|04-06-2010, 09:12 AM||#1|
Join Date: Dec 2009
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Starting automated trading strategy in the middle of the day
Does anyone out there actually use Ninja ATI for real live trading starting in the middle of a day? or at all?
If so, how do you configure it to start without the problems I see?
I`d like to run ATI strategies on my real brokerage account using Ninja Trader. But the way automated trading works in sim mode, I don`t think I can. What am I missing?
The strategy in this example backtests fine, the results backtest shows are identical to trading it manually looking at the chart. I`d like to have Ninja autotrade this strategy for me. But when I start the strategy (from control center) in live market in sim mode (I assume it would do the same with my live brokerage account) it does not do what I expect. At all.
This strategy "entries per direction" is set to 10. When I start the strategy from control center no matter what I do, it establishes the "virtual strategy position" ( I`ve read, that`s what it supposed to do)
Why would anyone want that to happen? It totally screws up everything that follows.
On the start, the strategy position becomes, lets say, 8 long (account position 0). Then later in the day (a buy) strategy condition occurs in the market so the strategy buys, of course. The condition is met 10 more times later but since strategy position was "virtual" 8 already, it only buys twice (as in up to the 10 entries per direction). Now I have strategy position of 10L, but account position only 2L. That`s all the strategy will buy. So in essence I will NEVER see 10L (in this case) in my real account position if I start the strategy in the middle of a day.
Then the flip side of the the same strategy kicks in. It sells the Long position and starts to accumulate/enter short (up to same 10 times). Few hours into the day it really gets bizarre. Strategy position becomes 1Long, real account position became 14Short at the same time (see the screen shots attached).
Is this what would happen to my real brokerage account????
All that due to the fact the strategy started with "virtual position" of 8 contracts long.
And no, I do not want to buy the 8 contracts manually for the real account just to make the strategy "happy" and match the positions on the start. The price at that time is not what I wanna buy at, and it is before the time I want it to start trading anyway (as "minimum bars required" is set to start real trading much later).
The only case when automated trading runs fine is when I start a strategy at the beginning of a session (12:01am) using just this (one) day for the data on the chart (so the strategy has no back data to establish "virtual position" of anything other than ZERO, as it only has 1 minute worth of back data on the start) and allow the strategy to trade market hours I DO NOT want to trade. OR set "minimum bars required" to 36 for 5 min chart to make it start actual trading at 4am. which is when I want it to start trading. In either case this means I can`t go to sleep but must wait for 12:01am to start the strategy.
If I start it later in the day, even if I set "session times" to start and end AFTER the current time of day, set the chart times the same way, and set "minimum bars required" to start later, when I press the start button there comes strategy position of 3 or 8 or whatever contracts, the "virtual position".
I have read the help and the support forum, and to this day I have no idea how to start a strategy with starting strategy position of zero other than right after midnight.
So, Can it be done? Is there a way to start a strategy in the middle of a day with "strategy position" at ZERO?
How and when would you recommend I start my strategy so it would start with strategy position at zero?
What is a reason for a strategy to establish "virtual position" on the start? What is an advantage of having that happen? there must be at least one, or it wouldn`t be logical to have the "virtual position" in the first place as it screws up everything else afterwords.
What am I missing here?
Suggestion for Ninja:
The strategy should start at the time I click the start button and work from that point in time forward. Not backwards. WITH the starting "virtual strategy position" at ZERO regardless of the time of day I started it, until a buy or a sell strategy condition is met for the first time in the future upon which the strategy does what it was told to do. That would be logical.
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