Hi everyone. basically ive got an automated trading system that has been developed in Tradestation using its formula wizard and i also coded some custom studies and im happy with its backtested performance etc. i know want to try my automated trading system on CQG's platform after quite a lot of research ive gathered that EXCEL VBA is the de facto language in trading and its not necessary to learn JAVA or C# because most higher end platforms have API's which connect with EXCEL. the problem now is obviously going to be translating Easylanguage code to EXCEL VBA to reproduce an identically performing system but on CQG. could anyone on here who has gone through this process maybe share some tips. firstly i dont know any VBA but am going to learn some. do i just need to learn how to program functions mostly in VBA? are recording macros the easiest/quickest/efficient way to go about coding in VBA? once the code has been translated into VBA, how does it then connect to the CQG platform? i only want to use EXCEL solely for coding and nothing else. i want to see the systems buy and sell signals displayed (like i do currently on Tradestation) on the CQG charts. i want to backtest on the CQG platform. so basically once the easylanguage code has been successfully translated to VBA within Excel and after backtesting it shows identical results for x number of years then i want to automate the order execution within CQG. so could anyone let me know if what i want is achievable via the steps described above? i dont know enough about CQG's API and how others automated systems on CQG work so what i would like to demystify is... does everything happen in the EXCEL application by importing a data feed from CQG......OR does everything happen on the CQG platform with the studies in VBA somehow being applied via some "connection" while both excel and CQG are open simultaneously......OR are the VBA studies made into a file type like .DLL or something which is then installed in CQG and then everything is displayed as i would see on tradestation with buy and sell signals showing on charts etc etc? hope someone can clear this up for me and anyone else in the same boat as me... cheers all and great forums by the way!
You have two options: you can convert your Easy language system into CQG Trade System or write your system in VBA/Excel and use CQG API to get market data and take the orders. First option is a lot closer to what you have in mind - you will be able to create your system in CQG, backtest it, validate it on the chart and monitor its progress. Second option (CQG API) is a lot more functional (you have access to all of the VBA functionality) but does require you to know programming language. Why dont you start with CQG Trade System - it is a lot easier to grasp and was designed to be used by traders, so no programming experience is required. And then, as you go deeper you can decide if you want to take advantage of API or not. Feel free to call CQG support and ask for the Application Specialist to help you with Trade System development. Good luck!
From what I gather, trading systems (entry, exits, position sizing etc) can be developed and backtested within the CQG trading systems function, but one cannot autotrade the finished system, especially on a portfolio of 20 or so markets. Is this correct? and if so, how would one move to actually executing the finished system on a portfolio of electronically traded markets?
I haven't used cqg in a while but from what I remember, you can do automated trading just within their system. It's a formula based system of sorts. http://www.cqg.com/Docs/Analytics_UG.pdf
I think you can sort of set up basic autoexecution using their alert trading mode, but actually auto trading a full system over multiple markets can't really be done without having a programmer create a standalone module which would enter/exit positions via the API according to the CQG trading system rules. If someone knows for sure if this is/isn't the case please let me know, as I'm thinking about trying to automate some simple intraday systems in CQG that would be traded over 12 or 15 markets that could easily be coded in EZ language but don't think this can be done within CQG itself. There are some retail programs like Ninja and Multicharts that can link to CQG and do this, but only via AMP futures which, for a variety of reasons is not an option for me.
Personally I think are better escaping from proprietary environments altogether. Today, you have realized that TradeStation is too confining. At a later date, you are likely to decide that CQG is also too confining. Then you will face the formidable task of escaping from it. I would not take VBA seriously - it is basically a Spreadsheet macro language. I think the best thing is to move to a real programming language - probably C# or Java. You can combine these judiciously with Excel and/or R or other tools. If you want to prototype in any of the environments initially though, that can be useful.
Ya man, if you can't develop professional quality Custom Software... You may as well be performing brain surgery on your cat... It's roughly the same level of stupidity.