Exactly how Automated can Autotrading really get?
Author: garron
Creation Date: 1/27/2009 8:24 PM
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garron

#1
Hi everyone,
Any limitations regarding AUTOTRADING??
eg: Could autotrade be setup to run off a flash drive?
Can autotrade operate without ANY human validation?
Can autotrade know if to reboot a frozen laptop?
Can autotrade know how to restart itself after a reboot?
Can autotrade send an email eod?
thanx
garron.
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Eugene

#2
QUOTE:
Can autotrade send an email eod?

E-mail alerts are coming in 5.4, but since 5.0 these can be sent using a function like AlertMail from Community.Components. Of course, it implies a code-based strategy.
QUOTE:
Can autotrade know if to reboot a frozen laptop?
Can autotrade know how to restart itself after a reboot?

Of course no. It takes research, effort and 3rd party applications/Windows services for stuff like restarting frozen applications (watchdogs) and so forth.

Although I would question if software is capable to detect a frozen computer at all, if a laptop freezes, it's better throw it away for the purposes of autotrading and install a reliable piece of hardware with properly configured software. It's just much cheaper than delegate your account to a faulty box.

Don't forget about implementing a dead man switch if you plan to left the thing running without "ANY human validation".

QUOTE:
Could autotrade be setup to run off a flash drive?

Neither autotrade nor "manualtrade" are designed to run off a removable drive. Application data files are stored inside your Windows user profile, separated from the main application executable and libraries.
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garron

#3
Hi Gene,
Oh, yes, Dead Man switch sounds like a wise idea when auto-trading.
Can WL5 be coded to exit positions once a threshold loss of "x" $ or % is hit?

After exiting positions for the day, could WL5 be coded to start up the same trading strategy again the next day?
Or does the user have to loggoff, then logon and also manually intervene everyday?

Are there any known strategies that actually work, more often than less often?

cheers
garron
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Eugene

#4
QUOTE:
Can WL5 be coded to exit positions once a threshold loss of "x" $ or % is hit?

Yes, dollar stop loss can be coded with SellAtStop and percent stop loss can be found even in rule-based wizard.

QUOTE:
After exiting positions for the day, could WL5 be coded to start up the same trading strategy again the next day?

For this purpose, the strategy could be saved to the default workspace.
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Cone

#5
Forget about turning it on and leaving for the day. That's just a bad idea. Walk to the other room for coffee, okay. There are lots of unexpected things that can happen (computer hardware, power down, ISP down, order errors, etc.) In my opinion, auto-Trading is useful to reduce the workload of trading, but you need to monitor it.

Yes, for streaming and account access you'll have to manually login every day. Pretty standard for any broker.
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garron

#6
Cone, thanx 4 those points to consider,
Can you share with me some types of order errors that require manual intervention.
thanx
garron
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Cone

#7
Let's say you're running a limit order strategy. There could be, for example, a spike in the data that causes WLP to think a Position is closed (or a new Position opened). In the "theoretically closed" case, your strategy will start processing the entry logic again, when really it should still be working on the exit logic.

The "theoretically open" case isn't really a problem per se, other than the chance of missed opportunity. Attempting to exit a position that you don't have will simply generate an error, no harm done there.

See the User Guide, Orders chapter, where this is discussed.
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garron

#8
Cone, thanx for pointing DATA OVERLOAD SPIKE (D/O/S) potential for errors.
So any open positions would be unaffected by D/O/S?
Which the D/O/S problem only AFFECTS standing orders in a queue pending initial trade entry?
The worst case scenario is missing a trade ENTRY.
Are there any threshhold limits regarding timing, rule timings, transactional turnarounds?
For example, is it possible to code an entry trade within 10 seconds of a new 3minute opg?
Or cancel order?
G.

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Cone

#9
QUOTE:
So any open positions would be unaffected by D/O/S?
It depends on the strategy, which is reacting to the data. See the User Guide: Orders > Portfolio Synch > Theoretical vs. Actual.

QUOTE:
The worst case scenario is missing a trade ENTRY.
For me, timely entries help, but exiting at the right time is usually more important.

QUOTE:
possible to code an entry trade within 10 seconds of a new 3minute opg
Intraday strategies are executed when the end of the bar interval is detected. <- Period. Auto-Place places orders immediately. Market orders should fill within seconds, and limit and stop orders can fill whenever their trigger prices are reached. On the other hand you can place Staged orders manually whenever you want - today, tomorrow, or next year.
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garron

#10
Hi Cone,Eugene,
RE: Minimising risk of Data Overload Spikes.

Any recommendations to avoid?

Specifically is it any more Safer using a market order, than a limit order?
and / or
Write the strategy in c#, versus using WL5 drag & drop?

In my yute, i wouldnt ask all these questions, now i'm older, so i hafta ask.
thanx.
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Cone

#11
QUOTE:
Any recommendations to avoid?

1. If you're only trading a few symbols, then use streaming windows to take advantage of the Bad Tick Filter in Options (F12) > Streaming Data

2. If you must use the Strategy Monitor, write code to detect and "correct" spikes. You can have more confidence in spike detection using 1-minute bars. For example, if a H or L is more than 2 ATR from the close or open of a 1-minute bar, there's a good chance it's a spike.

CODE:
Please log in to see this code.
Spikes generally occur in the H and L of a bar - there's a much smaller possibility that they'll appear precisely on the last tick of an interval (but that can happen too). In that sense, if you based your triggers on the close of the bar and use market orders, there's a much better chance for your strategy to remain in synch with your account.

QUOTE:
Write the strategy in c#, versus using WL5 drag & drop?
Behind the drag and drop is C# code too.
You can export d&d to a normal strategy window to review and edit the code manually.