AUTOMATED TRADING
One reason of not being updating recently is a circumstance that I never thought would be important to me. I met a few years ago a trader which became also a friend and after numerous discussions about trading we decided this summer to join and trade some systems I looked at the last years.
This trader would do the actual trading so that would let me time to do my own trading. A good plan until he decided not to trade because of private reasons which left us with the question how to proceed. Go on with it or not. We wanted to proceed but it would mean I had to make the trading efforts.
It was than that I thought about a fully automated trading system (ATS), so that the computer would take the decisions of taking the trading, managing it and closing it. This is not an easy task.
First of all I had to consider my trading configuration. I trade with Interactivebrokers, a broker which also delivers the data. My charting program is SierraCharts and I use a Bracket Trader as a front end program. I am aware of the lacks and the failures of this configuration. I always look at other possibilities but it is somehow difficult to change what you are used to but besides that IB is very cheap and reliable.
I looked for programs doing he job but I did not found it. Tradebolt suggest doing just this but did not convince me. Than I found the website of this German guy, Juergen. On his website he offers a Replay module for back testing Sierra charts but also offers some kind of rudimentary ATS for SierraCharts and Bracket Trader, called fscript. It is written in VBScript of which the bron code is free; an ATS sample can be read and this was what I needed.
The last time I programmed was maybe 20 years ago in old languages as Pascal and Fortran. Programming in a script language was completely new to me and I have to admit it was by far not easy but finally succeeded. It was a very nice surprise to me that Juergen offered his help where he could.
What does fscript do? Simply said it reads data from SieraCharts, decides if a trade has to follow, and send it through Bracket trader to my broker. After weeks of testing it runs now completely free of hands. The only thing to do is to start the program. Off course I have to monitor it because with such a ATS in place something unexpected can happen.
The system is a combination of the FDAX, and two BUND future systems. I hope this will give me and my partner good trading results. The most satisfying was the completion of the ATS itself which enables us to develop and trade future systems automatically and independantly.
This trader would do the actual trading so that would let me time to do my own trading. A good plan until he decided not to trade because of private reasons which left us with the question how to proceed. Go on with it or not. We wanted to proceed but it would mean I had to make the trading efforts.
It was than that I thought about a fully automated trading system (ATS), so that the computer would take the decisions of taking the trading, managing it and closing it. This is not an easy task.
First of all I had to consider my trading configuration. I trade with Interactivebrokers, a broker which also delivers the data. My charting program is SierraCharts and I use a Bracket Trader as a front end program. I am aware of the lacks and the failures of this configuration. I always look at other possibilities but it is somehow difficult to change what you are used to but besides that IB is very cheap and reliable.
I looked for programs doing he job but I did not found it. Tradebolt suggest doing just this but did not convince me. Than I found the website of this German guy, Juergen. On his website he offers a Replay module for back testing Sierra charts but also offers some kind of rudimentary ATS for SierraCharts and Bracket Trader, called fscript. It is written in VBScript of which the bron code is free; an ATS sample can be read and this was what I needed.
The last time I programmed was maybe 20 years ago in old languages as Pascal and Fortran. Programming in a script language was completely new to me and I have to admit it was by far not easy but finally succeeded. It was a very nice surprise to me that Juergen offered his help where he could.
What does fscript do? Simply said it reads data from SieraCharts, decides if a trade has to follow, and send it through Bracket trader to my broker. After weeks of testing it runs now completely free of hands. The only thing to do is to start the program. Off course I have to monitor it because with such a ATS in place something unexpected can happen.
The system is a combination of the FDAX, and two BUND future systems. I hope this will give me and my partner good trading results. The most satisfying was the completion of the ATS itself which enables us to develop and trade future systems automatically and independantly.
posted by Carlo Giuntoni at 6:05 PM
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