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mslk

Manual or Automated Trading?

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Be careful with too many rules and variables. The more you have in your system the better it will backtest, and the worse it will do in real time trading. Reason: curve fitting.

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It actually has been done. But it is not in the interests of the developers to tell the world about it.

 

Be careful with too many rules and variables. The more you have in your system the better it will backtest, and the worse it will do in real time trading. Reason: curve fitting.

 

I want to create a system that goes beyond mechanical rules. It should take into account that there was an outside day yesterday (ES) and the odds of downside continuation were very good today. So the variables it uses changes from day to day. Very difficult, but it can be done with some form of artificial intelligence.

 

dVL

 

"That sounds like over educated and under intelligent"

John Gotti NY Mafia

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hey everyone ... could you all let me know what you trade, what software platform, and what broker you use? i'm looking to automate trading equities, and eventually futures, but still haven't fully committed to a platform yet. i was hoping i could see what some successful people are using and help in my decision making. i appreciate any direction you guys can give!

 

thanks in advance - mslk

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I would recommend Multicharts since it is a “Tradestation” clone. There is a gazillion systems, indicators freely available on the internet. Easylanguage is fantastic and you can be up and running very quickly.

 

Ninjatrader is popular among programmers as I believe the language is similar to C.

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I would recommend Multicharts since it is a “Tradestation” clone. There is a gazillion systems, indicators freely available on the internet. Easylanguage is fantastic and you can be up and running very quickly.

 

Ninjatrader is popular among programmers as I believe the language is similar to C.

 

been looking at multicharts but i can't find anything about being able to simulate before putting real money at risk. anyone here using multicharts and know if its possible?

 

thanks

-mslk

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been looking at multicharts but i can't find anything about being able to simulate before putting real money at risk. anyone here using multicharts and know if its possible?

 

thanks

-mslk

 

MultiCharts has backtest and playback features,

but no simulated broker accounts for forward testing.

 

For real time testing, you have to hook it up to your broker's papertrading account.

 

You can also use InteractiveBrokers' demo system for testing. It is free, and does not require registration.

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I have used TradeStation for many years and auto trading with TS for 5 years.Commission rates are very low. You can log in for either live trading, or simulated trading. With sim trading you get 3 sim accounts - one for stocks/options, one for futures and one for Forex. You can trade exactly as if you were live, except that no real money is involved. This is really a "must" for new traders. You would have to pay a platform monthly fee and fees for the data to the exchanges, but it's much cheaper to do this than to actually lose real money trading.

 

If you can eventually make money with the sim accounts, then, and only then, should you turn on live trading.

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You can trade exactly as if you were live, except that no real money is involved. This is really a "must" for new traders. You would have to pay a platform monthly fee and fees for the data to the exchanges, but it's much cheaper to do this than to actually lose real money trading.

 

If you can eventually make money with the sim accounts, then, and only then, should you turn on live trading.

 

Being a developer for both Ninjatrader and Tradestation. I would say from a manual stand point it depends on what program you were sold when you first started trading. Easy to use, simplicity, and features. Datafeed redundancy I would say Ninjatrader. I feel like Tradestation is a little more stable but not much. Tradestation is such a heavy system it stores about 10 - 15 times more data on your system then Ninjatrader. Tradestation costs are very high as well for platform usually around $400 a month for data/platform if you at least trade 15 times a month. Tradestation's commissions are at least $1.50-$2 more compared to Ninjatrader's broker network. Last but not least, Easylanguage is so limited and non-innovative I'm kinda surprised that they have any developers. Or maybe that's why they have to give away 30K+ a year to host developers contests. Tradestation has been around a lot longer which gives it more a seniority and does an amazing job of marketing, most support issues, and trade management. Those crazy Tradestation ads pop-up everywhere I go net. Oh wait, I'm a trader. :) Right now the Tradestation sim account servers have HUGE issues that I won't even go into.

Back to the subject of automation. I've been told that putting programmed limited orders and OCO orders into Tradestation is rough and buggy. However, I have personally not done that one yet. So I will have to wait and see. I know that Tradestation will NOT let you draw a normal shaded rectangles on your screen and it can not programmatically access volume or sub-minute drawn objects. So it has really made my projects more difficult.

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My TradeStation costs are very low - free platform fee because I trade more than the minimum number of trades. The data fees go to the exchanges so there is nothing I can do about that no matter what platform I use .My total exchange fees come to about $200 per month, but I am trading live futures and so I need to pay for the real-time data. For delayed data the exchange fees are anywhere between $1 and $3 per month, and some data is free. I have no complaints about these fees.

 

As far as commissions are concerned, for futures I pay a total of $2.40 for each trade - $1.20 for the buy side, and $1.20 for the sell side. For stocks I pay .01c per share with a min of $1.00, so most trades come to $1.00. For options I pay $1.00 per contract. Interactive Brokers is slightly cheaper but I think these rates are near rock bottom for the industry for non-professional traders. Some of my friends are paying anywhere between $3.95 and $9.95 using other brokers to make a stock or option trade. That hurts if you're an active trader!

 

As for EasyLanguage - I can program any ideas I have ever had fairly easily with EL. I have not had problems with bad fills using auto trading. I have experienced well over 99% uptime, and yes, there are occasional system glitches, but the platform is becoming more stable with each new release.

 

I have not had any desire to switch platforms since TradeStation goes what I need it to do.

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I'm glad that you are having a different experience then me. Maybe it's more programming limitations and personal experience however I would like to keep this thread really about the ideas of automation vs manual. Have you developed/programmed your own strategy?

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"Have you developed/programmed your own strategy?"

 

This is what I do - many hours per day, 5-6 days per week. Over the years I have programmed thousands of systems for my own personal use. Before TradeStation I wrote my own code, but TS makes things much easier.

 

I trade my best systems and continue to work on new ideas and system improvements. I started learning computer programming languages in the mid-1970's, began trading in 1980, bought my first PC in 1983, and it's been a wild ride ever since.

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I think you have got to be out of your mind to look at ninjatrader. All you have to do is read reviews

 

Ratings for NinjaTrader

 

Secondly, Easylanguage (TS/MC) is fantastic and simple to use, very intuitive, it makes you think like a trader and less like a programmer. If you are looking at developing high frequency systems I would you neither.

 

The big benefit of MC is the ability to use any broker.

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I heard MC also uses easy language too. However, I personally don't believe in high frequency trading. Another question does it plugin well to external files(dlls) for indicator/reference? Can you protect your software from reverse engineering if you decide to distribute it. Both NT and TS handle this in completely different ways. I"m developing software that actually has processing on the server side and the client just draws stuff. Or at least that's how I like to do it. I've had some issues plugin that in. So I've had to resort to some pretty heavy encryption and server sided turn off and on switch. Then there's the SSL that I'm also working with. I just really like the idea of doing as much server side processing as possible.

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Unfortunately in today’s times if you have a successful system it will be reversed engineered regardless of the platform.

 

Cliental of NT and TS are very different. NT is a much more retail based system compared to TS which also has a large institutional base.

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Unfortunately in today’s times if you have a successful system it will be reversed engineered regardless of the platform.

 

Cliental of NT and TS are very different. NT is a much more retail based system compared to TS which also has a large institutional base.

 

I doubt what you said about TS is true...

 

TS has always been a retail based company.

This is not to say institutions don't use it, maybe the fringe of the institution, there is good reason for it -- EasyLanguage is limited in its capabilities, it was never meant to do the type of sub-minute, sub-second, HFT type analysis that trading is moving towards.

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Cliental of NT and TS are very different. NT is a much more retail based system compared to TS which also has a large institutional base.

May I ask how you know TS has a large institutional base? I only know 3 institutional people. I uses CQG, 1 Ninjatrader, 1 TS? The programmer institutional guy is the one on high-end platform using C# for the automation system. He has seem my program in action and tells me not to port it or share it to TS. But all 3 tell me that this automation system needs at least 3 years of profitable trading before a hedge or institutional will buy it from me. In that period of time, I could be my own Hedge. My broker says they support both NT and TS. but to port my automated strat. to TS so they can host it 1 hop from the exchange for me. Speed isn't that important to my strategy. but having it on a dedicated server sounds good. So I'm really wondering if TS is all that. I just haven't been impressed at all. maybe it's my computer/connection.

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I have used TradeStation for many years and auto trading with TS for 5 years.Commission rates are very low. You can log in for either live trading, or simulated trading. With sim trading you get 3 sim accounts - one for stocks/options, one for futures and one for Forex. You can trade exactly as if you were live, except that no real money is involved. This is really a "must" for new traders. You would have to pay a platform monthly fee and fees for the data to the exchanges, but it's much cheaper to do this than to actually lose real money trading.

 

If you can eventually make money with the sim accounts, then, and only then, should you turn on live trading.

 

your post made me all excited to signup for ts ... until i found out they don't accept canadians! argh! looks like multicharts or ninja now eh? haha. any opinions on metatrader?

 

-mslk

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As for EasyLanguage - I can program any ideas I have ever had fairly easily with EL. I have not had problems with bad fills using auto trading. I have experienced well over 99% uptime, and yes, there are occasional system glitches, but the platform is becoming more stable with each new release.

 

I have not had any desire to switch platforms since TradeStation goes what I need it to do.

 

I have just started looking at automating via TS. I have noticed the problem referred to earlier in the thread, the OCO problem.

 

Is is pretty straightforward to code OCO / bracket orders, once you are in a position, in TS?

 

Can you link or provide some information on this? I would appreciate it.

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