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Hi Tony,
Have you considered getting a Globex terminal? Its a datafeed
& execution platform in one. I've been looking at this route for
some years, I feel often when people talk of "slippage", what they
are really talking about is the deviation between reality
(the exchange execution platform) and fantasy (most data vendors).
If you thumb through my prior postings you see various tests I have
done on the top end (US$3,000/m plus) vendors and they still
dropped ~ 20% of data, some of the internet feeds dropped as
much as 80%+
I became a bit disheartened with technical analysis study after this,
how do you conduct scientific study when your input data is faulty.
The best answer I could come up with is to expand your timelines
to the point the error rate becomes tolerable.
After a lot of time invested, I have also come to the conclusion that
while TS is an excellent development/testing environment, it lacks
a lot as an execution platform.
If you want a very quick way to route orders out of TS into any
other platform, you can write to disk from EasyLanguage, I started
experimenting with writing a file to disk of execution instructions and
then looking in another file for status information back.
After messing about with DDE and bespoke DLL's I found a
simple Samba based mapped drive was a very efficient and reliable
way to route orders between platforms.
I'm in London also if you want to talk shop.
Kind regards,
Justin
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Tony Walker wrote:
I have been on a mission to find better execution than using TS8 via TS
brokerage.
I am full time trader and I use TT Xtrader Pro for a lot of my trading via a
direct exchange gateway and the slippage on the liquid contracts is ~0.
I have run a couple of example FX futures systems using VB on XTPro and TS8
at the same time just to compare the execution result. Average slip on TS =
2ticks average on XTPro = 0 ticks. Makes huge difference when you are
running intraday strats over months.
Although I consider TS a great platform for development and testing it would
be a real PnL advantage to be able to port the signals from TS8 to a better
execution platform. Is anybody doing this? If so how do I do it.
Had a look at the Futures and Options World seminar last week in London and
there were a few alternatives for Algorithmic trading but they would involve
redevelopment and learning of a new language. I would still like to develop
on TS.
Regards
Tony Walker
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TWI Asset Management
Cannon Street| London | U.K.
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