do you use other time series than price and volume within your ATS?

Discussion in 'Automated Trading' started by man, Apr 1, 2008.

do you?

  1. yes. i use exogenous timeseries in my ATS.

    11 vote(s)
  2. no. price and volume only.

    19 vote(s)
  1. man


    i want to know how many people use exogenous timeseries. by
    that i mean everything but price and volume as the basic ingredient.
    please note before answering that every indicator derived out of
    price is not such another time series, since it is price based.

  2. You wrote "Price/Volume", what's the degree of the data you're referring to??? Bid/Ask Data? Intermarket data? Market Sentiments like TICK, TRIN?

    Anyways, let's start with you. Do you use it and how/what do you use it?
  3. man


    price only so far. and i must admit that i still have a
    human trader (at my broker) executing my orders. so
    i am by strict defintion not a real ATS ...

    i trade on 5min bars, which enables me to manage more
    money without going into the process of building my
    own vwap machine.

    i am running systems on daily data as well and tried to
    incorporate exogenous tine series there first, but it did
    not turn out attractive enough. now i am doing two
    things on intraday: first move done to higher frequency,
    since my current systems are just slightly positive for
    the year so far, which i find embarrassingly poor given
    these distortions and ranges we see. so i am moving
    down and start order routing in a first version with a
    matlab connection to IB on a 25k account. plus want
    to integrate exogenous stuff on intraday. and the current
    state of the poll is highly motivating in this respect ... :).

    and the thread has fulfilled its purpose for me. thnx
  4. man


    (i am the only one crossing "no" in the poll so far. ... :))
  5. man


    i see "exogenous" as everything that does require additional
    information than the trading activity of the instrument
    at hand. so price, volume, bid/ask and so forth are coming
    from trading this instrument. everything that requires
    information on other instruments (single stocks, options
    or completely different instruments) i would call exogenous.
  6. rickty


    Matlab to me seems rather slow; how short of a time period bar do you think you can go to when using Matlab?

    By the way, what software are you using to interface Matlab to TWS?

  7. Thank you for your clarification.

    My answer is yes. I trade global equities, futures, FX and some options. I am required to used "exogenous" data under portfolio, system and trade-by-trade basis.

    80% of my trading is automated.

    In terms of portfolio, I have a grand portfolio "model" that monitors my overall exposure.

    In terms of systems, I have both outright and stat. arb (pairs) trading.

    In terms of trade/trade basis, I have smart routing (multiple liquidity vendors/broker/dark pool) and algo. order models (VWAP, TWAP, Pounce... etc. etc.).

    I have a few other things going on but you get the idea.

    The other 20% is my own human aspect. I focus on the "non-computational" aspect of trading. I, myself, is the best pattern recognition and discrete AI out there, monitering underlying risks that my programs can't catch. And of course, I'm both the programmer and system developer for my trading.

    Until a few years back, I was a fully automated trader. But now, it's a matter of having a clear cut balance between my "expert system (computer)" and my "AI (human)".
  8. es175


    Very interesting...

    How do you manage the AI/human function?
    Do you apply that kind of decision making within predefined parameters / specific situations?

  9. [threadjack]

    es175, would you happen to be related to es335? Just curious... :D

  10. man


    its name is TWSlink. someone within my team is doing
    it, maybe he will post details ...
    our other stuff on trading is all C++. but C++ is currently
    a horrible bottleneck here. and the matlab-IB is just to
    get our feet wet in ground below 5min. will be very simple
    stuff to begin with. i want to know about slippage, order
    types - you know, all that basic stuff. we never ran
    anything fully automatic. so we are admittedly a little
    overexcited. the "virgin"-effect; no matter how bad
    the lover, it is first time ... :)
    #10     Apr 2, 2008