Questions for Tradestation users

G

garchbrooks

1) Just curious how fast you can actually trade on this platform and get away with a profit, given transaction costs and such. I haven't been able to make anything sub 5-min profitable, if I account for slippage. The executions are not always so fast, and the signal seems delayed. I'm sure it's possible, just curious if anyone out there, for example, is sitting around with tick charts managing to get in and out without getting hammered.

As an example, in a stock with 1.5mil shares a day volume with a roughly 5 cent spread, I had a strategy that had a "buy next bar at market" after a breakout, then saw that someone clever out there managed to throw out a 2-share order on the other side of resistance (on the tape) to trigger my market order. Of course, my market order went out there, then they collected the spread on the other side. But had I run that same strategy with a limit order, I would have been too slow to pick off the shares even at the NBBO+5 cents. So, unless the stock is liquid or unless my forecasts are for several pennies out, the platform triggers are really sloppy -- rendering any edge under, say, 20 cents to be really difficult to get.

2) Do any of you make a living entirely from this platform? There are certain trades I find that this platform is naturally suited for, but there are other things I find a little bit troubling. Is there any way I can programmatically pull down symbol data so I can datamine things?

So, using the S&P500 as an example, is there any way I can script pulling down the last 180 days of 1 minute data from all of the S&P500 components? Or do I manually have to go through, load each symbol up, bring up the data window, and then save it to a file?

Thanks.
 
TS is not really good for high frequency strategies.

I have never heard of anyone attempting to use it for such, much less doing it.

Be interested to hear if somebody has a story otherwise.

TradeLink has many things specificallyd esigned for high frequency strategies :

* tick-based backtesting and live trading, 250,000 ticks per second
* tick recording
* import tick data from esignal and cqg
* automatic order/cancel latency tracking, so you know what slippage your broker is causing you
* broker neutral tif enforcement features
* free and open source
* 8 brokers supported


http://tradelink.googlecode.com
 
Quote from garchbrooks:

1) Just curious how fast you can actually trade on this platform and get away with a profit, given transaction costs and such. I haven't been able to make anything sub 5-min profitable, if I account for slippage. The executions are not always so fast, and the signal seems delayed. I'm sure it's possible, just curious if anyone out there, for example, is sitting around with tick charts managing to get in and out without getting hammered.

As an example, in a stock with 1.5mil shares a day volume with a roughly 5 cent spread, I had a strategy that had a "buy next bar at market" after a breakout, then saw that someone clever out there managed to throw out a 2-share order on the other side of resistance (on the tape) to trigger my market order. Of course, my market order went out there, then they collected the spread on the other side. But had I run that same strategy with a limit order, I would have been too slow to pick off the shares even at the NBBO+5 cents. So, unless the stock is liquid or unless my forecasts are for several pennies out, the platform triggers are really sloppy -- rendering any edge under, say, 20 cents to be really difficult to get.

2) Do any of you make a living entirely from this platform? There are certain trades I find that this platform is naturally suited for, but there are other things I find a little bit troubling. Is there any way I can programmatically pull down symbol data so I can datamine things?

So, using the S&P500 as an example, is there any way I can script pulling down the last 180 days of 1 minute data from all of the S&P500 components? Or do I manually have to go through, load each symbol up, bring up the data window, and then save it to a file?

Thanks.
More...

I have been on TS for 6+ years. I have not had much luck with HF auto strategies. It seems to work best for non-scalping , swing related auto strategies. I run a Line Break auto strat that does not base anything on time, pure price targeted entries but it is patient and it works well. I also use TS as my primary day trade/scalp platform and manually traded, it is stable and fast enough for my methods.
 
Quote from tradelink:

TS is not really good for high frequency strategies.

I have never heard of anyone attempting to use it for such, much less doing it.

Be interested to hear if somebody has a story otherwise.

TradeLink has many things specificallyd esigned for high frequency strategies :

* tick-based backtesting and live trading, 250,000 ticks per second
* tick recording
* import tick data from esignal and cqg
* automatic order/cancel latency tracking, so you know what slippage your broker is causing you
* broker neutral tif enforcement features
* free and open source
* 8 brokers supported


http://tradelink.googlecode.com
More...

You should consider doing like any legitimate concern should and that is advertising. I see your postings and it makes me sick as to the 2 months of torture you put me through and the damage to my wallet. OPENSOURCE = OPENSORES .... Your
commentaries get so diluted by you always plugging for product. "Hey guys", "I understand", "me too", "wonder if" btw it's free and OPEN SORES.
 
Quote from tradeshark:

I have been on TS for 6+ years. I have not had much luck with HF auto strategies. It seems to work best for non-scalping , swing related auto strategies. I run a Line Break auto strat that does not base anything on time, pure price targeted entries but it is patient and it works well. I also use TS as my primary day trade/scalp platform and manually traded, it is stable and fast enough for my methods.
More...


Actually I have come to the conclusion that no matter what platform you decide on, simple things like intermittent bottlenecks in your network will dilute your HFT attempts. A gentleman @ one data provider turned me onto http://www.pingplotter.com/ free and you can see all the BS that clogs up your data throughout the day. Funny none of these snakeoil salesman tell you this. Besides why try to play arms race with GS and Rentech, instead maybe try to use there speed
and your lack of, to your adavantage.
 
Quote from garchbrooks:

1) Just curious how fast you can actually trade on this platform and get away with a profit, given transaction costs and such. I haven't been able to make anything sub 5-min profitable, if I account for slippage. The executions are not always so fast, and the signal seems delayed. I'm sure it's possible, just curious if anyone out there, for example, is sitting around with tick charts managing to get in and out without getting hammered.

As an example, in a stock with 1.5mil shares a day volume with a roughly 5 cent spread, I had a strategy that had a "buy next bar at market" after a breakout, then saw that someone clever out there managed to throw out a 2-share order on the other side of resistance (on the tape) to trigger my market order. Of course, my market order went out there, then they collected the spread on the other side. But had I run that same strategy with a limit order, I would have been too slow to pick off the shares even at the NBBO+5 cents. So, unless the stock is liquid or unless my forecasts are for several pennies out, the platform triggers are really sloppy -- rendering any edge under, say, 20 cents to be really difficult to get.

2) Do any of you make a living entirely from this platform? There are certain trades I find that this platform is naturally suited for, but there are other things I find a little bit troubling. Is there any way I can programmatically pull down symbol data so I can datamine things?

So, using the S&P500 as an example, is there any way I can script pulling down the last 180 days of 1 minute data from all of the S&P500 components? Or do I manually have to go through, load each symbol up, bring up the data window, and then save it to a file?

Thanks.
More...

I have been using TradeStation for some time, in automated trades, as well as discretionary, and I had no problems trading stocks. I never used it for futures or forex.
To be honest, I don't understand what is your complaint at 1. The platform triggered a buy market order, and you got filled at the ask. Isn't that what you expected? I don't see how it was the platform's fault.
As for 2, no, you cannot automatically change the symbol in a chart analysis window, but you can use scripts like
http://www.autoitscript.com/autoit3/index.shtml
to automate the clicking.
 
Quote from garchbrooks:

1) Just curious how fast you can actually trade on this platform and get away with a profit, given transaction costs and such. I haven't been able to make anything sub 5-min profitable,....
More...

Having had since Windows 3.1, I have watched it grow into a complete resource hawg.

It will bring the average computer to its knees. I spent 4K on my last computer just for TS and I use 20K download/2k upload cable connection.

With that, a profit @ 20 ticks on the S&P is not a problem. However, I still have to deal with internet issues now and then.
 
Quote from patoo:

Having had since Windows 3.1, I have watched it grow into a complete resource hawg.

It will bring the average computer to its knees. I spent 4K on my last computer just for TS and I use 20K download/2k upload cable connection.

With that, a profit @ 20 ticks on the S&P is not a problem. However, I still have to deal with internet issues now and then.
More...

I run it in a VM with 4GB and 2 virtual cores allocated to it, running about 20 symbols and it brings the system to its knees. It's my fault, time to get rid of the VM. I figured a Nehalem could do the trick and still let me run my analytics in the background in Linux. I was wrong. What I'm going to have to do is allocate real hardware to this beastie.

Not my original comment, just saying I believe you is all.
 
Quote from telozo:

I have been using TradeStation for some time, in automated trades, as well as discretionary, and I had no problems trading stocks. I never used it for futures or forex.
To be honest, I don't understand what is your complaint at 1. The platform triggered a buy market order, and you got filled at the ask. Isn't that what you expected? I don't see how it was the platform's fault.
As for 2, no, you cannot automatically change the symbol in a chart analysis window, but you can use scripts like
http://www.autoitscript.com/autoit3/index.shtml
to automate the clicking.
More...

Generally speaking, a slow platform is to blame if it is behind slippage. I'm not saying TS is the one to blame here as I have no basis for comparison* against other brokers/platforms, and that is why I'm asking the public to tell me what time-frames they are getting away with -and- perhaps whether or not they have any tricks they'd like to share.

As for 2, thank you very much. I may indeed have to do that. Your input and answer to this question are very valuable to me.

I want to make it clear I'm not asking for the heavens and the earth and everything for $100 a month, and it's ludicrous to think I can get something ultra fast for what I pay. What I am wondering is: what are the serious limits of what I'm paying for, and how far can this take me before I have to jump ship and take my business to another level? That's the real issue here.

* I don't know -- does Interactive Brokers give less slippage? I don't actually have a real measurement here.
 
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