Archive for the 'trading' Category

Friday, July 20, 2007 $(403.60) @ 64 Contracts

Published at July 22, 2007 in stats, paper trading and trading. 0 Comments

Gross:

$ (250.00)

Fees:

$ (153.60)

Net:

$ (403.60)

Contracts:

64

 

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).

Thursday, July 19, 2007 $222.80 @ 28 Contracts

Published at July 19, 2007 in stats, paper trading and trading. 0 Comments

Gross:

$ 290.00

Fees:

$ (67.20)

Net:

$ 222.80

Contracts:

28

 

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.

Wednesday, July 18, 2007 $(1,294.40) @ 56 Contracts

Published at July 18, 2007 in stats, paper trading and trading. 0 Comments

Gross:

$ (1,160.00)

Fees:

$ (134.40)

Net:

$ (1,294.40)

Contracts:

56

 

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.

Tuesday, July 17, 2007 $272.40 @ 24

Published at July 17, 2007 in stats, paper trading and trading. 0 Comments

Gross: 

$ 330.00  

Fees: 

$ (57.60) 

Net: 

$ 272.40  

Contracts: 

24

 

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.

Intraday Historical Stock Viewer

Published at March 23, 2007 in open tick, Software Development, C# and trading. 6 Comments

I have created a simple utility to allow you to view historical intraday data on any stock in Open Tick’s expansive database. It is very basic, but allows for selecting any exchange/symbol/date, and viewing the raw ticks / 1/5/10/15/30/60 minute bars for the stock on that day.

I realize many brokers provide you tools / data to do this (I know Interactive Brokers does at least) but I really wanted something simple and open source that I could hack to bits to put on my own indicators and so forth.

Please let me know if you find this useful or have any problems – it is a C# app that uses opentick’s data base (you must be a registered user) and ZedGraph to draw the graphs.

Below are a series of screenshots to illustrate the features.


Startup screen. On first load you must press “Config” and enter your username / password for opentick.


Enter your username / password in the dialog boxes, and any changes to the opentick servers (nothing should need to change…)


Enter the Exchange / Symbol you are looking for – Open tick’s exchange codes are listed here.
Please note the standard version is configured for west coast users (it downloads from 6:30AM to 1PM). If you are in a different time zone, please modify the source appropriately.


This is the initial chart that will appear (5 minute bars).


This is the raw ticks display (The Volume is just the total volume at any given point in the day.) You can change the timebase by clicking on the combo box at the top left as illustrated above.


The volume bars are synchronized with the share price axis, so if you zoom around, the two maintain sync.

 

Please post a comment if you have any problems, and I will get back to you promptly.

Download Here