ShadowFox 

Made the switch for backtesting and holy cow, what a difference! What took 4-5 days to backtest in TS took 17 hrs in MC. Will pay for itself tenfold in developing ideas. Some aspects of MC Portfolio Trader are not as useful as TS Portfolio Maestro, but it might just be me getting used to it. I am not a fan of how MC handles custom symbol lists but I am making it work. The possibility of custom fitness functions in MC has opened up a whole new world for testing.

I'd love to try a comparison test here, I have both. I've never had a TS test close to 4-5 days, that is why I am curious.

kevinkdog 

I'd love to try a comparison test here, I have both. I've never had a TS test close to 4-5 days, that is why I am curious.

Thanks Kevin! Good to know that I have created a more complex algo than the algo king himself . I know you preach algo's are supposed to be simple!

But on a serious note, trust me it is a very simple strategy. Where it gets messy and heavily loaded is its backtesting over 300 instruments for multiple years on 5 min bars. It is an equities strategy that I am developing and the key is portfolio selection. So a lot of code that is in the backtesting strategy (not in real time) is filtering out certain stocks for certain dates based on certain criteria that is pre determined (long way of saying its complicated and over 700 lines of code ). So even though I may only trade a certain stock for 20 days with the strat and I have 5 years of data loaded, the iteration is looking at that stock over 5 years doing nothing for most of the time. This is the only way I have been able to work with such a strategy on a larger scale. Obviously it gets much easier if I break each instrument down individually, or even each portfolio timeframe individually then somehow piece everything together to get the best inputs for the whole range. This is a lengthy portfolio strategy and this is the only way I can figure out how to do it

This was my attempt at reaching out for help from the community but not sure a lot of people are backtesting systems like this so I found a solution that worked and ran with it. On TS, 4-5 days later I get results

Limit select stocks to certain dates in Portfolio Maestro I have resolved this for now. If anyone has any better ideas though feel free to comment! Just using the GetSymbolName function in the strategy itself to only let it fill for that symbol during certain dates. Kind of a funky work around but it wor …

ShadowFox 

Thanks Kevin! Good to know that I have created a more complex algo than the algo king himself . I know you preach algo's are supposed to be simple! But on a serious note, trust me it is a very simple strategy. Where it gets messy and heavily loaded is its backtesting over 300 instruments for multiple years on 5 min bars. It is an equities strategy that I am developing and the key is portfolio selection. So a lot of code that is in the backtesting strategy (not in real time) is filtering out certain stocks for certain dates based on certain criteria that is pre determined (long way of saying its complicated and over 700 lines of code ). So even though I may only trade a certain stock for 20 days with the strat and I have 5 years of data loaded, the iteration is looking at that stock over 5 years doing nothing for most of the time. This is the only way I have been able to work with such a strategy on a larger scale. Obviously it gets much easier if I break each instrument down individually, or even each portfolio timeframe individually then somehow piece everything together to get the best inputs for the whole range. This is a lengthy portfolio strategy and this is the only way I can figure out how to do it This was my attempt at reaching out for help from the community but not sure a lot of people are backtesting systems like this so I found a solution that worked and ran with it. On TS, 4-5 days later I get results Limit select stocks to certain dates in Portfolio Maestro I have resolved this for now. If anyone has any better ideas though feel free to comment! Just using the GetSymbolName function in the strategy itself to only let it fill for that symbol during certain dates. Kind of a funky work around but it wor …

Ahh, Portfolio Maestro. I've never used it, I use the Optimization API directly to run multiple symbols.

I was initially thinking it was one optimization, but now I see I was mistaken!

vmodus 

We looked into IB for forex and futures, but their application process was a nightmare, from our limited experience. After about 2 weeks (and finally getting approved) we decided to stay with TS Securities for futures and went with OANDA for forex. This was about six months ago, when they were getting buried in new applications, like many other brokers at the time. We also had pretty flaky data connections with them, losing connection multiple times throughout the day, every day. As an automated trader, this was unacceptable. We trade business accounts, so it might be different for personal accounts. Try out their demo system first and be ready for a lot of friction in getting your account setup.

Vmodus,

That is a great post that benefited a lot of people who had the same thought I am sure

I'm exactly at the same shoes you were in when you started this. Looking for a back up for TS and intended to go with IB. Also run only automated strategies.

After reading this last post about the IB application and then going with another broker I became intrigued .
Not sure if you still stayed with IB after the application was approved? When you said the connection was flakey throughout the day, was that with OANDA or IB? And was it the broker connection or the data connection?

And one last question if I may, did you have "disconnected from trade server" issues with TS. Usually it shows up in the messages log. I get these messages about once a week, but it usually reconnects within a second or two and that doesn't cause any problems. But some times the disconnect will last like 20 minutes or so, and this will screw every thing up in the Tcashe Data base that holds positions data as the charts go into data download . And it is not an internet issue since I have back up power supplies for all internet parts. Your answer might help me isolate the source of that problem. I have couple of PC's running different accounts and they both report the same problem almost exactly the same time to the second, and some times on different times.

Thanks very much for the post and the time you give for answering my many questions.

Vacationer

I did it.. And then I kept Tradestation.
I am not a coder at all and I trade discretionary only. So, I liked so much my charts on Tradestation that I wanted the same for IB (and a serious frontend), and I bought a Multicharts license.
Well, even if I don't use any automated strategy, here what I think if you want to switch from TS to MC:

Pros for the switch:
- A lot of other available brokers
- Similar concept, so the switch is easy
- Backtesting capabilities (faster and easier)
- A little "lighter" than TS (less resources)
- 64-bit
- The easylanguage version is still a little compatible with TS
- I think the .Net version is more open for new developments, it is just a different platform.

Cons:
- You will never have the same feeling with MC. In a way, MC is more functional.
- TS brokerage is not that bad
- Customer service with MC
- TS and MC developed new "things" (don't ask me) that make them less and less compatible.
- You will lose years of great posts on a huge TS forum
- I never was comfortable running MC alone, I always felt the need to keep TWS (IB native platform). Perhaps it is just me.

If you have a problem with Tradestation brokerage, the switch would certainly helps. If you have a problem with the platform, I am not so sure.
Hope this helps!

Vacationer 

Not sure if you still stayed with IB after the application was approved? When you said the connection was flakey throughout the day, was that with OANDA or IB? And was it the broker connection or the data connection? And one last question if I may, did you have "disconnected from trade server" issues with TS. Usually it shows up in the messages log. I get these messages about once a week, but it usually reconnects within a second or two and that doesn't cause any problems. But some times the disconnect will last like 20 minutes or so, and this will screw every thing up in the Tcashe Data base that holds positions data as the charts go into data download . And it is not an internet issue since I have back up power supplies for all internet parts. Your answer might help me isolate the source of that problem. I have couple of PC's running different accounts and they both report the same problem almost exactly the same time to the second, and some times on different times. Thanks very much for the post and the time you give for answering my many questions. Vacationer

@Vacationer , I am glad I helped. I hope you enjoy Sarasota as much as I have in the past, which is one of my favorite towns in the US.

Here are you answers, one by one:
Not sure if you still stayed with IB after the application was approved?
No. I believe they have an option to cancel the application before funding, which is what we did. We were approved, but they data connection issue was a deal breaker. My wife actually handled the application process, but I could hear from her desk all of the disconnections/reconnections.

When you said the connection was flakey throughout the day, was that with OANDA or IB? And was it the broker connection or the data connection?
IB. Since IB was providing the data, I assume it was one and the same, but I cannot be certain. You have to have their application running on your PC for the connections.

And one last question if I may, did you have "disconnected from trade server" issues with TS.
Rarely, maybe once a month, maybe less than that. For us that is more likely caused by something other than TS, such as an ISP issue or power disruption. There was a disruption/outage with respect to data a few weeks ago, but I am not sure what happened and it was resolved fairly quickly. We run TS on a virtual machine (VM) through Azure (Microsoft) for our live trading. Disconnections on the VM are pretty much nonexistent.

I hope this helps!

Fonz 

I did it.. And then I kept Tradestation. I am not a coder at all and I trade discretionary only. So, I liked so much my charts on Tradestation that I wanted the same for IB (and a serious frontend), and I bought a Multicharts license. Well, even if I don't use any automated strategy, here what I think if you want to switch from TS to MC: Pros for the switch: - A lot of other available brokers - Similar concept, so the switch is easy - Backtesting capabilities (faster and easier) - A little "lighter" than TS (less resources) - 64-bit - The easylanguage version is still a little compatible with TS - I think the .Net version is more open for new developments, it is just a different platform. Cons: - You will never have the same feeling with MC. In a way, MC is more functional. - TS brokerage is not that bad - Customer service with MC - TS and MC developed new "things" (don't ask me) that make them less and less compatible. - You will lose years of great posts on a huge TS forum - I never was comfortable running MC alone, I always felt the need to keep TWS (IB native platform). Perhaps it is just me. If you have a problem with Tradestation brokerage, the switch would certainly helps. If you have a problem with the platform, I am not so sure. Hope this helps!

Thanks for sharing. I have had the opposite experience with customer service, with MC being much better than TS, both in response time and in solving problems. TS has added some support resources who roam their forums and answer questions more quickly than before, but reaching someone and resolving an issue can be a multi-day experience. I had an issue with MC (caused by me....duh), that their chat representative was able to resolve in about 5 minutes. That is my experience with both and I do use both daily.

Vmodus,

Thanks for the quick reply, really appreciated.

I thought about asking if you used a VM/VPS for your TS auto trading, but you generously answered that in your reply.

I have had an IB account for years so the switch won't be an issue, time wise. My issue with IB is their lack of tic data.

So I was wondering if it is possible to use IB as a broker, and still get data from TS if that is feasible. Have you tried to get data from TS on your set up?

Since this would be my first time to use a platform not provided by my broker, I don't know how the data provider connection is made but I'm assuming it is via a login. And was thinking that using TS as data provider in MC would be possible via a login with an existing TS account.

Thanks again for your quick reply. Glad to hear you had a better luck with MC's customer service. TS now takes weeks to reply to an email.

Vacationer

PS: I agree with you 100%, Sarasota is really a nice place to live on the gulf water

Fonz 

I did it.. And then I kept Tradestation. I am not a coder at all and I trade discretionary only. So, I liked so much my charts on Tradestation that I wanted the same for IB (and a serious frontend), and I bought a Multicharts license. Well, even if I don't use any automated strategy, here what I think if you want to switch from TS to MC: Pros for the switch: - A lot of other available brokers - Similar concept, so the switch is easy - Backtesting capabilities (faster and easier) - A little "lighter" than TS (less resources) - 64-bit - The easylanguage version is still a little compatible with TS - I think the .Net version is more open for new developments, it is just a different platform. Cons: - You will never have the same feeling with MC. In a way, MC is more functional. - TS brokerage is not that bad - Customer service with MC - TS and MC developed new "things" (don't ask me) that make them less and less compatible. - You will lose years of great posts on a huge TS forum - I never was comfortable running MC alone, I always felt the need to keep TWS (IB native platform). Perhaps it is just me. If you have a problem with Tradestation brokerage, the switch would certainly helps. If you have a problem with the platform, I am not so sure. Hope this helps!

Fonz,

Thank you very much for the detailed reply and the info.

Did you by any chance try TS as a data provider , while keeping IB as broker , using data provider log on with the TS account login credentials? or is it a different login if you use MC to get data from TS?

Thanks again for the reply,

Vacationer

Hi Vacationer,

You are very welcome.
And yes it is possible: With MC, you can select your Data feed for your tickers individually: Like ESM21= CQG, SPY = Tradestation, etc. And still connect to your broker (like IB) to trade.
To be able to use TS as a data provider, you need to have it open.

Also, MC is on sale 2 or 3 times a year (about 50% off). I bought mine during a Cyber Monday.

Good trades!