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Bot Trading - MCL Futures

  #81 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
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Thanks @Hulk for the explanation. So are you calculating this yourself?

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  #82 (permalink)
 
Hulk's Avatar
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
Posts: 369 since May 2014
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SMCJB View Post
Thanks @Hulk for the explanation. So are you calculating this yourself?

Yes, I subscribe to a real-time and delayed data feed and my software calculates everything, including the open, high, low, close of bars. Tools like TS and Ninja are very limiting when you want to calculate stuff your own way.

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  #83 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207


TT.net SDK?

I've recently started using Stellar as well as TT. Having MBO rather than MBP is surprising really nice, especially in something like NG where the book is so thin now a days.

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  #84 (permalink)
 
Hulk's Avatar
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
Posts: 369 since May 2014
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SMCJB View Post
TT.net SDK?

I've recently started using Stellar as well as TT. Having MBO rather than MBP is surprising really nice, especially in something like NG where the book is so thin now a days.

I havent used TT.net SDK. MBO is definitely a clearer view into the order book but the biggest problem with MBO data is conflation if you are using the data to build your own aggregated view historically for backtesting and then want to replicate the same calculation real-time. So much depends on the strategy but conflated data has caused the most issues for me. Just something to be aware of...

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  #85 (permalink)
 
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 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
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Hulk View Post
Tools like TS and Ninja are very limiting when you want to calculate stuff your own way.

This is hard to believe even if you are incorporating machine learning or artificial intelligence.
Both TS and MC allow for a DLL interface for complex calculations or methodologies.

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  #86 (permalink)
 
Hulk's Avatar
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
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syswizard View Post
This is hard to believe even if you are incorporating machine learning or artificial intelligence.
Both TS and MC allow for a DLL interface for complex calculations or methodologies.

I meant in terms of data. You can attach an external library, I agree, but you are limited to using the data that the charting platform provides. Most execution/charting platforms will have a conflated data feed. Time and Sale will most likely not be conflated but if you want to even use the BBO data, you are not guaranteed conflation free data in most platforms. Forget about using any level 2 (MBP or MBO), you are guaranteed to have conflation. This is why CME has different licenses for display and non-display data. You pay a lot more for a non-display license.

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  #87 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
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Hulk View Post
I meant in terms of data. You can attach an external library, I agree, but you are limited to using the data that the charting platform provides. Most execution/charting platforms will have a conflated data feed.

Dude, let me say you are fixated on this concept of "conflated".
Multicharts allows for multiple data feeds.....you can have IQFeed and Rithmic together for instance.

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  #88 (permalink)
 
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 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
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syswizard View Post
Dude, let me say you are fixated on this concept of "conflated".
Multicharts allows for multiple data feeds.....you can have IQFeed and Rithmic together for instance.

LoL. I understand that. I have gone through 4 different feeds and still looking for the perfect data feed. You are right. I am fixated.

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  #89 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
Posts: 344 since Jan 2019
Thanks Given: 20
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FastNCurious View Post
If you have a system that is better please share it. I would be interested in your systems.

Here's one....not sure if it is "better".
Fairly simple....uses a counterTrend approach. Time Period: June 2018 to present.
input:
iSeries(AvgPrice)
, iShortLen(5)
, iAvgtype(1)
, Stoploss(4000)
, ProfitFactor(1.0)
, iLonglenFactor(7)
;

Vars:
vAO(0)
, vMP(0)
, vVol(0)
;
vMP = MarketPosition;
vVol = _szVolatility(iShortLen,Value1);
vAO = _szAwesomeOsc(iAvgType, iSeries , iShortLen , iLongLenFactor);

If vAO Crosses under 0 Then Buy next bar at High - vVol Stop
Else if vAO Crosses over 0 Then SellShort next bar at Low + vVol Stop;

SetStopPosition;
SetStoploss(Stoploss);
SetProfitTarget(Stoploss / ProfitFactor);


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  #90 (permalink)
goodoboy
Houston
 
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kevinkdog View Post
Free, but many people do not like the only roughly 12 trades per year... Flat periods are just sitting on your hands...






I should mention all performance since Jan 1, 2022 is LIVE real time performance (strategy was developed in 2021).


Crazy simple stupid...

input: daysback(65),stopl(3000),fac(1.5);


if ADX(14)>10 and close-close[daysback] crosses above 0 then buy next bar at market;
if ADX(14)>10 and close-close[daysback] crosses below 0 then sellshort next bar at market;

SetStopPosition;
SetStopLoss(stopl);


SetProfitTarget(stopl*fac);

Hello kevinkdog,

That sad thing is alot of traders will not understand the power of this post until about year 4 in their journey. I am guilty of being one of those traders.

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Last Updated on September 23, 2022


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