Zen and the Art of Automated Trading: A Journey from Day Trading to Mechanical Trading by Adrien de Tray

Author:Adrien de Tray [de Tray, Adrien]
Language: eng
Format: mobi
Publisher: Adrien de Tray
Published: 2012-09-02T23:00:00+00:00

7/29/2010

Heeeeeere we go...

We have three PCs running now. One is our live trading computer that has our current live versions of the trading systems on it, and three days of tick data only. This keeps I/RT running much faster and more stable. Justin has a second computer setup for Skype and backtesting, so that he can work with me on ideas and code without screwing up SF. I have my PC going for the same purpose and J’s got a laptop setup as a backup in case SF goes down and he quickly has to get on IB (Interactive Brokers) and dump positions.

We also couldn’t use the entire one-year of data for all four contracts. I/RT has a 2gb limit[14] to its historical data file size and trying to import the tickdata files repeatedly crashed I/RT until I realized it was going over that limit. So, I exported all four contracts in three-month segments and we used those. We also tried to have our 20 days of good tick data from DTN IQ in one file (tick.d01) and another data file have our historical three-month data. Switching back and forth destroyed I/RT. Apparently the files are much more interconnected than that and we had to go another route entirely. I think at the moment, we’re both just testing on the 20-25 days we have of the good stuff.

Justin and I also had some problems getting the same backtest results. Some of it was time of day (had to watch our PSTs and ESTs, and the data had to be shifted from CMT), some of it was that our clocks weren’t identical so some trades would exit on completely different timebars between him and I and thus, over 50 trades, show solidly different results. This was only discovered going back through by hand and comparing each trade over Skype.

And this whole time, we were going back and forth with Linnsoft, whom we had sent a trivial system to for testing and who responded with helpful guidance that didn’t answer our questions (but was, none the less, stuff we incorporated). It was frustrating and I’m very familiar with the experience, having worked in IT before. The problem is, when something isn’t working, it is very hard to determine why. And the more trivial the error on the user end, the more unlikely the pro-IT guy will find it, because their system will simply not be set up quite as stupidly.

Also, there is a difference going through this experience for me and for Justin. Some of it could be that it is currently Justin’s money, although I don’t think either of us worries about losing that. Some of it could be that his wife sits right next to him and there is a general pressure to succeed a little sooner while no one expects anything from me any more. But much of it is simply that when you’re watching the live data come in, you don’t know what’s going to happen next, and

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