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Attack of the Robots - An Algo Journal


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Attack of the Robots - An Algo Journal

  #91 (permalink)
 ocpb 
Hartford CT, USA
 
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vmodus View Post
If anyone has any thoughts on this, feel free to comment.

To be continued....

~vmodus

Hi vmodus, I probably can't help all that much, but just wondering...
Since you're testing things...
Did you enter your live limit order test by clicking on a DOM at the 98.1025 price?
How about the same for a later contract month? All good?
Maybe the platform somehow thinks that EDZ19 is not the front month anymore.
Does TS have any other interfaces you can enter an order in, say a web or mobile?

Also, what about the tradestation discussion forum? I searched on there and there are at least one result about rejected orders. I can't read that forum since I'm not a TS customer, but maybe there are people on there that would have more insight.

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  #92 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
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Today was 'No Trade Thursday' for my ED strategy, apparently. My strategy did not produce any trades. There were a couple of interesting things that deserve further attention.

#1 - Phantom Order?
Sometime around mid-day, an order for 10 contracts long showed up in the Trade Manager. The order was never filled (I'm all limit orders over here, so sometimes it takes a will for an order to fill), but it does not appear that the strategy created the order. Which leads to my next item....

#2 - Cross-over Order Missed?
A cross-over (my entry or exit signal) occurred at the 1400 bar. However, no order was created by the strategy and it did not appear on the strategy report. This is okay, I suppose, since the signal was weak. The 1300 bar shows my two values (iTrend and Trigger) as equal. So maybe it was not detected as a true crossover. I will have to look back at this situation. It is not really an entry I would have wanted.

So maybe #1 happened because of an apparent cross-over, but it did not show has being generated by the strategy. I'm sure that was the origin, as the number of contracts is 10. Anyhow, something to keep an eye on, for sure.

~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~

In other news, I signed up for KJ Trading System's Strategy Factory workshop. It is scheduled for January and I'm pretty amped about it. It was fairly expensive, but I am sure it will pay for itself many times over. I consider this a 'continuing education' expense, just like any other training cost I would incur in my other business.

Tomorrow:
  • Send a live order to Tradestation for Eurodollar, to get it rejected; then call the Trade Desk and have them explain why it go rejected.
  • Sort through the rive of content I received for Strategy Factory

Have a great evening everyone and see you tomorrow!

~vmodus

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  #93 (permalink)
 kevinkdog   is a Vendor
 
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vmodus View Post
Well, I made the dreaded call to Tradestation. I started with the Trade Desk (wishful thinking), but they passed me along to client services. Client services told me that a price to the fourth decimal place (10 thousandths) was not allowed. This did not resolve anything. They said it may be a sim thing (it isn't....stay tuned).

So I thanked them for the help. Then I tried to place a live order with a legitimate price (according to CME contract specs, that is): 98.1025 long (well below current bid/ask). This is what I get:



Either I am dense, or there is a problem here. Of course, Tradestation support did not help me with my issue, but I didn't expect them to have an answer. There was still some uncertainty about why the system would not accept it.

I think my next step is to try to place a live limit order via strategy, allow the system to reject the order, then call the Trade Desk again and find out why.

If anyone has any thoughts on this, feel free to comment.

To be continued....

~vmodus


My guess is that for Eurodollars the non-current months are priced at .005 increments, and only the front month is at .0025 increments. So, I'm thinking Tradestation put a restriction of .005 increments, and their system is not able to do some months at .0025 and others at .005.

I recall another broker (I forget who) having a similar issue.

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  #94 (permalink)
 
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 vmodus 
Somewhere, Delaware, USA
 
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kevinkdog View Post
My guess is that for Eurodollars the non-current months are priced at .005 increments, and only the front month is at .0025 increments. So, I'm thinking Tradestation put a restriction of .005 increments, and their system is not able to do some months at .0025 and others at .005.

I recall another broker (I forget who) having a similar issue.

You are correct regarding the front month and other months. I am curious to see how my experiment with the Trade Desk goes tomorrow. It would be a shame if they can't handle this.

~vmodus

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  #95 (permalink)
 kevinkdog   is a Vendor
 
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vmodus View Post
You are correct regarding the front month and other months. I am curious to see how my experiment with the Trade Desk goes tomorrow. It would be a shame if they can't handle this.

~vmodus

I tried entering a limit order at an .0025 price, and that same window popped up before it even got sent.

So, my guess is Trade Desk will say "wow that is weird, you should talk to Client Services, and they can get a ticket to engineering for a bug fix. In the meantime, I can enter the order manually here for you."

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  #96 (permalink)
 
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 vmodus 
Somewhere, Delaware, USA
 
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@kevinkdog, thanks for validating this. I agree, this looks like a bug. Hopefully they can get a bugfix pushed down at some point. I work with software development, so I'm not holding my breath, but maybe they will surprise me.

Thanks again!

~vmodus

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  #97 (permalink)
 
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 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
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I have been working on a number of things today, trading and non-trading related. I turned on my ED strategy last night (starts trading at 0400), but it has been a dreadfully boring (my 60 minute chart for your amusement):


Yeah, it is a real snooze fest in Eurodollar today.

Dread:
I have been dreading calling Tradestation regarding the ED nearest contract price issue wrote about last week. I had some technical issues with one of our servers and a client matter to attend, so I had an excuse to not call. I will have to do it, since my strategy relies on that price increment.

Learning:
I have been reading Building Winning Algorithmic Trading Systems, which is a great book for algo traders. I wish we had this book 10 years ago (though it was only published 5 years ago. Anyhow, the process Kevin maps out is solid. There are some conclusions regarding system development that we have painstakingly learned on our own (diversification, over-optimization), but there is some pure gold in here, if nothing else than for capital preservation.

Probably the biggest lesson thus far has been that every tweak to an automated system is an optimization. So any data that has been seen by the strategy needs to be tossed after tweaking it.

For tomorrow:
  • Keep reading Building Winning Algorithmic Trading Systems
  • Keep running my Eurodollar strategy
  • Try to make a trade on ED and then call Tradestation when it gets rejected

Have a good evening all and see you tomorrow!

~vmodus

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  #98 (permalink)
 kevinkdog   is a Vendor
 
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vmodus View Post
I have been working on a number of things today, trading and non-trading related. I turned on my ED strategy last night (starts trading at 0400), but it has been a dreadfully boring (my 60 minute chart for your amusement):


Yeah, it is a real snooze fest in Eurodollar today.

Dread:
I have been dreading calling Tradestation regarding the ED nearest contract price issue wrote about last week. I had some technical issues with one of our servers and a client matter to attend, so I had an excuse to not call. I will have to do it, since my strategy relies on that price increment.

Learning:
I have been reading Building Winning Algorithmic Trading Systems, which is a great book for algo traders. I wish we had this book 10 years ago (though it was only published 5 years ago. Anyhow, the process Kevin maps out is solid. There are some conclusions regarding system development that we have painstakingly learned on our own (diversification, over-optimization), but there is some pure gold in here, if nothing else than for capital preservation.

Probably the biggest lesson thus far has been that every tweak to an automated system is an optimization. So any data that has been seen by the strategy needs to be tossed after tweaking it.

For tomorrow:
  • Keep reading Building Winning Algorithmic Trading Systems
  • Keep running my Eurodollar strategy
  • Try to make a trade on ED and then call Tradestation when it gets rejected

Have a good evening all and see you tomorrow!

~vmodus


I saved you some aggravation. I just posted this issue to the Tradestation forum. a TON easier than dealing with phone support.

https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=170330

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  #99 (permalink)
 
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 vmodus 
Somewhere, Delaware, USA
 
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Platform: MultiCharts
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Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
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kevinkdog View Post
I saved you some aggravation. I just posted this issue to the Tradestation forum. a TON easier than dealing with phone support.

https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=170330

Thanks, I appreciate that! I held off calling TS, mainly because I am fighting a cold and don't want to fight TS as the same time.

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  #100 (permalink)
 
vmodus's Avatar
 vmodus 
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: MultiCharts
Broker: Barchart.com
Trading: Everything, it all tastes like chicken
Posts: 1,271 since Feb 2017
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Thanks Received: 2,853


So yesterday was a little boring for December 19 Eurodollar, which got me thinking last night that maybe I should switch to the March 2020 contract. So I set my strategy in sim on the EDH20 before I went to bed.

When I had a little more time to look at it this morning, I found that if I had this strategy on this contract, I would have had a couple of minor, but profitable trades (~$250 worth). Anyhow, my strategy did pickup a short trade (currently +$375). Hopefully it holds and I can eek $250 profit, which puts my sim account balance back to $16k, my little goal.

EOD Exits in Easylanguage
So I have a parameter in my strategy that I can set to exit at the end of the day. I coded the exit, but it did not work properly.... or rather, didn't work at all. So I stumbled across SetExitOnClose, which is a function that will exit whatever positions I have open for this instrument at the end of the day. So I created a new version of the strategy and replaced my faulty exit with SetExitOnClose.

At first blush (backtesting), it appears to work better than my current exit. I am now running it through the gauntlet of testing to see what it will produce. The next true proof for this function is in sim.

To be continued....

~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~ + ~

I think that is all I have for today.

For tomorrow:
  • Finish reading Building Winning Algorithmic Trading Systems
  • Keep running my Eurodollar strategy in sim
  • Test the SetExitOnClose in my sim account



~vmodus

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