This method is somewhat like a mean reversion grid- trading approach but it incorporates a little anti-martingale concept and partial profit taking along the way... so that it would not implode when too many contracts are accumulated...also, the algorithm closes both long and short sides at certain interval range to reduce exposure. I was hoping someone who have similar experience in trading 2 accts would discuss further in details how to optimise such a process...(PM me if you want) A question I have right now is how do you incorporate a realtime feedback api in 2 IB accts that trades on interdependent scaling conditions? How fast does does data flow if an Excel spreadsheet is used as an interface bewteen the 2 accts? What alternatives are there besides a spreadsheet? Can the 2 accts interface directly? http://www.elitetrader.com/vb/showthread.php?s=&threadid=102682
That sounds like a common problem for automated trading... anyone want to share their experience in this area? is panic button/abort program function available in automated api programs?
TT has a good Auto spreader and a good auto trader. If you can write the formula's in excel, that is all you would need.
OK, I get it now, but I am still missing something. Why do you need two accounts to trade this strategy?
Hi Scalpmaster, I think your 2 accounts method can be easily automated by smartquant through some simple network programming in exchanging two accounts data. But I am not programmer. Earlier on I thinking of asking smartquant to write such network function code. Maybe I should ask now. I would appreciate it if you can illustrate your method by walking through an example, let say N is 20, and the price start from 1000, first you long 1 lot at 1000, what next...
work out the spread sheet below, but don't quite understand how the N/4 retracement take profit work, and how to roll....
The whole point of starting a 2 sided trade and hedging at various stages instead of just adding positions in one acct is based on the assumption we have no idea where to start i.e. which direction the market is going at any moment in time and even after moving, it changes randomly all the time. i.e. ideally we want reversion to mean but it may not happen. unless someone can show me how to optimise pyramiding (averaging up) on one sided winning acct...2 accts is needed
Yes of course. My trading partner and I have spent three years building an automated trading from the ground up. The ultimate aim was to produce a reliable fully automated system that can trade 24 hours a day in all markets. We started with VB, Amibroker and IB and traded stocks, futures and Forex 24/7 It can be done. The mechanics is one thing then there is the ongoing work on strategies. Deep pockets are needed. We have incorporated Signal Generators which scan for buy and sell signals. Trade Request Generator which determine risk, position size and stops. Exit Strategy Managers which monitor current performance and sends a signal to close the position(s) when required. Portfolio Manager which stores all trade activity, monitors account balances and provides the user interface. Spike filter to prevent rogue prices triggering orders Power back up. Automatic restart and login on loss of connection Telephone alarm in emergency This is even before strategy development and backtesting/forward testing etc. It is a mammoth task and one we sadly haven't been able to complete. I would agree with this too. Good luck!