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I agree 100% with your next paragraph:
>As an aside, let's say you get your code working flawlessly. With your
>automatic order entry system, you are 100% dependant on a flawless
>technological infrastructure. I don't think we have one of those yet. I
>recommend a capable human watchdog be on top of your side of things
>at all times. I'm not assuming this escaped your attention but I thought I'd
>throw it in just in case.
My automatic system will be supervised by me all the time, no orders will be
placed in my absence.
Purpose of automation is as follow:
1. Speed of execution, I don't have quickness of video game player
and attention span of 405 1-min bars / trading day
2. Elimination of errors in manual orders placed under pressure,
or missing protective stops, or profit targets
3. Move a focus from logistics of order execution to obeserving
and learning market behavior
4. Collecting market and trading statistics and displaying them
in real-time in debug window, etc.
DC
----- Original Message -----
From: "david b. stanley" <davestan@xxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Sunday, June 02, 2002 12:51 PM
Subject: Re: Bad ticks caused by incorrect orders
Well I can't speak for other market participants as to how they
would interpret anything but I think it's safe to say that many
whom have traded minis for any length of time and compared big
contract charts to mini charts are aware that these spikes take place
on the electronic contracts.
I just take it for granted that they are possible but I never interpret
them as bad ticks. If you are this proficient at coding and have the
concern that such ticks could wreak havoc on your system, you may
want to include the big contract as a data set in your system chart
and find a way to use the big contract data against the mini to define bad
trades. If charting the big contract doesn't suit your fancy, it might be
possible to pull it off using the index itself.
As an aside, let's say you get your code working flawlessly. With your
automatic order entry system, you are 100% dependant on a flawless
technological infrastructure. I don't think we have one of those yet. I
recommend a capable human watchdog be on top of your side of things
at all times. I'm not assuming this escaped your attention but I thought I'd
throw it in just in case.
> >Other market participants will see a spike in prices
> >above current market equal to Delta. They will interpret
> >it as a "bad" tick. Only I will know it was a bug in my
> >EL code.
>
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