Algorithmic Trading a large folio with small orders

[fullautotrading]

Quote from mickson:

Hi Tom,

It has been way too long on my side and i wanted to congratulate you on the road you and your alter ego (G-Bot) are travelling ..

Sure Mike,

i think we are finally converging to a definite solution.

Diversification appears to be a key concept. In fact once you have the statistics in your favor, the way to blow up is <b>not allowing them to work in your favor</b> by using a too large order size.

In fact using a too large order size might blow you up even if you have a very good trading methodology, simply because you may blow up before the "good chances" start working (statistically) in your favor.

If we look at the proportions here, i am trading about 100 instruments (or less) with sizes of 20-30 shares. And this seems almost comfortable to me.

When trading futures, very roughly, is like juggling packets of 1000 shares. So to maintain the same proportion, very roughly, i would need an account say 30-40 times bigger (say 50 to be sure), to trade a good folio of the futures with a similar comfort. Which means we are in the seven digits figures.

This seems to indicate that ETFs might allow more flexibility and comfort for "small time" investors. On the other hand, for large investors and funds, they alone might be too "small" and in that case futures in the game.

 

[mickson]

I think it would be interesting to see an attribution of real $ trading PnL. I am interested to see how the makeup of the PnL is spread across the instruments.
Ciao

 

[fullautotrading]

Quote from mickson:

I think it would be interesting to see an attribution of real $ trading PnL. I am interested to see how the makeup of the PnL is spread across the instruments ...

Sure Mike, here is the real-time dynamic folio view generated by the application.

This is, in particular, showing the PNL, but there are dozens other metrics which can be shown.

This does not show the many "removed" instruments (which were all profitable when i removed them).

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3521726" width = "1000" />

PS.
[The red spike on Silver is due to an error of mine: since i develop while i trade i was testing the "strategic injector" and by error i entered an order of about 300 shares on silver, and i left them there, to hedge with further layers. Another "proof" that diversification is the key!]

 

[mickson]

As I have come to expect a master at his craft. Nice report.

 

[braincell]

Quote from fullautotrading:


Clearly, if IB offered me a further discount, i would not refuse it ;-)))

Did you try the cost-plus plan? The minimum is 0.7 per trade, and if using only limit orders you get a lot more rebates. You can switch it in Account Management, it might save you some $$$ in commissions.

Quote from fullautotrading:


Unfortunately, the account seems to be limited around just a max of 100 different instruments (so IB is self limiting its own gain in commissions )

Are you sure? In TWS i can get a lot more quotes. If it's an API limit, then maybe you need to pay for IBIS to get more quotes. I can see 280 quotes right now for example.

 

[fullautotrading]

Quote from braincell:

Did you try the cost-plus plan? The minimum is 0.7 per trade, and if using only limit orders you get a lot more rebates. You can switch it in Account Management, it might save you some $$$ in commissions.

Are you sure? In TWS i can get a lot more quotes. If it's an API limit, then maybe you need to pay for IBIS to get more quotes. I can see 280 quotes right now for example.

Thanks a lot braincell ! ;-)

So far i have been totally concerned with strategies and development and did not really check all the available options for commissions.
So are you suggesting that i should switch to that plan called "cost-plus" (i am trading only US stuff, in very small order sizes) ?

Well when i load over about 100 (or a few more) symbols i get an error saying that i have exceeded the max limit of tickers. These page seems to confirm my finding:

http://www.interactivebrokers.com/en/software/releaseNotes/TWS_Notes_894.php
http://www.interactivebrokers.com/en/p.php?f=marketData&ib_entity=llc

"All customers initially receive 100 concurrent lines of real-time market data (which can be displayed in TWS or via the API) and always have a minimum of 100 lines of data ..."

Perhaps they should automatically raise the number when detecting a good flow of commissions (maybe they have still to detect this). Let me know if you know how to raise the limit: 100 seems a little too tight for proper diversification.

 

[jtrader33]

Quote from fullautotrading:


Perhaps they should automatically raise the number when detecting a good flow of commissions (maybe they have still to detect this). Let me know if you know how to raise the limit: 100 seems a little too tight for proper diversification.

They do have the formula for each account's market data lines allowance somewhere on the site, which I believe is =MAX( 100 , Previous Month Commission Paid / 8). Also, on a somewhat related note, you can always check how many lines of data you're entitled to for a given month by pressing Ctrl + Alt + "+" in TWS.

 

[fullautotrading]

Quote from bs2167:

They do have the formula for each account's market data lines allowance somewhere on the site, which I believe is =MAX( 100 , Previous Month Commission Paid / 8). Also, on a somewhat related note, you can always check how many lines of data you're entitled to for a given month by pressing Ctrl + Alt + "+" in TWS.

Thanks a lot bs2167, very nice info !

Well even 1K / 8 = 125, which is probably near the limit i am experiencing. A divisor of 5 or 3 would be much better ;-))

Very good to know about the key shortcut ctrl alt +. However i am trying right now on the TWS and does not seem to have any effect on this pc (an asus laptop running win 7, ita keyb). Maybe i am doing something wrong ... (?)

 

[jtrader33]

Just to be clear, the market data allowance resets in the beginning of each calendar month (not a rolling previous 30 days). Strange...not sure why it wouldn't work...always has for me...please don't take insult with this, but did you doublecheck to make sure the TWS window was active? I know that's gotten me a few times. If that's not it, perhaps there is a TWS setting that turns shortcuts on/off??

 

[fullautotrading]

Quote from bs2167:

Just to be clear, the market data allowance resets in the beginning of each calendar month (not a rolling previous 30 days). Strange...not sure why it wouldn't work...always has for me...please don't take insult with this, but did you doublecheck to make sure the TWS window was active? I know that's gotten me a few times. If that's not it, perhaps there is a TWS setting that turns shortcuts on/off??

Yes. To be sure i have maximized the TWS window ;-)

Actually i have just discovered by random trial several shortcuts, like:

crtl alt R/T/6 pink screen, reconnect
crtl alt H/Q report error
crtl alt A diagnostics
...

and so on. But that combination isn't responding here. Hmmm, maybe something related with the ita keyboard (?)