A project for you techies

Discussion in 'Order Execution' started by nimrod, Sep 17, 2005.

  1. nimrod


    Current setup: ESignal + proprietory gizmos; IB/TWS; Button Trader.

    Current useage: Futures day trading - profitable and therefore prefer to implement/test the project using as much of current software as possible to avoid major disruption of new learnig curves etc.

    Project: To automatically initiate user defined spread trades based on simple signals (usually just a threshold spread value). Each filled trade to include simultaneous orders to close based on similar signals defining target and acceptable loss + optional time triggers.

    I have had some success trading such a system manually. However, the chosen instruments and timeframes (strictly intra-day and oten lasting just a minute or two) often require 6 separate orders placed within a few seconds and fat-finger errors are one of my biggest problems (not to mention seriously concentrated screen-watching).

    Other problems with current setup: I can automate the initial order execution from Esignal but the ESignal data-feed is not the TWS data feed. Result - 'slippage' can be magnified; whereas the success of the system is largely a function of keeping slippage to an absolute minimum (in practice swings and roundabouts spring to mind since it also operates in my favour quite often - nevertheless I am uncomfortable using separate data feeds for signal and execution, especially when using market orders)

    Button Trader is superb for handling complex bracketed orders and it executes them from TWS/IB data, but it does not handle integrated spread trades (Yet). Also, I don't think there is any API access to its functionality.

    Any constructive suggestions/observations gratefully received.

    Thanks in anticipation.
  2. nimrod


    It seems that Trading Technology's XTrader/Autospreader combination does what I want. Only obvious problem is it means using a different clearer.

    Anyone have experience with it?
  3. gryphes


    Don't know if this will help but I believe I read somewhere that you can use esignal EFS scripts to call an outside DLL (i.e. a trade triggers from the EFS script and then the script calls the DLL function to generate the trade). The DLL could then call the TWS API to enter the trade and create the stop/targets etc. A coder with some script & API experience should be able to implement it without much trouble. Good luck.