Real Money Automated Trading Journal

[frostengine]

Made it most of the week without any issues, and had 2 phantom trades appear today. This is getting ridiculous. I have an account at IB and am tempted to move back there. However, the commission structure is not conducive to "testing" a strategy live like this. I also am starting to like the pay for limits system at MBT.

Should not have to worry about these kind of issues...

 

[kandlekid]

Quote from vincegata:

Hello frostengine,

I've started writing a trading system myself, though I am good with C++ but this is the first time I am writing trading software hence I'd like to know if I've made the right architectural decisions. My main source of information are books by Richard Stevens on programming in Unix environment. I am using C++ on Ubuntu.

Could you recommend me a book, papers, or point me to some source of information on writing such system using C++, preferably on Linux/UNIX platform. I've looked so far at source code of QuickFix and Marketcetera, both seems bloated. Marketcetera is also written in Java but I am looking for C++ code.

Briefly my system consists of two executables:

system1 is a multitreaded app that:
thread1: monitors socket to download ticks in real time.
thread2: processes ticks to generate buy/sell signals, places new_order_message to FIFO (named pipe) to be read by system2, saves orders in order_book.
thread3: monitors FIFO for order confirmation messages from system2.

system2 is pretty much a FIX engine that is a single threaded app that:
monitors socket for a new FIX messages from a broker, if order confirmation arrived place it into FIFO to be read by system1.
monitors FIFO for new orders from system1, if a new_order_message arrived convert it into FIX format and send to broker.

I am also using MB Trading but I place orders over their FIX server.

Thank you.

Hello Vince,

You seem to be coming from a similar background as myself (order routing developer). I assume that you did not write the FIX engine yourself (which in itself would be an impressive accomplishment). Anyway, I believe that Sierra Chart uses C++, but I think it's Visual C++, not gcc, etc. So I guess you'd have t run it under one of the emulators (wine ?).

 

[j2ee]

Would amibroker or tradelink perform better than NT for this case?

 

[frostengine]

<b>Results for the week of 8/19-8/24</b>
<b>Starting Balance:</b> $998.98
<b>Ending Balance:</b> $1000.83
<b>P/L:</b> +$1.85
<b>Pips:</b> +18
<b>Trades:</b> 33
<b>Avg Trade (pips):</b> +.54
<b>Skipped Trades:</b> 11
<b>Total Slippage:</b> -13.8 pips
<b>Commission:</b> $0
<b>Total Cost Per Trade (pips):</b> -.4 pips

<b>Thoughts</b>
I am a little disappointed in the uptick of skipped trades this week. However, I did have a nice decrease in slippage. More work needs to be done here on how to minimize slippage while minimizing skipped trades.
I was very pleasantly surprised by the fact that I had $0 commission this week. The pay for limits is really paying off. Enough to offset the few market orders I have to place each week. Biggest change between this week and last week was fixing some issues in using limits on my exits.

<b>Challenges</b>
Phantom trades continue to plague me. I now have it narrowed down to being potentially a NinjaTrader bug after a disconnect from the order server. When it comes back, appears NinjaTrader marks outstanding orders as filled when it was not actually filled, causing a snow ball affect when I exit a position that does not exist, essentially creating a trade in opposite direction.

 

[vincegata]

Quote from kandlekid:

Hello Vince,

You seem to be coming from a similar background as myself (order routing developer). I assume that you did not write the FIX engine yourself (which in itself would be an impressive accomplishment). Anyway, I believe that Sierra Chart uses C++, but I think it's Visual C++, not gcc, etc. So I guess you'd have t run it under one of the emulators (wine ?).

Hi kandlekid,

Thanks for input, I looked at Sierra Chart it runs on .NET. I have my platform ~85% done so I am not looking for a platform, I am looking for a book or paper that explains how to design ATS. I want to know if I made the right architectural decisions and I will not have some sort of bottleneck or deficiency in the future.

 

[jcl]

Quote from frostengine:

<b>Challenges</b>
Phantom trades continue to plague me. I now have it narrowed down to being potentially a NinjaTrader bug after a disconnect from the order server. When it comes back, appears NinjaTrader marks outstanding orders as filled when it was not actually filled, causing a snow ball affect when I exit a position that does not exist, essentially creating a trade in opposite direction.

This might not be NinjaTrader's fault, but a problem with the broker API. Many APIs have such problems. It often requires some tricks to work around them when you implement an API.

 

[Eight]

Quote from jcl:

This might not be NinjaTrader's fault, but a problem with the broker API. Many APIs have such problems. It often requires some tricks to work around them when you implement an API.

We use third party software so that they can work around the bugs in the brokers' API. There are some that live up to that requirement and some that don't..

 

[frostengine]

Another phantom trade occurred last night. This one does not seem directly related to a disconnect/reconnect event. However, I still need to perform analysis on it. Luckily this trade did not hurt me,in fact made a few pips.

If I was able to simply see the "true" account positions (NinjaTrader has this as it shows on position tab), then the strategy could compare this as the only trades taken will be from the strategy, so if the positions are mismatched, exit out and restart the strategy. That would fix a lot of it.

Another potential is to add some code to communicate directly with MB trading to pull down position information from within my strategy, appears to be a COM interface, so this may be doable.

 

[Mr_You]

Quote from frostengine:

Another phantom trade occurred last night.

You originally stated you are using live money, but are you using the Sim101 account? Probably not but I thought I would mention the issue I had recently.

I noticed "phantom" positions using the Sim101 account. This was the response from NinjaTrader Support:

If the order was placed in the Sim101 account it may be a stuck order. Resetting a simulation account will remove the stuck order and it will clear all historical trade data from this account as well. Please follow the instructions below to reset a simulation account.

* From the NinjaTrader Control Center window select the menu Tools-> Options
* Select the "Simulator" tab
* Press the "Reset" button

 

[frostengine]

Quote from Mr_You:

You originally stated you are using live money, but are you using the Sim101 account? Probably not but I thought I would mention the issue I had recently.

I noticed "phantom" positions using the Sim101 account. This was the response from NinjaTrader Support:

I wish I was using the SIM account. Unfortunately, I am trading using live money. I am being told to "replicate" the issue on SIM to "prove" its an issue with NinjaTrader. Sounds like your having issues on SIM as well. Hopefully they can resolve it.