help w/ automating the PROCESS of trading

The more I work with Wealth Lab, the more I like it. I like the fact that you can work with an online version and with Wealth Lab developer. I was able to learn how to read and make simple programs in just a few days from their website and I don't have any programming background.

The new version of developer is supposed to be able to send orders to Interactive Brokers. There are also a couple of ways of using the IB data to chart intraday in real time with Wealth Lab developer.

If I get stuck on how to program something I can just post a question on the Wealth Lab bulletin board and I have the answer in a few hours. You should post your question on the Wealth Lab bulletin board and I'm sure the people will tell you how to do what you want to do.
 
Hi, Sam--

I've got several posts on the Wealth-Lab.com discussion groups. Glitch and Cone themselves answered many of my questions--I was really surprised by their responsiveness and willingness to improve the product (three of the things I asked for were released in Builds 11 and 12).

Still, I'm waiting for the two (actually three) remaining changes that I need. They are:

1) a more powerful CandidateCount() function that can be told to count certain types of orders, including: all candidates, all buy candidates, all sells, all shorts, all covers, all opening-position candidates and all closing-position candidates, AT a given Bar. Right now, CandidateCount returns the total number of alerts at the last bar, which is more than I want. I want the total number of orders-that-open-new-positions at any given Bar, so I can figure out how to divide my remaining Buying Power amongst just the new orders.

2) the ability to attach orders to a lead order. I place large order chains with three or four profit target and stop loss orders attached to a single leader. When the leader fills, the entire order chain is then placed. I also use order chains to set up spreads--when the short leg fills, then put in the long leg, and sometimes vice versa.

3) (optional) the ability to specify prices instead of percentages in stop orders.

Don't misunderstand me--I'm not bashing Wealth-Lab or its makers. It's a great product and the guys over there are great. It's just that in its current state, I can't implement my particular trading systems for full-auto trading. So, I must either wait or switch to a different platform. That QuantStudio is making me drool--I can already envision extremely sophisticated decision trees with real-time checking of order placing and fills. Wish I had spent the $650 for WLD3.0 on that instead!
 
Quote from nitro:

This looks like a terrific package.

nitro
More...

Hi nitro,

This package truly looks terrific. Will it help, I doubt it. Looking at the package contents and the very, very, very loooong list of references I thought: "You don't have to read it all, but it's nice to know it's all there! :D

In fact you would need a couple of lifetimes spent in an academic environment to wade through all this.

I'll keep on trodding along with my homebrewn things, adding whatever what I 'feel' is necessary, picking my tools sometimes from academia, sometimes from the scrapheap.

Although I am not a scientifically and mathematically illiterate, I'm not sure that having had a package that terrific would have brought me to where I think I am now. I'm afraid it will give us more cannonfodder to shoot at. Not very charitable thought but promising!

Be good,

nononsense
 
Quote from dchang0:

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.

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!
More...

I met the same kind of problem as said in my answer to Glitch from Wealthlab (the problem is not Wealthlab it is general Welthlab is good for traditional technical indicators) :D

http://www.elitetrader.com/vb/showt...61&perpage=6&highlight=wealthlab&pagenumber=4

"
--------------------------------------------------------------------------------
Quote from Glitch:

There's a question of balance. Do you want to write your own code to support and load many different data formats? Do you want to write code to create indicators based on historical price data? Do you want to write low level routines to compress historical data from daily to weekly, 5 minute to 60 minute, and synchronize different data series by date? Do you want to write the code to render the price data and indicators on a chart in bar, candle, point & figure (etc.) formats? You get the idea If the answer is yes and you're a good programmer then of course the sky's the limit with a standard Windows development environment like Delphi or MS Visual Studio.

Dion Kurczek
--------------------------------------------------------------------------------

My answer:

As an editor software you have to cope with generic programming. Generic programming is much longer. It is not the case when you program specifically for your own need. I am a software architect in fact so I know the problem of generic programming (I only do that for clients if they have money to pay the time needed for generic programming ) I don't program myself I had to pay an engineer to do so. That's why we bought Wealthlab because we wanted to do things rapidly at minimal cost. But finally after one month we gave up. It is not a critic of Wealthlab it is a general problem: when you buy a commercial package you are sure constrained by what it offers and have to wait months or years for the evolution of the product.

As for compression routines it is not the hardest part in my opinion. Complexities rather lie in user interface and interactivity that's why I mentionned this lack but it is not specific to Wealthlab I even agree that WL is one of the best product in his category but the whole category has still to evolve : I really thing that ergonomy in trading system and generally in so called "professional softwares" are late compared to other softwares for the mass public: it seems like when it is too easy to use it is not considered professional
"
 
I have it but I don't like it for the same reason mentioned above. And the langage is C++ like as far as I remember and I don't find this particularly user friendly.

Quote from nitro:

This looks like a terrific package.

nitro
More...
 
Hello nononsense,

I find this package compelling for several reasons:

1) The FIX interface has been written for me. I suspect that it would cost me $1000 in my time just to write and test that.

2) It has some well thought out persistant data structures. That part would probably take me $5000 of my time to write, test, debug.

3) It has a playback of the market feature. That would take me another $3000 of my time to write test debug.

4) The pair trading stuff, while trivial to write, is a nice bonus.

I am just going by the documentation, as I do not own the product. I may find when I get it that it does not deliver on the promise, but I am an optimist.

I agree with you that the package contains some "advanced" classes that are likely to be used by a small percentage of the traders that come to ET. IMHO, he should have taken out these classes and lowered the price of the core package, and sold the statistics library as a seperate package, the way he does the indicators library.

One other thing that worries me is that there is no contact information in the US. That means that the support will come from e-mail only. For a product of this size and complexity, that migth be an issue.

nitro
Quote from nononsense:

Hi nitro,

This package truly looks terrific. Will it help, I doubt it. Looking at the package contents and the very, very, very loooong list of references I thought: "You don't have to read it all, but it's nice to know it's all there! :D

In fact you would need a couple of lifetimes spent in an academic environment to wade through all this.

I'll keep on trodding along with my homebrewn things, adding whatever what I 'feel' is necessary, picking my tools sometimes from academia, sometimes from the scrapheap.

Although I am not a scientifically and mathematically illiterate, I'm not sure that having had a package that terrific would have brought me to where I think I am now. I'm afraid it will give us more cannonfodder to shoot at. Not very charitable thought but promising!

Be good,

nononsense
More...
 
HarryTrader wrote:

...I even agree that WL is one of the best product in his category but the whole category has still to evolve : I really thing that ergonomy in trading system and generally in so called "professional software" are late compared to other softwares for the mass public: it seems like when it is too easy to use it is not considered professional...
More...

Most of the poor design and usability of current testing software is the result of the incremental way in which the feature sets have evolved over the years.

Combine that with any product marketing organizations desire to measure progress in terms of "features" in checklists, and you end up with a hodgepodge of features that were neither conceived nor designed in their entirety.

The solution to this problem is to start from scratch with the knowledge of the entire system and where it will be heading.

There is a real problem doing this when there is an installed base because the need to keep compatibility with prior versions is too important to ignore, and major architectural changes are invariably required to cleanup the design from a usability perspective. This kind of major architectural change would force hard decisions that managers are loathe to make.

It is indeed very possible to make this stuff easy. I also don't think you need to preclude the power features required to earn the "professional" label in order to do so.

:cool:

I just don't think you see a solution like this coming from any existing major vendors.
 
Quote from harrytrader:

I have it but I don't like it for the same reason mentioned above. And the langage is C++ like as far as I remember and I don't find this particularly user friendly.
More...
Well, the language is C#, but I belive you can use any .NET compatible language to write the "scripts" in.

I am somewhat surprised that you do not like this package. From the posts on ET that you submit, I would have thought that you were a perfect candidate for this sort of software.

nitro
 
Quote from nitro:

Hello nononsense,

I find this package compelling for several reasons:

1) The FIX interface has been written for me. I suspect that it would cost me $1000 in my time just to write and test that.

2) It has some well thought out persistant data structures. That part would probably take me $5000 of my time to write, test, debug.

3) It has a playback of the market feature. That would take me another $3000 of my time to write test debug.

4) The pair trading stuff, while trivial to write, is a nice bonus.

I am just going by the documentation, as I do not own the product. I may find when I get it that it does not deliver on the promise, but I am an optimist.

I agree with you that the package contains some "advanced" classes that are likely to be used by a small percentage of the traders that come to ET. IMHO, he should have taken out these classes and lowered the price of the core package, and sold the statistics library as a seperate package, the way he does the indicators library.

One other thing that worries me is that there is no contact information in the US. That means that the support will come from e-mail only. For a product of this size and complexity, that migth be an issue.

nitro
More...

Hi nitro,

You raise a few interesting points here. I cannot argue against these. I simply stated my ignorant attitude towards this new package.

From reading your many posts, I can less or more picture what you are interested in and how you work. I would agree with your opinion that your above points could be of interest. I don't have to tell you that integrating new tools requires a lot of reflection and refinement.

As an example, I myself, probably you too, must have developed some kind of "persistent data structure" solution as described in your point (2). The "playback" feature in (3) is the crux of my simulation environment. I worked many years on these problems from the days I jetissoned T**n and M**k. I am the first to admit that what I came up with, is certainly not the best thought out solution. However, I wouldn't be able to live with anything else right now as the details of my brainchild penetrate in each little corner of what I am doing. I can't imagine how some proprietary piece of software will allow me the same "freedom" of action and thought! Also I couldn't imagine any other development path for myself than the rough path that I followed.

Again nitro, this is my own feeling about this. If I would have seen this a some years ago, I might have adopted it. Keep us posted on what you find out about this, if you look any further.

Be good,

nononsense
 
realise one thing....

you can spend a lifetime automating a system and miss all the heavenly glory...

utto, quoting from my idol, Bruce Lee..


actually, the fault with these systems is programming them, and the time that it takes away from handling trading profitunities as they present themselves.

in all reality, these systems should be relied upon for additional trades and not primary trading...

hence the more time during trading hours that they take away from you, the more they actually cost you.

the same problems were evident when we released AI to the markets in the late 80's
 
You must log in or register to reply here.
Back
Top