Automated System With Limit Orders

Discussion in 'Automated Trading' started by mindfull, Oct 15, 2005.

  1. mindfull


    I use TS 2000i and developed a scalping system which uses limit orders.

    The 2000i simulation is wrong in the sense that any trade at your price is 'done'. In real trading you could be very far up the queue and never filled.

    Can the latest versions of TS correctly simulate/handle limit orders? [Of course the data requirements would be considerable]
  2. Neither Tradestation nor any other software can do

    The only way to get a clear pic, you have to have the
    right data for it. Your need to have data quotes, not
    just traded price data.

    It will be a large data base, so No charting plateform
    offers it. You can buy from internet, it can get very
    expensive unless you are buying on groups.
  3. KS96


    Add a rule to fill your order with a probability,
    let's say, 20%. That will do for backtest purposes.
  4. I think it's a useless idea, Can you explain more?
  5. mmillar


    There is a (free) add-on to TS 8.x called 'Collections for EasyLanguage' (ELC) that allows you to simulate what you want.

    It works by peaking one bar into the future to see if the market price went through your limit order price. If it did you can place your limit order knowing it would have been filled, if not you can either not place the order or place it based on a %age.

    There is post describing how to do this here (you will need to be a TS customer to read this)...
    A method to more accurately reflect limit order fills
  6. Backtesting most scalping systems is difficult. You need tick data with depth levels to do it properly, probably far beyond Tradestation. What you can do to ensure a fill is see if the price traded beyond your limit price. If it did then you know you'd have been filled. If not, then as the previous guy said you could assign a probability to it (assuming you only had 1 min data) and couldn't track the fill.

    Bottom line: Develop an automation platform and papertrade it for a while with realistic simulation of where you are in the book. If its a winner, flip the switch and start printing money.

    We can talk more by PM if you'd like some other tips and results.
  7. I checked the link, but i couldn't understand the how
    coding works. Few sthing i like to know are:

    -how you would know for how long price stayed there
    (like 0.10 sec to maxmium 1 seconds)?

    -and how much volume were excuted at that level and
    what as best Ask/bid volume prior to that excution, to
    see if we had chance of getting our shares in any rapid move?

    -How the percentage method works?
  9. mindfull



    Have anybody tried SmartQuant? Just glanced at their site & they may just have the data and the platform at USD 300 per month.
  10. mindfull


    Peeking forward for a fill thru the limit order


    assigning a probability that a price touch is filled sounds like a practical compromise.

    Also easily tested, now if I can only remember where I put that DLL to look forward 1 bar. :eek:
    #10     Oct 15, 2005