parliament718

Anyone using Deltix? I've been using their new retail offering and it's really something else. I've already rapidly developed one full system and I didn't have a single complaint about the platform, very powerful and intuitive from beginning to end. Vertical trading software suites are finally coming of age to us retail traders :cheers:

If anyone is using Deltix software suite for automated trading systems development, let's get in touch. I've been using it for a while and would like to collaborate to build some new trading systems. I also wouldn't mind expanding my collection of custom indicators for this platform and can port your indicators for free... if they're good, of course :o

Checking back on this post now your comment helped me find two very useful articles for pattern recognition. One uses an algorithm called the PXtract algorithm: PXTract Algo: http://www.cse.ust.hk/~leichen/courses/comp630p/collection/reference-4-6.pdf http://www.olsen.ch/fileadmin/Publications/Client_Papers//200405-Omrane-PredictiveSuccessProfitabilityChartPatterns.pdf If somebody is interested to develop a pattern recognition system based on the pattern I described, then contact me. I now develop in a .NET-based Complex Event Processing (CEP) framework and software suite by Deltix. I prefer to work on systems in collaboration and besides, those articles are a bit much to digest because my math is a bit rusty these days. Hope to hear!

Seems like there's no interest in a community project like this. If anyone is interested to work privately with me to build a system based on this feel free to message me. Thanks

The last 2 were perfect examples so here are 2 imperfect ones so Im not cherry picking. Possible suggestions to correct imperfect setups, and other subtleties. I hope not to curve fit much...

Here's 2 examples of what I meant in the previous post.

Thanks for your reply. I think part of my problem is its hard to quantify the pattern, maybe this is actually where I need help rather than the code itself. The schematic below of some solid characteristics. Please keep in mind this particular occurance is basically a perfect setup and they rarely happen like this. 1) L-H-HL for buy H-L-LH for sell 2) second wave typically retraces to 38%-78% fib before reversing again in the initial direction and closing over the SMA. 3)SMA crossing bar is "strong" but not so strong that it causes to miss much of the move. A range of the crossing candle's body of between 7-14 pips is a sufficient condition) Since it comes in many shapes as seen in the previous compilation its hard to say other solid characteristics about the actual waves without making the definition so rigid that it misses perfectly valid setups. Perhaps theyre just less obvious. Here are some observations: I just tried for the first time to run Fibonacci time retracements of the first wave. After looking back at 50-100 occurances that my eye spots out as having a good structure it seems that: 1) if the initial first wave is 7-15 (15M) bars of time, then the low/high of the following wave is usually in the 2nd - 3rd Fibonacci time zone 2) if the initial first wave is 16- 24 (15M) bars of time, then the low/high of the following wave is usually in the 1st - 2nd Fibonacci time zone. 3) if first wave is less than 7 (15M) bars of time, the pattern is usually too small 4) if the first wave is more than 25 (15M) bars of time, the pattern tends to be too big. Perhaps a range for the initial first wave is also called for since without such a condition the code can be vulnerable to signal on "flat" consolidation waves. As I mentioned, I had some success filtering these out by ignoring signals with ADX < 20. Perhaps ATR might be useful in this regard too. Thoughts?

Hi, Im trying to code a system based on a specific price action pattern. However Ive been trying a few days to accurately identify this pattern in code with little success. I can spot them out with the eye without a problem but I cant seem to figure out how to spot them in code because they come in slightly different shapes. Can somebody help out, some pseudo code or suggestions on how to approach is would really help. Basically, the tunnel lines are just SMA's of the high and the low. Im looking for price to form this pattern and then close below the lower SMA for a short, or above the higher SMA for a long. The swings have to be well-defined (rather than "flat" waves, characteristic of consolidation zones). One of my attempts was to filter out these "flat" waves from the well-defined ones was by using an ADX filter. Its most reliable when (for a short) during the 2nd wave the price comes out of the tunnel at the top (doesnt have to close above it) and then retreats back into the tunnel towards the bottom, and then closes below the bottom SMA. There are of course other conditions and filters but this is somewhat the base of the system and Im having much trouble. Here's a compilation of examples. Thanks so much

That was very helpful and I was actually about to switch to oanda soon when I saw their EU spreads were better than ibfx. Thanks for your help!

Hi, I opened my first account recently, its really small, just 200 bucks trading microlots with ibfx. When I put positions before I go to sleep I always use a stoploss. My stop losses are usually tight so I dont worry about margining out. However, tonight my position is slightly larger and slightly wider stop than usual because expecting some whipsawing but Im confident in the forecast. Can somebody please tell me how to calculate the maximum number of pips I can have my SL to prevent margining out. In other words what is the widest stoploss I can have to ensure I dont get margin-call FIRST (+-slippage) Because as I understand, being stopped out 5 pips (or more for slippage) before margin call is much preferable to margin call because you dont lose your whole account that way only the unrealized loss you had running whereas margining out blows the entire account (right?) Thanks a lot

I'm sure there are many ways that one can identify a trend in code. For example, one way I found as I'm reading the first few chapters of Peter Kaufman's "New Trading System and Methods" is called body momentum. It determines whether black or white bodies have been dominating recent price movement (using only the bodies of the candles themselves): Body Momentum = number of upBodies / (number of upBodies + number of downBodies) He recommends using 14 as the number of look back bars. if body momentum > .70 ->>> it's an up trend if body momentum < .20 ->>> it's a down trend This is just one method. I'm interested in other methods/logic/formulas you guys use to identify a trend in code. I guess my goal in this thread is the find the most reliable method for this. Thank you!

Thank you, your posts were immensely helpful. I understand everything I need to do and I will also be taking your advice and working in ninjatrader until further notice. Those were the original suggestions, I know, but I just needed to get the longer-term perspective on what I have to do. thanks doubletop, best of luck with your system as well. I'll try my best to keep my sanity :missy: :rofl:

Thank you very much to all of you, that pretty much cleared up everything I was confused about. Just to be clear, I've opted to do the following. Let me know if I understood everything correctly. So basically I can get historical data from NinjaTraders's Kinetick server. Then once I start running the strategy live I can start buying real time sub-second data from IQFeed. I can code my strategies directly in Visual Studio (I would prefer to) using NT's namespace and additionally referencing the external assemblies of any one of the libraries I mentioned. Then I just compile the code inside the NinjaTrader editor and run the strategy directly from the chart window. When my programming skills improve I could move on to learn ASP.NET to program for specific broker API's and perhaps learn to work with FIX at that point. Thanks again!

No, tams this is the first time im posting here. Thanks for the advice guys but so many of my questions were left unanswered. Regarding continous real time data collection (not simulated), the role of socket programming & FIX, and if those external libraries have their own individual limitations. I'm not looking for an easy, temporary solution which will pose limitations for me when i enter a quantitative finance program in school where I will eventually be programming more complex mathematical models. I will check out ninjascript sincee its based on c# thank you for that advice but can somebody please elaborate on any more of my questions?

Hi, Im interested in getting into automated trading system development. I've been trading a demo account for a little under a year and I’ve begun to study C# a few months ago. I still consider myself a beginner programmer but I’d like to start applying what I learn directly to my cause. The problem is I don’t know where to start. I understand I will be using .NET but I’m not sure how exactly and I have many questions. I’m currently on the chapter on LINQ so I look forward to learning how to work with data better soon but where do I get the data to begin with? And how do I start my own live, updating data collection (in Excel or something). I’ve heard of socket programming and FIX protocol, will I need to learn how to “socket program”? If so, how do I got about that (is that its own language)? I’ve looked into (open source) TradeLink and (expensive) RightEdge. In terms of actually coding the strategy, I noticed RightEdge has a code library that I could make use off. I’m not in the position to purchase their expensive software ATM but can I still use that library to author C# code in TradeLink? What about QuantLib? Can I use that library too ( or instead of ) the RE library . Are there any other code libraries? Also, is there a popular charting/backtesting software that I could use to backtest the data (once I figure out how to get it) using my algorithm (once I figure out how to build it lol) ? ( kind of like you can do with MQL in MetaTrader where it draws out historical data visually tick my tick and showing were trades would have been made). I’m currently reading “Pro C# and the .NET Platform”, about to begin the part of the book on .NET soon and was hoping someone can visit the link and go to “Look Inside” the book’s table of contents and let me know if there are any chapters/topics I will be using extensively, others rarely, or other perhaps not at all so I can safely skip them temporarily until I start doing more advanced things. I mean the book is 1500 pages for cryin out loud and I'm really trying to get up to pace and understand how all these things go together to build a trading system using C#. http://www.amazon.com/2010-NET-Platform-Andrew-Troelsen/dp/1430225491/ref=sr_1_1?ie=UTF8&qid=1309922819&sr=8-1 Thank you so much in advances, I would really appreciate the advice.