Deadline June

Adamus · Sep 30, 2010, 6:26am

NinjaTrader 7 beta and IB together are just eating up my days. Ironic since I said I was satisfied with the software setup. I guess I'm still OK with it, I haven't got much of an alternative.

I haven't posted here in a while because of that and because I'm not sure it's serving a purpose anymore either.

My current trading status is live since 10 days. A week and a half.

One trading system, based on the 3 Ducks, rechristened the FrankenDucks system. I took the raw 3 Ducks system and coded it up according to Captain Currency's 3 60-period MAs on the 5 min, the 60 min and the 4hour time frame. I added in the turn-around indicator which shows the support and resistance on the 60min timeframe and added a couple more bolts and other body parts taken from the morgue and here we go.

Performance has been pretty good so far, up 13%, so good in fact that I just hope like hell that I don't suffer an equally strong but negative performance before I get some of the other systems up and running to buffer it. Just those backtesting equity curves out and see what happens after 13% rises.

I have to diversify more though, with my current basket of AUDUSD, EURCHF, EURGBP, EURJPY, EURUSD, GBPJPY, GBPUSD, NZDUSD, USDCAD, USDCHF, USDJPY, I have at time had positions on in all of them which puts me heavily at the mercy of the dollar. I need to scale back the position size and add a couple of cross-currencies, if they backtest OK. Easiest would be if IB offered AUX and silver and cash indices, futures would be more difficult with the contracts, and getting historical data would be another hurdle.

Adamus · Oct 2, 2010, 11:11am

Quote:

Originally Posted by meanreversion

broker = IB
data = eSignal
software = Amibroker

IB and NinjaTrader combined is a continuing nightmare.

I've almost ditched IQFeed but I'm still keeping it for a while just in case.

I don't like the idea of trading with one broker off the price feed from another provider.

Zenfire have got a great name but don't do forex. Other than that, what else's on offer as far as combined broker + data feed?

Adamus · Oct 2, 2010, 11:50am

Quote:

Originally Posted by travis

Yeah, thanks for replying about the data, unlike disktrading, who, after almost 2 days, still has not replied anything. Maybe they're all on vacation.

Regarding the discrepancy, I don't think it's big. But there is a discrepancy. If an order is triggered even just 2 seconds later, which is the case with my two servers probably, then (on my simple systems) you're going to have that kind of discrepancies: 20% of 1-tick discrepancies and 1% of orders not triggered or going in the opposite direction (long instead of short). So if that's a big discrepancy, which it isn't in my opinion, then you're never going to be happy with any comparison between 2 different sets of data, because when back-testing on 2 different sets of data you're definitely going to have more discrepancies than what you have between two identical servers/platoforms/systems 8000 kilometers away whose orders are triggered or received by IB at a distance of 2 seconds, due to either a different computer clock (which in turn causes different moving averages and prices), or different distance from IB.

If you have a 75% correspondence and if that is the type of matching I said (75% correspondence in profit, or 75% of "same trades in same direction same day...": forget having identical execution prices), then I say be happy with what you got.

Now I've got two weeks of live trading results, simulated trading results and backtesting results to compare.

I guess I have to admit you were totally correct.

Several interesting points came out of the comparison - which I did by eye rather than crunching the numbers, which I might be able to do later if I have the time - or perhaps I'll wait til I've got a month's worth.

The live system occasionally stayed in positions that the simulated and backtested systems exited - and that meant that the latter two systems then went on to do trades which the live system didn't.

I haven't actually seen any opposing trades yet.

The analysis also changes depending on whether you're taking the trade entry date/time or the exit.

The live system had on average worse fills than in simulation on IB. The ones I noticed were generally either just one tick worse, or just disastrously worse e.g. 10 ticks. There may have been more at the 5th digit level, but on the whole the majority were the same, but the differences favoured the simulated system.

Fortunately all systems were more or less in the same area - nothing like the 75%, more like 95% similar.

I can see why the live system is different though. My stop orders were sometimes just not triggered. For instance I had a sell stop in GBPJPY and I watched the bid coming down and go below it, and then the ask went past, down 2 clear ticks, spent about 5 mins below it without filling me and then went back up.

Adamus · Oct 5, 2010, 7:07am

Code:

  
  Instrument    SpreadDisplay
    $AUDCAD          1.5
    $AUDCHF           2
    $AUDJPY           1
    $AUDNZD          1.5
    $AUDUSD           1
    $CADCHF          1.5
    $CADJPY           2
    $CHFJPY          1.5
    $EURAUD          1.5
    $EURCAD          3.5
    $EURCHF           2
    $EURGBP           1
    $EURJPY          1.5
    $EURNZD           5
    $EURSEK          14
    $EURUSD          0.5
    $GBPAUD           2
    $GBPCAD           2
    $GBPCHF           2
    $GBPJPY          2.5
    $GBPNZD           6
    $GBPUSD          1.5
    $NZDCHF           2
    $NZDJPY           2
    $NZDUSD           2
    $USDCAD          1.5
    $USDCHF           1
    $USDJPY          0.5
    $USDSEK          10

I need some more cross-currencies to keep me from being bludgeoned by the dollar and the yen.

These ticks above are the spreads on IB. The Aussie Dollar is no worse than the sterling. I could take AUDCAD and AUDCHF with those spreads.

The unseen risk is probably the amount of gaps and spikes that appear on those lower volume cross-currencies. But I've already felt that today in the GBP-USD to the tune of 17 pips slippage, which I never thought would happen. I wonder what the slippage on the future would have been.

Adamus · Oct 5, 2010, 8:02am

Just found RhodyTrader's forex site (most-active-forex-currency-pairs) by googling.

Very interesting.

What I'm looking for is an up-to-date version of the wikipedia table from 2005.

Just checking out the spreads at Citibank for retail: citifxpro.com They don't say if they are quoting the spread in half-pips or whole pips. I assume they mean whole pips in which case they're not good. I fancy trading the South African Rand, but my systems would have to be seriously good to cover slip&comm. Against the USD it's a rip-off, but weirdly ZAR-JPY has a spread of 6. That's Citibank, it's not on IB.

Adamus · Oct 5, 2010, 2:20pm

I think I'd definitely benefit from detailing what I'm doing by keeping the journal here up-to-date on a daily basis. I was slightly worried that it might turn into a rant about my trials and tribulations with IB TWS and NinjaTrader beta, but I guess the best thing is just to trust the reading public to give me useful feedback.

Here's the starter, with a link to the NinjaTrader website and the forum thread there where I'm trying to get some action out of the NinjaTrader support team on the connectivity issue that kills my productivity if I try to load any backdata during the trading afternoon.

For some bizarre reason, NT cannot get historical data from IB at all after about 8 o'clock PM GMT+1 until after the markets have re-opened the next day.

http://www.ninjatrader.com/support/f...ad.php?t=32649

Rossini · Oct 5, 2010, 2:38pm

Quote:

Originally Posted by Adamus

Code:

  
  Instrument    SpreadDisplay
    $AUDCAD          1.5
    $AUDCHF           2
    $AUDJPY           1
    $AUDNZD          1.5
    $AUDUSD           1
    $CADCHF          1.5
    $CADJPY           2
    $CHFJPY          1.5
    $EURAUD          1.5
    $EURCAD          3.5
    $EURCHF           2
    $EURGBP           1
    $EURJPY          1.5
    $EURNZD           5
    $EURSEK          14
    $EURUSD          0.5
    $GBPAUD           2
    $GBPCAD           2
    $GBPCHF           2
    $GBPJPY          2.5
    $GBPNZD           6
    $GBPUSD          1.5
    $NZDCHF           2
    $NZDJPY           2
    $NZDUSD           2
    $USDCAD          1.5
    $USDCHF           1
    $USDJPY          0.5
    $USDSEK          10

I need some more cross-currencies to keep me from being bludgeoned by the dollar and the yen.

These ticks above are the spreads on IB. The Aussie Dollar is no worse than the sterling. I could take AUDCAD and AUDCHF with those spreads.

The unseen risk is probably the amount of gaps and spikes that appear on those lower volume cross-currencies. But I've already felt that today in the GBP-USD to the tune of 17 pips slippage, which I never thought would happen. I wonder what the slippage on the future would have been.

Those spreads can not be accurate? They must be variable anyway? Maybe these are the minimum spreads?

Adamus · Oct 5, 2010, 3:01pm

Sure they vary, so yes that is just a snapshot taken at 13:40GMT+1, so the spreads would definitely all widen early in the day and perhaps late NY session. I was considering doing hourly outputs to graph the daily range but I don't have any spare time right now.

I'll do another one now - watch this space.

Code:


  Instrument    SpreadDisplay
    $AUDCAD           2
    $AUDCHF           2
    $AUDJPY          1.5
    $AUDNZD          8.5
    $AUDUSD           1
    $CADCHF          1.5
    $CADJPY          1.5
    $CHFJPY           2
    $EURAUD           1
    $EURCAD          4.5
    $EURCHF           2
    $EURGBP           1
    $EURJPY          1.5
    $EURNZD           5
    $EURSEK          48
    $EURUSD           1
    $GBPAUD           3
    $GBPCAD          1.5
    $GBPCHF           3
    $GBPJPY           2
    $GBPNZD          12
    $GBPUSD          1.5
    $NZDCHF           5
    $NZDJPY           5
    $NZDUSD           4
    $USDCAD          1.5
    $USDCHF          1.5
    $USDJPY           1
    $USDSEK          21

Sep 30, 2010, 6:26am	#457
Adamus Legendary Member Member Since Mar 2008 1,885 Posts	Snowed under NinjaTrader 7 beta and IB together are just eating up my days. Ironic since I said I was satisfied with the software setup. I guess I'm still OK with it, I haven't got much of an alternative. I haven't posted here in a while because of that and because I'm not sure it's serving a purpose anymore either. My current trading status is live since 10 days. A week and a half. One trading system, based on the 3 Ducks, rechristened the FrankenDucks system. I took the raw 3 Ducks system and coded it up according to Captain Currency's 3 60-period MAs on the 5 min, the 60 min and the 4hour time frame. I added in the turn-around indicator which shows the support and resistance on the 60min timeframe and added a couple more bolts and other body parts taken from the morgue and here we go. Performance has been pretty good so far, up 13%, so good in fact that I just hope like hell that I don't suffer an equally strong but negative performance before I get some of the other systems up and running to buffer it. Just those backtesting equity curves out and see what happens after 13% rises. I have to diversify more though, with my current basket of AUDUSD, EURCHF, EURGBP, EURJPY, EURUSD, GBPJPY, GBPUSD, NZDUSD, USDCAD, USDCHF, USDJPY, I have at time had positions on in all of them which puts me heavily at the mercy of the dollar. I need to scale back the position size and add a couple of cross-currencies, if they backtest OK. Easiest would be if IB offered AUX and silver and cash indices, futures would be more difficult with the contracts, and getting historical data would be another hurdle. __________________ What matters most is how well you walk through the fire.

Oct 5, 2010, 7:07am	#460
Adamus Legendary Member Member Since Mar 2008 1,885 Posts	Re: Deadline June Code: Instrument SpreadDisplay $AUDCAD 1.5 $AUDCHF 2 $AUDJPY 1 $AUDNZD 1.5 $AUDUSD 1 $CADCHF 1.5 $CADJPY 2 $CHFJPY 1.5 $EURAUD 1.5 $EURCAD 3.5 $EURCHF 2 $EURGBP 1 $EURJPY 1.5 $EURNZD 5 $EURSEK 14 $EURUSD 0.5 $GBPAUD 2 $GBPCAD 2 $GBPCHF 2 $GBPJPY 2.5 $GBPNZD 6 $GBPUSD 1.5 $NZDCHF 2 $NZDJPY 2 $NZDUSD 2 $USDCAD 1.5 $USDCHF 1 $USDJPY 0.5 $USDSEK 10 I need some more cross-currencies to keep me from being bludgeoned by the dollar and the yen. These ticks above are the spreads on IB. The Aussie Dollar is no worse than the sterling. I could take AUDCAD and AUDCHF with those spreads. The unseen risk is probably the amount of gaps and spikes that appear on those lower volume cross-currencies. But I've already felt that today in the GBP-USD to the tune of 17 pips slippage, which I never thought would happen. I wonder what the slippage on the future would have been. __________________ What matters most is how well you walk through the fire. Last edited by Adamus; Oct 5, 2010 at 8:41am.

Oct 5, 2010, 8:02am	#461
Adamus Legendary Member Member Since Mar 2008 1,885 Posts	Forex liquidity and risk Just found RhodyTrader's forex site (most-active-forex-currency-pairs) by googling. Very interesting. What I'm looking for is an up-to-date version of the wikipedia table from 2005. Just checking out the spreads at Citibank for retail: citifxpro.com They don't say if they are quoting the spread in half-pips or whole pips. I assume they mean whole pips in which case they're not good. I fancy trading the South African Rand, but my systems would have to be seriously good to cover slip&comm. Against the USD it's a rip-off, but weirdly ZAR-JPY has a spread of 6. That's Citibank, it's not on IB. __________________ What matters most is how well you walk through the fire.

Oct 5, 2010, 2:20pm	#462
Adamus Legendary Member Member Since Mar 2008 1,885 Posts	Restarting the journal I think I'd definitely benefit from detailing what I'm doing by keeping the journal here up-to-date on a daily basis. I was slightly worried that it might turn into a rant about my trials and tribulations with IB TWS and NinjaTrader beta, but I guess the best thing is just to trust the reading public to give me useful feedback. Here's the starter, with a link to the NinjaTrader website and the forum thread there where I'm trying to get some action out of the NinjaTrader support team on the connectivity issue that kills my productivity if I try to load any backdata during the trading afternoon. For some bizarre reason, NT cannot get historical data from IB at all after about 8 o'clock PM GMT+1 until after the markets have re-opened the next day. http://www.ninjatrader.com/support/f...ad.php?t=32649 __________________ What matters most is how well you walk through the fire.

Oct 5, 2010, 3:01pm	#464
Adamus Legendary Member Member Since Mar 2008 1,885 Posts	spreads again Sure they vary, so yes that is just a snapshot taken at 13:40GMT+1, so the spreads would definitely all widen early in the day and perhaps late NY session. I was considering doing hourly outputs to graph the daily range but I don't have any spare time right now. I'll do another one now - watch this space. Code: Instrument SpreadDisplay $AUDCAD 2 $AUDCHF 2 $AUDJPY 1.5 $AUDNZD 8.5 $AUDUSD 1 $CADCHF 1.5 $CADJPY 1.5 $CHFJPY 2 $EURAUD 1 $EURCAD 4.5 $EURCHF 2 $EURGBP 1 $EURJPY 1.5 $EURNZD 5 $EURSEK 48 $EURUSD 1 $GBPAUD 3 $GBPCAD 1.5 $GBPCHF 3 $GBPJPY 2 $GBPNZD 12 $GBPUSD 1.5 $NZDCHF 5 $NZDJPY 5 $NZDUSD 4 $USDCAD 1.5 $USDCHF 1.5 $USDJPY 1 $USDSEK 21 __________________ What matters most is how well you walk through the fire.

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