CEP=Complex Event Processing .... it can take Full Order Book Data... not just Top of book or NBBO and with each incoming tick analyze it, look for the specified pattern within the model and execute according to the model... clearly, this require ultra low latency... I would love to say that I am well versed in options but in reality, I am not... I can do basic and simple orders with options... but I understand what you say though... a buddy of mine makes markets on softs options and he does all that and I had to read up on it in order to understand him at times...
it seems there is a great divide between guys that are strategy based traders, and options vol traders... like there is not one guy from the options forums that posts in the strategy threads.. yeah.. what your talking about applys to options as well. . its like spread trading from the underlying to one series of options to themselves to another series from another expiration then on to dispersion across many single names to the index.. vix futures.. variance futures (soon), spy , spx, es, options on all those.. and then all the constituents of the index and there respective options.... .. and on and on and on..
ofthomas is right re getting the platform that's best for you. there's no best platform for everyone. for example, scalpers pretty much need 3 things in life - food, water and xtrader. if your timeframe is anything above scalping the cost/requirements/data feed go down a lot. for those considering nt and want tick/vol bars, consider kinetick for data which is just the iqfeed rebranded but optimized for nt's platform.
Good post. My 2 cents (FWIW). I started on NT years ago because it was free and I could get the zenfire feed at nominal cost. Regarding the SIM - I run 2 machines side by side. One making live trades and the other letting the Ninja sim algorithm decide on the fills. Both machines run the same automated strategy on the same instrument. I compare the differences every day. So far - there has not been enough of a discrepancy to cause me to distrust the sim (at least for my particular strategy)
I'm curious about this. How frequently does your algo trade intraday? Are you sending aggressive or passive (limit) orders? Or something in between?
NT for discretionary trading is fine. I own a multi-broker license and quite happy with it. It has it's limitations in terms of ATM Strategies having max 3 targets, etc. However it should be fine as long you are not trading huge size and need tons of scale out points. I don't think it is stable for automation though.
the limitations are more than just in terms of strategy management... try charting a spread, like 2s10s... or better yet... try doing pairs with it IWM:SPY... or conditional orders across markets... you will run across limitations rather quickly... that is not to say that is perfectly fine for things like trading a single instrument... but I wouldnt use the generic term of "for discretionary trading is fine" without knowing what the other person is trading...
I would not glorify it by calling it an algo. I simply wrote the code to execute the strategy 1-5 trades per day If it loses early it does not try to catch up If its winning it keeps going Entry, Exit, Stop are all market orders
Yea, my experience is mainly with trading futures, index and energy and single equities. I should have stated that. I don't deal with pairs or spreads or whatever exotic combos there may be.
Thanks, I was asking since sim vs real execution topic was at hand. Since you're doing all market orders it should be nearly the same unless the market is moving quickly.. I was interested in case you were using limits, as I've seen NT give very favourable fills in simulation before for limits. Wondered if they improved that recently.