Trading and Discipline

[JonnyT]

Hi folks,

From my own experiences I see discipline as being essential to successful trading.

I considered for a while how I could become disciplined enough to be successful. Then it hit me like a ton of bricks. Get a computer to do it for you.

As I already have an account with www.interactivebrokers.com it followed that I could use there API to trade totally automatically.

On and off I have spent time learning Java (was going to do this in Excel but thought what the hell, I can program in C/C++ why not Java) and developing apps to talk to TWS via the IB API.

Today is a watershed. I have had a trial PnF system running this week but without the trading hooks enabled. The system has had a wonderful week (today surprisingly it has done much better than yesterday +67 so far) and has backtested strongly.

The hooks are now enabled and the software has carried out a couple of trades. Short term there will probably be a few tweaks required but within weeks I'm hoping to be in a position whereby it pretty much is left alone. Then I code up another PnF system that backtests well for the S&P emini

I guess what I want to ask is does anyone think I'm mad? Is this a good way to enforce discipline?

JonnyT

 

[ChartMan]

Rock solid I'd say. Zreo emotion, zero decision making.So long as the algorithms are ok....

 

[FTSE Beater]

I would second that, and it reinforces my belief that future traders will have to be technology wiz-kids.

 

[JonnyT]

<i>I would second that, and it reinforces my belief that future traders will have to be technology wiz-kids.</i>

FTSE I hope you are right

JonnyT

 

[TBS]

Some down sides if you have data spikes etc..

But machines don't have 'bad days' - hangovers, PMT, colds, distractions etc...

Nice one JT

 

[JonnyT]

<i>Some down sides if you have data spikes etc..</i>

Thats something I've coded for, or at least to stop me entering a position on one i.e using a realistic (I think) limit order. Time will tell if I've been successful or not!

I'm using market orders to get profits out and stops for stops.

JonnyT

 

[Trader333]

Automated Trading

Hi JonyT,

Well done on your achievement and yes I think that your approach is by far the best to rid yourself of the emotional aspects of trading. The only thing I would say is make sure you periodically check that there are no technical problems with IB as this could really hamper your progress. Other than that well done and please keep letting us know how you are getting on as I find it very interesting.


Paul

 

[JonnyT]

<i>The only thing I would say is make sure you periodically check that there are no technical problems with IB as this could really hamper your progress. </i>

Couldn't agree more, which is why my automated system places stops immediatly.

The only question I have is does LIFFE hold stops or do IB simulate them?

JonnyT

 

[Trader333]

Liffe and Stops

A good question and one that I would also be interested in knowing the answer to. An email to them would maybe answer the question but rather than email the usual address try this as it is a technical question.

[email protected]

I would be interested in the answer Jonny if you get one which in many cases can take days.


Paul

 

[Henry]

I guess what I want to ask is does anyone think I'm mad? Is this a good way to enforce discipline?

JonnyT

Not mad at all, it's exactly the same reason I built an Automatic mode into TSim+

H.

 

[FTSE Beater]

The only question I have is does LIFFE hold stops or do IB simulate them?

Hi JT

The stops I believe are held at IB, as LIFFE can only hold limit orders. I don't believe any exchange holds stop orders - otherwise the order book would look very very weird.

HTH

 

[GreyingSurfer]

Hi, Jonny

The only question I have is does LIFFE hold stops or do IB simulate them?

Good luck with the automated trading system. I'm all with you on the need for discipline and automation, I'm just not sure I'd have the nerve to leave a system unattended, wondering if my I'd missed something that was going to jump up and bite me somewhere expensive

Regarding IB and LIFFE, the information you need is all on the Products/Exchanges page under Trading Information. In short, stops, stop limits and trailing stops are simulated (by IB), GTC, limit and market orders are native.

 

[Henry]

Hi JT

The stops I believe are held at IB, as LIFFE can only hold limit orders. I don't believe any exchange holds stop orders - otherwise the order book would look very very weird.

HTH

FB, beg to differ. From the TWS Manual :

----
A Stop order becomes a market order to buy or sell securities or commodities once the specified stop price is attained or penetrated. A Stop order is not guaranteed a specific execution price. [waffle cut]..... Some exchanges natively accept and process Stop orders according to the standard industry definition of the term. For those exchanges that do not natively executive stop orders, IB simulates such orders as follows:

Simulated Sell Stop Orders become market orders when the last traded price is less than or equal to the stop price. Additional sell stop order protection is provided for NASDAQ stocks and US Equity Options which are only triggered after two offer prices are less than or equal to the stop price.

Buy Simulated Stop Orders become market orders when the last traded price is greater than or equal to the stop price. Additional buy stop order protection is provided for NASDAQ stocks and US Equity Options which are only triggered after two bid prices are greater than or equal to the stop price.
---

Next time I place a stop order on LIFFE, I'll have to see if it goes green (native) or blue (simulated)

H.

 

[FTSE Beater]

Hi Henry et al

Please accept my deepest apologies.

For those exchanges that do not natively executive stop orders, IB simulates such orders as follows:

That's how I understood it for all exchanges.

I shall now crawl back under my shell, and not disturb you again

 

[jim_b]

Nice one Jonny! I am lurking on T2W while researching something similar. I am coding in Java as well... What size account are you entrusting to your bot? Also which index are you trading initially?


J.

 

[GreyingSurfer]

Henry,

I'm still not entirely clear what that bit from the IB manual means. However, I would assume that for Liffe, for which IB says it simulates stop orders, the order is held at IB until the price is hit, at which point a native market order is placed. Is that what you understand, or are you saying something different happens?

 

[oatman]

LIFFE does NOT accept stops.

 

[Henry]

Henry,

I would assume that for Liffe, for which IB says it simulates stop orders, the order is held at IB until the price is hit, at which point a native market order is placed. Is that what you understand, or are you saying something different happens?

Yes, that's my understanding too.

H.

 

[Mark the Spark]

Crikey - sounds scary, leaving your PC to do the job on auto!

Best of luck Jonny - I hope it works for you!

 

[jim_b]

Jonny, Where/how are you getting data to backtest your system with?