Is anybody doing intra-day trading in WLP5?
Author: da42007
Creation Date: 6/2/2009 10:45 AM
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da42007

#1
What scale are you using? Are you getting timely trading alerts?
The advice in Help is: "Due to round-trip request delays for Fidelity Static data, consider limiting the number of symbols to approximately 50 per strategy for lower intervals such as 1 and 2-minutes."
I have 21 symbols with 500 bars and the "round-trip delay" is 1m40s. On 10min scale I get alerts 1m40s after they are triggered in WLP4, which gives instantaneous real-time alerts.
I must be missing something.
Is anyone successfully trading real-time in WLP5 with bars of 10m or less?

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Cone

#2
See Strategy Monitor > Behavior as a function of Scale in the User Guide.

It sounds to me like one or more of the symbols is "thinly traded" and it's delaying the strategy's execution for the rest of them. Separate those symbols that update infrequently and use a Streaming window for them.

... thinly traded or "not traded". Make sure you remove dead symbols, like GM!
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da42007

#3
Cone, thanks for the advice.
I removed symbols with 10min bar volume <10000 and the result was the same, i.e. about 1m40s delay before the strategy finishes execution.
I then tried one very liquid symbol -- SPY -- and there was only a 15s delay.
What I don't understand is why WLP4 is so good at intraday real-time trading and WLP5 isn't.
Please Fidelity make WLP5 intraday trading work like WLP4!
I downgraded my Vista PC to XP Pro just so that I could continue using WLP4 (WLP4 wouldn't install on Vista).
i) I hope WLP4 will install on Windows7.
ii) I pray Fidelity keeps WLP4 indefinitely or makes WLP5 intraday work like WLP4's real-time.
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DaveAronow

#4
Windows 7 will have a virtual XP mode so you can run apps either in a virtual XP PC image or actually run them as virtual apps in Windows 7 (but the apps will think they're running in XP).

As for execution times, you may want to look at your code and see if it could be optimized.
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da42007

#5
Dave,
Thanks for the insights on Windows7.
As for the code optimization, I just cannot get past the fact that I get instantaneous alerts in WLP4 and a long delay in WLP5.
Here's a simple example to show why I'm thinking the delay might not be related to the code efficiency:
Create a WLP5 script from Rules with two lines-->>
Buy At Market
Sell At Close
(Single open Position)
Run it in Strategy Monitor with these parameters:
Dow30 10min (with CSCO replacing GM)
600 bars
(Position size is Raw Profit Mode).
I get a delay of about 40s before the script executes and generates the alerts. How can you day-trade that?
What am I doing wrong?
Thanks.
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Eugene

#6
Dave, do you know by chance if Virtual XP mode works when Win 7 was installed to a VHD file?
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Cone

#7
The Strategy Monitor works a lot differently than RT Scans in v4. RT Scans creates a streaming "chart" (that you can't see) for every symbol. The deal there is that a streaming chart is a lot of overhead when you only need the closing bar data.

That's where the S. Monitor comes in. It waits until the end of the scheduled interval and gets the data when it needs it. The idea is sound; the problem is the implementation with the Fidelity Static Provider - they currently just poll for data from 10 symbols at a time. As suggested in the Help, due to round trip delays, that's not going to work fast enough for a 1, 2, or 5-min strategy with hundreds of symbols.

Long story short, Fidelity's implementation of accessing the data is probably inadequate for many symbols (more than 50) traded on a 1-min interval, but it should certainly work fine for 20 or 30 symbols trading a 10-minute strategy of active symbols. Your 40 seconds is still excessive for the Dow 30.

---
Note that as a work-around you have the option to set up several workspaces with the [21] streaming charts that you need. It will be a little tedious clicking "Auto-Place" 21 times, but it sounds like it's going to work better for you until a better data solution comes along for the SMonitor.
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da42007

#8
Cone,
Thanks for the explanation.
I wonder whether the WL4 RT philosophy couldn't be used somehow as an additional "Real-Time module" in WL5 and the existing Strategy Monitor targeted at EOD trading....

Your workspace workaround sounds interesting. I've created 5 workspaces with 4 charts each. The "streaming" toggle is stored with the workspace...but as you point out, sadly the "Auto-stage" toggle is not. So will having 5 workspaces with 4 charts in each perform much better than one workspace with 20 charts, and will the alerts from any workspace populate the same order window?
Thanks Cone, very helpful.

-----------------
Cone - just discovered that a saved workspace does store the "Auto-Stage" toggle :) It seems however, that it is not stored with the default workspace.
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DaveAronow

#9
Eugene,

Sorry no idea, I haven't tried installing Windows 7 on a VM or virtual PC yet, I've only read about the XP virtualization. However, virtual inside virtual usually is extremely slow, if it works at all.

While the XP virtualization is a nice feature, I worry it will cause software developers to need to support XP longer into the future than they would otherwise. That said XP is not Windows 95.

Dave
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Eugene

#10
Dave,

Thanks. Actually, installing Windows 7 into a VHD file isn't virtualization -- but a setup hack.

Since the bootloader supports booting Windows 7 or Vista from a VHD file, some clever guys figured out the way to start diskpart -- the details are widely available on the net. Example:

[LINK=http://www.groovypost.com/howto/microsoft/windows-7/easily-install-windows-7-dual-booting-using-vhd-drive/]
Easily Install Windows 7 Dual Booting Using VHD Drive[/LINK]

da42007

Sorry for breaking your topic!