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this is my first post but i hope it creates some discussion on my idea of using delayed data for live trading.
This probably initially sounds very frugal but when one considers i am paying exchange fees for 7 different exchanges and hoping to add further exchanges to this list, data has become my largest fixed cost. The average exchange data fee is in the region of $75 a month * 7 exchanges = $525 a month * 12 months = $6300.
Add to this that i wish to add TCOM, SAFEX and SGX and SFE to this and cost will escalate to about $700 a month or $8400 a year.
Seeing i trade on EOD (end of day) and can use market orders and my stops and targets are a significant distance from where my entries would be executed I can see little issues of using deleted data. I can think of one issue which might be the problem of playing limit orders for the purpose of when i need to roll from one contract to the other and the associated costs of having to use market orders instead of limits orders for rolling.
My present setup is MultiCharts linked to the CQG data and order routing network.
I'd very much appreciate other peoples thinking on this and if others have tried this what hidden or unforeseen issues on my part might occur.
Cheers Charles
Can you help answer these questions from other members on NexusFi?
Some strategies work on a very specific instruments others work on a very broad range of market and indeed perform better when applied to a very broad range of instruments.
If you are rolling with limit orders, you risk that you are not rolling but you are opening a extra position, while the old one is not closed, effectively exposing you to a double position.
IMHO has nothing to do with EOD of real-time, rolling over just needs to have a the same point in time. What counts is the spread/delta between the two maturity dates. You might get around with that using a spread trade, where you can put a limit.
