Automated Scalping System

Quote from Aaron:

One possibility you might explore for automated scalping is eSignal data, processed by an eSignal efs script, with orders sent to Interactive Brokers via Dynaorder. It's simpler to code up than writing to Interactive Broker's or (heaven forbid) J-trader or X-trader's API directly.

Btw, do Tradestation easylanguage scripts process tick by tick (like eSignal efs) or is at the end of 1 minute bars the fastest they'll go?

Aaron Schindler
Schindler Trading
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Aaron,

Say I use 10 minute bars but I also need to find the 10 day ATR in my trading algorithm; will eSignal efs handle this case?

What about updating a trailing stop at the end of each 10 min bar? Can eSignal efs do this?

Richard
 
Quote from rickty:

Say I use 10 minute bars but I also need to find the 10 day ATR in my trading algorithm; will eSignal efs handle this case?

What about updating a trailing stop at the end of each 10 min bar? Can eSignal efs do this?
More...

Yes and yes. The efs script language is quite useful.

Aaron Schindler
Schindler Trading
 
Quote from Aaron:


Btw, do Tradestation easylanguage scripts process tick by tick (like eSignal efs) or is at the end of 1 minute bars the fastest they'll go?

Aaron Schindler
Schindler Trading
More...

Yes, TS8 is new kickintheass

Look Inside-A-Bar Back-Testing - Allows you
to back-test strategies using "Look-Inside-A-Bar"
technology for even more historical simulation accuracy.
Powerful when combined with the massive intra-day
databases that will be available soon.


Ability to Test Strategies to a Tick Level You can
now select back-testing to the tick level to identify price
action occurring within each charted strategy bar.


Intrabar Order Generation
You will no longer need to wait until the bar close to
generate an order. Intrabar order generation allows
Buy, Sell, Short and Cover orders to be generated on
a tick basis instead of only at the close of a bar.

Generate a Buy or Sell order the moment a condition
occurs Reference the high and low of the current bar.

Just format the strategy(s) and select to "Enable intrabar
order generation and calculation".
 
Thanks, Nana Trader.

Laocoon, it appears you could also write a scalping application for TS8 as well.

Aaron Schindler
Schindler Trading
 
Tradestation can do just anything, and write
any function in dll using C++ for more advanced
users, it's our lack of coding skills for not utilizing
it's power to the fullest.

portfolio testing, massive optimization, realtime
data routing from Non-supported exchanges are
made easy possible now with all 3rd party solution
that available for integration with TS.
 
Quote from Aaron:

One possibility you might explore for automated scalping is eSignal data, processed by an eSignal efs script, with orders sent to Interactive Brokers via Dynaorder. It's simpler to code up than writing to Interactive Broker's or (heaven forbid) J-trader or X-trader's API directly.

Btw, do Tradestation easylanguage scripts process tick by tick (like eSignal efs) or is at the end of 1 minute bars the fastest they'll go?

Aaron Schindler
Schindler Trading
More...

Hi Aaron,

Thanks for your reply, I'm currently looking into eSignal EFS and I've already some experience with TS Easylanguage. My only concern is speed, since I would think that an eSignal/Dynaorder/IB Setup is probably a little slower than a strategy written in one of IB's API languages with orders directly sent to IB through the API.

Can anyone comment on that?

PS: Every millisecond counts for the type of strategy I'm coding
PPS: what about CPU usage with eSignal analysing every tick of a fast-moving market? Does anybody on ET have some experience with this?

Thanks a lot.
 
Quote from Nana Trader:

Tradestation can do just anything, and write
any function in dll using C++ for more advanced
users, it's our lack of coding skills for not utilizing
it's power to the fullest.

portfolio testing, massive optimization, realtime
data routing from Non-supported exchanges are
made easy possible now with all 3rd party solution
that available for integration with TS.
More...

Nana,

I already developed a strategy in Easylanguage and I must say I liked what I saw, my only concern here is that TS doesn't support the Eurex data feed, so I'd have to integrate a third party data source (like eSignal) into my setup.

I'm afraid that a system getting its data from eSignal, sending it to Tradestation through an interface, processing it and sending orders back through another interface to IB will probably be a bit slow or at least prone to stability/reliability problems, don't you think? (Every millisecond counts for the correct execution of my strategy).
 
C++ with xtrader api is what I would recommend. xtrader has t&s data and of course price data so no chart data needed. This is as fast as you can get--------------TS would never be able to handle the speed that xtrader could for passing off orders when price is moving fast.

Find out what the hedge funds are using for their bigger HF systems and you will see what I mean-----------it is not TS.
 
if you really want to process every tick, EFS is not the way to go. You can however use the esignal API and program to it in any language you like.

I have tick strategies programed in esignal. Ticks are held in memory and calculatitions are updated every N number of seconds - not every tick.

You can get that number down to about three seconds and thats about it with EFS. Also be aware that esignal will throttle the data if too much comes in which can cause problems with your calculations. If you plan to store more about one hour's worth of trades on a heavily traded contract, you will run into difficulty, even with a 3+ghz processor and plenty or ram.

Storing trades in memory will use about 100 megs or ram through each session, so you'll have to close out of esignal every few days to stop your machine crashing.

If you're talking about real scalping - sub one minute trades, market maker style, it's probably best to design your own app that can process the time and sales and send the trade instructions directly to IB.

Trademagic.net may be a useful starting point for this. Apparently the Esignal 7.9 API is a significant improvement on 7.8 and trademagic is mean't to have a 7.9 compatible upgrade ready shortly.

Runningbear

esigal API about $200 per month

X trader Pro with API $1250 per month

If you planning to more than 2000 RTs a month, X trader will be cheaper in the long run.

Runningbear
 
I don't have any knowledge for scalp automation.

But from my previous experiance, i can tell you this:

Esignal data is very slow, even slower than J-trader
(i compared them many times) and quotes freezed
in fast market (using DSL 512K, 2.4 MHz, 1 GB Ram PC).

1st option-
You should use either CQG Trader,X-trader, or
Trademaven (with transact feed, not J-trader feed)
to feed TS8 and send orders back to same platforms
http://www.cqg.com/default.aspx?PageId=1074&LanguageId=1000
http://www.trademavenllc.com/tm_pages/automaven.html
Easylanguage & C++ specialist can find many solutions
for you how to integrate X-trader with TS8
http://www.tradestationaddons.com/Products_Services/ELDir.aspx


2nd option-
Use owndata2 with IB or other supported feeds and use
trade Tradebolt software for excution (somtimes quotes
on feeding software and excutions software won't match
and results for delay in excution if using two differnet quote
source, so better use same source example J-trader for both
feeding and excution)
http://www.tssupport.com/products/owndata/

I don't have any better ideas
 
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