Anatomy of a Day in the ES

Originally posted by Eddy
Let's hope Neo will be able very soon to offer us such a first class system :)

Hi Eddy,
it won't be first class because IB does not offer JTWS API (for now?!). However, I can tell you, we are progressing very rapidly now. and we have already the system sending orders to IB fully automatically from the robot. I intend to have the machine send 7 types of orders, one is fully coded and tested. it works like a charm.
Of course, many already realized the main caveat. Without IB API, it is not possible to have feedback on how many contracts were actually obtained. So the trader must watch and ajust the quantity quickly after the software send the orders.
Also we use heavily OCA orders (what a fantastic features from IB). because it brings a lot of automation directly from IB servers themselves. (partially executed target profits cancels partially stop loss orders!).

and yes, I intend to offer consulting services to code your system and link it to your broker. I can say it now, since it is not advertising, we are not ready yet. But it is getting there very quickly now.
For those interested, the biggest issue at the moment is to make the live trading very close to the backtest. and that's very very difficult. we humans make so many calculations from 'instinct' (we think) it is tough to code this in the machine. But on that front too, my NQ system is getting good.

tntneo
 
Neo,
will your automation system be able to work as well on regular Nasdaq stock or will it be restricted to E-minis contracts trading ?
Eddy :cool:
 
well, anything thing JTWS or JTrader can order.
it is nothing magical. if you follow rules and a trading plan, it can be coded into software. that's what we do. no more no less.

tntneo
 
Difficult day today. Actually there were great opportunities if you picked your entries. But many were on the wrong side of the market I think. Any comments?
 
I had a good day today (10/31), but I know there are days when other traders find it easy and I’ve struggled or made a costly miscalculation. The run-up on 10/3 was just such a day for me. From the comments I heard on the boards, it seemed that 10/3 was a cakewalk for most traders, even the new guys. I failed to adjust my system in time to truly capitalize on what seems, in hindsight, to be so incredibly obvious. I hardly scratched the surface of a great opportunity and that is worse than taking a series of small losses, IMHO.
 
neo:

hi, your automation project looks quite interesting and looks like you are struggling with the same problems as i am, for example ib's lack of not-FIX api interface.

what in your opinion can we, robot programmers, do to make ib release that api. i have almost decided to open an account at zap futures and pay some more commissions but save programming time and headaches and trading time too. i am willing to pay for quality of life.

anyway i can't see what is ib trouble with the api, they just have to release basically header files almost no programming is required for that... and it would be no competition for their FIX offering since the market for that is institutional traders. also i don't want to get married with any broker, putting up T1 connections, routers... that's too much commitment for me.

another solution would be to reverse eng the java tws code but instead of doing that i would prefer to go to zap's.
 
yes buzzy, several of us are working on this automation.
We are a bit frustrated by IB's position. In the past they've come around to our suggestions but it can take time.
Time is obviously money in this business.

The FIX interface is not a valid answer. And the best proof is the list of brokers offering simple API to their systems.
So in the strictest sense of free markets, the market already decided what is the way to go. What honestly saves IB for now are the low commissions. But in this free market others are catching up.

Any broker with JTrader is a valid alternative (from that API point of view). If you find one with low commissions you are sure to have a very powerful API through JTrader. No need to go to the expensive Zap.

look at this thread for instance
http://www.elitetrader.com/vb/showthread.php?s=&threadid=1922

As far as lobbying, I am not sure we can pressure IB that much. I mean, let's face it, most traders don't use automation. So IB do not care much about our kind, although they know what kind of lucrative trading we offer them. But we compute with institutions in that regard, and independant traders are just too small in comparison.
I see a stronger lobbying when we find a JTrader broker and negociate the commissions down. On this board we are gathering negociating power as a group. Maybe we ought to use that, but not with IB, I want to be realistic.

I am satisfied with IB and the progress there. I work hard on finding clever solution to a stupid problem. I'd rather not have the problem (a simple API would solve it all).
The progress is great but not thanks to IB. I really hope the make a move and offer smart automatic execution logs at least.
Otherwise, after another couple of months I would have my own stop loss triggered and move to another broker (a JTrader broker).
I always mention JTrader, because it is a workable alternative (their API is not simple by the way, but so complete it is very nice). The point is JTrader is used by many brokers. And if they are smart (brokers and JTrader) they will push even more and grab people doing automation, backtesting etc.. So you work once and you are not tight to one broker.

Again, we should gather anyway and keep in touch. Isolated we are just noise to these brokers. Together we are better off. They should remember we, just like institutions, we do many trades with contracts, so even independant we are good money for a broker.
Also, when I have a solution, you can be assured that I will offer it to independant traders and small shops. Whoever the broker will be at that point, it might like us very much.

tntneo
 
thanks a lot neo for the info.

IB does program trading, they are in the top 10 institutional program traders, and they charge very low commishs because i figure they get order flow info from daytraders. i don't think cheap service (no phone calls, statements etc.) is the only reason they are so cheap.

So yes small individual traders as a group are very important to them. Maybe they just don't want small traders writing faster, smarter software than theirs.

i think i am defnitely not going to IB, thanks again for mentioning alternatives to zap.
 
buzzy, before you make inaccurate comments you should check your facts. YOUR CONJECTURE IS TOTALLY FALSE.

1. IB does not sell stock order flow. read the web site.
2. There is a phone order desk and statements are available via e-mail and on the web site. never mind the costs, if you want to kill a tree, print out the e-mail.
3. from what I am told API access is in the pipeline. I however do not know the priority.
 
If IB does indeed use information they obtain by providing brokerage services for the purposes of their own trading, they will probably not tell us any time soon. There isn't really any way to 'check the facts.' I don't think they would be required to report that.

Buzzy didn't claim that IB sells order flow, or even that order flow is directed to IB's own market making operation. He said that IB might be using *information* about order flow for use in their program trading operation. Your answer didn't address this issue.

Personally when I saw that IB is one of the top ten program trading institutions on NYSE, I myself also always assumed what buzzy said was true, no proof of course, it was just a guess.

If it is true, it doesn't really make a lot of difference, IB would be using the info from the entire customer base, so it would in essence be trading against the entire market, or rather against that part of it which has a trading style similar to that of their customer base. This would certainly include myself regardless of whether I join IB or not. They are not trading specifically against their customer base, and certainly not against individual customers (again, just a guess.) Remember, since they are direct access, I use the phrase 'trading against' in the sense of using a style of trading that profits from a particular group's trading style, possibly sometimes taking the other side of the trade, but using the regular market routes to do so, not using customers' order flow.

So, if the above is true, whether you join IB or not, it's still trading against you, still uses the same info, you might as well take advantage of the low commissions.

Again, just a guess, a conjecture as you called it, no factual basis for the above.

voodoo
 
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