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Sam028 EOD Robot
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Sam028 EOD Robot

  #41 (permalink)
Administrator: Retired Backtester
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Day 15: -45$

Strange day: very bad fill for one of my brokers for EMD, it needs some investigations. Not fill for 1 NQ contract, the same broker was a bit slow... An no trade with the 2 TF contracts, too bad, I was in the right direction, that was 40 easy ticks, but that was limit orders. If this happens too frequently, I'll go back with market orders.

Week 1: +977.5$ (+1217.5) before com
Week 2: +130$
before com
Week 3: +1180$ before com
From the beginning: +2187.5$ (+2477.5) before com

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  #42 (permalink)
Site Administrator
Manta, Ecuador
 
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Platform: My own custom solution
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sam028 View Post
I'll go back with market orders.

What are you placing the limit at? GetCurrentAsk() and GetCurrentBid() ? Or Close[0] ?

For everything but CL, I use market orders. For CL I use GetCurrentxx() and even then often get left in the dust, even using Zen Fire.

I've checked my ping to the Zen servers before (rithmic) it's about 24ms. If this is happening to you a lot you need to decide how much it is costing you -- there are obviously a lot of traders that co-lo @ broker's house to get better fills.

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  #43 (permalink)
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Big Mike View Post
What are you placing the limit at? GetCurrentAsk() and GetCurrentBid() ? Or Close[0] ?

For everything but CL, I use market orders. For CL I use GetCurrentxx() and even then often get left in the dust, even using Zen Fire.

I've checked my ping to the Zen servers before (rithmic) it's about 24ms. If this is happening to you a lot you need to decide how much it is costing you -- there are obviously a lot of traders that co-lo @ broker's house to get better fills.

Mike

I use GetCurrentAsk() and GetCurrentBid(), and 40ms to Zen servers.
The volume activity on EMD was quite unusual today, at the end of the day, I think that was just bad luck, but I'll keep an eye on this, and maybe go back to market orders.

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  #44 (permalink)
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sam028 View Post
Day 15: -45$

Strange day: very bad fill for one of my brokers for EMD, it needs some investigations. Not fill for 1 NQ contract, the same broker was a bit slow... An no trade with the 2 TF contracts, too bad, I was in the right direction, that was 40 easy ticks, but that was limit orders. If this happens too frequently, I'll go back with market orders.

Week 1: +977.5$ (+1217.5) before com
Week 2: +130$ before com
Week 3: +1180$ before com
From the beginning: +2187.5$ (+2477.5) before com


Hello Sam,

I enjoyed your journal. Pretty good results. Nice job and keep rolling!

My 2 cents on automated trading...

I have been running a few robots. First I had a setup like yours, VirtualBox or a dedicated trading computer, but as I am residing in China which is thousands of miles away from the exchange (I trade NG on Nymex), I got frequent disconnections, data delays, and big slippages because of order delays (I could not use resting orders in some of my strategies), sometimes as large as 30 ticks ($300 per contract).

A month ago I went to rent a VPS in a data center located in NY. Think VPS as a dedicated computer from the user's point of view but it is located in NY or other places and it has no power outage and no network disruptions (ok, almost). I have been very satisfied with the ride hereon. The strategies are running smoothly and so far I have had none of the problems that I mentioned above. It costs around $40 a month but I think the benefit far outweighs that cost.

I know this may sound like a commercial so I refrain from posting the name of the business, although I am really satisfied with their services. If you (or anyone who is viewing this post) are interested in knowing the details, please PM me.

Edgefirst

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  #45 (permalink)
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RJay View Post
I have seen a number of postings on NT's forum about members complaining about having to wait for a new bar before their trade executes.

Hello RJay,

About the NT problem you have mentioned, I had seen similar things recently. I use NT 6.5 and if I set EntryHandling to UniqueEntries in backtest and live trading then the problem goes away. Hope this helps.

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  #46 (permalink)
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edgefirst View Post
Hello Sam,

I enjoyed your journal. Pretty good results. Nice job and keep rolling!

My 2 cents on automated trading...

I have been running a few robots. First I had a setup like yours, VirtualBox or a dedicated trading computer, but as I am residing in China which is thousands of miles away from the exchange (I trade NG on Nymex), I got frequent disconnections, data delays, and big slippages because of order delays (I could not use resting orders in some of my strategies), sometimes as large as 30 ticks ($300 per contract).

A month ago I went to rent a VPS in a data center located in NY. Think VPS as a dedicated computer from the user's point of view but it is located in NY or other places and it has no power outage and no network disruptions (ok, almost). I have been very satisfied with the ride hereon. The strategies are running smoothly and so far I have had none of the problems that I mentioned above. It costs around $40 a month but I think the benefit far outweighs that cost.

I know this may sound like a commercial so I refrain from posting the name of the business, although I am really satisfied with their services. If you (or anyone who is viewing this post) are interested in knowing the details, please PM me.

Edgefirst

Day 16: -340$

Week 1: +977.5$ (+1217.5) before com
Week 2: +130$
before com
Week 3: +1180$ before com
Week 4: -340
$ before com
From the beginning: +1847$ (+2137.5) before com

edgefirst, thanks for your explanations, you can post the name of the business, some people here might be interested.
In my case, the robot is supposed to be "bad ping proof", this is not an HFT robot where the base unit is the micro-second.

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  #47 (permalink)
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new thread about VPS


edgefirst View Post
I know this may sound like a commercial so I refrain from posting the name of the business, although I am really satisfied with their services. If you (or anyone who is viewing this post) are interested in knowing the details, please PM me.

Edgefirst

Hi Edgefirst

I think that would be a good idea for for people to share their experiences with VPS's.
Could you open a new thread with your own experiences and recommendation? This way more people would benefit from this.

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  #48 (permalink)
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gregid View Post
Hi Edgefirst

I think that would be a good idea for for people to share their experiences with VPS's.
Could you open a new thread with your own experiences and recommendation? This way more people would benefit from this.

Hello Greg, the new thread is here:

https://futures.io/general-discussion/822-automated-trading-vps.html

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  #49 (permalink)
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Day 17: -280$

Week 1: +977.5$ (+1217.5) before com
Week 2: +130$
before com
Week 3: +1180$ before com
Week 4: -620
$ before com
From the beginning: +1567$ (+1857.5) before com

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  #50 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
sam028's Avatar
 
Posts: 3,366 since Jun 2009
Thanks: 3,574 given, 3,983 received


Day 18: +275$

Only with 6 cars, the 2 ES contracts were not filled...
"limit orders" vs "market orders": 0/2.
As I didn't use a lot limit orders in my previous NT strategies, and didn't use the logic im using now here, I didn't have this:
- a limit order is sent
- next bar -> order not filled, order canceled.
Ok, why not, now I know it. This detail was a 4 ES pts detail (200$), but that's a good lesson: I'll go back to market orders next week.


Week 1: +977.5$ (+1217.5) before com
Week 2: +130$
before com
Week 3: +1180$ before com
Week 4: -345
$ before com
From the beginning: +1842$ (+2102.5) before com

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