Veloce algo trading
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Thread: Veloce algo trading

  1. #1

  2. #2
    Quote Originally Posted by ;
    I'll use this thread to document my job on algo trading.
    Hello Adal,

    I'm anticipating lurking her to see what I can learn from you.

    Happy Trading!

  3. #3
    Hi Adal looking forward to your thread, I used a php script to get all of the tick and 1 min data from dukascopy, from this http://eareview.net/tick-data. Fantastic luck with your trading.

  4. #4
    In the last months I have downloaded a lot of tick information. More than two billion ticks on 150 tools (but some, such as EUR/USD, are counted multiple times - once for each broker).

    The tick information occupies 11 GB in compressed form. If I would convert that to normal .CSV documents it would have 187 GB.

    I've decided to generate only M1 candlestick information in the ticks, like MetaTrader 5. Another time frames will be dynamically generated when required.

    Http://dl.dropbox.com/u/190212/ff/generate_m1.png

    I prefer working in Python as soon as possible. The tick downloaders are 100% Python. But computing the M1 candles for only 1 instrument, like from the picture above took 10 minutes. So I wrote a small C /Python extension which implements the performance-critical candle creation code. For this, I will build the entire M1 information for 3 decades of EUR/USD in 20 seconds. That's 30 times quicker

    The compacted M1 candlestick information for most of my ticks weighs in at 863 MB. Much easier to manage than the complete tick information.

  5. #5
    Quote Originally Posted by ;
    Hi looking forward to your thread, I used a php script to get all of the tick and one min data from dukascopy, from that http://eareview.net/tick-data. Great luck with your trading.
    Thanks!

    I know that website. In fact if it wasn't for me, I would not have discovered that Dukascopy data is so good and so easy to download (the easiest to work with in my 4 tick sources).

  6. #6
    When analyzing your egies are you going to utilize the tick data or the 1 min bars or both?

    Just wandering.

  7. #7
    Quote Originally Posted by ;
    When testing your egies are you really going to utilize the tick info or the 1 minute bars or both?

    Just wandering.
    Since the M1 information is built from the tick information, I will utilize M1 for most functions. I store for every candle the real O H L C values for both the bid and the asks.

    So when I test I will actually work on actual market prices. I have one more suggestion here: I added to every candle two flags, which store what occurred : the low or the large. In this way I know the specific order in which the 4 points were struck.

    Clearly, the lower time frame I use along with the smaller the profit target gets, the more important is working with actual tick information. But I will restrict myself to maximum M5 for start.

    This is when developing my system.

    Before deploying the algo for real, I will obviously examine it using full tick information.

  8. #8
    Quote Originally Posted by ;
    Considering that the M1 information is built from the tick information, I will utilize M1 for most purposes. I shop for every candle the real O H L C values for the bid and the asks.

    So when I test I will actually work on real market prices. I have yet another suggestion here: I added to every candle two more flags, which store what happened : the low or the large. In this way I understand the exact order in which the 4 points were hit.

    Clearly, the lower time frame I use and the smaller the profit target gets, the more significant is working with real tick information. But I will restrict...
    there's not any point to build OHLC for bid and then ask, just use the mid. If you would like to be as realistic as possible (real market prices) then utilize the tick info. Clearly that is quite resource hungry when testing but the one thing you don't take into account afterward is slippage of execution. This can be as close as it gets.

  9. #9
    Quote Originally Posted by ;
    There is not any point to construct OHLC for bid and ask, simply use the mid century. If you want to be as realistic as possible (real market prices) then utilize the tick data. Obviously this is rather resource hungry when testing but the only thing you don't take into account afterward is slippage of implementation. This is as close as it gets.
    I'll utilize FXCM or dbFX as my broker. They have changeable spread. If I store only the mid stage I wouldn't know at exactly what price to buy/sell. Before news, the spreads expand dramatically. 30 minutes prior to NFP/FOMC the spreads visit 20 points. 30 seconds following the news release they come down, but still 2-3 points wider than usual for another 1 second. But I probably wouldn't need my system to exchange around news anyway.

    The first system I wish to test, an H4 with average holding period of 1-3 days, has take profit targets of 100 points, and stop declines of 300 with very good winning rates. So I really don't care for 10 point actual price difference/slippage for the time being.

    BTW, I am on a little known broker at the moment, CMC Markets (very ugly FIFO GUI, but which I've grown to like), and also in hundreds of EUR/USD transactions I believe I was slipped only three or four times. Unfortunately they don't have some API, and the spreads aren't exactly top-notch (3 factors on EUR/USD). Hopefully my prospective broker will be just like that (non slipping)

  10. #10
    Adal please allow your PM function, I wish to mail you.

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