: Intermediate
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Doing some research in fair value premium driven program trading mentioned in this afternoon's webinar by Mr TopStep came across the following claim by H&L Camp and Co. at programtrading.com. Suggests it may be worth doing that price-movement-vs-time-of-day study after all, even if program trading may be less than 20% of the currency market.


Quoting 
Retail customers trade based on price. Most lose money doing it. Program Trading Desks trade based on time. They make money doing it. So it is easy for you and your trading firm to know which one is the most important. In general, program trading has little to do with price. Something that surprises a lot of traders and retail customers who are constantly talking about and using price for their trading. Statements like support is at such and such and resistance is at another such and such. Market Profile and the Fibonacci number for today is such and such, and the latest craze, today's pivot points are such and such. All of this talk about price is really for amateurs and retail customers who do not have a clue about program trading. And program trading is over 60% of the volume most days, and on some days runs a lot, lot more.

Program Trading Desks trade based on time. And they have three clocks on the wall to tell the time every day. If you would like to see those three clocks for one day, just scroll down below. Most likely, you have never seek [sic] anything like it. So what time is it? Program trading is based on time and that time is Central USA Time. All program traders world wide are on Chicago Time. Where you live or work, just like price, is totally irrelevant.



Last edited by bnichols; September 18th, 2012 at 09:41 PM. Reason: typo
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  #143 (permalink)
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IB's Purple Screen of Death


During the reset period (advertised as 11:45 - 00:45 ET in N America) TWS will disconnect from one or more servers as these are reset, the outage claimed to be "seconds". In fact TWS may not reconnect to whatever service manages orders for minutes or hours if at all following the reset, although price remains active on charts and active orders remain active. Restarting TWS simply makes things worse (TWS fails to initialize and price action in the interim is lost).

Occasionally (like tonight) I make the mistake of trading through the reset period, which sometimes results in me getting to watch helplessly while price wanders between my trailing stop and my target--tonight it's been more than an an hour--unable to make adjustments to the position.

IB's "You Are Screwed" screen in this situation is filled with bright purple (pink?) lines:
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ETA: Back online and connected about 90 minutes later. Would have been somewhat sooner but took 5 or 10 minutes to discover NT was refusing to connect to TWS because it had taken it upon itself to change the Client ID in the IB Account definition from the default (0) to the number 326--not sure I've seen that one before. Never a dull moment.

ETA: For the record had to "repair" NT's database to recover the last trade after I finally managed to close it. DB errors tend to occur during these loss of connection events, perhaps because I'm prone to repeatedly shutting down NT and restarting it with different account parameter settings, perhaps too quickly. First time this has happened on the new system and hope the installation is not damaged.


Last edited by bnichols; September 19th, 2012 at 08:03 AM.
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  #144 (permalink)
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7:45 AM EST 19 August....first trade of the morning does not appear in the Account Performance system until the DB repaired, although details are wrong--it was a short trade entered in the wee hours before I went to bed, exited just now--0.6 contracts and captured 48 pip when the EUR/USD fell overnight, accounting correct on IB's side--but NT Performance Summary records it as a long trade that was entered and exited just now. Does not bode well and will do a DB reset.

Back to paper until we confirm proper operation. Darn it all anyway


Last edited by bnichols; September 19th, 2012 at 08:10 AM.
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  #145 (permalink)
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It's official--NT is once again FUBARed and today is a writeoff, once again no trading soup for me. Executions show NT is somehow carrying a non-extant long position of 1.2 contracts that is used to calculate trade results & performance, when otherwise (i.e., in Positions) both IB and NT agree there is no open position.

Have asked NT to shed light if possible, now that I'm able to narrow down symptoms a little more systematically.

ETA: NT's prompt response is to install sanctioned version combo of NT and TWS (currently NinjaTrader 7.0.1000.10 and Traders Workstation 927.7). While its seems to me (having run into the same thing over the last few years with pretty much any version combo) the issue is independent of version combo, sanctioned or not. I always enjoy a ride on the reinstall-from-scratch. reload-tick-data-from-non-IB-historical-source-topped-off-with-up-to-the-moment-data-from-my-kids merry-go-round....NOT

My own action going forward will be to ensure no trades are active & both TWS and NT are shut down during the reset period, waiting to run up NT until it can be confirmed TWS has reestablished full connectivity. No more overnight autotrading fun and games for a while.

ETA: 10:13 AM EST consoling myself that the gambol on a WTI pullback is so far paying off, CL 10-12 suddenly trading below what IMO is critical S/R of $94.


Last edited by bnichols; September 19th, 2012 at 10:16 AM.
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  #146 (permalink)
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Something of an eye-opener for me reading the journals of folks who trade CL the way I trade STF currency (well...maybe not quite as frenetically as I trade currency :-/). My ultrabear crude ETF investment is ahead the $$ equivalent of 46 ticks in just under 48 hours, whereas if I'd sold CL instead of buying the ETF when I did I'd be ahead about 10x that. Content myself with the fact any profit is better than poking myself in the eye (which is the likely outcome if I tried to trade CL ).

ETA: 15:39 EST working on getting tick data into NT but watching CL, exited my ultrabear ETF at 15:15 EST just before OPC when spider sense started to tingle--sure enough CL up on fairly significant volume (ETF down) at 15:30--so now flat crude. thinking about buying an ultra bull but need to see a little consolidation assuming crude consolidates. May be that price action is price action and shorts are shorts (predictable at end of day on a big negative news day) no matter what the underlying, and even if one decent swing does not a commodities trader make I can see why futures trading has its appeal.

ETA:16:45 EST on the topic of "significant volume", after currency trading so long knowing the volume on one hand is distracting and on the other feels almost like cheating


Last edited by bnichols; September 19th, 2012 at 04:48 PM.
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  #147 (permalink)
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Another day, another order stuck in NT Executions. Can't live this way and an hour ago came THIS close to clicking the buy button on MC. Reason prevailed, yet again told myself "it's not you NT...it's me...got to be" but one more stab at re-installation and that's it. Change good as a vacation

ETA: What actually stopped me from pulling the trigger on MC is the CDN price (more than $100 above the US price even with USD < CDN at the moment--really do not understand the penalty on some IP imported into Canada from the US), so sent them a note asking to be notified when discounts are available again.

ETA: Trading paper this morning--more or less procrastinating until later today to reinstall the system--notice that my attitude is dangerous, as in "who needs this". I don't remember feeling this negative since I started trading and it's not a good feeling--kind of scary--definitely related to the fact I'm nearing the end of my rope trying to keep NT running. Need for an attitude adjustment the main reason it may be time for a change, new broom sweeps clean. BTW, this is not a comment on the tools I choose to use, just an emotional state recorded for future reference.

7:43 AST. Alrighty......IB (build 930.3) & NT (version 7.0.1000.11) reinstalled & configured, latest versions of both despite NT's warnings against doing that (something to the effect the latest NT is beta wrt IB and results may disappoint--warning good for a chuckle if nothing else). I use some of the newer features of TWS so have decided I'm no longer going to run an unsupported version of IB to humour NT--call me when you've got it sorted out. NT ran up and connected, Account Summary shows it didn't immediately shoot itself in the head (no phantom executions, no matching entries and exits from orders at random and calling that a trade)--wonders never cease--so we'll start out with a few paper trades to see whether this version combo can track orders properly.

8:06 AST First trade executed normally. I'll be damned. Feeling a little like Charlie Brown when Lucy swears she's not going to move the football this time but what can go wrong.....Roger Houston....go with throttle up.

8:24 AST 3 trades, no issues, all increasingly profitable (on paper) as my mood improves for a total of $170, all discretionary, no stops, placed looking at what NT has constructed so far of a volume (activity) profile on the 200 tick chart, guided for trade direction & S/R by a 4 hour chart displayed by IB. What a difference a functioning system makes--like shooting fish in a barrel.


Last edited by bnichols; September 20th, 2012 at 08:38 AM.
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  #148 (permalink)
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Futures Experience: Intermediate
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Done for the day after putting the IB/NT version combo through 30 or 40 trades. Mostly good news, no bad news to speak of. In other news however now the proud owner of MC & MC.Net. Between TWS, NT, MC & MC.Net hope to find there's not much I want that one won't accommodate if another does not. I suppose in that regard a little like having multiple wives &/or girlfriends....how much of a headache can THAT be.:hopium:

Good weekend to all.

ETA: Oops...wife reminds me it's Thursday....actually knew at one point today but since I plan to play with MC tomorrow--let the kids have at it on the weekend--let's make that a great EXTENDED weekend to all


Last edited by bnichols; September 20th, 2012 at 04:01 PM.
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  #149 (permalink)
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MT & MT.Net now installed on the laptop and MT configured with "five energies" trading system (screen shot below). Wrote a couple of trivial indicators in PowerLanguage--going to have to brush up on that. Spent the day paper trading to become familiar with the new look and feel, haven't yet had a chance to look at MT.Net. Absolutely love everything about MT so far

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  #150 (permalink)
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Just stumbled across the "Edit in Visual Studio" button in MC.Net PowerLanguage Editor as described in this video on the MC site. I think I'm in love

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ETA: the "dangerous feeling" I experienced a couple of days ago culminated in my coming down with a cold that, given my state of self pity at the time, came periously close to turning into a "man cold", in which event I'd be bunking with the dogs (wife doesn't accept its existence). In hindsight the symptoms had been there for days but didn't recognize them because I don't get sick as a rule, feeling much better after a couple of good night's sleep and a lot of fluids.


Last edited by bnichols; September 22nd, 2012 at 08:33 PM.
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