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Hello,
I tried limit orders in real trading, results on ES futures:
On 1 minute, almost impossible to get a limit fill, usually you get filled
if the trend goes against you.
On 5 min, you get filled 75% of the times, but the odds are that you will
perform worse than the simulated trading.
If you want to get a realistec limit results, I think you should test your
stratigy on 15 + minutes, otherwise, you may play around, by increasing the
commission for each trade.
Please note I only tested the limit system on ES, not sure if the same
results goes the same on heavy traded stocks, if any one has expearianced
the limit fills, please let me know.
Hope this helps,
-----Original Message-----
From: Jim Bronke [mailto:jvbronke01@xxxxxxxxxxx]
Sent: Tuesday, March 28, 2006 1:37 PM
To: robert pisani; omega-list@xxxxxxxxxx
Subject: RE: simulation of trades w/TS Securites
I don't know of any way better than actually trading the market with it. I
have gotten better fills sometimes and worse others. The odds of a poor fill
are directly related to average daily volume for the stock and the amount of
your dollars per trade. you could probably write some code that would look
at the ATR for a 1 min bar whenever your system would make the trade. you
could then just use the worst case for that minute.
that's the best I can do.
Jim
-----Original Message-----
From: robert pisani [mailto:r.pisani@xxxxxxx]
Sent: Tuesday, March 28, 2006 1:26 PM
To: omega-list@xxxxxxxxxx
Subject: simulation of trades w/TS Securites
There are a number of execution platforms much superior to
TradeStation's (TradeMaven, TradeBolt, X_Trader, etc). They all allow
realistic simulation, so that you can simulate an automatic strategy and get
an idea of the kinds of fills (on limit orders,
etc.) to expect in actual trading. However, in all cases if your
signals are generated in TS you have to go through an API. I'm
considering using TS Securities brokerage/clearing, which of course accepts
signals directly from TS, but I don't see any way to simulate there (b/c the
fills in TS backtesting are not realistic at all, TS
backtesting is no help). Does anyone know how a realistic
simulation of trading with TS Securities can be done?
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