Fully automated futures trading

djames · May 26, 2017

Hello,

Question regarding using PySystemTrade in practice, when calculating the daily signals / positions do you update the notional_trading_captial in the config to your current IB balance or rather you initialize the notional_trading_capital when you go live but with full_compounding...?

Operating the system live is not clear to me. Has this been discussed anywhere?

globalarbtrader · May 26, 2017

djames said:
Hello,

Question regarding using PySystemTrade in practice, when calculating the daily signals / positions do you update the notional_trading_captial in the config to your current IB balance or rather you initialize the notional_trading_capital when you go live but with full_compounding...?

Operating the system live is not clear to me. Has this been discussed anywhere?

No there is still a lot of code to write before the system can easily be run live. In practice I would advise doing this "update the notional_trading_captial in the config to your current IB balance"

GAT

JMW · May 29, 2017

globalarbtrader said:
No there is still a lot of code to write before the system can easily be run live.

GAT

Question for the people on this forum who are trading: what are some of the approaches you have taken to build upon PySystemTrade and take it to a point where you have a fully automated trading system? E.g. Built my own code around price collection and trade execution e.g. Took outputs of PySystemTrade and integrated them with packaged system X, e.g. I use an excel implementation etc. I would love to know some of the approaches people are taking...

isotope1 · May 30, 2017

JMW said:
Question for the people on this forum who are trading: what are some of the approaches you have taken to build upon PySystemTrade and take it to a point where you have a fully automated trading system? E.g. Built my own code around price collection and trade execution e.g. Took outputs of PySystemTrade and integrated them with packaged system X, e.g. I use an excel implementation etc. I would love to know some of the approaches people are taking...

I wrote everything from scratch. PySystemTrade is great, but do you really want to trade something you don't fully understand? The process of writing my own version taught me an incredible amount. I used PySystemTrade's source code to look up things when I was stuck. Now I'd feel confident trading something somebody else created, because I can look at it critically, and I think I understand what all the buttons do.

HobbyTrading · May 30, 2017

I wrote my own software based on the contents of @globalarbtrader 's book. I tried to look at PySystemTrade but am somehow not good in understanding Python code. My program is entirely written in java, and is running live for about eight months now. Just as @isotope1 states does it have its advantages if you know every bolt and nut of the program.

traider · May 30, 2017

Instead of rolling out our own, why don't we just create another thread for understanding the nuts and bolts of PySystemTrade. I'm interested even though I am only average in Python. But I'm experienced in other languages. There are many cool things in the design of PySys which deviate from the normal event driven framework which greatly simplifies real life trading. Furthermore I think it makes research and prototyping much faster.

JMW · May 30, 2017

traider said:
Instead of rolling out our own, why don't we just create another thread for understanding the nuts and bolts of PySystemTrade. I'm interested even though I am only average in Python. But I'm experienced in other languages. There are many cool things in the design of PySys which deviate from the normal event driven framework which greatly simplifies real life trading. Furthermore I think it makes research and prototyping much faster.

I think it may already exist (and maybe I should have posted the question there instead...) https://www.elitetrader.com/et/thre...-python-backtester.296589/page-5#post-4440782

JMW · May 30, 2017

globalarbtrader said:
In practice I would advise doing this "update the notional_trading_captial in the config to your current IB balance"

GAT

How frequently would you suggest doing this - daily? weekly? (have you ever looked in to this?)

traider · Jun 1, 2017

Did anyone find a solution to trading products on ICE, say Nybot without paying $120 in data fees?

isotope1 · Jun 2, 2017

JMW said:
How frequently would you suggest doing this - daily? weekly? (have you ever looked in to this?)

every time you trade.

traider said:
Did anyone find a solution to trading products on ICE, say Nybot without paying $120 in data fees?

I use the data from Quandl, which at worst is lagged a day. Which particular future were you trying to trade?