Automated trading based on "footprint"\market profile.... which way to go?

Discussion in 'Automated Trading' started by Imba, Apr 28, 2009.

  1. Imba


    Hello people!

    Can you guys please reccomend me something?

    I have a strategy which is based purely on "footprint" volume information (or it can be based on "market profile really).

    Its quite simple tho. At the moment i`ve tested it for a few weeks on my "live account with NinjaTrader. Things goes well, but im forced to do a lot of work by my own.

    Unfortunattely, even "automated trading wizard"(in NinjaTrader) cant help me anyhow with my hopes to put my strategy onto fully "auto-pilot" mode :)

    So, i wonder, is there any kind of software\trading platform, which can help me create a UI which will trade based on footprint data only?

    At first i was thinking about MarketDelta platform, as i`ve understand they have functions to develop and backtests such ideas. Well, its great, but i dont actuaaly need to backtest it, i need to trade it :(

    im kinda new with all these "automated" stuff, since i`ve daytrade quite "slow" intradey movements onto ES for the last 1,5 year and never needes such things before.

    So any advice, which platform i need to look at?

    Or which other possible ways to i have to bring my idea into life?
  2. Häh?

    Unfortunattely, even "automated trading wizard"(in NinjaTrader) cant help me anyhow with my hopes to put my strategy onto fully "auto-pilot" mode :)

    That sounds like you think the autoamted trading wizard in NT is the "real deal". It is not. It is a way to enter the more simple strategies.

    For more complex things, run through the wizard, press unlock and edit the code. You can do a lot more on that.

    I think NT is pretty bad, and I tried and had a ton of issues around the development and bugs, but seriously, you should at least try out the "real" ninja trader, not just the strategy wizard for easy things (which I find not that easy - once you enter more complex conditions I lack the overview of real code).
  3. I have similar ideas.
    For my ideas i would need a (self-written) program that reads all Time&Sales data and reprocesses it in a way to get support and resistance out of it. I would end up with a realtime-database of possible support and resistance areas.
    Furthermore the software would trace pricetrends (higher high, higher low, ... and vice versa) on multiple time- or volumeframes and monitor the volume of the swings. Also the software would automatically calculate and trade trendlines and channels.

    There are many substantial difficulties with this approach:

    First you have to code everything yourself (or pay someone).
    Backtesting is also not too easy, you would need the Software to be able to be fed with historical Times&Sales data.

    But i think in about 3-5 Years this could be doable for me. I'm 20 years old, have 1 year of daytrading under my belt and begin to study Computerscience and Economics.

  4. Nice approach.

    This is basically where I am, just I am nearly 40, with a lot of experience in IT and the infrastructure for it. Current phase: Historical price database, next step: life feed integration, then backtesting etc.

    But still, this could possibly be done in ninja, but not with the wizard. That is really too simple for that type of approach - it is a simple wizard, not the "real" thing.

    And the real thing I would hate doing in Ninja script, thanks to the total lack of proper programming support that I am used to ;) I need a real IDE.
  5. You need to go to SmartQuant. It's a much more sophisticated ATS than NT and can probably be a better fit for your needs.


    For the OP, I sent you a PM of a NT consultant. You should give them a ring and see if they have what you need. For anyone else looking for the info, just send the OP a PM and hopefully he will be kind enogh to pass the info along, but the board shouldn't be spammed with their services, so I won't list it.
  6. That sounds nice. I am willing by now to give Right Edge Systems a try, and will add SmartQuant to the test list. Essentially I want to have my own backend (data store, feeds etc.), so I will have to create my own data interface into smart quant, but that should not be too hard ;)

    Nice. Thanks for pointing them out to me.
  7. open source is a good way to go for DIY.

    check it out

    you can build grey boxes with UIs to... here's an example w/code included:

    supports 6 brokers, tick-based so you can do time and sales analysis, fast tick-based backtesting, tick archival, etc. etc. all componetized, so you can easily build your own apps (or modify existing ones) if you want.

    neoticker also has a very nice platform.