Hi, everybody--
This is a frustrating situation I'm in. Many months ago I decided that my ultimate goal in trading is to design, test and implement fully-automatic, hands-off, realtime and EOD trading systems. I went through a careful evaluation of several different backtesting/autotrading platforms, settling on either Wealth-Lab or Tradestation. Eventually, I bought Wealth-Lab and began trying to implement a system that would fully automate the PROCESS of trading.
What I mean by "process of trading" is this: I want to be able to code the decision-making process that I would normally make in-person. I do a lot of process automation in my day job whereby I write perl and Java programs that take a human process (that requires intelligent but systematic reactions to anticipated problems) and fully automate them. A good way to describe it is like this: "if this goes wrong, then try this; if that doesn't work, then try this; if that works, then proceed with these steps and this new tactic," and so on. A series of contingent decisions...
This is exactly the sort of automation I need to fully implement my trading system. My current system cranks out a lot of stops for entries and immediately attaches profit-target and stop-loss orders that activate only if the primary order fills. Many of my orders will not succeed, either because they attempt to short unshortable stocks or because some or all of the "legs" of the orders won't succeed in getting filled. All sorts of "if...then...else" type situations, if you know what I'm talking about.
Also, there seem to be a lot of limitations based on the arbitrary "bar" subdivision of time, not actual point-in-time decisions. For instance, I use an EOD system that prefers buying at the close of the current bar (day). It supposed to approximate buying at the "close" by buying a few minutes or seconds before the market actually closes, but doing so is not simple when the platform insists on waiting till the current bar closes. Another example of this problem is that with my EOD system, I can run the scan for order alerts at any time during the day, which can have signficantly different results from systems backtested using the OHLC price points of the bars. I need a way to specify multiple subdivisions of time simultaneously, like trading a day system by the hour, or trading a 15-min system by the second.
The problem is, I can't seem to find a platform that approaches trading automation from a decision-making-process point of view. "Automated" trading of my systems tends to require a lot of human intervention because of all the unforeseen problems that arise (like partial fills, unfilled limit orders, etc.) I end up essentially using the "automated" trading system to filter/screen stocks and end up placing the orders by hand and with a calculator to figure out the position sizes as the orders are placed. I'm actually using more discretion now than when I used to trade completely discretionary! (Like when a paired long and short spread entry fails because the short isn't allowed--do I take just the long leg or forget the whole pair?)
Can anyone recommend a solution to this BESIDES proprietary trading systems written from the ground up? I know I'm a programmer, but I have little desire to write a custom application to trade one particular system--that's a lot of code to have to write to reinvent the wheel. Specifically, I'm wondering if TradeStation might be able to accomplish what I want (some of the descriptions of 7.2's capabilities seem to be along the lines of what I want) or if there is some other lesser-known package that can fully automate the trading process and still allow me to spend my coding/time on just the trading process itself.
Thanks!
This is a frustrating situation I'm in. Many months ago I decided that my ultimate goal in trading is to design, test and implement fully-automatic, hands-off, realtime and EOD trading systems. I went through a careful evaluation of several different backtesting/autotrading platforms, settling on either Wealth-Lab or Tradestation. Eventually, I bought Wealth-Lab and began trying to implement a system that would fully automate the PROCESS of trading.
What I mean by "process of trading" is this: I want to be able to code the decision-making process that I would normally make in-person. I do a lot of process automation in my day job whereby I write perl and Java programs that take a human process (that requires intelligent but systematic reactions to anticipated problems) and fully automate them. A good way to describe it is like this: "if this goes wrong, then try this; if that doesn't work, then try this; if that works, then proceed with these steps and this new tactic," and so on. A series of contingent decisions...
This is exactly the sort of automation I need to fully implement my trading system. My current system cranks out a lot of stops for entries and immediately attaches profit-target and stop-loss orders that activate only if the primary order fills. Many of my orders will not succeed, either because they attempt to short unshortable stocks or because some or all of the "legs" of the orders won't succeed in getting filled. All sorts of "if...then...else" type situations, if you know what I'm talking about.
Also, there seem to be a lot of limitations based on the arbitrary "bar" subdivision of time, not actual point-in-time decisions. For instance, I use an EOD system that prefers buying at the close of the current bar (day). It supposed to approximate buying at the "close" by buying a few minutes or seconds before the market actually closes, but doing so is not simple when the platform insists on waiting till the current bar closes. Another example of this problem is that with my EOD system, I can run the scan for order alerts at any time during the day, which can have signficantly different results from systems backtested using the OHLC price points of the bars. I need a way to specify multiple subdivisions of time simultaneously, like trading a day system by the hour, or trading a 15-min system by the second.
The problem is, I can't seem to find a platform that approaches trading automation from a decision-making-process point of view. "Automated" trading of my systems tends to require a lot of human intervention because of all the unforeseen problems that arise (like partial fills, unfilled limit orders, etc.) I end up essentially using the "automated" trading system to filter/screen stocks and end up placing the orders by hand and with a calculator to figure out the position sizes as the orders are placed. I'm actually using more discretion now than when I used to trade completely discretionary! (Like when a paired long and short spread entry fails because the short isn't allowed--do I take just the long leg or forget the whole pair?)
Can anyone recommend a solution to this BESIDES proprietary trading systems written from the ground up? I know I'm a programmer, but I have little desire to write a custom application to trade one particular system--that's a lot of code to have to write to reinvent the wheel. Specifically, I'm wondering if TradeStation might be able to accomplish what I want (some of the descriptions of 7.2's capabilities seem to be along the lines of what I want) or if there is some other lesser-known package that can fully automate the trading process and still allow me to spend my coding/time on just the trading process itself.
Thanks!