are you working with JSystemTrader or are you starting from scratch? Any reason you're going with Java? Is it familiarity with the language?Are you using IB for both historic data and live data provision? P.
Oh interesting. I didn't realize that JSystemTrader was a Java framework to use with the IB API. I'll have to check that out. Yeah, right now my system is developed from scratch in Java. I prefer Java because I'm a software engineer and I'm comfortable with it. Plus, a pure language gives you so much more power. No, I'm not using IB for historic data, only live data. My backtesting thus far is pretty much being done by hand, but eventually I'll automate that as well when I get the time. I'm in the process of defining my statistical analysis strategy first.
sounds like its all in hand. Yeah JST is from what i can gather a pretty common base used in the development of java ATSs. I was a programmer years ago and have spent time in banking since. I'm looking at C# myself at the mo. and specifically openquant. though i have no experience of C# and will have to pick up a book and transfer my knowledge of Java/c++. OpenQuant comes with oodles of documentation and i'm hoping that'll bridge the gap in my programming knowledge!
First, I've got my first iteration of my automated trading system up and running. Right now, when I submit a trade, the system will automatically set up my stop loss and limit points. I've also gathered some preliminary statistical data. So far, my system is a bit too rigid. I'm next going to refine it to factor in volatility. My results for this week. Not such a hot week, but a learning experience nonetheless: (Note, I'm only willing to risk 10% of my capital at this point. Until I get more confident in my trading, I don't want to risk too much. So, I've also incorporated a "paper trading" consideration into my trading. These are trades that I could afford to make and would make if I was willing to risk more capital. But I also want to "consider" how these trades would factor into my real portfolio of trading if I were to take them, so I'm including them in my trading results. I'll note the paper trades as necessary.) 9/10: Sold half of IHS for 2.5% profit. 9/11: Bought ANGO at 19.15, Shorted FDS at 56.95, Shorted RHT at 19.25. 9/12: Sold remaining IHS for 6% profit. Sold half of ANGO for 2.5% profit. Covered half of FDS for 3% loss. 9/13: Shorted KBH at 26.45. 9/14: Covered remaining GS for 9% loss (I really screwed this trade up. I got in at the wrong time and it was before I had my system functioning, so I lost track of it a bit. Good data acquired from it though ) Covered half of KBH at 3% loss. Bought PAYX at 42.71 Bought ESIO at 22 (papertrade) Shorted TXI at 71.5 (papertrade) Sold half of ESIO at 22.55 for 2.5% gain. (papertrade) Since my position sizes are all essentially the same size, for simplicity sake right now, I'll calculate gains and losses as a straight addition, subtraction. -1.52% for the week. My goals for next week. More data, more data, more data to better tune my position points. Bear with me through the sloppiness and chaos that is inevitable over the next few months as I refine, polish, fine-tune and organize my trading!
hi strongtrade, i have a few questions -did you develop your application from scratch yourself? -what language did you use? -what broker are you using? -what historical data provider are you using? congrats on your progress man. It sounds like your getting places. P.
Your system should be more discretionary. You need to watch sentiment to find the general direction of the market, so you can pick trades that go with the tide. Your financials and homebuilder trades would not have been taken if you would have seen the bid in financials all week.
Yes, my application is developed from scratch. I'm using Java and the IB API. For historical information, right now I'm not concerned with real-time data as I'm swing trading, so I use historical information from yahoo on the stocks I trade. Also, I have an account with Scottrade as well which from which I use their tools.
Thanks for the advice! I do understand what you're saying, but I'm a bit hesitant about trying to "predict" direction. But you're right, with the Financials and homebuilders, it was completely the wrong time to make those trades. I think my main issue is that I need to look a bit closer at the setups as they're happening. I'm trying to be strictly mechanical, so that may "hinder" some trades in some ways.