Wednesday, February 6, 2008

Automatic Order Transmission

When the charting software has a signal to buy, it transmits it to the broker software client running on the same computer, your laptop. That software in turn sends the order to the broker office computer for execution. Here the things I have found to be important, to safeguard against things like loss of data connection, or power failure, or anything that could go wrong.

The order is transmitted with a buy order, limit order, and stop order. The buy order has a "Good Until Time" attached to it. I'm going for 10 pips of profit, so once the order is sent, the PC can crash all it wants. I have this portion working.

The next issue is loss of data feed. When the data starts up again, a buy order could be sent, but it might not be current, that’s a problem, and I haven't solved it yet. I haven't actually tried yet.

Right now I'm using 6 pairs to work out the bugs, and while I'm doing this, I'm tracking all the trades in excel and summarizing the trades and pips per pair, and the number of minutes I'm in trades. Once I get enough data I'm going to look at the daily charts and see what the correlation is between good performers and bad performers. I'll look deeper into trading times as well. The plan so far is to trade 2 pairs on the 15 minute time frame. I will try the 1 hour to see results I get too. The comparison of 15 minute time frame to 1 hour can probably be done by back testing. My issue here is most data is dirty, such as FINAM. I see lots of spikes in the data. I may try EODDATA and see what I get.

The nice thing is that this is being testing during the night and day while I'm at work, then I fix the bugs in the evening.

For anyone that is entering orders manually, there is a simple script you could use with Amibroker to initiate your order all at once will little risk of error. It's fast and accurate. I use it to send bracket orders while I’m at work.

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