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Experiences with Collective2


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Experiences with Collective2

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  #21 (permalink)
United States of America
 
Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009


Big Mike View Post


If you make a C# version, please remember to share it back to the community.

Mike

Just want to let the futures.io (formerly BMT) community know I have put out feelers for this project with for hire NinjaScript consultants from the NT website and have yet to receive a proposal.

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  #22 (permalink)
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Zoethecus View Post
Just want to let the futures.io (formerly BMT) community know I have put out feelers for this project with for hire NinjaScript consultants from the NT website and have yet to receive a proposal.

What are you going to use, for orders, Stop orders and/or Limit orders ?
The difficulty will be how to manage the unfilled orders in C2 (they have to be cancelled after something is triggered, opposite signal, or after x minutes, or another trigger of your choice), and how synchronize your NT position with the C2 position (partial fill for instance).
And being able to read the xml sent back by C2.

The other difficulty, is the testing process, as C2 allows only 3 signals (from mémory, not sure), then after you'll have to pay for a testing. And just 3 bullets for this looks not enough.

A bit tricky, fun, but not so easy.

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  #23 (permalink)
United States of America
 
Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009



sam028 View Post
What are you going to use, for orders, Stop orders and/or Limit orders ?
The difficulty will be how to manage the unfilled orders in C2 (they have to be cancelled after something is triggered, opposite signal, or after x minutes, or another trigger of your choice), and how synchronize your NT position with the C2 position (partial fill for instance).
And being able to read the xml sent back by C2.

The other difficulty, is the testing process, as C2 allows only 3 signals (from mémory, not sure), then after you'll have to pay for a testing. And just 3 bullets for this looks not enough.

A bit tricky, fun, but not so easy.

All orders are entered with stop limits and exited with either limit or market depending on the condition met.

I already have the test system on C2, so that is not a problem.

I have received two proposals; one for $500 and another for $800. Be nice to share the cost with another futures.io (formerly BMT) member.

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  #24 (permalink)
United States of America
 
Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009

Here is a typical--and intolerable--example of the slippage one can incur by routing ATS orders from NT to C2.

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  #25 (permalink)
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I've played a bit with the idea, deeper tests are needed (we are limited to 5 signals per system, not 3, I was wrong), but it works.



And a bit nicer than Mike's "old school" method, all is under in the strategy itself, no wget or response file to write.
But Mike has maybe spent 2 hours on it, and I spent much more time on it .

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  #26 (permalink)
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A screenshot to compare the NT test strategy with C2, looks good.


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  #27 (permalink)
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No so good in fact, for trade #3:
- NT: buy 10117, sold 10128 (+11)
- C2: buy 10117, sold 10104 (-13)
10128 was the high of the candle, so maybe it will not be filled in real, ok, why not.
But sold 10104, it's impossible, as we had 10104 only after the end of trade #4.
The cancelled time, on C2, doesn't make sense for trades #3 #4 and #5.
Nor the "Recently Closed Trades"...


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  #28 (permalink)
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Another test, with NQ, 3 ticks of slippage on C2 vs sim account, so no too bad imho.


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  #29 (permalink)
United States of America
 
Experience: Advanced
Platform: NT
 
Posts: 1,149 since Aug 2009

Sam, can you explain what you've actually done in terms of sending the orders to C2?

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  #30 (permalink)
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Zoethecus View Post
Sam, can you explain what you've actually done in terms of sending the orders to C2?

Nothing magic.
The signal happens, the strategy executes a SetStopLoss(), SetProfitTarget() and EnterLongLimit() or EnterShortLimit(), then build the correct URL, and sent it to the C2 website. Just like what Mike has done for MC, it's just a bit faster here because all is made in the strategy, no timers and external .exe needed to send the request to the C2 website.

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