Hitting Limitations with Tradestation

[Pedro01 10]

Hi All

 

I have gotten to the point in my trading strategy automation where it feels as if Tradestation is less of a fit that it should be and I am wondering if this is just me being dumb or if TS isn't the tool for me.

 

So a little on my strategy (without spilling the beans).

 

part 1 - a radar screen with a list of stocks being rated (feeding info to global vars) as well as calculating position size for each stock considering my basket size, my account size, risk per trade & some stock specific items

part 2 - a mutli time frame look at an index which gives me buy & sell signals

 

When I get a buy or sell signal, I go to my global vars, look at my ratings & then place buys or sells on the radar screen stocks. I also set target prices for my stop loss & scale-out of a profitable trade.

 

Global variables are slightly painful but if you handle all that in functions you can keep it consistent & away from the body of your code. What is a pain is the fact that you can't use strategies for this kind of system as you can't attach a strategy to radar screen, nor can you trade a basket of stocks in a strategy from a single chart. Note that I wouldn't want my strategy on the radar screen as I want my trade issued based on the action of the index, not wait for the next tick on the symbol to issue my order. So, I am using order macros and I am having to do the following:

 

On placing a trade

Store number of shares traded in GVs, then keep checking for fills. As you get filled, place stop loss orders at the appropriate levels as well as storing the average price.

 

On scaling out

Cancel your stop loss order

Place a sell order for 75% of your position

Put back the stop loss on the remaining 25%

 

Of course, this doesn't actually work as the order to cancel the stop loss takes a while & if you send your sell order straight after that, it gets rejected as the stop loss is still there.

 

You can't seem to queue orders and have them executed in sequence, nor is there any way to automatically scale out which to me is a fairly common thing to do. It seems the more I try to put in smart trade management into a strategy, the more I have to do myself. Note that I am obviously more of a coder than a trader and so it is entirely possible I have missed something obvious such as an order type that does exactly what I want.

 

I guess there are 2 ways forward - scrap TS in favour of something with the features I need (and I have no idea what that is) or write my own/buy a better trade management API than the one provided with TS.

 

Has anyone else encountered similar issues and resolved them ?

 

Cheers

 

Pete

[tradelink 10]

I have customers who use tradestation radar to get entry and exit signals, but then post orders to other brokers who have better order management than TS.

 

doesn't solve everything you mention but it can provide more control, which seems to be mainly what you're looking for.

 

here is the software they use http://tradelink.googlecode.com

 

it's open source and it works with Assent, IB and Sterling providers (echo, cybertrader, etc).

[Pedro01 10]

Thanks for the post.

 

Am I right in presuming they use TS2Ki with IB ? I do like the features of TS 8.3 BUT if I use tradelink to another broker, this does mean I'll end up paying for Tradestation as I won't be using them as a brokerage.

 

Saying that, I could port my code back to TS2Ki but it does worry me that TS2Ki seems a lot less reliable than the later versions, I hear from friends all the time that their 'global server' program falls over all the time.

 

Ideally, a proper trading API (with confirmations back) to the Tradestation brokerage would be ideal.

[Trader333 10]

Pete,

 

Try have you tried modifying the stop order to a market order to either sell or buy ? This would be quicker to execute in my view.

 

 

 

Paul

[Pedro01 10]

Hi Paul

 

It's probably easier to explain this if I show an example of the trades:

 

When I get a singal, I place a trade. Then I wait for the entry place & place a safety stop loss.

 

Initial Buy : .PlaceOrder "Action='Buy', Account='SIMxxxxxxM', Symbol='MNT', SymbolCategory='Equity', OrderType='Market', Quantity=560, Duration='Day'"

stop loss: .PlaceOrder "Action='Sell', Account='SIMxxxxxxM', Symbol='MNT', SymbolCategory='Equity', OrderType='Stop Market', StopPrice=30.43, Quantity=560, Duration='Day'"

 

So I have my buy & I have my stop loss. Now let's say I'm really lucky & my target gets hit - maybe 20-30 minutes later. What I want to do now (and you will recognise this) is to sell 75% of my position and put a stop loss on the remaining 25% at entry +2c. The problem is that I can't sell 75% of my position because I have an outstanding sell order on the stock (the stop loss).

 

So - as far as I know, I need to cancel the stop loss order, then issue the sell order for 75% of the position and then put back the stop loss on the remaining amount.

 

Cancel Stop Loss : .CancelAllOrdersSymbolAccount MNT,SIMxxxxxxM

Scale Out : .PlaceOrder "Action='Sell', Account='SIMxxxxxxM', Symbol='MNT', SymbolCategory='Equity', OrderType='Market', Quantity=420, Duration='Day'"

New stop loss : .PlaceOrder "Action='Sell', Account='SIMxxxxxxM', Symbol='MNT', SymbolCategory='Equity', OrderType='Stop Market', StopPrice=30.79, Quantity=140, Duration='Day'"

 

This occasionally fails because I send the orders to the TS servers using the PlaceOrder macro but the cancel stop loss has sometimes not yet been processed by the time it gets the scale out. I can't seem to see any order type that will let me do this.

 

I could actually send the cancel stop loss and then wait for it to be processed but I don't see any way to either see if the stop loss is still there OR get confirmation it has been removed. Without either of these, my only option is an arbritrary pause in the code of let's say 10 seconds to ensure the cancel stop loss has plenty of time to get processed. That's not something I want to do though - who wants to wait any amount of time to get out ?

 

Anyway - I'm a bit stumped and fearing the worst !

 

Cheers

 

Pete

Edited January 3, 2009 by Pedro01

[tradelink 10]

Pete,

 

I don't know anything about TS2Ki (sp?).

 

Both of my customers who used tradestation + tradelink were Assent traders.

 

You're right you would have to pay for a broker in addition to tradestation this way. Although I thought that radar was just a flat monthly fee and you only paid for executions beyond that. The brokerage houses will charge you a flat fee for data and only for executions, so it should be fairly minimal. It seems like your system is possibly hours at least in trading duration so I imagine you have decent returns.

 

Doing notifications back to TS is a bit harder. I'm only familiar withthe DLL import feature of TS, although perhaps they have an ActiveX interface I'm not familiar with.... if you use TradeLink with tradestation it uses the dll import, when you send the order you give the order an id so you can later cancel it. When the order is sent you get back a return code that indicates whether it was accepted. The tradelink api also provides Acknolwedgements of order and cancels back to clients, although with TradeSTation there's not an easy way to make this available. I suppose we could build something custom for you where we saved this information in a local file, and then we had another dll that read the file... this would avoid you having to depend on a global server with that other solution, where it sounds like you don't like that.

 

Here's an example of the current usage of the tradelink interface in tradestation, it would be the same regardless of which broker (ib, assent, sterling) you're using :

 

// tradestation SendOrder examples
// int error = SendOrder("IBM",true,200,70,0,1); // buy limit 200
shares at $70, id is 1
// error = SendOrder("IBM",false, 100,0,0,2); // sell market 100
shares, order id is 2
// eror = SendOrder("LVS",true,500,0,200,3); // buy stop for 500
shares, order id is 3 (order id must be unique)
external: "c:\program files\tradelink\brokerserver\TradeLibFast.dll",
int, "SendOrder",string,bool,int,double,double,int;
// tradestation SendCancel examples
// SendCancel(1); // cancel the buy limit order from above
// SendCancel(3); // cancel the buy stop above
external: "c:\program files\tradelink\brokerserver\TradeLibFast.dll",
int, "SendCancel", int;

[Pedro01 10]

by TS2Ki - I mean Tradestation 2000.

 

I like the idea of being able to number the trades & then deal with each in order, it seems sensible.

 

Would I have the same issue I have now though - would I need to wait for cancellation of my stop loss order before issuing a new sell order or could I send them all at the same time ?

[tradelink 10]

No, you would not have to wait for stop to cancel. I am not sure why they would prevent you from having two outstanding orders on the same side at the same time, that is sort of a silly restriction tradestation must has, if you switched to use assent/IB or sterling (echo, etc), you would not have that restriction.

 

Just fyi, if you have a brokerage account with any of these 3 brokers... you can do this for free because tradelink is 100% open-source. just use the code above and you're set.

 

there's a mailling list if you have questions too. cheers.

[Pedro01 10]

Thanks for the replies to this - it looks like it may be the way forward for me.

 

Just a shame that I end up paying full platform fees for Tradestation as I won't be using them as a broker. I guess I can bear that as I don't really want to go to Tradestation 2000i.

 

Cheers

 

Pete

[tradelink 10]

There are lots of successful tradestation traders who outgrow the simplicity of tradestation.

 

We have a seperate product called Bridge that lets you run your strategy in tradestation but with enhanced execution control.

 

bridge - www

 

To the users points :

 

"On placing a trade

Store number of shares traded in GVs, then keep checking for fills. "

 

In bridge, you have both fine and course level order control.

 

FINE GRAIN is accomplished like :

 

// send some order (eg stop order)
myorderid = TSL_NEXTORDERIDSMALL();
TSL_SENDORDER(mysymbol,mysize,myside,myorderid,mydestinationexchange,myaccount);

// order level fill checking
filled = TSL_ISFILLED(myorderid);
// you can check for partial fills if you need to
if (filled=0) then
begin
partialfill = TSL_FILLEDSIZE(myorderid);
if (partialfill <> 0) then
begin
// do something
TSL_SENDDEBUG("Partial fill detected");
end;
end;

 

COARSE GRAIN

 

// keep track of your sent orders
expectedsize = 0;
for i = 0; i<myorderids.Length; i++
begin
expectedsize = expectedsize + TSL_SENTSIZE(myorderids[i]);
end;
everythingfilled = expectedsize = TSL_POSSIZE(mysymbol);

 

"As you get filled, place stop loss orders at the appropriate levels as well as storing the average price."

 

In bridge there is a single command to accomplish placing additive stop orders at a given distance from your existing average position price. You'd call this once at startegy startup.

 

distanceincents = .1;
rangestopineffect = distanceincents*2;
percentofpositionsizetoadd = .5; // 1 = 100%
TSL_SETSLO(mysymbol,distanceincents,rangestopineffect,percentofpositionsizetoadd);

 

Then bridge will maintain this rule to ensure additive stop orders existing anytime you have a position (or you change or disable the SLO rule).

 

"On scaling out

Cancel your stop loss order

Place a sell order for 75% of your position

Put back the stop loss on the remaining 25%"

 

In Bridge, there is a single command to manage profits and stops.

// determine where to place stop
mystopdistance = TSL_LASTTRADE(mysymbol)*.01;
// we'll use 25% of position like user above
mystopsize = .25
// determine where and how much to place limits (we'll disable them since user doesn't mention)
myprofitdist = 0;
myprofitsize = 0;
TSL_SETOFFSET(mysymbol,mystopdistance,mystopsize,myprofitdist,myprofitsize);

 

This will now be in effect anytime you have a position. You could close out your other 75% at any time using eg

 

TSL_SENDORDER(mysymbol,TSL_POSSIZE(mysymbol)*.75,TSL_POSSIZE(mysymbol)>0,TSL_NEXTORDERID(),"ARCA","ACCOUNT1")

 

You could also do this with a queue of OCO orders using TSL_SENDOCO.

 

Besides giving you more granular control in addition to coarse control offered in tradestation, bridge also works with many brokers giving you access to better costs, more buying power, and more competitive commissions.

 

bridge - www

Edited February 9, 2012 by tradelink

[Tams 20]

...

In bridge, you have both fine and course level order control.

 

FINE GRAIN is accomplished like :

...

 

can you put your codes in code tag?

 

.....can't make out the heads from the tails of your gibberish.

[tradelink 10]

Sure, didn't realize that feature existed.

 

Should be done now, you're right it's much easier.

[UrmaBlume 10]

Pedro,

 

Many of your issues will be solved if you do not trade from a strategy but rather implement your trading from an indicator using the new order and position objects in TS 9.0 & TS 9.1.

 

I miss my sundown drinks on the river side veranda of the Oriental plus the rowdiness of Nana Plaza.

 

cheers

 

UrmaBlume