Automated trading system outcomes and real trading results

Quote from flat5:
..... My main concern at this juncture is...

RISK ABATEMENT

and I don't mean risk of running a crappy system.

I write code professionally, and know all too well that the code I write is never perfect, bugfree, flawless.

The idea of letting a program manage an account with large sums of money while I work my dayjob, unable to monitor or intervene, scares the daylights out of me.

I think a very carefully thought out plan for risk control and fault tolerance is a huge part of the work in a set and forget system that can operate while one works his/her day job.

Have you thought much about this?
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Bug cleaning with 95% possible with the help of the IB Demo TWS. Logic errors correction, I mean right sequence of steps including event processing from TWS, is possible only with real money. It doesn’t take much money; it takes a lot of time. Why I am talking that I am not sure 100% for my ATS. Because of, for example, if I have a binary tree with only 10 levels, this event tree potentially can produce 2^10 = 1024 outcomes. To test all this variety in real trading need more real trades.

I monitor my system doing my full time job which is not connected with the stock market. As I said the ATS call me to my cell phone about all transactions and system orders. If I see that something wrong, I can call home and ask my wife to correct situation, or just get access to my home computer through the remote desktop. And of course at any situation I am sure, my broker has stop order.
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8. Comparing the automated trading system calls with the real trading results

In April the ATS provided trading calls for +18.8 ES points or $940.00 per 1 ES contract (see attachment). Real ATS trading made +20.5 points or $1025.00 per 1 ES contract. Difference is due to the discovered error in the coding; it is a very rare case when positive.
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Attachments

In May the ATS provided trading calls for +4.45 ES points or $222.50 per 1 ES contract (see attachment). Real ATS trading made +4.70 points or $235.00 per 1 ES contract. Difference is due to the IB two times has executed stop orders better than expected.
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Attachments

Quote from vlad:

In May the ATS provided trading calls for +4.45 ES points or $222.50 per 1 ES contract (see attachment). Real ATS trading made +4.70 points or $235.00 per 1 ES contract. Difference is due to the IB two times has executed stop orders better than expected.
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Congrats! It looks like you are off to a great start.

-Eric
 
I remember once that CME sent out bad prices for 15-20 minutes long time ago.

So remember to add an alert / feedback so that the system will filter out those prices, and you will be notified if abnormal prices are flooding through.
 
Quote from Lawrence Chan:

I remember once that CME sent out bad prices for 15-20 minutes long time ago.

So remember to add an alert / feedback so that the system will filter out those prices, and you will be notified if abnormal prices are flooding through.
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Lawrence, thank you for the advice, I really appreciate it. But to add an alert for bad prices need to set up some criteria. You said a; could you say b?
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Quote from vlad:

Lawrence, thank you for the advice, I really appreciate it. But to add an alert for bad prices need to set up some criteria. You said a; could you say b?
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There are many ways to determine if the prices are correct.

The most common way is to buffer the last N trades together with all bid and ask data, then test if the newly arrived tick make any sense at all comparing to whatever is stored in the buffer.

This method works 90% of the time, except stocks that are having trading halts with news announcements. Then the reopen is pretty much unpredictable. :)

Since you are not dealing with stocks, or stock options, this method should work fine.
 
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