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Platform: TradeLink, OpenQuant, considering anything that works...
Trading: if it trades...
Posts: 94 since Oct 2010
Thanks Given: 24
Thanks Received: 39
Adamus,
I think we discussed this previously but I thought it best to follow-up here as well; I think you are assuming too much. I don’t think there is any caching of order by NT. I think you have to manually manage this using OnConnection(). However, as we discussed I’m only stepping off using this functionality.
You might want to pose exactly the question on the NT support forum.
Kind regards,
drolles
Can you help answer these questions from other members on NexusFi?
Platform: TradeLink, OpenQuant, considering anything that works...
Trading: if it trades...
Posts: 94 since Oct 2010
Thanks Given: 24
Thanks Received: 39
MXASJ,
Thanks very much for posting that and the link to your monitor strategy – really clever idea. I can see where you are going with that. I like the idea that you are checking a number of items in the strategy. However, I not really had any problems with connection reporting. NT lets me know when a connection is dropped. I’m more worried about the other items, i.e. order placement as you acknowledge we have both seen strategies shut down due to order placement.
One of the other key problems you have identified in your monitor strategy is the management of a daily lower lost limit. I generally incorporate this as part of a strategy given it will impact the PnL distribution of the strategy I think it should be modelled as a strategy development process.
Platform: TradeLink, OpenQuant, considering anything that works...
Trading: if it trades...
Posts: 94 since Oct 2010
Thanks Given: 24
Thanks Received: 39
All,
I was thinking of using the managed approach here. I think with the update on the order rules with the update to NT7, we are in a much better position than we were under NT6.5.
Platform: TradeLink, OpenQuant, considering anything that works...
Trading: if it trades...
Posts: 94 since Oct 2010
Thanks Given: 24
Thanks Received: 39
Sorry RM99, what do you mean by EL here?
By Macros I'm assuming that you mean Windows macros?
Obviously, I’m not fully aware of the particulars of your implementation but I would have made the placement of order completely dynamic dependent on the Bid/Ask spread. I understand that might be what you are saying – sorry if it is. This is one area I want to improve. However, my main concern is getting the test cases right. By that I mean access to proper tick data to test the functionality of the script around handling the very dynamic nature of tick data.
This is why I suggest that for now manage approach is best. NT7 is meant to take care of those. Is that not your experience? I think partial fills and unfilled orders requires some serious management. And I think the decisions you take depend on what one is trying to achieve with the strategy.
Fair point, however, what I was trying to do with this thread was gather options on making NT more robust assuming a robust operating environment. Is it ok if we keep physical / logical architectures out of scope of this thread?
I like the analogy, nice one. I do hope that with some brain storming with the NT users / developers on futures.io (formerly BMT) we can make it more of an auto pilot than a cruise control as a group.
I am having the same problem. I am using unmanaged and TD-Ameritrade to connect. I can't figure out how to catch the error coming back from TDA and continue the script. If I miss due to fast market or slow transfer of the order, I just want it to ignore the error as another order will be along shortly when the conditions are next detected as different.
Currently not a Elite member, it would be nice to see what is there somehow to determine the ROI of the investment...
While searching the NT forum for posts about the Recalculate option on strategies, I came across this little gem where I had actually posted to the thread - nothing useful, just more NT ambiguity:
The reason I was searching is that I unwisely switched on Recalculate on my live systems. I don't know what I was thinking - I should do experiments like that on Sim first - I am so stupid.
So now I have 2 unplanned positions to exit from - both at a loss from where NT overtraded me into them. At least that gives me a chance to practice some price action trading .....
So my conclusion is: NT7's recalculate functionality is actually based more on black magic than a desired set of requirements.
EDIT: here's the thread I started on NT support forum to give them at least the second heads-up on this issue:
Platform: TradeLink, OpenQuant, considering anything that works...
Trading: if it trades...
Posts: 94 since Oct 2010
Thanks Given: 24
Thanks Received: 39
Adamus,
Thanks for your post.
I’ve read through the links you posted. You are right, the recalucate functionality does not appear to be based on any real requirement / use case. Sometimes I’m not convinced they have had someone who is actually using NT to system trade build their requirements. I wonder how they come up with the requirements of their requirements set?
I will add something to the summary (i’ll find some words) regarding need to determine a way to reload the data, but I’m not sure if that functionality exists in the standard interface. We might need to ask that question in the forum.
I recall someone telling me to check out an indicator that can load data on the fly - can't remember exactly what it was but I'll see if I can find it again.
You can discover what your enemy fears most by observing the means he uses to frighten you.