Help on Automating System on multiple instruments

Discussion in 'Automated Trading' started by Shirak, Jul 6, 2011.

  1. Shirak



    I'm thinking of automating the way I trade into a black box but I have no idea where to start from.

    I trade all available futures markets on a daily basis (based on daily chart) and hold around 8 positions on average.

    I not only require trade entry, management etc, but also portfolio calculations on correlation and position sizing.

    Where should I start from? (BARE BASIC, I'm not looking to learn how to programme myself, but am going to either hire a programmer or get a programming firm to do it.)
    Which platform is the best for this?

    I'm currently trading on IB and have NinjaTrader subscribed to test it out. Am considering CQG. Suggestions?
  2. nielsb


    Have a look at TradeLink. If it doesn't do exactly what you want, you can change it (relatively easy) as it is Open Source.
  3. IB has an Application Programming Interface.

    That means that a programmer can hook into IB's TWS, and automate the orders for you, just like you were entering them manually.

    No extra software cost.

    You just need to find a programmer.

    Failing that, IB can also hook into Excel.

    If you know Excel pretty well, you may be able to build your system yourself using macros.

    If you're profitable trading manually through IB, then either of the suggestions above should work out ok.
  4. Shirak


    Any idea where I can find such a programmer?
  5. Uses IB API

    I have it 90% complete now just testing and cleaning up a few things. Would be a good code base for you to start from.

    Its fairly straightforward for you to change the strategies.

    Let me know what you are trying to do. Note this can trade time frames of 1min bars and grater and manage on 5sec bars or greater.

  6. It really depends on how much you want to spend, and what your minimum requirements are.

    * May be worth having a go yourself using Excel macros first -- which is not really programming. IB provides an example spreadsheet that hooks into TWS. It's somewhere in the API section of their website. No cost.
  7. Lornz


    Yes, CQG would be a good choice...
  8. classact


    Hello, I used to trade on 3-minute charts using technical analysis and now that I'm playing with an IB feed and NT, I'm wondering what popular or common timeframes people are using for FX or futures?

    I orginally wanted to build 3 months worth of tickdata on the majors and trade off that. But having read some other posts, I noticed people are trading off other, longer timeframes.

    Provided people are trading off N-minute timeframes, my follow up questions would be:

    1. Are your indicators/strategies purely operating off the closing price of the bars and not intra-bar (ie, analyzing each tick before the bar-close)?
    2. Are your signals being generated purely at the end of bars?

    I'm new to this forum and I sincerely apologize if I missed another thread detailing these questions. I'm a seasoned coder and I'm merely looking for whatever guidance you all can kindly afford so I can start off on the right foot in building my strategies.


  9. I think it could be rephrased as "I am taking some data samples. Where should I take my samples?".

    To which I would say .. in the absence of transaction costs .. it doesn't really matter.

    * Note the IB does not supply real ticks. They are snapshots. But again .. that probably doesn't matter .. other than to say, you could probably happily build you system using *historical* 1 second data.
  10. I trade part of my automation in the winter on IB and Multicharts. MultiCharts allows you to use TradeStations EasyLanguage which many programmers can easily learn. TradeStation has a whole group of qualified programmers and there are numerous around.

    I was in IT for 35 years and have programmed for many ET’ers. But I am going away in a couple of days to pick up a Bass Boat and will be ‘gone fishin’ most of the rest of the summer.

    Best of luck to you.

    #10     Jul 7, 2011