[Pedro01]

Hi All

I have gotten to the point in my trading strategy automation where it feels as if tradestation is less of a fit that it should be and I am wondering if this is just me being dumb or if TS isn't the tool for me.

So a little on my strategy (without spilling the beans).

part 1 - a radar screen with a list of stocks being rated (feeding info to global vars) as well as calculating position size for each stock considering my basket size, my account size, risk per trade & some stock specific items
part 2 - a mutli time frame look at an index which gives me buy & sell signals

When I get a buy or sell signal, I go to my global vars, look at my ratings & then place buys or sells on the radar screen stocks. I also set target prices for my stop loss & scale-out of a profitable trade.

Global variables are slightly painful but if you handle all that in functions you can keep it consistent & away from the body of your code. What is a pain is the fact that you can't use strategies for this kind of system as you can't attach a strategy to radar screen, nor can you trade a basket of stocks in a strategy from a single chart. Note that I wouldn't want my strategy on the radar screen as I want my trade issued based on the action of the index, not wait for the next tick on the symbol to issue my order. So, I am using order macros and I am having to do the following:

On placing a trade
Store number of shares traded in GVs, then keep checking for fills. As you get filled, place stop loss orders at the appropriate levels as well as storing the average price.

On scaling out
Cancel your stop loss order
Place a sell order for 75% of your position
Put back the stop loss on the remaining 25%

Of course, this doesn't actually work as the order to cancel the stop loss takes a while & if you send your sell order straight after that, it gets rejected as the stop loss is still there.

You can't seem to queue orders and have them executed in sequence, nor is there any way to automatically scale out which to me is a fairly common thing to do. It seems the more I try to put in smart trade management into a strategy, the more I have to do myself. Note that I am obviously more of a coder than a trader and so it is entirely possible I have missed something obvious such as an order type that does exactly what I want.

I guess there are 2 ways forward - scrap TS in favour of something with the features I need (and I have no idea what that is) or write my own/buy a better trade management API than the one provided with TS.

Has anyone else encountered similar issues and resolved them ?

Cheers

Pete

[tradelink]

I have customers who use tradestation radar to get entry and exit signals, but then post orders to other brokers who have better order management than TS.

doesn't solve everything you mention but it can provide more control, which seems to be mainly what you're looking for.

here is the software they use http://tradelink.googlecode.com

it's open source and it works with Assent, IB and Sterling providers (echo, cybertrader, etc).

[Pedro01]

Thanks for the post.

Am I right in presuming they use TS2Ki with IB ? I do like the features of TS 8.3 BUT if I use tradelink to another broker, this does mean I'll end up paying for tradestation as I won't be using them as a brokerage.

Saying that, I could port my code back to TS2Ki but it does worry me that TS2Ki seems a lot less reliable than the later versions, I hear from friends all the time that their 'global server' program falls over all the time.

Ideally, a proper trading API (with confirmations back) to the tradestation brokerage would be ideal.

[Trader333]

Pete,

Try have you tried modifying the stop order to a market order to either sell or buy ? This would be quicker to execute in my view.



Paul

[Pedro01]

Hi Paul

It's probably easier to explain this if I show an example of the trades:

When I get a singal, I place a trade. Then I wait for the entry place & place a safety stop loss.

Initial Buy : .PlaceOrder "Action='Buy', Account='SIMxxxxxxM', Symbol='MNT', SymbolCategory='Equity', OrderType='Market', Quantity=560, Duration='Day'"
stop loss: .PlaceOrder "Action='Sell', Account='SIMxxxxxxM', Symbol='MNT', SymbolCategory='Equity', OrderType='Stop Market', StopPrice=30.43, Quantity=560, Duration='Day'"

So I have my buy & I have my stop loss. Now let's say I'm really lucky & my target gets hit - maybe 20-30 minutes later. What I want to do now (and you will recognise this) is to sell 75% of my position and put a stop loss on the remaining 25% at entry +2c. The problem is that I can't sell 75% of my position because I have an outstanding sell order on the stock (the stop loss).

So - as far as I know, I need to cancel the stop loss order, then issue the sell order for 75% of the position and then put back the stop loss on the remaining amount.

Cancel Stop Loss : .CancelAllOrdersSymbolAcc ount MNT,SIMxxxxxxM
Scale Out : .PlaceOrder "Action='Sell', Account='SIMxxxxxxM', Symbol='MNT', SymbolCategory='Equity', OrderType='Market', Quantity=420, Duration='Day'"
New stop loss : .PlaceOrder "Action='Sell', Account='SIMxxxxxxM', Symbol='MNT', SymbolCategory='Equity', OrderType='Stop Market', StopPrice=30.79, Quantity=140, Duration='Day'"

This occasionally fails because I send the orders to the TS servers using the PlaceOrder macro but the cancel stop loss has sometimes not yet been processed by the time it gets the scale out. I can't seem to see any order type that will let me do this.

I could actually send the cancel stop loss and then wait for it to be processed but I don't see any way to either see if the stop loss is still there OR get confirmation it has been removed. Without either of these, my only option is an arbritrary pause in the code of let's say 10 seconds to ensure the cancel stop loss has plenty of time to get processed. That's not something I want to do though - who wants to wait any amount of time to get out ?

Anyway - I'm a bit stumped and fearing the worst !

Cheers

Pete

[tradelink]

Pete,

I don't know anything about TS2Ki (sp?).

Both of my customers who used tradestation + tradelink were Assent traders.

You're right you would have to pay for a broker in addition to tradestation this way. Although I thought that radar was just a flat monthly fee and you only paid for executions beyond that. The brokerage houses will charge you a flat fee for data and only for executions, so it should be fairly minimal. It seems like your system is possibly hours at least in trading duration so I imagine you have decent returns.

Doing notifications back to TS is a bit harder. I'm only familiar withthe DLL import feature of TS, although perhaps they have an ActiveX interface I'm not familiar with.... if you use TradeLink with tradestation it uses the dll import, when you send the order you give the order an id so you can later cancel it. When the order is sent you get back a return code that indicates whether it was accepted. The tradelink api also provides Acknolwedgements of order and cancels back to clients, although with tradestation there's not an easy way to make this available. I suppose we could build something custom for you where we saved this information in a local file, and then we had another dll that read the file... this would avoid you having to depend on a global server with that other solution, where it sounds like you don't like that.

Here's an example of the current usage of the tradelink interface in tradestation, it would be the same regardless of which broker (ib, assent, sterling) you're using :

// tradestation SendOrder examples
// int error = SendOrder("IBM",true,200,70,0,1); // buy limit 200
shares at $70, id is 1
// error = SendOrder("IBM",false, 100,0,0,2); // sell market 100
shares, order id is 2
// eror = SendOrder("LVS",true,500,0,200,3); // buy stop for 500
shares, order id is 3 (order id must be unique)
external: "c:\program files\tradelink\brokerserver\TradeLibFast.dll",
int, "SendOrder",string,bool,int,double,double,int;
// tradestation SendCancel examples
// SendCancel(1); // cancel the buy limit order from above
// SendCancel(3); // cancel the buy stop above
external: "c:\program files\tradelink\brokerserver\TradeLibFast.dll",
int, "SendCancel", int;

[Pedro01]

by TS2Ki - I mean tradestation 2000.

I like the idea of being able to number the trades & then deal with each in order, it seems sensible.

Would I have the same issue I have now though - would I need to wait for cancellation of my stop loss order before issuing a new sell order or could I send them all at the same time ?

[tradelink]

No, you would not have to wait for stop to cancel. I am not sure why they would prevent you from having two outstanding orders on the same side at the same time, that is sort of a silly restriction tradestation must has, if you switched to use assent/IB or sterling (echo, etc), you would not have that restriction.

Just fyi, if you have a brokerage account with any of these 3 brokers... you can do this for free because tradelink is 100% open-source. just use the code above and you're set.

there's a mailling list if you have questions too. cheers.