Thursday, May 21, 2009

Automated Trade System Review using QuoteTracker


The Pro's and Cons of an Automated trading system for Quotetracker.

Pro's-
1.Its a FREE way to learn how to trade via an ATS.(you can trade on the simulator with no worries and learn how to improve your trade management)
2.You can make (or lose) money with it.

Con's-
1. It is terribly slow on execution because the orders are sent via perl script from quotetracker to bracket trader to Interactive Brokers.(4-8 seconds to get a market order filled).
2. Mailenable; the trade email server reader, may be liable for getting hacked from what I've read, but I don't really understand it at this point in time.
3. The orders sent via bracket trader would get messed up sometimes. This could be a broker related issue, ie- a bracket trade would be sent to IB and sometimes the trade wouldn't execute or the order would be shown stuck as pending on IB's TWS.
4. No maximum loss, or daily loss parameter is available with the bracket trader trade execution manager.(this is more of a broker issue I have, as I think IB should setup a max daily loss amount like Open E-cry has, instead of just the auto-liquidate last feature, to fix this problem you could use ButtonTrader trade managment software, but who wants to pay monthly for a service that should be free)

Conclusion- I've talked to many people that liked how the QT ATS worked and how easy it was to setup. For me, I wanted a system that executed trades faster and was more reliable and that could be backtested. Whether you use QuoteTracker or not, if you don’t have a backtested profitable trading system, then it’s not going to matter how fast the ATS is. A faster trading ATS platform doesn't necessarily mean a better trading system. It is hard to develop a profitable scalping system on a millisecond to second execution level, add in the costs of commission and the average risk for each scalp, and you'll see that systems on a higher time frame are more likely to be profitable.

PS- I'm also using Ninjatrader for making custom trading systems, its free to try out for as long as you want. You can backtest and see how your system does and it has many features which enable you to optimize your strategy, and you can code in a max daily loss amount to avoid blowups in-case your ATS isn't trading well.

UPDATED 9/25/2009

5 comments:

mic.o8o on 11:19 AM said...

Is it possible to devise an automated strategy based on Developing areas Highs/Lows? If so have you done any?

HPT on 11:33 AM said...

yes, very easy to do actually in ninjatrader.
I'm working on a couple of strategies currently based around this concept, ie % daily range vs. time of day and also using indicators such as bollinger bands and ADX for finding volatility peaks/ reversal periods.

HPT on 11:34 AM said...

I will be posting strategies on a new blog for my ninjatrader strategies in the coming weeks.
I'm hoping to get feedback from others on improving the strategies I share.

http://ninjatraderstrategies.blogspot.com/

Thomas on 3:28 AM said...

hi hpt,

i appreciate all your work with trading systems and am a regular reader of your blog.

i trade mayself via IB and bracket-trader and therefore i have a question for you.

it seems that a market order via bracket lasts >2 secs for market entry after the 1-click button.

does it really last so long or is the "displaying time" only that long?

larry from the bracket trader forum said, that a market order needs more "execution time" than a limit order in IB, because every market order is transformed in a limit order. Any experiences for that?

i hope you can help me a little bit.

thanks in advance

thomas

HPT on 12:00 PM said...

Thomas, I tested it out today on and made a video. It took 6 seconds from the time the signal fired to the time I got filled. From the naked eye it looked like only a few seconds for the whole process to be complete. Also the trailing stop adjusted to the trade what appeared to be less then a second on bracket trader and IB's TWS. I will post the video later today. 6 seconds really isn't that bad of a lag depending on the type of strategy your ATS is implementing.

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