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My assumption is, that there are 3 parts: Strategy signal
creation(Tradestation, wealth lab, ..), Signal and account maintenance
software for automated trading(ATS) and the broker. The ATS gets the signals
from TS but ATS has not to give any signals back to TS. ATS has to send and
receive data from the broker.
Tradestation2000 and TS6 are great tools for developing and backtesting
strategies. Both can also create strategy signals.
This signal can be used in a second software does the automated
trading(Automated Trading Software, ATS). The ATS communicates with the
broker, for example with InteractiveBroker?s API or with Datek?s web page.
The software could be build in a real programming language like VB (or C++,
Java, ...) and be based on a database(MS-Access). So this software can
create trading log files, manage several accounts etc.
The software might do several checks:
By communicating with the API, the software knows when an order does not get
executed or when the portfolio at the broker is not synchronized with the
one in the software. This might happen when the user manually closed the
position. The software also checks the broker, since they are not 100%
reliable.
The software might check the internet connection and the datafeed: For
example, TS might create a dummy signal every minute. If the software
doesn?t get a dummy signal for 2 minutes, it can recognize an error. Same
could be done with the connection to the broker.
If the computer crashes, the software is dead and can?t recognize an error.
But the software might write all the data in a database, and a second
computer might check the database all the time. So the second computer could
check if the first computer is alive.
If the software has an eMail-module, the software might send the emails to
an other account or to a mobile phone.
If the computer has a soundcard, the software can make some noise when an
error happens. So an administrator doesn?t have to look on the screen all
the time but he hears when something goes wrong.
So it is possible to create a tie between a strategy and a brokerage
account.
Marcus
-----Ursprungliche Nachricht-----
Von: Ernie Bonugli [mailto:ebonugli@xxxxxxxx]
Gesendet: Friday, January 10, 2003 10:00 AM
An: Dennis Globa
Cc: omega-list@xxxxxxxxxx
Betreff: Re[2]: TradeStation 6 and 7 USELESS for Automated Trading -
Some important announcement for automated trading
Dennis,
"Then TS2000i check's the real execution price and
move buy/sell signal to the actual place on the chart, re- calculates all
stops, strategy report and etc. and any dollar positions basing on this new
real buy/sell signal. So, your next signals will be adequate to your
previous trades."
How does one or strategy code get updated with the real
Price? How is the real price inputted to the signal?
While the trick you offer may be part of the solution, the
issue of trade automation is more complex that. An automated
strategy must include
the management of the trade itself, but more importantly
must manage or provide enough hooks for when things to not
happen as they should, like the trade does not get executed,
or the user manually goes into the account and closes the
position, or the actual connection to the brokerage has gone
down and a trade could not be placed, The strategy logic get
restarted, or the computer goes down and you have to pick
backup where you left off before the crash!!!!
The original post in this thread deals with this very issue.
That is, without the hooks or solution in place for the
above issues, automation will NOT BE COMPLETE. The biggest
problem right know with TS6 automation is that there is no
tie between the strategy and the brokerage account! And
without it you automation process is doomed! On the other
hand there are other products that can be used today to get
us closer to true unattended automation.
Despite all of this, I will never be able to rest knowing
that there is something pending and that I am depending on
computers, internet connections, electrical power, to be
all intact. To that end, the system must be able to
alert you in case of a failure. The alert would allow you
to use the old fashion way, ie, phone your broker to clean up
the mess.
Regards,
Ernie
ebonugli@xxxxxxxx
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