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Re[2]: simulation of trades w/TS Securites



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Hello  Omega List:

I  trade  a  system using the ER2 russell futures on 1 minute bars. It
trades  4  or  5 times a day and issues orders to buy or sell limit at
the  bid  and  sell at the ask at the close of the bar. The system has
made about 200 trades since mid December 2005 and only 4 or 2% did not
get  a  fill.  Sometimes the wait for a fill can be 2 or 3 minutes but
that  is  unusual. Usually the fill comes in seconds. Althought the ES
doesn't  bounce around as much as the ER2, my guess would be that with
a  little  patience  you  would  in most cases get a fill in the ES as
well. If you are talking stocks, I don't have a clue.

Tuesday, March 28, 2006, 5:02:50 PM, you wrote:

BM> Hello,






BM> I  tried  limit  orders  in  real  trading,  results on ES
BM> futures:  On  1  minute,  almost  impossible  to get a limit fill,
BM> usually  you  get  filled if the trend goes against you. On 5 min,
BM> you  get  filled  75% of the times, but the odds are that you will
BM> perform  worse  than  the  simulated trading. If you want to get a
BM> realistec  limit results, I think you should test your stratigy on
BM> 15  +  minutes,  otherwise, you may play around, by increasing the
BM> commission  for  each  trade.  Please note I only tested the limit
BM> system  on ES, not sure if the same results goes the same on heavy
BM> traded stocks, if any one has expearianced the limit fills, please
BM> let me know.

BM> Hope this helps, 

BM> -----Original Message-----
BM> From: Jim Bronke [mailto:jvbronke01@xxxxxxxxxxx] 
BM> Sent: Tuesday, March 28, 2006 1:37 PM
BM> To: robert pisani; omega-list@xxxxxxxxxx
BM> Subject: RE: simulation of trades w/TS Securites

BM> I don't know of any way better than actually trading the market with it. I
BM> have gotten better fills sometimes and worse others. The odds of a poor fill
BM> are directly related to average daily volume for the stock and the amount of
BM> your dollars per trade. you  could probably write some code that would look
BM> at the ATR for a 1 min bar whenever your system would make the trade. you
BM> could then just use the worst case for that minute.

BM> that's the best I can do.

BM> Jim

BM> -----Original Message-----
BM> From: robert pisani [mailto:r.pisani@xxxxxxx]
BM> Sent: Tuesday, March 28, 2006 1:26 PM
BM> To: omega-list@xxxxxxxxxx
BM> Subject: simulation of trades w/TS Securites


BM>         There are a number of execution platforms much superior to
BM> TradeStation's (TradeMaven, TradeBolt, X_Trader, etc).  They all allow
BM> realistic simulation, so that you can simulate an automatic strategy and get
BM> an idea of the kinds of fills (on limit orders,
BM> etc.) to expect in actual trading.   However, in all cases if your
BM> signals are generated in TS you have to go through an API.   I'm
BM> considering using TS Securities brokerage/clearing, which of course accepts
BM> signals directly from TS, but I don't see any way to simulate there (b/c the
BM> fills in TS backtesting are not realistic at all, TS
BM> backtesting is no help).   Does anyone know how a realistic
BM> simulation of trading with TS Securities can be done?







-- 
Best regards,
 Roger                            mailto:mailrs@xxxxxxxxxx