I wish to automate a strategy that monitors potentially thousands of stock symbols intraday, and enter if any of the equities touches a pre-determined price level. The price levels are calculated the night before so real-time calculation isn't necessary. In "theory," this strategy can be executed by entering say 1000 limit or stop orders the night before and just wait to see which ones will get executed. Apparently that is not practical at all, but I am just using that example as a concept of what I am trying to do. I have been testing several of these "basket" equity trading strategies using AmiBroker, which handles multi-symbol testing seamlessly. However, I am under the impression(I might be wrong) that most automation software packages, like NT, OQ, cannot handle that many symbols easily, since most people use them to trade futures or forex, which have a lot less symbols than equities. The only solution that I am aware of is RadarScreen built into TS. But I don't want to use TS due to its high cost and other limitations. Does anyone know of any automation software that can do what RadarScreen does? Or does anyone have any suggestion as to how I can fully automate such a "basket" trading strategy? Thanks in advance,
rosy is right... IB would work, you can monitor usually 100 symbols by default (at once), but you can upgrade this. I would imagine with IB they could handle you posting that many orders... in any event it would be simple to test.
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Thanks for the replies. NT's Market Analyzer seems interesting and could potentially fulfill my need. Does it have any limitation on the number of symbols being monitored simultaneously? IB would be a solution too. But if I am not mistaken, by default IB only allows 100 symbols real-time streaming, or 200 symbols if your account size is huge. Any other comment is welcome.
This might be a dumb question, but NT's Market Analyzer is a "scanner." Does NT have the capability to trade automatically if any symbol in the scanning list touches the pre-determined entry price? Since it's impractical for any human to stare at the scanner of say 1000 symbols and make trades, the trade automation is what I am really looking for.
NinjaTrader itself has no symbol limit. You're limited by system memory and your data feed provider. Yes, NinjaTrader has automation based on your trading signals in Market Analyzer. You create or use an indicator that is added to a column in the Market Analyzer. The indicator can trigger an automated trade.