A guide to computerized Trade Management

Discussion in 'Risk Management' started by Murray Ruggiero, Feb 28, 2008.

  1. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    In this thread I will discuss many issues relating to developing trade management strategies using software based system development platforms. I will be sharing with you these concepts using TradersStudio. I have an idea for topics I plan on discussing. You can also submit your own ideas.

    The first question is why is TradersStudio good for developing and testing these concepts. First TradersStudio has two core concepts. The first is a session, which is running a single system on one or more markets. The next is the TradePlan. Tradeplans allow you to combine one or more sessions and apply Trade Management. More important it runs all markets in parallel so the current state of everything is known and can be used to do things like dynamic rebalancing of a portfolio.

    If you want to see an overview of trade plans, here is a link to it on TradersStudio.com

    http://www.tradersstudio.com/Overview/tabid/68/Default.aspx?PageContentID=21
     
  2. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    Let's start our discussion of computerized trade management. In order to properly apply trade management you need an algorithms which processes the data on a bar by bar basis across all portfiolos and systems. Many products generate all the trades on one pass and then apply the trade management rules. This is not the correct way to do this. Here why, let's suppose we skip a trade in heating oil because we already have a energy trade on, a few days later we exit that trade in natural gas for example. On the next day there may or may not be an entry for heating oil. In addition the trades might be different because the system could have a rule which will not take a short entry for example if your already long. In this case we would go short because we skipped the long trade due to trade management rules.

    This is how TradersStudio handles trade management and why I designed it that way.
     
  3. ive seen this kind of software in school
     
  4. are these softwares pricey?
     
  5. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    TradersStudio works this way and I designed the trade management features myself. The cost of TradersStudio is only $599.00 and we are having a sale until March 5th for only $499.00.

    PS, yes this is for a good forever copy, you buy it once and that all you ever need to pay, unless you want on going upgrades beyond the first year of free upgrades.
     
  6. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    Here is a very simple trading plan. All this will do is combine multiple systems and use the sizing from the system it self without apply any trade management.

    ' TradersStudio(r) (c) 2005-2008
    Sub TS_CombineAsIs()
    Dim S As Integer
    Dim M As Integer

    Dim objS As TSProcessor.ISession
    Dim objM As TSProcessor.IMarket

    Dim DollarPerTrade
    Dim StartAccount

    ' Loop though all the sessions
    For S = 0 To TradePlan.SessionCount - 1
    objS = TradePlan.Session(S)

    ' For each session Loop though the markets
    For M = 0 To objS.MarketCount - 1
    objM = objS.Market(M)

    If objM.activeordercount>0 Then
    objM.NumUnits = -1
    End If
    Next
    Next
    End Sub

    The reason for this is that I wanted to show how we can loop though each session. Each session is a different system with it's own portfiolo of markets. We then can set the object NumUnits to -1. Which means use values set in the session and don't override them. We can do more than just set NumUnits, We can set entry and exit units seperate. If we set these object to 10 we would be ten units. When we are applying money management for example percent risk, we use a formula to set the size and then we can set the entry units to the results of that formula. We also can set exit units seperate which allows for partial exits.

    In future posts I will discuss more advance topics and show you the full power of this system.
     
  7. The language looks like Visual Basic for application. Where can I see a complete list of objects which are available from a Trade Plan.
     
  8. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    If you are registered on the web site you can go onto the document tab and download the language reference on line help.
     
  9. I have downloaded the language reference and will be going through it.

    Can I ask and post questions here, on ET?
     
  10. I use TradersStudio all the time.

    I have a suggestion for Murray. During system development I code, check syntax, save, and run. I do this over and over. I really only need to see a message box if syntax checking fails, so why do I have to click "OK" after every syntax check? Also, when I save my program, another stupid box opens up asking me about a password. Another useless mouse click. These may seem like minor issues, but when you stay up until 4:00am running test after test, all that extra clicking gets really old. Why can't I just hit "F3" and save and check syntax at the same time, a la TradeStation?
     
    #10     Mar 6, 2008