new strategic "core"
Automated trading with statistical scalping algorithms
- Thread starter fullautotrading
- Start date
I multitask across many things and interests. It helps incubate ideas
Today very little has happened. CL has "lateralized". The bot did not place any orders on that layer.
For that, we will have to wait for the price to exit the "price corridor" that the bot tends to create for its scalping action.
Let's wait for now, and trust patiently the implemented logic. In case we get bored of no action, I will activate another instrument.
I am actually curious about BRR, but at the same time, a bit hesitant, because I anticipate that it would entirely dominate the scene, due to its size. So for now, let's be patient.
Note that in this current version of the algorithm, the bot no longer "chases" after the price. It rather waits for the right opportunity to impose a "structure" on the "cloud of orders" that is generated in response to the random price trajectory. (So it aims to build up an "order cloud" that, statistically, has a "favourable structure" while containing the DD.)
In time, I have realized that chasing after the price often leads to the formation of an unprofitable "order cloud."
[This typically also happens when one trades based on "signals" of any kind, without realizing one is building an unprofitable "cloud" of orders (with too many "high" buy orders and too many "low" sell orders).]
For that, we will have to wait for the price to exit the "price corridor" that the bot tends to create for its scalping action.
Let's wait for now, and trust patiently the implemented logic. In case we get bored of no action, I will activate another instrument.
I am actually curious about BRR, but at the same time, a bit hesitant, because I anticipate that it would entirely dominate the scene, due to its size. So for now, let's be patient.
Note that in this current version of the algorithm, the bot no longer "chases" after the price. It rather waits for the right opportunity to impose a "structure" on the "cloud of orders" that is generated in response to the random price trajectory. (So it aims to build up an "order cloud" that, statistically, has a "favourable structure" while containing the DD.)
In time, I have realized that chasing after the price often leads to the formation of an unprofitable "order cloud."
[This typically also happens when one trades based on "signals" of any kind, without realizing one is building an unprofitable "cloud" of orders (with too many "high" buy orders and too many "low" sell orders).]
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In one sentence, you managed to touch two big pillars
Let me first address the first one, and later we will talk about the second one too (looks like we will have plenty of time
)I picture in my mind the situation approximately as follows. It's an antagonistic game.
1 - One side can move the price almost wherever he likes, but must fill the orders from the other side. He has practically unrestricted financial resources.
2 - On the other side, one can only choose when (and what) to buy and when to sell. He has limited capital.
It's a "battle" between these two sides for a profit. Now it would seem that side 1 has a rather unfair advantage with respect to side 2. (But, on the other hand, no one is explicitly forcing a player on side 2 to play the game.)
We are on side 2 of this game. And it seems obvious that we need a non-trivial deployment of intellectual and computational forces to win the unfair battle (while it is quite difficult for simplicity and naivety to prevail).
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Today CL price has returned within the "price corridor" of our layer, so we had some little activity (a couple of orders, one of which was just to hedge the short position):
CL FUT 202202 NYMEX 1000 Light Sweet Crude Oil [ CLG2, 256019290, mult: 1000]
Today I have also enabled automation on the SI (Silver) layer. Just after that SI, started to move a bit and the bot placed a few orders:
SI FUT 20220127 NYMEX 5000 NYMEX Silver Index [ SIF2, 405978963, mult: 5000]
The global (all layers) PNL situation is as follow:
[The other two layers I have loaded to watch (ES, BRR are still not enabled). I might also take a look at some other instruments.]
Info from IB:
AccruedCash 0.00 USD [Min: 0.00, Max: 0.00]
AccruedDividend 0.00 USD [Min: 0.00, Max: 0.00]
BuyingPower 6,594,382.18 USD [Min: 6,515,057.88, Max: 6,666,635.07]
FullAvailableFunds 989,157.33 USD [Min: 977,258.68, Max: 999,995.26]
FullExcessLiquidity 990,607.33 USD [Min: 981,608.68, Max: 999,995.26]
FullInitMarginReq 7,250.00 USD [Min: 0.00, Max: 21,750.00]
FullMaintMarginReq 5,800.00 USD [Min: 0.00, Max: 17,400.00]
NetLiquidation 996,407.33 USD [Min: 993,293.65, Max: 999,995.26]
CL FUT 202202 NYMEX 1000 Light Sweet Crude Oil [ CLG2, 256019290, mult: 1000]
Today I have also enabled automation on the SI (Silver) layer. Just after that SI, started to move a bit and the bot placed a few orders:
SI FUT 20220127 NYMEX 5000 NYMEX Silver Index [ SIF2, 405978963, mult: 5000]
The global (all layers) PNL situation is as follow:
[The other two layers I have loaded to watch (ES, BRR are still not enabled). I might also take a look at some other instruments.]
Info from IB:
AccruedCash 0.00 USD [Min: 0.00, Max: 0.00]
AccruedDividend 0.00 USD [Min: 0.00, Max: 0.00]
BuyingPower 6,594,382.18 USD [Min: 6,515,057.88, Max: 6,666,635.07]
FullAvailableFunds 989,157.33 USD [Min: 977,258.68, Max: 999,995.26]
FullExcessLiquidity 990,607.33 USD [Min: 981,608.68, Max: 999,995.26]
FullInitMarginReq 7,250.00 USD [Min: 0.00, Max: 21,750.00]
FullMaintMarginReq 5,800.00 USD [Min: 0.00, Max: 17,400.00]
NetLiquidation 996,407.33 USD [Min: 993,293.65, Max: 999,995.26]
Friday. Today we had 3 more orders for CL and 2 more for SI:
CL FUT 202202 NYMEX 1000 Light Sweet Crude Oil [ CLG2, 256019290, mult: 1000]
SI FUT 20220127 NYMEX 5000 NYMEX Silver Index [ SIF2, 405978963, mult: 5000]
PNL chart:
A great weekend to all
CL FUT 202202 NYMEX 1000 Light Sweet Crude Oil [ CLG2, 256019290, mult: 1000]
SI FUT 20220127 NYMEX 5000 NYMEX Silver Index [ SIF2, 405978963, mult: 5000]
PNL chart:
A great weekend to all
Wow, I am impressed. I had to look this word up to have any idea what it means.
lol, typical of foreigners: knowing the most abstruse words, but not being able to speak naturally
Here my question: After making millions in the old demo thread,
https://www.elitetrader.com/et/threads/trading-with-automation-with-ib.294133/page-21
why don't show what happen in a funded account? Today with micro futures contracts is not necessary to have a big size account. I guess that would catch a lot more attention if this is your end goal.
https://www.elitetrader.com/et/threads/trading-with-automation-with-ib.294133/page-21
why don't show what happen in a funded account? Today with micro futures contracts is not necessary to have a big size account. I guess that would catch a lot more attention if this is your end goal.