You can't just place buy orders at one firm and sell orders at another, because after 1 year, your position at 1 firm will be +1,000, while it is -999 at the other firm. That will require alot of margin to be +1! I guess you could just adjust the 2 accounts at the end of the day, but then you double your commission and slippage costs. It's definatly more difficult than it sounds!
How can I automate a trading system?
- Thread starter Trader_Herry
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You can't just place buy orders at one firm and sell orders at another, because after 1 year, your position at 1 firm will be +1,000, while it is -999 at the other firm. That will require alot of margin to be +1! I guess you could just adjust the 2 accounts at the end of the day, but then you double your commission and slippage costs. It's definatly more difficult than it sounds!
Quote from Trader_Herry:
Extra codes... Do I need to write a small program just to automate, or simply attach automation codes to trading system?
Can I write the automation codes within the chartng software? And what chartng software can do so (ie have in-built auotmation functions)?
Thanks.
Depends on the execution software I guess. The software I use, I just insert some code in my strategy code and let her rip. They also offer a way of automating TradeStation strategies without any extra coding, but it only uses market orders. If you need other order types, there is some coding involved.
Exactly. Margin.
Use some imagination and this method could work. For example, you can do "buy" orders at one firm, sell at another firm sometime. Then make a reverse sometime later. It is not that hard to do.
But I'm not sure how hard to do if you want to automate it. I wonder you need to program yourself to satisfy this speical need.
Yes, the commission is double, but that's the cost you need to pay for safety. If you think your edge is going to be stolen away at one clearing firm, it is worth paying that cost, especially your edge is very profitable.
Actually there're many method to do, and mine is just one of the example. But the point is if you don't show any one firm all of your trades, it makes it very hard to decode your trading edge.
Use some imagination and this method could work.
No one tells you to always "buy" at one firm, and never close positions.
If you would like to protect your edge, it is worth paying such cost (double commission).
What software do you use?
I think you are using Tradestation, aren't you?
Do you know how can I send the orders frm Tradestation to IB? Can it be done within Tradestation or plugin? Or do I need to pay for a thid-party software for that?
Again, it's near to impossible to steal an edge from cleared trades.
All you have to work with is the total bought and sold throughout the day.
Even if you sat down with a minute chart everday for a month, you would not be able to see WHEN each lot was bought or sold.
Your broker on the floor may more easily find out what you're doing.
But then who doesn't already think of using two brokers?
All you have to work with is the total bought and sold throughout the day.
Even if you sat down with a minute chart everday for a month, you would not be able to see WHEN each lot was bought or sold.
Your broker on the floor may more easily find out what you're doing.
But then who doesn't already think of using two brokers?
If you are willing to pay for that than it isn't that difficult. Creating an algorithm that will avoid the extra cost is what would be difficult.... but still not impossible.
I am still a Tradestation user, but I am in the process of moving my strategies to a different language. Tradestation isn't capable of doing what I need to do. I use efloortrader for execution. I cannot comment on how to connect Tradestation to IB, as I have never used IB's software. I'm sure someone here can answer your question though.
I assume you are using Tradestation as a brokerage too.
What do you feel about the quality of Tradestation as a brokerage?
Stable/Reliable?
Fast in execution?
If something goes wrong, can I get reach of the staff quick and solve the problem quickly?
What programs or langauges are you switching to?