Automated trading & IB

maxwell_c,

You can trade automatically in esignal script, using either a broker plugin, or a third party intermediary, like Dynaorder. Be mindful, though, as efs needs a lot of cpu on active contracts.
 
Quote from cmaxb:

You can trade automatically in esignal script, using either a broker plugin, or a third party intermediary, like Dynaorder. Be mindful, though, as efs needs a lot of cpu on active contracts. [/B]
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Thanks cmaxb - looks like I'll be moving to eSignal, unless eSignal's data feed goes down repeatedly during my month's trial of their service. Nothing looks as slick as IB's API for automated trading; but for now I'm sticking with Cyber.

If EFS is executed with every tick/bar, then that will give me a good excuse to upgrade to a dual Opteron 240 :]

The automated trade plugins I've received replies about (for eSignal):

Dynaorder
Tradebullet
Tradebolt
 
Quote from maxwell_e:

Thanks cmaxb - looks like I'll be moving to eSignal, unless eSignal's data feed goes down repeatedly during my month's trial of their service. Nothing looks as slick as IB's API for automated trading; but for now I'm sticking with Cyber.

If EFS is executed with every tick/bar, then that will give me a good excuse to upgrade to a dual Opteron 240 :]

The automated trade plugins I've received replies about (for eSignal):

Dynaorder
Tradebullet
Tradebolt
More...

Maxwell_e,

I've had quite a bit of experience with this as I'm running several .efs scripts that calculate off tick data. You won't be able to build anything that calculates off each trade. It simply uses too much CPU. The best I have managed is to loop my scripts every 4 or five seconds. This means on one futures market my 2.8g P4 CPU is peaking at about 70% every 4 to 5 seconds. If I add another market, I'm at nearly %100. Still four to five seconds to execute a signal is fast by anyones standards.

I've tried to run these scripts on my old Athlon 1.3g and it just handles one script. Two crashes esignal. I'm now upgrading to the Athon64 939 chip with dual channel ram and MB to try and deal with the overhead. i figure with the fastest CPUs available you could comfortably run a few .efs script on two second loops.

Having said that, in a fast market, esignal can lag IB by a few seconds so your real execution time will be out to about five seconds a lot of the time.
Which is still 55 seconds faster than Tradestation.

I moved to esignal about 15 months ago and had all my scripts programmed in .efs. I have a love hate relationship with esignal. The platform has so much potential and is reliable most of the time but they still let down their customers down in so many ways.

Getting simple bugs fixed can take months, even years (Im not kidding) and the Eurex feed has crashed three or four times in as many months. Once for half a day.

So I stick with them more becuase I have no alternative. I'm hoping that the next two releases will make the product really solid.

Runningbear
 
Thanks!

Quote from a34567:
Kevinx:

My emini account has $30000 and my system trades 7 contracts following 3 strategies. Those strategies work together to achieve smoothness/consistence. Each position is protected with a 3-4 point stop. I trade (automatically) in the extended trading hours but no more than 3 contracts will be open in that period. My system has been in trading for about 6 month and I haven't encountered the "EXTREME" market condition yet. Anyway, the fund I use to trade emini is just a small portion of my trading capital and I wouldn't increase that portion to more than 15% until 1 or 2 years later, by that time my system would be more mature. I am new to e-minis.

JSu
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Quote from Runningbear:

[Having said that, in a fast market, esignal can lag IB by a few seconds so your real execution time will be out to about five seconds a lot of the time.
Which is still 55 seconds faster than Tradestation.

Runningbear,

Are you seriously implying that the Data Feed of Tradestation is even worse than eSignal? I've been with eSignal for over 2 years, mostly for the Eurex data feed, and I got very frustrated because the feed quality is changing constantly, going from excellent to lousy within a matter of seconds. I've started to program a day trading strategy on Tradestation (for the Eurex) and I'm now looking to implement it with IB. From what you say, I draw the conclusion that it is a hopeless endeavour to have an automated strategy running with Tradestation and IB. Could you comment on that?

Thanks a lot.
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I run automated systems on TS8 and all orders are sent to IB.
I find no difference between TS8 quotes and IB on emini futures.
Prior to moving to TS, I used eSignal and compared quotes.
No difference in the timing! This was about 1 year ago.
 
Quote from rtstrading:

I run automated systems on TS8 and all orders are sent to IB.
I find no difference between TS8 quotes and IB on emini futures.
Prior to moving to TS, I used eSignal and compared quotes.
No difference in the timing! This was about 1 year ago.
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Thanks for the info. May I ask if your automated systems are for day or swing trading? Which platform do you use to connect TS & IB?

Thanks a lot.
 
Quote from rtstrading:

I run automated systems on TS8 and all orders are sent to IB.
I find no difference between TS8 quotes and IB on emini futures.
Prior to moving to TS, I used eSignal and compared quotes.
No difference in the timing! This was about 1 year ago.
More...

I also use TS8 , IB and my custom VB program. It works great. TS is getting more reliable compared to couple of years ago.
 
Quote from laocoon:

Thanks for the info. May I ask if your automated systems are for day or swing trading? Which platform do you use to connect TS & IB?

Thanks a lot.
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These are day only trades and I am using Dynaorder to place the trades with TWS.
 
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