I've been developing a relatively conservative trading system on the Tradestation platform for the last month. I finally felt ready to trade it when I came across some advice from people I respect which made me think my entire concept of automated trading was wrong. So, I wanted to put it out to this community to hear some more thoughts. Basically - I can't be at my computer checking up on the trades every day - but for the most part my first system was an end of day system with a morning buy, evening close sells, plus stops. I wanted to advance further as time went on to a intraday system - but even that I expected could run on it's own. So - I am looking for a reality check to these questions: 1. Is it unrealistic to think I could do an End of Day system? 2. Is it unrealistic to think I could let an intraday system run on it's own? 3. Are there failsafe programs that can help? Perhaps something to alert me if the system goes down? 4. I quite like programming in EasyLanguage and found Amibroker a little bit... less familiar... is there some other system I should be considering or is this simply not an issue with the platform and just an issue with the nature of automated trading. If in your response, you could note if you are actually autotrading successfully or not - that would help because I realize often people will talk about things from theory more than practice. Thank you!
It is possible to creat an EOD or intraday automated system, though it may require quite a lot of coding. We are running some realtime intraday systems in our trading, according to our experience, we feel it is quite possible to walk away from the computer and do other works during trading hour, let the AT systems work for you. But you'd back not go far away from the computer. There are some risks involved. 1--internet connection If internet connection is broken , you need to get an alert and close the position by phone . 2--fast running market If the market moves very fast, high-frequency trading systems may miss some trades, depending on your trading rules/codes, it may need some manual care 3--electricity powen off well , this is not a very likely situation. 1 and 2 are the major reasons why we need someone to stay near the computer during the trading hour. We use tradestation as well as Amibroker
I have trading systems running all day while I'm at work. I monitor them periodically but generally they're fine. I have dual internet connections just in case and my trading PC has RAID drives as well as a UPS in case of a power outage (I also have a web power controller so I can reset the power on devices remotely if needed). I can also remote to my PC from outside using my smart phone/PDA if needed. There are quite a few posts about this type of thing, feel free to PM me if you have specific questions. SSB
Computers and software are not 100% reliable and never will be. Outages can occur at anytime: At your PC. At you brokers systems. At the exchange. Another common problem i find is software updates, either when you update your own software or when your broker does a software update. This code fix breaks something you didnt expect. The problem might only manifest during the trading day and you might miss it. I like to check things atleast once an hour, there are rare days when i might not check as often but as a rule i try to check as often as i can, but there is no reason to be glued to the screen the whole trading day.
If your going to run it automated on TS I would recommend being there every minute of the day. I cant tell you how many thousands have been loss from TS messing up an order and not closing out etc while I have been away. However, most of these systems were taking over 5 trades a day. I suggest you spend some time on the TS support page and watch all the videos pertaining to automated strategies. I now use TS for my backtesting and have my systems coded to run on a more reliable platform. I think the best way for an intraday system would be to have a broker run the systems for you.
I have been trading live a TS automated system for a while. For each stock in the portfolio, the system makes a single entry a day, and then exits with a profit target, stop loss, or at 15:50 (end of day). I connect to my computer remotely from time to time. Here are the problems that I had - most of them external to TradeStation. 1. Internet connection lost. I use a cable connection that is quite reliable, but once in a while it goes down. The kind of problems derived form this: if already in a trade - missed the stop loss and forced to close later at a bigger loss, or missed the profit target and then market moved against me; missed entry - potential profit lost. 2. Fast moving market. I trade off of 5min charts and it happened that the entry and stop loss were hit on the same bar. TradeStatin got confused and could not send the stop loss order. Very rare, but it did happen to me. 3. Power loss. I have a UPS that can keep my computer and modem running for almost an hour. Happened couple of times, but didn't last more than 10 minutes. Sometimes the cable modem loses connection too. 4. Error in your easylanguage code. You really need to test your code in real time but without generating real trades. You might be up to some surprises 5. TradeStation gaps in data. Sometimes, very rare, there are gaps in data, that might mess up your entire strategy. I just want to point out that TradeStation lets you send emails for certain trading events. They can be useful if you are away from your trading computer, but useless if your internet connection is down.
A backup internet connection can remove most "ISP going down" conditions (a tree branch taking out all wires to your house obviously trumps that). Having the cable modem and DSL modem plugged into the UPS can help of course. TS definitely has issues with full automation -- I've also had issues where it doesn't close out a position (always on the first bar of the day) so I watch it like a hawk when I see it's close to an entry/exit. In the few times this has happened to me, most were tiny losses/gains, one was a huge win for me ($1000+) so I can't complain too much.....
After I absorb some of this information I will be askng more questions I'm sure. But right off the top of my head.... what are the automatic trading programs I should be considering other than tradestation... strategy runner? neoticker? Are there any or is it totally just the nature of the beast?
I think a lot depends on whether you're able to monitor your trading PC remotely or not. It's a lot easier and safer if you can monitor it remotely from time to time (e.g. using VNC, LogMeIn, or GoToMyPC etc.). It also depends a lot on the risk of missing a signal. If you have a system that trades a portfolio of 100 stocks, missing a signal probably won't wipe out your account. Compare this to trading single forex or futures positions with high leverage... Another tip is to specify a max loss upfront and force a margin call in case you hit this max loss (i.e. by keeping part of your funds allocated to trading deliberately out of your brokerage account). In this way whatever orders your bot will (fail to) generate, you never risk losing your entire capital.
an ats could run from a server based architecture with full comms and hardware redundancy. you can rent a dedicated server for as less as $200/month and that will eliminate most of the technology risks described by other posters. then, it all comes down to the broker and exchange related risks and the market risks. unfortunately those are far greater. most ats are not prepared to handle broker/exchange glitches and most will blow themselves up in those cases. this is why professionals set up an exchange link and multiple clearing agreements so they can virtually avoid these broker/exchange risks. but even in this case, there is still the worst problem of all, the market risk. the market is a living creature that is constantly evolving. despite the amount of backtesting done, it is obvious that no ats is prepared to handle the unknown. that's why no serious trader, either in retail or institutional leaves an ats working unattended.