Thanks,
I do not use TradeStation myself. However, for the kinds of systems I
trade, I can usually (around 75% of the time) get a fill at the price
actively trading, if I am patient, even if my limit is not actually
penetrated. Of course, if there is a penetration, even if just for a
second, I can always get filled. All of my systems use limits and work
them for a few minutes after the setup, so there is usually plenty of
time to get to the front of the queue.
The issue of TradeStation arose because I am converting one of my
systems from C-Trader to TradeStation for someone. In the backtest on
C-Trader, I assumed that I could get in at a price equal to the close
of the next (not current) 1-minute bar. Working the market with limits
when trading a system that is not buying or selling momentum (true of
the system under discussion), I can almost always do somewhat better
than that (getting "negative slippage" as I refer to it), so it is a
realistic simulation given my systems and the way I trade. My concern
was that TradeStation would make very different assumptions and would
give misleading backtests and/or live trades.
Why the worry over live trades? This has to do with synchronization
when trading live with TradeStation. Does TradeStation adjust its
CurrentPosition value based on the actual market position, or is
CurrentPosition based on whether TradeStation "thinks" it got a fill
(because the price touched the limit)? If the latter, we have a
problem! My trading platform uses the actual market position (not what
it thinks it got), and so if a limit does not actually fill the system
will not later try to offset an imagined (but non-existent) position.
Also, I do all my trading in a "semi-automated" manner, something not
really supported by TradeStation. Leaving TradeStation unattended to
trade a system that involves some order-working skills (which can be
automated, but which require fast feedback of the true market position
and transparent assumptions by the software) worries me.
Jeff.
Post by ynotssorPost by optionstraderjeffIs there anyone out there familiar with TradeStation's handling of
limit orders in systems written in Easy Language?
Yes.
Post by optionstraderjeffI am converting a system that uses limit orders on 1-minute bars to
trade the ES on Globex from C++ (C-Trader Toolkit) to Easy Language
(TradeStation). Someone warned me that TradeStation handles limit
orders poorly, that there are synchronization issues (your actual
position may not match what TS "thinks" it is), and that the
assumptions made by TradeStation may not match those used in
C-Trader
Post by ynotssorPost by optionstraderjeffor what actually happens in the market (specifically, CME/Globex).
Can anyone shed light on these issues? Are there problems of the
kinds mentioned (e.g., synchronization)? For TS to think that a
limit has filled, need the price merely touch the limit (you can get
fills in Globex without penetration, if you are patient), or must it
penetrate the limit by some amount? Any help would be most
appreciated by me, and by the many other traders addicted to limit
orders.
It's not clear whether you are referring to TS's ability to
"back-test" or
Post by ynotssorto real-time trading.
The principle in real-time is quite simple: You can only buy at a limit
price if someone else is willing to sell to you (when it's your turn) at
that price, and you can only sell at a limit price if someone else is
willing to buy from you (when it's your turn) at that price.
"When it's your turn" is the important point here. Orders are queued by
timestamp in GLOBEX, so if someone else has a sell limit order
timestamped
Post by ynotssorearlier at the same ask price as yours, if there is only a single bid at
that that price then the other order gets filled and you watch the market
waltz away from you. The converse is also true.
I can't count how many times I've had a limit order submitted at the exact
high or low of the day without a fill because of that. It's just trading
life, so what? Tomorrow's another day ...
Back-testing a trading method has the problem of a limit price == a traded
price constituting a fill as far as TS is concerned, which may
sometimes
Post by ynotssormeet with reality, but usually not.
For that reason in this misc.invest.* newsgroup, knowledgeable people
usually scoff at those who claim fabulous results for back-tested methods.
They just don't work the same in real-time.
tony
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