So today was the hallmark of "overtrading". One look at my equity curve explains the morning.

I began with a big hit by forcing a trade at 7:09 am, and after catching a small break, I forced another trade at 7:52 am, again without an adequate stop (read none at all). By 8:10 am, I got back in the groove, but just did not have time to make up for my mistakes. My first problem was forcing the large trades; I need to wait for the price to withdraw from resistance/support levels before finally executing (rather than simply hitting these levels). Once executed, I need an efficient way of setting stops, a fixed tick amount above / below the entry price. I will begin working on my ATS to do this, but in the mean time I will evaluate Button Trader, as well as Bracket Trader to allow me to better manage my brackets manually.

Please note the above screenshot was actually taken a while after the market closed (forgot to press print screen earlier).

Today was a lot better than yesterday. I have also found it difficult to trade the first half hour of the market open; as such I will change my trading schedule to be from about 6:50 am to 8:30 am. In this time period there is still a lot of volatility with quite a few block trades, all without the unpredictability of the market open.

I am also studying the tick indicators for use as signals. Interactive Broker’s Tick Indicators are intermittent (approximately every 15 seconds) and appear to be latent (by several seconds at least). I wonder if just taking ~25 of the biggest stocks in the Russell and combining their tick values would provide a good approximate for the NasDaq/NYSE ticks. The other option would be to follow the up ticks / down ticks in IWM to approximate the up ticks/down ticks in the market. What do you think?

I discovered my P/L calculator was wrong for yesterday and will update the post shortly. I also spent quite a bit of time working through the Interactive Brokers C# Order Placement Bug, and discovered it was several subtle casting errors, I will have an update out shortly.

Wooooh! Good thing I am trading a paper account. What worked yesterday did not work today. I was trying to trade the channel between the ER2 bollinger lines, using the NYSE Tick/AD lines as indicators for tops and bottoms. This worked remarkably well yesterday, but as you can see did not work so well today.

I am going to build a tool to constrain my trading, something that really hurt today was a lack of discipline ("It will turn around, I am sure"), when in fact I really needed a very tight stop, and to cut my losses early.

I am hoping that with a lot more hands on experience trading, I will find some patterns to exploit for my ATS.

Thank you to everyone who has been submitting bug reports about the Interactive Brokers C# API. I will take a look at the order processing system tonight and try to push out another patch.

Update: I had a problem with my P/L calculator yesterday, I had the wrong contract count which affected the fees, and thus my net. The above values are correct.

Today is the first day I have seriously paper traded the ER2, so I thought I would begin logging my progress. Today I took it easy only making 4 round trips at 3 contracts each. I am still learning to detect triggers, and am having problems with my market depth data. I got lucky that all four round trips were profitable, I wonder how I will do losing more.