Recommend Book on Autotrading?

[mbbd]

Aok, you obviously know the subject and I don't, but do I really need to learn Excel to write formulas? I looked at it a bit, and it says it contains something called Visual Basic for Applications. You can bet I'll continue to trade. Do you know Excel was what was used for Strategy Desk? If I could send you the formula and syntax guide, you would see how grossly inadequate it is as an introduction, and the general manual doesn't add much to that deficit. I would think some of the platforms would have better guides, if the languages have general applicability.

rosy2, what I want is the same as every trader, the best price based on my projection. I did come up with an answer, but you must be familiar with TD Ameritrade features to understand. To afford privacy, I won't name the stock, but sages can tumble. The projected low was 2.03. For the AM session only, I placed a limit order for 1.89 to buy to cover. For the regular I created this formula: PriceRangeChannels[Lower,1,O,1,1]=2.03 AND (Bar[Hour,1] * 100 + Bar[Minute,1])>=945 encompassing a limit order at 2.03, which I probably should've made 2.00. Someone had previously helped me with the timestamp. and I modified it. Also for the regular I put in a trade trigger for 1.89. The delay until 9:45am was to allow the trigger to fill first, if possible. The problem with this setup is that I could've gotten a double fill, which I would not have wanted, due to my existing holdings so I had to further maneuver due to that. I might be ignorant, but I'm not incapable.

Everyone, I shall check your recommendations and any future ones and report back. Again, the subject is autotrading, not hft per se.

 

[a5519]

For autotrading you should look for a book about running software development project.
The trading part must be done long before you start thingking about autotrading.

 

[trhudson]

Quote from a5519:

For autotrading you should look for a book about running software development project.
The trading part must be done long before you start thingking about autotrading.

Can you please explain?

I think you have this backwards?!?

I know in my experience, after I developed my platform I learned a LOT about market tendencies. This was because I developed my platform to back-test as well as automate trading.

I had planned on trading a specific strategy, but developed new strategies after the platform was complete and found that other strategies would work better.

 

[mbbd]

What that poster is simply saying is that you should know much about trading before you turn yours over to a computer. We can always develop new ideas and should.

 

[trhudson]

Quote from mbbd:

What that poster is simply saying is that you should know much about trading before you turn yours over to a computer. We can always develop new ideas and should.

I guess I will just have to disagree. I believe that if you are not exposed to so many ideas of other traders and are able to THINK on your own and OUTSIDE THE BOX, you stand a much better chance. I say this out of EXPERIENCE.

I have been working with a trader who has been unsuccessful for years. When I introduced him to my platform and the removal of all technical indicators, he is beginning to realize quite rapidly that the technical indicators created emotion in his trading. By removing them he has a better view of the markets and more importantly what statistics and probabilities will do for his trading.

I will also add, the most important part (outside of a profitable system) is discipline and a computer program has it, very few people do. The problem with most platforms available is that they do not give you the tools that you need. While they claim they have all the technical indicators, they aren't going to help.

 

[trhudson]

Quote from Bob111:

once you have an idea-then you have test it,using historical data. this can be done manually or using whatever was on market. this is where you learn basics of programming. maximum flexibility can be achieved only by using your own stuff(that's at least my experience). once you have solid system-you can move to your auto trading.this is where and when you learn real programming. suggesting C or C# is imo overkill. excel,VBA, VB-those are relatively easy,common languages\programs.

We started with C++ and converted to C#. I don't really consider that overkill, because it is a stand-alone application and can do everything I want, I guess that's the key. If it were a swing trading platform, I guess Excel/ VB would work.

I am a big fan of doing most of my initial back-testing in PHP / MySQL, it's much more versatile and it can be done much quicker than in Excel. If I come up with an intra-day idea, I will develop a PHP format to determine if it's been profitable for a short period of time, then move it into the platform in C# to find out if it's profitable for 8 years.

It back-tests on it's own and gets data from a server where we house 8+ years of intra-day 1 minute data for all stocks that trade over 1 Million shares. I am amazed at how many people here want to simulate or back-test for 1 or 2 years, they are really taking a gamble.

What amazed me more than anything was after it was developed and the data integrated. The fact that the same rules could be traded daily was a SHOCKER.

It's totally hands-off and that's another reason for the C# stand-alone application, I don't really trust the stability of anything unless it's built from the ground up. Hands-off, except for setting it up, which takes at most 5 minutes.