Unattended Automated Trading

what i find very interesting is nobody's really saying how well they're doing automated. is anyone making 3-5k a week consistently? is the % of winners to losers really any better thyan when you traded manually?
 
Sure. The 1st line of defense is my trading system paging me itself.. it runs on a co-located server so is basically gauranteed to be up.. if the server is down the colo facility will let me know. I have external boxes in several different colo facilities that constantly ping the trading server, if one of them fails to get a response it notifies me. If one only one of the "dead-man-switches" triggers than I know it is not a real alert, but more than 1 alert then I know something is wrong. My oager consists of AIM, IRC and SMS. Major point: I would never trade automated from a home connection.

--Stephen

Quote from Big Game Hunter:

StephenCrowley, could you elaborate on how you can get the system to page you if your away from the house to inform you that the quote feed has disconnected for more than one second. This is a failsafe I would like to look into but I am unsure about exactly how to monitor the connection and even less sure about how to get it to page me if the connection drops out. I like the idea behind this since if you use a dual wan router more often than not the connection should not drop. This means that if the brokers server crashes and THIS is the cause then I can get home in a hurry and since I prefer longer time frames I can fix the problem quickly without affecting trading. Any help you can provide regarding any of the other redundancies you mentioned would also be really appreciated.
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If they had 10 million that would not be a very good yield...


Quote from joeyata1:

what i find very interesting is nobody's really saying how well they're doing automated. is anyone making 3-5k a week consistently? is the % of winners to losers really any better thyan when you traded manually?
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So lets say that I have a strategy that Ive automated that is running on my computer. If I switch to collocation does its new home still allow me to log into it so I can monitor it remotely? Forgive my ignorance but collocation is something im still learning about. Also what happens on weekends, does it just keep the software open and running even while the markets closed?

As I see it there are 3 big weak links in an ATS. 1. The hardware fails at my end or the connection gos down. 2. The trading software fails and gos offline. 3. The exchange itself gos down. This is what makes me reluctant to consider collocation. But Im thinking if I ping all three of these locations then I will immediately know when somethings wrong allowing me to ignore the system until there is an issue. But do I then close all my open positions?

In your opinion is there a way to take a successful strategy and basically organize yourself in such a way that you need only attend to it when something gos wrong which you'll know by using a server pinging service? Can the potentially hazards all be accounted for so that nothing is left to chance? I suspect yes but Id love to hear what you think.
 
co-location is primarily for latency issues. The closer, the faster, in essence. Co-location of a server is going to allow you to reduce round trip times, and I'd imagine most if not all brokers for automated trading allow you to access the server via a secure shell to take a look at what is going on. That's easy.

You can defend outages by choice of broker; each have different mechanisms and systems to a) alert of a system or exchange outing and b) what is done with the live orders on the system - be it a "cancel all in case of disconnect" or what have you - to deal with any problems. Some of the brokers that cover stat-arb customers - who spray orders all over - would rather have the orders pulled immediately, s as to not deal with the fall out from the ECN's or exchanges.

Also, brokers should have a pretty thorough development for how to deal with any type of outage, the exchange side of things can be pretty routine for data slow downs, disconnects, or outages. Design may vary, to say the least. There is good reason some brokers are better known for handling automated and stat-arb type strategies vs. the others.

Working with your broker is the best way to figure out what's going to work for you with automated strategies. It's not hands-off as much as it is reliable and predictable, in the case of outages.
 
Hey Kevin, do you normally have some broker-side rules to close any positions when the client connection is broken? It seems that immediately cancelling all orders would be bad as most of the time any disconnections are only remporary and it is usually reconnected in a few seconds, but.. if it is unable to re-establish connection within some time then it would be really nice to automatically close all positions with market orders. I understand this issue probably wouldn't arise at all being colocated, but it can happen quite frequently when connecting across the internet.

Quote from kjsnow25:

co-location is primarily for latency issues. The closer, the faster, in essence. Co-location of a server is going to allow you to reduce round trip times, and I'd imagine most if not all brokers for automated trading allow you to access the server via a secure shell to take a look at what is going on. That's easy.

You can defend outages by choice of broker; each have different mechanisms and systems to a) alert of a system or exchange outing and b) what is done with the live orders on the system - be it a "cancel all in case of disconnect" or what have you - to deal with any problems. Some of the brokers that cover stat-arb customers - who spray orders all over - would rather have the orders pulled immediately, s as to not deal with the fall out from the ECN's or exchanges.

Also, brokers should have a pretty thorough development for how to deal with any type of outage, the exchange side of things can be pretty routine for data slow downs, disconnects, or outages. Design may vary, to say the least. There is good reason some brokers are better known for handling automated and stat-arb type strategies vs. the others.

Working with your broker is the best way to figure out what's going to work for you with automated strategies. It's not hands-off as much as it is reliable and predictable, in the case of outages.
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Quote from Big Game Hunter:

As I see it there are 3 big weak links in an ATS. 1. The hardware fails at my end or the connection gos down. 2. The trading software fails and gos offline. 3. The exchange itself gos down.
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1 & 2 are within your control to a large extent. For myself, I trade through the internet so it is relatively cheap to have 2 colo severs - one in NY and the other in California. One is the primary trading system and the other is a hot-live backup. I have an automatic failover strategy where the backup will take controlfrom the primary if the hardware, software or connection on the primary primary fails. I also have an out-of-band connection (dial-up modem) between the 2 servers to assist in making failover decisions in the case when one of the connections go down (very unlikely).

In almost 2 years, the primary NY server failed only once for a single 9-hour period because the colo-site had a water main break nearby and the fire department had ordered all power to be turned off, including backup power.

It is relatively easy to write a script to email system errors, trade logs, etc. to a wireless device such as a Blackberry. I do evertyhing on M$ platforms so I use CDO for email.
 
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