Where do I start?

mindtrade · Jul 28, 2009

Hello Everyone,

I want to start off by saying I have enjoyed reading most of the posts in this section of the forum. Needless to say I have a few very basic questions. Please forgive the noobness!

I mainly trade ES futures and I would like to learn how to automate and back test but my problem is I don't know where to start. My current broker is IB and I trade with NT. Most of what I want to do is already partially automated with NT using ATM strategies but it still requires me to place the orders and move my stops. It doesn't fully do what I need and I have problems staying disciplined.

I went through the NT strategy builder but I can't figure out how to do what I really want with it... I need to track the time, tick data of a bar, set my orders from there and then move my stops after certain actions have taken place. Simple really, no indicators or anything. I took a C++ programming class during my schooling so I have a basic understanding of programming. Programming what I want is easy if I knew what the variables are etc.

so...

Where do I start? I can't make heads or tails out of NTs strategy builder. Are the basic tasks I want to do possible with this? I actually just found the API section on the IB website is the DDE/Excel method a good way to go?

I also want to be able to easily back test. I would purchase the tick data from ANFutures.

I think I may have found a path regarding IB's information on the API. Any tips or guidance for me would be appreciated and I apologize for what probably seem like silly questions

Thanks

mon · Jul 29, 2009

lets see what you wrote here

you wrote some kind of jungle, your mind seems to be jungle at this moment

you are aware of DDE and you have IB account

yet you are still confused

you realize you need to backtest

but you somehow want to backtest "easily"

sorry buddy, no one here can teach you to trade, you need to teach yourself

mindtrade · Jul 29, 2009

Quote from mon:

lets see what you wrote here

you wrote some kind of jungle, your mind seems to be jungle at this moment

you are aware of DDE and you have IB account

yet you are still confused

you realize you need to backtest

but you somehow want to backtest "easily"

sorry buddy, no one here can teach you to trade, you need to teach yourself

I am not looking for help on how to trade... you are right though what I wrote is a jungle. I have a lack of understanding of how to put everything together that it is hard to explain. Information seems to be scattered all over the place. After reading the IB API stuff I think its best I go with retail software that is already available. I think I need to focus on learning ninjascript and hope NT is capable of doing what I need regarding the automation and back testing.

mindtrade · Jul 29, 2009

I have done some research and have come to the conclusion that the current version of NT does not handle tick based back testing well enough due to the way it loads it into memory. It would be fine for trading the strategies but not the back testing.

Is there a low cost platform out there that works well with tick based back testing?

tickzoom · Jul 29, 2009

Quote from mindtrade:

I have done some research and have come to the conclusion that the current version of NT does not handle tick based back testing well enough due to the way it loads it into memory. It would be fine for trading the strategies but not the back testing.

Is there a low cost platform out there that works well with tick based back testing?

Low cost is a relative term. What do you consider low cost?

Keep in mind that to get TickData and regular updates to it generally costs at least $3,000 per month.

So most people who own or use tick data also have their own IT departments and build their own platforms or purchase platforms that cost 6 figures (which I hear handles ticks but lacks other features.)

tick data is a kind of hard problem.

Maybe you can afford tickzoom it's far lower costs than those options.

Where do you get your tick data? Have you found a low cost option?

I would love to hear where to get tickdata more low cost and haven't found one.

mindtrade · Jul 29, 2009

Quote from tickzoom:

Low cost is a relative term. What do you consider low cost?

Keep in mind that to get TickData and regular updates to it generally costs at least $3,000 per month.

So most people who own or use tick data also have their own IT departments and build their own platforms or purchase platforms that cost 6 figures (which I hear handles ticks but lacks other features.)

tick data is a kind of hard problem.

Maybe you can afford tickzoom it's far lower costs than those options.

Where do you get your tick data? Have you found a low cost option?

I would love to hear where to get tickdata more low cost and haven't found one.

Understood. Tickzoom looks very nice but is out of my range currently. I am just an average guy making an average salary with an interest in trading and automation. I like the NT price range which is free until you decide to go live

I am hoping they have fixed their tickdata backtesting issues or at least improved in V7 when it comes out.

Regarding tick data prices for futures I was looking at:

http://www.anfutures.com/tickbytickdata.htm

2003-2009 ES0303TK - ES0906TK $74.00

Not bad!

Thanks,