Who wants to program my Profitable Trading System?

Discussion in 'Automated Trading' started by scalpmaster, Aug 22, 2007.

  1. I think you should understand that autorecovery possibility depends on your strategy algo and thus your strategy should take care of it. Indeed a platform should be able to reconnect to a data provider or broker after connectivity problem (it's built in into FIX protocol btw) but what should the platform do if your strategy has lost some data during shutdown time? What would a swing strategy do if it doesn't know where the market is / was? I would say that one of the best solutions is to cancel all outstanding orders and re-start a strategy...

    Regards,
    Anton
     
    #21     Aug 30, 2007
  2. Why? Auto swing strategies are the least susceptible to brief data loss.
     
    #22     Aug 30, 2007
  3. Depends on how brief is brief :)
     
    #23     Aug 30, 2007
  4. True ... and the time frame being traded.
     
    #24     Aug 30, 2007
  5. lindq

    lindq

    I put a lot of time into automating my system, which is not a particularly complicated system.

    But there are far too many obstacles to let it ever run unattended.

    For example, in one instance I had a very brief and unusual cable provider outage that left a hole in my data and failed to close two trades. A few times I had data spikes come through that triggered trades that should not have been entered. One morning I had an unusual software crash, and when the system restarted it re-entered all trades that had previously been entered.

    Some of these and other problems can be solved with good engineering. But not all of them. And there lies the danger.

    You don't know what you don't know. And just when you think you've got everything covered, an element completely out of your control will put you into a bad situation.
     
    #25     Aug 30, 2007
  6. Perhaps a swing trading strategy is not the best example but my point is that it's hard to automatically recover if your strategy missed critical data or failed to submit orders / open / close positions that can influence future strategy logic. Sometimes in such cases pressing panic button is the best solution IMHO.
     
    #26     Aug 30, 2007
  7. openquant,

    please describe the recoverability features of openquant
     
    #27     Aug 30, 2007
  8. I would program and test it for you, but the method needs to be defined more clearly. As someone already noted, there is no indication of how the "trend" and the trend "reversal" are identified.
     
    #28     Aug 30, 2007
  9. jmoo

    jmoo

    can you post a quick hypothetical on this?
     
    #29     Aug 30, 2007
  10. it simply means real time market movement/direction ...
    i.e which direction are the tick values heading at that
    moment...

    nothing to do with trend lines or minute/hour bar,candlestick,etc

    my basic concept does not depend on TA at all...even though
    my improved version will include market internals,VIX,etc as
    parameters.

    it is to be profitable by virtue of averaging alone (though there
    is a weakness to be overcome but you need not worry about that
    for now)
     
    #30     Aug 30, 2007