Fill Engine

Because the price did not go down "enough" for a new entry (where "enough" is governed by a user parameter).

Tom

 

I am a bit lost by "user" parameter?

This is a backtested system - where you have chosen the "enough" parameter isn't it?

 

FullAutoTrading, Thanks for pointing out this thread which looks like something I’d be interested in. I’ll have a good read of it tomorrow …

OK, thanks maninmoon. Then I’ll re-phrase my own question:

Firstly, by “fill engine” I mean an algorithm used in simulations (or backtests) to simulate whether or not a limit order placed at a certain time, price and position size gets filled.

Is this what you both mean, too? If it isn’t what you meant, please ignore the rest of this post, and I shall disappear silently back into that dark place from which I have come ...

And I understood maninmoon also to be asking whether those with experience using or developing such “fill engines” found good agreement between fills that actually occurred in “live” trading and those that the “fill engine” simulated when run over historical data corresponding to the same period. Is that correct?

My own questions were
1) “What rules does your fill engine use to determine whether a given limit order fills or not?” and
2) “What market data is required for your fill engine to operate?”

 

Yes, i fixed some "preferred" parameters doing simulations and choosing what seemed better to me. But they could be changed at will (also depending on the target max drawdown).

See for instance: <a href="http://www.datatime.eu/public/gbot/Strats%20G-BOT/default.htm"> rules </a>

I am working on these (and other) aspects all the time and i add/modify continuosly new rules, to improve performances.

Tom

 

For instance the Mini folio closed just recently (i haven't posted this on the main thread yet

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3122949" width="1200" />

Probably it's better to post questions on this on the other thread so the other interested people can find the material more easily.

I have no problem asnwering here too, anyway ;-))

As many of you know well, one of my points is to "prove" that we can trade even using <b>no indicators</b> at all, and considering prices as unpredictable, or even if predictable, <b>disregarding any prediction info</b>.

I know this sounds heretic to many traders or quants, and one of the brave fund manager trading with real money my application has defined jokingly my simulation results as "disturbing" (with reference to the fact that i trade there against pure random walks). But that is the "extreme consequence of a pretty radical approach i am following.

Tom

 

Hi Tom,

Could you explain a little further why you say your approach is radical? I thought this was a variant of swing trading?

 

Well most people use directly or indirectly some form of prediction. There are many people that if you tell them to test their strategy on random prices will think you are nuts. )
To me, instead are nuts the people who use, even indirectly, "prediction" (in automated trading; discretionary trading is all another matter .

Tom