Can you please recommend software

D

DaddyofTwo

Hi

I have currently developed a custom indicator in eSignal which appears to be working well. I want to try and test it out on a few different instruments and wondered what would be the best software. Ideally I would want to use the same software to test the historical P&L, optimise it, and put it into production.

There is a strategy functionality in eSignal but it appears to be not based on tick data so I am very wary that it would not give accurate results. When I tried to build a strategy in it a few years ago I found that there was poor documentation, but I got something which might have been working but it was hard to verify. I am not great in JavaScript but am getting a bit better. I also a bit wary of using signal as a trading package - as it has its origins a charting packing but am not sure if this is justified (perhaps this is is due to bad experiences with CQG integrated client when it came out).

I also have an open e cry account (which I don't use much but have a free demo as I have left a little bit in their account) which has real tick data. When I was mucking around a few years ago I have worked out how to code some similar indicators in C#. These would be easy to adapt and in theory to create a strategy to test. But it was really frustrating to code in a language which I am not familiar with. OEC can also autotrade through into Excel through DDE which I understand is old technology and best avoided if I am starting from scratch. (I am most comfortable in VBA).

Does anybody know if OEC can see the code that I would be using for my autotrading / indicator (As they are the broker they can see who are the successful clients - or am I being paranoid?) Other negatives are that I am limited to just one broker.

I also have tried Ninja Trader in the past but this couldn't handle exchange based spreads and I couldn't work out how to export the data to check that my code was correct using Excel.

For my trading at the moment, I use Easyscreen which can autotrade through RTD Excel but it is expensive (I was using it for the autospreader which I probably won't need if this model works as I can get away from synthetic spreads). Although this is robust and properly supported - it won't help me with the testing and optimisation and would only really work for putting the model into production. If I went down this route I would have to buy the tick data and analyse it in Excel / VBA.

I know that a lot of folks use EasyLanguage / Trade Station but I really don't want to try and learn yet another language.

Money is tight at the moment as the model which I was relying upon for my income has just blown up leaving me watching the pennies. (This was a very slow burn - non automated model and I have resolved that I need to get into shorter time frames and more automated to remove the emotion). In the past I have had bad experiences with PATS, and TT - although I would be willing to give them a second go - but they are really expensive.

I would appreciate any thoughts as to which software package / approach might be good? And any other ones that I should look at.
 
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Can you program it yourself? There are many great (Free and commercial) APIs out there, and building on an 'in-house' system brings you closer to realising systems and new innovation.
 
DaddyofTwo said:
Money is tight at the moment as the model which I was relying upon for my income has just blown up leaving me watching the pennies.
More...

It's tough to trade while "watching the pennies." In that respect, it's like poker. You can't be emotionally attached to the chips you push in. I'd suggest you rebuild your bankroll, perhaps through your day job, to the point that you have plenty of risk capital, before worrying about software or other logistics. Blowups by underfunded traders tend to be repetitive.
 
Qtrader allows for the design and forward testing of automated strategies. You can trade exchange traded spreads without the spreader. Algorithm design is limited to traditional technical indicators and there is no backtester.

Additionally, It provides access to Excel RTD and has a huge library of working sample spreadsheets.

Sadly underrated, but I think a person with your experience can appreciate it. I am actually surprised you didn't mention evaluating Qtrader.
 
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Tavurth said:
Can you program it yourself? There are many great (Free and commercial) APIs out there, and building on an 'in-house' system brings you closer to realising systems and new innovation.
More...
Tavurth said:
Can you program it yourself? There are many great (Free and commercial) APIs out there, and building on an 'in-house' system brings you closer to realising systems and new innovation.
More...
Thanks for your reply - but I think that this would be beyond my programming abilities, and I really don't want to reinvent the wheel.
 
debitspread said:
It's tough to trade while "watching the pennies." In that respect, it's like poker. You can't be emotionally attached to the chips you push in. I'd suggest you rebuild your bankroll, perhaps through your day job, to the point that you have plenty of risk capital, before worrying about software or other logistics. Blowups by underfunded traders tend to be repetitive.
More...
Thanks - but this is my day job.
 
xandman said:
Qtrader allows for the design and forward testing of automated strategies. You can trade exchange traded spreads without the spreader. Algorithm design is limited to traditional technical indicators and there is no backtester.

Additionally, It provides access to Excel RTD and has a huge library of working sample spreadsheets.

Sadly underrated, but I think a person with your experience can appreciate it. I am actually surprised you didn't mention evaluating Qtrader.
More...

I'm not familiar with this product. However, I had a very bad experience with their Integrated Client - is this a totally separate product or IC's little brother? I really felt that I was paying them £1600 a month to be a guinea pig to test their product in a live market.

I am sorry but I can't resist having a moan. My poor experiences included:

a) misreporting of my positions (so that when their co-located autospreader double filled it not only didn't report the double fill but unforgivably the front end me a wrong statement of my positions in the underlying as if there was no double fill in one leg). On a single lot I was often losing a couple of thousand without knowing about it and as a swing trader in spreads I was not interested in single lots!! Admittedly this was about 4-5 years ago and the product was new. (I must say that I never now rely on a trading system's front end for position keeping having been burnt by CQG and to a lesser extent by PATS when it got disconnected. I now enter what I believe to be my fills manually and reconcile in real time against the back end position feeds. Even a robust system like Easyscreen very occasionally throws a wobbly).

b) As far as I am aware CQG is still incapable of being used to trade back month WTI as they calculate intraday P&L is based upon the outright price which is fair enough. However, unfortunately there is no liquidity whatsoever in the outrights - only in the exchange based spreads. CQG offer no facility to turn the intraday P&L out of the risk control back end they provide to brokers. So I was locked out the market 50% of the time when it decided that I have made a huge imaginary loss. To add injury to insult, the sales manager refused to acknowledge that there was an issue, saying that HE was an experienced trader and this was "how the market worked" and claimed that he had major clients who used their system for energy trading - but declined to name any. So I switched to their competitors (TT and then Easyscreen) who share my view of how these markets work!

Maybe I will give them a buzz though if you think that their junior product is robust. I thought that in the IC one could code up whatever one liked for an indicator (I had coded up some simple indicators with the help of one of their technical guys although at that time one was limited to passing it through to the autospreader). Apart from the sales manager all the other folk at CQG were very helpful.

Thanks.
 
Your going to hate this. It is CQGIC with some disabled features.

In response:

a) I personally witnessed the misreporting of positions. However, I did have excellent real time reporting from RJO to mitigate this issue. Additionally, I was not sure whether the issue was the numerous PL calculation choices between closings and settlements. Did you work with the broker support team on this?

There is quite a bit of options on reporting alone. In fact, it has some very advanced Excel exporting capability for data that, I could only assume, would be used by someone with true accountability to a clearing department.

b) Sorry, this is clearing greek to me though I have worked at a futures exchange. If every trade is reported on a timely basis, I can't see why the FCM's system would not overrride what the front end says, in principle.

You definitely have the requisite skills and knowledge to put this system through it's paces. There is a legitimate reason why CQG was able to cross over to your side of the pond to become one of the biggest Futures vendors. It's a very fragmented market with very inconsistent technical standards. And, the CQG support staff is tops. Please keep us up to date with what you find.

Cheers.
 
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