Autotrading with TradeStation

Quote from maxpi:

Tradestation will refresh your data unexpectedly and that can cause unwanted trades. You have to include error detection for that in your strategy.
More...

I handled this issue by switching my strategies to Visual Basic. There are a lot of advantages that I have found so far. Almost eliminating erroneous trades is probably the biggest.
 
maxpi (or anyone) what type of watchdog software would you recommend using? I too would prefer to have a built in safeguard limiting the number of trades made in a day.

Thanks.

lassiter
 
Quote from lassiter:

maxpi (or anyone) what type of watchdog software would you recommend using? I too would prefer to have a built in safeguard limiting the number of trades made in a day.

Thanks.

lassiter
More...

Are you using Trade Station? That can easily be done by using the following

if tradestoday(date) < N then
...
end;
 
Quote from JayK:

Well, in your experience, is #1 relatively safe? in other words, can TS do it almost right, with an occasional slip-up, like a partial fill that has to be completed or else the next order gets seriously messed up? In that case, how about entering and exiting with stop-market orders? Would that take care of most of the problems?

How about #2? Is it totally out of the question? Impossible? Are these guys working to do it right, fill the gap so to speak?

Any specifics?
More...

As long as your trading is not hyperactive (like avg trade duration = approx 3 seconds or whatever) and you take into account what others have said here, #1 is OK. i.e. you baby sit TS whilst it is auto-trading for you, and you handle exceptions.

With regards to #2, forget it, and I mean it when I said it is not a TS issue. It has nothing to do with TS. Would you trust any unsupervised autonomous man-made entity trading on your behalf? I must emphasize that word - unsupervised. Do you have a fault tolerant cluster? Do you have fault tolerant internet connectivity / auto broker switching?

WTF do you do when ES Globex goes down (if you were trading that animal)? Does you strategy offset your risk by taking the other side in SP (pit) or YM (CBOT)/SPY (AMEX) (or whatever) if CME is not accessible?

Something to think about...

You'll be OK, just don't think you can party like there's no tomorrow totally grooving out on some deephouse, with your PC trading for you.

Regs, EQ.
 
Quote from lassiter:

maxpi (or anyone) what type of watchdog software would you recommend using? I too would prefer to have a built in safeguard limiting the number of trades made in a day.

Thanks.

lassiter
More...

Use a global variable in all your strategies that gets incremented with every trade. Have the strategies check it before placing a trade, if the number is too high it's a no-go.
 
Thanks for the perspectives

How does one ensure that only the current bar is used to generate trades in TS?

Quote from telozo:

I used automation for some time to trade live, though not in the last six month, and I can tell you that a live order is not sent unless it is generated by the current bar. You might see strategy orders generated when tradestation tries to reconnect, and that might change your position for the last bar, but as I said no real order is generated except for the last bar on chart.

From my own experience, it happened like two or three times in almost a year that my cable connection went down, and when it came back tradestation will try to recalculate the strategies again, and it will show a message asking you if you want to close your open positions. It could just happen that the time the connection was down the strategy will exit the position, and because real orders are only generated on the current bar, you could end up with an open real position and a closed one on the strategy, but only if your connection was down. I have not seen them refreshing the data during the trading hours, and thus triggering a strategy recalculation. It happenes though during the night, so if you are a swing trader that might affect you.

I hope I have been coherent. Another thing, you have to test your code thoroughly as there are many potential problems, but they are related to programming and not to the platform itself.
And one more thing, I just used a strategy that will trigger an entry once a day, if you plan multiple entries in the same day you better check you strategy real time, but without generating live orders.
More...
 
Quote from TheStudent:

Thanks for the perspectives

How does one ensure that only the current bar is used to generate trades in TS?
More...

Tradestation only places actual live orders if they are generated by the last bar on chart (and of course the strategy is enabled to generate real orders). There is no need to check for that, it is done automatically for you, and the reason is that if you load a strategy for a data stream, or a refresh of the data stream is done, old orders will not be placed again as live orders.

So, let's say it is now 12:00 PM, and you start Tradestation and load a strategy for a 5min data stream, and let's say that at 10:00 AM a buy order is generated by the strategy. Tradestation will not place that order live, since it was generated by a bar that is not the last bar on chart.

If, on the other hand you started Tradestation at 9:30 AM and loaded the strategy, at 10:00 AM, when that bar was the last bar on chart, the order will be placed as a live one.

In both insctances the strategy order will be generated, but only in the second case as a live order too.
 
You must log in or register to reply here.
Back
Top