Need some recommendations....

J

jlbishop

Hi all,

I have a day trading strategy I'd like to automate and am looking for the right platform to do it on.

I have a setup scan that runs nightly that will yield a (large) candidate list of potential trades. This list can be 300-400 symbols...

I then look for limit order entryies on up to a defined number of positions (20), and then no new symbols are traded.

Existing positions are then managed as follows:
Additional scaling occurs under certain circumstances
A profit target based on the average position cost is maintained
Exit on EOD if profit target not hit

For me this seems like a pretty straightforward strategy, and it would be if I were only looking at one symbol, but the kicker is that I need to watch 300 or so potential underlyings, and only a few of them will actually become trades. Many are called, few are chosen! :-)

I have NinjaTrader, and frankly this seems a bit beyond what it was intended for.


Any suggestions gratefully accepted!

John
 
Pretty much none. You need something that runs in batch mode - and runs only when called (Daily). ninja has a lot of problems with overnight etc. (sync positions , restart strats where they left when you restart the computer) mostly because it focuses on real time. What you really need has a totally different focus - and is a lot easier. I would satart automating everything up to the orders with a command line script + a database.
 
this is a common setup in TL, which is open source and free.

as discussed elsewhere, hundreds of symbols is not really a stretch for most platforms. The problem is many brokers and feeds have too high latencies to support hundreds of symbols.

the key is choosing a good feed.... in TL successful setups include either a split feed setup with your data feed being iqfeed (or nanex) alongside one of the supporting brokers for execution.

or and especially in your scenario you may be able to get away with a sampled feed like what IB provides.

google tradelink project for more info
 
Sadly that is one of the thigns where TradeLink falls straight on the face with a hugh loss in case any problems arise. Handling hundeeds of ymbols intraday is fvery different from a scenario where you run long strategies and need for example to restart the computer WITHOUT dropping positions and strategy state. Like the nightly list of symbols. TradLink has no intrinsic support wahtsoever for persisting / restart scenarios for strategies.
 
Any tradelink object or indicator can be persisted to disk and restored at any time you like. (startup/shutdown, anywhere in between)

There are several ways of doing this depending on whether you're using built-in features or your own objects. ask on the users list if you're having trouble or need help.
 
Quote from jlbishop:

Hi all,

I have a day trading strategy I'd like to automate and am looking for the right platform to do it on.

I have a setup scan that runs nightly that will yield a (large) candidate list of potential trades. This list can be 300-400 symbols...

I then look for limit order entryies on up to a defined number of positions (20), and then no new symbols are traded.

Existing positions are then managed as follows:
Additional scaling occurs under certain circumstances
A profit target based on the average position cost is maintained
Exit on EOD if profit target not hit

For me this seems like a pretty straightforward strategy, and it would be if I were only looking at one symbol, but the kicker is that I need to watch 300 or so potential underlyings, and only a few of them will actually become trades. Many are called, few are chosen! :-)

I have NinjaTrader, and frankly this seems a bit beyond what it was intended for.


Any suggestions gratefully accepted!

John
More...

InvestorRT at www.Linnsoft.com is a platform that can handle your large list with automated entries based on your signal parameters. It interfaces with IB. Your basic setup resembles what I've been doing for a few years with the platform. (Screening a large list for next day trading, then tracking and entering with limit orders.)

Open trades can be tracked and exits automated, although I would suggest doing that manually once a trade is entered. It is safer than leaving everything to a non-monitored system.

PM me if you have questions.
 
You must log in or register to reply here.
Back
Top