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Here are a bunch of wish list items. I consider the first three
CRITICAL, and the last two are wishes.
* I want the ability to examine and edit the incoming tick stream. I
don't know if this makes sense given the "Quote.com model" that I
think TW is using, where the data feed constructs and sends out bar
data. But I would assume TW receives each tick even if I'm using N-
minute bars. (Otherwise it couldn't trigger stops instantly.) I
know TW supports correction of bad ticks, but I strongly suspect that
TW's corrections may be too late for many uses. E.g. Quote.com
corrects bad ticks, but it may take several minutes before that
happens. That's way too late if the bad tick tripped your stop, or
triggered a false high/low pattern. I want to be able to view EVERY
tick as it is received, ***BEFORE*** it enters into the TW platform
and impacts my systems, and optionally remove ticks that **I** decide
are bad according to **MY** criteria. That may include comparing the
tick to the current bid/ask, or looking at the tick in relationship
to previous and even later ticks (i.e. suspect ticks could be held
until the next tick comes in to see if it was anomalous), etc.
* I want ACCURATE representation of slippage. You should be able to
specify the TIME it took between order execution and fill, or the
POINTS of slip, or the WORST TICK within a certain window, etc. A
fixed "$X per RT" just does NOT cut it. This is a must for volatile
markets like the S&P.
* Program notification when the system changes position, sets stops,
etc. TS drives me bananas because it just "beeps" at me when it buys
or sells. I want my CODE to be notified so I can do things like
sound an un-missable alarm, send a pager message, set stops based on
the conditions at the time of entry, etc. If you're brave you could
even use this to submit an electronic order. :-)
Lower-priority items:
"Owen Davies" <owen@xxxxxxxxxxxxx> wrote:
> I appreciate the thought, but Perpetual data isn't what I had in
> mind. Just the real thing, as you'd see it in real time, but
> switching the software's attention from one contract to the next as
> I transfer mine here in the real world.
I agree. I'd like to see backtesting software that lets you test
your system AS YOU WOULD HAVE TRADED IT IN REALTIME -- complete with
contract rollovers and their associated slip/commission/etc.
Anything else is a useful approximation but it ain't reality.
I've simulated this feature in TS by manually pasting together
successive contracts and then (since I don't use Volume in my
systems) setting the U/D field to an artificially high value on the
day I want to roll. Then my system can detect the bogus Volume value
and flip contracts.
That works, but it's a pain. I'd like to see software that:
* Automatically stitches together the contracts, WITHOUT adjustment
to create a continuous contract. I want the REAL prices I would have
traded at. Ideally the software would keep track of the real
original contracts, for accurate record keeping & reporting, but
that's not a requirement.
* Lets me *easily* specify the rollover rules: N days before the new
front contract comes in, or when the volume moves to the new
contract, or whatever.
Perpetual data is a good solution if the above is not available, but
I'd feel more comfortable if my system was backtesting REALITY
instead of a close approximation. Possibly if I had this feature, I
might discover that perpetual data is a close-enough approximation,
so close that you could barely tell the difference. But I'd like to
know that for sure.
I'd also second Tim's request for a SIMPLE way to do SIMPLE things.
Yes, I want the full-blown power of a REAL programming language for
when I want to do difficult things. But when I just want to throw a
simple MA or other indicator on the chart, or modify the parameters
for current chart setups, I'd like to be able to do that without a
lot of programming or other hassle. That's one thing that TS does
well.
Gary
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