|
PureBytes Links
Trading Reference Links
|
I have experienced much the same thing as Robert Linders in my fully
automated trading. I finally reached and had a long conversation recently
with Joe Nikolson (Tradestation's Chief Operating Officer) about a number of
my concerns with the difficulty of automated trading of any significant size
(e.g., 1000-10,000 share blocks), poor executions, and a punishing
commission structure that seemed upside down (larger blocks pay huge ECN
fees even though there should be some economies of scale). I did question
why my former brokerage TrendTrader was able to negotiate far smaller ECN
fees that a supposedly larger company like TS / Bear Stearns.
Joe assured me that TS did not receive any compensation for order flow (I
don't know about Bear Stearns, though). He also said theat there would be
some routing improvements in the next major release (no date), and that TS's
folks at the server farm constantly monitor executions for timeliness.
Having once been VP of a financial software company for 10 years, I know how
difficult it is to design and maintain good, solid, state of the art
software. I'm willing to give TS the benefit of the doubt on the technical
issues. What I cannot deal with are the simple people ones -- like having
someone promise to call me back, and then not do it.
Rudy Engholm
Portland, ME
PS -- And Tradestation, if you're listening, we really need a
Quicken-compatible transaction output. I've been struggling with getting
many, many trades into Quicken this week in preparation for taxes. If you
want lots of traders doing automated trades, the back-office side needs some
attention too.
----------------------------------------------------------------------------
-------
----- Original Message -----
From: "Robert Linders" <Robert@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Monday, April 01, 2002 10:40 AM
Subject: Re: An open letter to TradeStation users from Bill and Ralph Cruz
> Dear List,
> I have been autotrading TS6 for >6 weeks now with tens of trades a day.
> The great news is that this aspect of the TS6 software is now very much
> operational and reliable.
> The only problem we have is when you execute reversals (we don't execute
> reversals anymore due to bad fills and due to this execution problem).
>
> What I would like requires a major change in TS6 and therefore probably
> won't be implemented......
> Right now you have NO control over the executions, all orders are kept on
> the TS servers (or you own system) and when TS6 hits a stop level a market
> order gets executed.
> That is often a free ticket for all the sharks to find you the worst
> possible fill (which takes anywhere from >20 seconds to >5 minutes !).
>
> The system doesn't allow any kind of stop/limit orders.
>
> I would advocate an extention to the EasyLanguage where you can program
your
> own "micro execution" strategy. Where you would be able to watch the
bid/ask
> and execute your orders accordingly. Where you could execute stop/limit
> orders etc. Where you can setup timeouts to react to an order that was
> filled to early or maybe not filled at all or not filled completely.
>
> By default TS could supply a micro strategy that works identical as the
> current auto execution system (=market orders only).
>
> The suspicious person in me than thinks, why have they only enabled market
> orders ?
> Is somebody making money on order flow (if not TS than Bear Stearns) ?
> But that is just me!
>
> We lost money in these six weeks (not a problem given the general market),
> >65% however was in slippage and commissions (as you know commissions have
> come down recently).
>
> Thanks
> Robert
>
|