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Admittedly, I don't watch these threads carefully enough so probably miss
any responses, but that said...
Lets say I have a strategy on a 30 min chart, a 5 min chart and a 1 min
chart which generate separate orders. I would use Push-Pop to run each
strategy in its separate timeframe and run a 1 min chart or possibly an even
shorter tick chart to execute trades only. Each "strategy" pushes a
Buy/Sell and number of contracts to the trade executing chart which reads
it. The trade executing chart just sums the current open position contracts
with the new order coming in and executes the appropriate amount of
contracts to adjust your position. No matter how many strategies you run
you are only either long or short a net amount of contracts overall. This
way of tackling the problem will allow you to adjust your positions
accordingly.
- Chris
----- Original Message -----
From: "Abhijit Dey" <omegalist@xxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Thursday, June 19, 2003 11:28 PM
Subject: Combining multiple strategies
> I am at my wit's end. The strategies (emini ES) are all over different
time
> period charts, some long / some short. The problems of TS in requiring
long
> only / short only strategies per symbol essentially means I can't automate
> any of these.
>
> I have been through quite a few threads on this topic in TS boards, but
are
> no closer to a solution that I can use NOW. Hoping TS would implement this
> functionality sometime in future isn't going to help me. I need this now.
>
> So the question to all strategy traders is - what are you all doing about
it
> now? I have tried writing megastrategies combining all these strategies,
but
> it messes up things too much, charts / strategies load too slowly, etc.
> etc. - I would not go that route again.
>
> TS have told me that I should open 2 accounts and send longs to one and
> shorts to another (hello?). Like I am in the business of generating
> commisions to TS and slippage to market.
>
> So what can I do? Is the only option I have is to use TS to generate
signals
> and take the signals elsewhere using 3rd party tools (tradebolt etc.) and
> possibly different brokers (IB)? Again, I am reluctant to do so - the more
> cogs in a spinning wheel, the more often it breaks down. But doesn't seem
> like I have any other option.
>
> Thanks for any help.
>
> Abhijit
>
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