How upload an automated futures strategy to a server to run it 24/5?

Discussion in 'Automated Trading' started by Hiperfly, Mar 31, 2014.

  1. dom993

    dom993

    DTorSwing:

    In general:

    NT7 built-in support for 24/7 strategies operations is limited:
    • It assumes that a single strategy instance can trade a given instrument in a particular account – this excludes running multiple instances with different parameters, and also excludes running different strategies on the same instrument in a given account, as well as taking discretionary trades on that instrument in the account.
    • It works only through normal situations – mismatch between strategy orders & account orders can lead to NT7 disabling the strategy if account orders can’t be cancelled within 40 seconds of restart, and mismatch between the strategy position & the account position are immediately reconciled using market orders, potentially ruining the P&L of such trade by taking entries at an unacceptable price.

    My recommendation is to stay away from NT7 built-in support for 24/7 operations, and
    implement a proprietary mechanism for Position & Trader-Management persistence:
    • Each logical instance of a strategy is identified by a Logical Identifier aka “LiveId”,
    • Each logical instance of a strategy keeps track its own Position & Trade-Management data using file storage tied to its LiveId
    • OnTermination, all exit orders are cancelled, ensuring the position remains unchanged until next restart
    • OnRestart, the strategy restores its logical Position to NT7 from the data on file, can either use the Trade-Management data on file or its own trade-management logic to restore exit orders, and takes appropriate action (strategy dependent) to resolve Position conflicts with the account.


    Re. your existing strategy:

    It would be much easier to discuss on Skype. Feel free to contact me via email (dom993trading "at" gmail "dot" com), and we can schedule a call.
     
    #21     Jan 16, 2015
  2. RedDuke

    RedDuke

    Yep, this is correct setting. You would need to check the logic. There is clearly a bug.
     
    #22     Jan 16, 2015