My Dream AutoTrading Software

F

flipflopper

1. Has the ability to trade a portfolio of instruments.
a) Multicharts allows me to backtest and optimize a portfolio but when it comes to trading I have to add each individual instrument and apply the strategy to it. This makes it very difficult for the system as a whole to know what the other strategies are doing (whether they are in a position or not how much capital is at risk at any given time). What I consider to be the true holy grail is the ability to efficiently use capital at all times while never risking more then a certain percentage at any given time. Without the ability to create strategies on the portfolio level it is impossible to know what is going on in the big picture at any given time.
b) The strategy must always know what your current intraday and overnight buying power is so it can adjust positions to meet overnight requirements but is also able to take advantage of additional intraday margin.

2. Can more accurately calculate slippage in back testing based on the bid ask spread, the avg daily volume, and the size of your position.

3. When backtesting and optimizing a portfolio of instruments the results should allow you to drill down and see how each individual instrument performed. Also to group instruments that performed similarly together so you can easily identify which group of instruments works well with the strategy.

4. The ability to optimize based on Sharpe Ratio, Lowest Drawdown, least consecutive losers, etc. NetProfit is not the most important factor.

I would be interested to hear from any other auto traders on their opinions and thoughts. Does something like this exist? Would you have to build it? Is this stuff useful or not really?
 
you can do all but two of your needs with tradelink. http://tradelink.googlecode.com

it's open source so it'd be pretty easy to add the two things it doesn't do.

1. strategies in tradelink are called responses, strategies accomplish all of your objectives but there are a couple of different tools used.

a. you can trade a strategy across a portofolio using ASP. gauntlet allows you to backtest a portfolio at once. view summary stats including BP, sharpe. export to excel for pivot table analysis and so forth.

b. you can determine your money in use at any time, and combine that with whatever margin requirements you have to adjust your allowed exposure at any time.

2. it doesn't do this, but the data is there and it's open source so you can add it easily.

3. Drill down into indivdual symbol results with charts and indicators using Kadina.

4. all these stats are there from a summary perspective, so you can easily optimize manually. if you desire automatic optimization, you would need to decide on a method (iterative, GA, NN, support machines/etc/etc), and then plug this in. The tradelink simulator is open source and used bya ll the backtesting tools, so you could easily apply any optimizaton technique you desire.

http://tradelink.googlecode.com
 
Wow... that is pretty impressive. I will surely have to look into this much more closely.

You fish on internet boards for useful info and most of the time it's a swing and a miss. This is what makes communities worth while.

Can tradelink pull intraday and overnight buying power from Interactive Brokers?
 
How do you know what keywords return what values?

I couldn't find any documentation.

Also I spoke to Esignal and they said that they only provide 2 years of historical data that can be imported to third party apps. The additional 10 years can only be used in Esignal itself.

Is this true or is there a way to pull that extended historical data.

Also what are the best sources for extended historical data? I use IQfeed now but they only provide 2 years.
 
I also had to laugh when you said purchase inexpensive data from CQG. I checked it out put AAPL in my cart and it came out to $1100!!!

But I have to congratulate you on a truly impressive business model. Free application, charge for support. This is an incredible value and the business model of the future.
 
Quote from tradelink:


http://tradelink.googlecode.com [/B]
More...

It looks nice. Iv'e downloaded and I have two questions. The first one is that I can't seem to get Quotopia to work with IB TWS.

It keeps on saying Not connected [err:504] [ibid:87] [tlid:0] over and over. Yes, I did configure TWS to the right socket port. Do I need anything else? I also notice that in my version(the latest) of TWS, it has Master API client ID set to -1. In the documentation at tradelink website does not have that as part as of the screenshot(could be a slightly older version of TWS). So, should i check "use negative numbers to bind automatic orders"?

The second thing is I have Windows 7. And the it doesn't seem to be able to record tick data live b/c it's it s x86 Program File according to one forum. Someone mentioned something about editing the registry(risky). I did go into the registry but I couldn't find where to point to the tick data folder in Program File (x86)\Tradelink\ so tickdata can be recorded using Tradelink.

Looks promising but I like to get those two things working.

thanks

99
 
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