andy2m

Yes but one thing must be said: I first used C++ implementing the ActiveX/COM technology of Visual Basic and the result was similar slow as VB. But pure C++ is impressive, I believe you can't get more out of your processor. However it's not easy to program, there are many pitfalls, so nothing for programming beginners. Using VB you can come much quicker to your result and it can't be called slow (I believe it's still much faster than pure interpreting languages like Easylanguage) but for brute force optimizing you need pure speed of course. But even speed does not make a winning system, it's only a tool :-)

Yes I did. I'm a professional software developer so I know my tools. But I must admit it's my 3rd attempt, before I have written two systems in Excel which didn't really help me, but there I learned about markets, indicators, data etc. I also had tried to trade manually but have found that's not my thing. Evolution: First I wrote a small trading robot dealing with the API of my broker, written in Visual Basic 6, it already had the capability to attach different strategies and could send orders, react on fills etc. Then I decided I need a simulator so I made it work with collected data from the past. But that was too slow (it needed 3mins to simulate one day using 5sec bars), I ported the engine part to C++ (now only 2secs for one day). This made it possible to add a parameter system, means parameters are read from a database and performance results are stored back, so I can do brute force optimizing. The last step was to synchronize the source codes of both simulator and trading robot so that now I can use the same strategy code in both. Of course this is easier written than done :-) It was a lot of work and I wouldn't start that again. I had flexible jobs at that time so it was possible.

I also think it's possible, actually I hope so :-) I've written my own simulator/executor of mechanical strategies, now I'm able to backtest (and optimize) strategies and once I will have found one I can put it into the executor to trade it fully automated. I'm in the process so I can't say if this adventure will have a good end. What I can say is that it's possible to build up a machine that is able to trade even complex ideas. After finishing my software I was sometimes looking at the executor what he did and was amazed how he put in the orders, moved the stops and so on, nice to watch. Of course that should be possible, it's just an engineering task but my question before starting was: will such a system be technically stable and safe enough (so that I can put real money on it). My answer is: yes. When I trade real money then a 2nd computer runs in my parents house to observe the trading computer and in case of anything it executes going out of the The technical basis is done. I think there are many advantages in technical trading, you can do other things, can trade many markets simultaneously, even at night, fast in executing (scalping possible) . It was a lot of work writing my own machine but before I checked any other system I could get (2 years ago) and I didn't find any good one for me. I've done some extended trys using Tradestation but I was always disappointed that the reality was not as good as the simulation. I believe one reason is the accuracy of the data. My own system uses 5sec bars and additionally tick, volume and order sizes and now it's accurate enough, means when I run a real trading day again in the simulator it's about 95% correct - that's enough to be able to find working systems in the sim. The big point actually is to find system ideas. I say to myself: if I have found only one that works there will be many more. "Works" is definded as constantly making money, steady upslope capital curve etc. at least over some weeks/months. So far I've only dealed with relatively simple strategies without "self learning" stuff. This can work very good for some days but then "suddenly" there comes a "painful day" where it gives away a good amount of the money earned before. E.g. I have a strategy that is mostly successful in fading the 2nd breakout: on normal days I get more gain than loss, sometimes win sometimes loose but with good money management I win. But then it happens that there comes a real trend day, the market going in one direction steadily - and that's pure poison for this system, it looses the whole day. I made the same experience using other trading ideas and the result is: with "simple ideas" it's possible to program a small gain over long time, not more. The market (I actually trade only Eur/Usd) is very clever finding new ways in behaviour even if in the end it's the same again and again. Things like Ross Hooks are easy to gauge and I thought "yes that must work", after programming the machine tells it's own version: yes it works often, but there are also many times where it doesn't work. I looked back at the chart and had to agree, the machine (= the pure technical idea) was right, I had overseen some non working RH. So this is my contribution to the thread starter's question. I still believe it's possible but one must find a working strategy. This has to be easy, adaptive and clever at the same time :-) I'm actually working on integrating a Neural Network and other "learning stuff" into my system and I believe I will overcome the drawbacks mentioned with it. I also do some statistical research on daily behavior (like Taylor swings) to be prepared for special types of days. I don't think I will able to avoid losses but I want to avoid the "painful days" as I have them now. The market repeats itself and in the same moment it changes it's behaviour constantly, and the changes repeat themselfes. I believe a mechanical system must be able to deal with this fact. Happy trading! Andy

How to learn programming the widely used software tools "Sophis Toolkit API" / "Reuters Kondor+"? I'm a professional software developer and private trader and would like to obtain a programming job in the industry. There's no entrance however without knowledge and experience in the above tools. How can I gain experience in programming them? I hope this is the rigth place to ask this question. Thanks, Andy

In the last weeks I have tried to find out some relationships between forex (order-)volume and price. I'm influenced by Neill's "Tape reading and market tactics". On forex we have no normal volume of course but with my IB account I can catch both trade volume (as well as ticks) and order volume (from DOM). This "volume" is not to read like volume on a stock chart but at least there are some clues that could be given to us. Even more if I apply a filter and only catch the "big" volume (> 3x average volume) to see what the big players do. I observed the order and trade volume for a while and can at least say there are relationships between volume and price however no hard and fast ones. My observations so far (see orange circles in charts): - periods of "silence" (small trade volume of big players) are often followed by big moves) - a spread in bid/ask order volume often leads to a move in price - a crossing in bid/ask spread leads to a change in price move direction So far so good. I built an automated strategy on these observations and with a sound money management they work not bad. The only remaining "little problem" is direction. It's possible to play a breakout strategy on the observed facts, breakouts from low volume regions, but I could improve the results dramatically if I had more clues on direction. In reality sometimes bid>ask leads to an up- sometimes to a down-move, seems like a 50% chance. Maybe someone here has made similar observations and does know something about the big players tricks that are going on every day? Andy