Deadline June

[Adamus]

Forex liquidity and risk

Just found RhodyTrader's forex site (most-active-forex-currency-pairs) by googling.

Very interesting.

What I'm looking for is an up-to-date version of the wikipedia table from 2005.

Just checking out the spreads at Citibank for retail: citifxpro.com They don't say if they are quoting the spread in half-pips or whole pips. I assume they mean whole pips in which case they're not good. I fancy trading the South African Rand, but my systems would have to be seriously good to cover slip&comm. Against the USD it's a rip-off, but weirdly ZAR-JPY has a spread of 6. That's Citibank, it's not on IB.

 

[Adamus]

Restarting the journal

I think I'd definitely benefit from detailing what I'm doing by keeping the journal here up-to-date on a daily basis. I was slightly worried that it might turn into a rant about my trials and tribulations with IB TWS and NinjaTrader beta, but I guess the best thing is just to trust the reading public to give me useful feedback.

Here's the starter, with a link to the NinjaTrader website and the forum thread there where I'm trying to get some action out of the NinjaTrader support team on the connectivity issue that kills my productivity if I try to load any backdata during the trading afternoon.

For some bizarre reason, NT cannot get historical data from IB at all after about 8 o'clock PM GMT+1 until after the markets have re-opened the next day.

http://www.ninjatrader.com/support/forum/showthread.php?t=32649

 

[Rossini]

[FONT=Courier New]  
  Instrument    SpreadDisplay
    $AUDCAD          1.5
    $AUDCHF           2
    $AUDJPY           1
    $AUDNZD          1.5
    $AUDUSD           1
    $CADCHF          1.5
    $CADJPY           2
    $CHFJPY          1.5
    $EURAUD          1.5
    $EURCAD          3.5
    $EURCHF           2
    $EURGBP           1
    $EURJPY          1.5
    $EURNZD           5
    $EURSEK          14
    $EURUSD          0.5
    $GBPAUD           2
    $GBPCAD           2
    $GBPCHF           2
    $GBPJPY          2.5
    $GBPNZD           6
    $GBPUSD          1.5
    $NZDCHF           2
    $NZDJPY           2
    $NZDUSD           2
    $USDCAD          1.5
    $USDCHF           1
    $USDJPY          0.5
    $USDSEK          10

[FONT=Arial]

I need some more cross-currencies to keep me from being bludgeoned by the dollar and the yen.

These ticks above are the spreads on IB. The Aussie Dollar is no worse than the sterling. I could take AUDCAD and AUDCHF with those spreads.

The unseen risk is probably the amount of gaps and spikes that appear on those lower volume cross-currencies. But I've already felt that today in the GBP-USD to the tune of 17 pips slippage, which I never thought would happen. I wonder what the slippage on the future would have been.
[/FONT][/FONT]

Those spreads can not be accurate? They must be variable anyway? Maybe these are the minimum spreads?

 

[Adamus]

spreads again

Sure they vary, so yes that is just a snapshot taken at 13:40GMT+1, so the spreads would definitely all widen early in the day and perhaps late NY session. I was considering doing hourly outputs to graph the daily range but I don't have any spare time right now.

I'll do another one now - watch this space.

[FONT="Courier New"]
  Instrument    SpreadDisplay
    $AUDCAD           2
    $AUDCHF           2
    $AUDJPY          1.5
    $AUDNZD          8.5
    $AUDUSD           1
    $CADCHF          1.5
    $CADJPY          1.5
    $CHFJPY           2
    $EURAUD           1
    $EURCAD          4.5
    $EURCHF           2
    $EURGBP           1
    $EURJPY          1.5
    $EURNZD           5
    $EURSEK          48
    $EURUSD           1
    $GBPAUD           3
    $GBPCAD          1.5
    $GBPCHF           3
    $GBPJPY           2
    $GBPNZD          12
    $GBPUSD          1.5
    $NZDCHF           5
    $NZDJPY           5
    $NZDUSD           4
    $USDCAD          1.5
    $USDCHF          1.5
    $USDJPY           1
    $USDSEK          21
[/FONT]

 

[brettus]

Re: spreads again

Who are you trading with to get those spreads? What size do you need to trade at to get those?

 

[Rossini]

Do you have the data for the average spreads for those pairs?

 

[Adamus]

Those are IB spreads. So they vary. These are just snapshots. Look for instance at the AUDNZD spread first and then again.

You don't need size, just the IB minimum. I think it has to be >$25000.

I don't have averages for them. Don't have time to do what I really wanted - chart them thro the day - but I could easily implement a moving average. What length do you think would be most useful - timeframe + periods?

 

[Adamus]

Choices and priorities

Trying to work out what to do next. Got a couple of things to choose from.

(1) Carry on hassling NinjaTrader support to try to get some kind of resolution for the 5 bugs I'm currently working around all the time at the cost of most of my time (and yes, it's worth it, at least while the system's making money)

(2) Backtest a few cross-currencies to add into the mix to reduce my exposure to the dollar. My account equity looks more like a non-linear equation than a decent trading system.

(3) Fix up and implement the next system on the front burner, in the hope that it takes some of the heat off the Three Mad Ducks system. The next system is currently named after its inventor, who said he doesn't want public exposure so I've got to come up with a new name for it. It's based around 'turning points' or a kind of 'pivot point' but not the daily pivot points loved by TA. When the market turns around, if the MAs were down before and up after, and everything looks cool, then it trades, with a stop just below the extreme, and a target equally far away on the other side.

(4) Might be able to incorporate this into (2), but I want to optimise long trading and short trading on the Three Ducketeers seperately.

(5) Again perhaps part of another, item (1) - should I be seriously looking into ditching NT after having a little tete-a-tete with them this morning over the biggest baddest issue I'm suffering from, i.e. Interactive Brokers say it's NinjaTrader, NinjaTrader say its IB

 

[Rossini]

Have you used TradeStataion in the past? If so why did you stop using them?

 

[Adamus]

Have you used TradeStataion in the past? If so why did you stop using them?

Yes, I have v4. When I started playing around with tickdata, TS4 couldn't handle it. I mean, it was only barely Y2K compliant. Anyway it was a direct choice between NinjaTrader & IB or TradeStation and I heard that NinjaScript was more powerful than TS EasyLanguage and that IB was way better a broker than TS8.

 

[Adamus]

Flakey trading platforms and brokers

I'm getting the run-around from NinjaTrader and InteractiveBrokers.

I was looking at the alternatives and it seems MB Trading have got a good reputation. Top broker rating from Barron's.

www.mbtrading.com

Anyone else using them?

 

[Adamus]

Cross-currencies

Backtests on the 3 Ducks system over 2 years on my first chosen new cross-currency proved terrible. Just a steady decline.

The 3 Ducks are 5mins, 1 hour and 4 hour MAs, in original form 60 bars, although optimising the length used gives much better results for all the currencies so far. Not so AUD-CAD.

Nothing between 10 and 95 bars for the MA period was any good.

Now I really have to look at the results and work out why. I think the issue might be that the AUD-CAD just doesn't trend as much as the other currency pairs. From a quick look at the results, all I could tell is that every trade rode the market a short way up but then it turned around, and the 3 Ducks gets cut to shreds like that because the trailing stop is very slow to move.

I spent the rest of the day trying to work out if I had a network error which NinjaTrader support staff say I have. The IB support staff say I have a NinjaTrader issue which is causing IB TWS to disconnect. I feel tied to NinjaTrader just because if it worked it would be so so good. The alternative is probably TradeStation and I would hate to have to go back to writing EasyLanguage. But at the moment I'm stuck between IB and NinjaTrader while they sit happily in stalemate. We'll see.

 

[Adamus]

Intraday PnL swings & being short the greenback up to the hilt

My plan to introduce new cross-currencies to my traded forex pairs has gone out the window this week so I find myself short 1.2M USD going into non-farm payrolls today.

Admittedly about 0.3M of that is long yen and long swiss, so it's not as big a gamble as it looks.

The intraday equity swings are pretty wild. The account broke 43K yesterday and sank back to 33K today at the lows, and the volatility already stopped me out of the USDCAD - although hopefully so that I feel better about it, it will rise back up past my exit point.

I'm still spending much of my time fighting to get NinjaTrader and IB to co-operate. I think NinjaTrader support staff are ignoring me now after I posted a 1000 line ream of error messages on their support forum.

The US data should be out now. I don't think I want to watch this. Anything that kills the idea of the Fed doing quantitive easing soon will cause more surges in the dollar - or will it?

Expected possible intraday equity minimum: 28K.

Edit: Worst case scenario to ruin my weekend: getting stopped out of more positions on a spike.

 

[Adamus]

Spread comparison between IB and MTB

[FONT="Courier New"]
  Instrument         IB         MTB
    $AUDCAD           2         4.5
    $AUDCHF           2          3
    $AUDJPY           1          3
    $AUDNZD           9         6.5
    $AUDUSD           1          2
    $CADCHF           2          7
    $CADJPY          1.5         4
    $CHFJPY           2          2
    $EURAUD           2          4
    $EURCAD          3.5        6.5
    $EURCHF          1.5        1.5
    $EURGBP           1          1
    $EURJPY           2         2.5
    $EURNZD           7          3
    $EURSEK          28          29
    $EURUSD           1          1
    $GBPAUD           3         5.5
    $GBPCAD           3          8
    $GBPCHF           3         4.5
    $GBPJPY          0.5         4
    $GBPNZD          14          6
    $GBPUSD           1          2
    $NZDCHF           6          3
    $NZDJPY           5          3
    $NZDUSD          4.5         3
    $USDCAD           1         2.5
    $USDCHF           1         0.5
    $USDJPY           1         0.5
    $USDSEK          28          19
[/FONT]

I should knock up an average of these spreads because the snapshots like this can be seriously misrepresentative. Hopefully over the weekend.

 

[Adamus]

A minus point for MTB is that they only provide 6 months worth of historical minute data.

It also causes lots of errors in NinjaTrader, with pop-up dialogs - more frequently than IB.

The historical download is unthrottled though. Major plus point.

I will have to run the 3Ducks backtests again on the six months of data they provide and compare the results.

 

[brettus]

Re: Intraday PnL swings & being short the greenback up to the hilt

My plan to introduce new cross-currencies to my traded forex pairs has gone out the window this week so I find myself short 1.2M USD going into non-farm payrolls today.

Admittedly about 0.3M of that is long yen and long swiss, so it's not as big a gamble as it looks.

The intraday equity swings are pretty wild. The account broke 43K yesterday and sank back to 33K today at the lows, and the volatility already stopped me out of the USDCAD - although hopefully so that I feel better about it, it will rise back up past my exit point.

I'm still spending much of my time fighting to get NinjaTrader and IB to co-operate. I think NinjaTrader support staff are ignoring me now after I posted a 1000 line ream of error messages on their support forum.

The US data should be out now. I don't think I want to watch this. Anything that kills the idea of the Fed doing quantitive easing soon will cause more surges in the dollar - or will it?

Expected possible intraday equity minimum: 28K.

Edit: Worst case scenario to ruin my weekend: getting stopped out of more positions on a spike.

How did it go in the end? You won right? 43k back to 33k. Isn't that a bit steep in terms of risk? 1.2mio USD position on a 43k account is pretty punchy.

 

[Adamus]

Re: Intraday PnL swings & being short the greenback up to the hilt

How did it go in the end? You won right? 43k back to 33k. Isn't that a bit steep in terms of risk? 1.2mio USD position on a 43k account is pretty punchy.

My equity was around 35K when the non-farm payroll came in. The wild yoyo moves in the EURUSD in the next hour where dampened by the move in the yen. I ended up at 38K.

Can't complain but I'm going into the weekend long the yen - so no chance of relaxing there if rumours of more BoJ intervention pop up. *

You're right about the leverage, but individually per system there's actually only $500 risk per trade roughly.

I'm working feverishly to try to change the situation but this week all my time was eaten up by NinjaTrader bug problems and work-arounds. Or should it be IB bugs. Plus I'm trying out MTB as a broker because of the absolutely ****e historical data service from IB. The way NinjaTrader have coded their connection module to link up to it is bug-ridden too so I'm right up a gum tree there. I hear from other people that IB historical data is a no-no, e.g. for Amibroker. But the attitude of the NinjaTrader staff stinks and I wish I could drop that too, but it's just too good in all the other areas.


* of course I should be able to relax if I would just stop looking at that equity figure....

 

[Rossini]

Re: Intraday PnL swings & being short the greenback up to the hilt

My equity was around 35K when the non-farm payroll came in. The wild yoyo moves in the EURUSD in the next hour where dampened by the move in the yen. I ended up at 38K.

Can't complain but I'm going into the weekend long the yen - so no chance of relaxing there if rumours of more BoJ intervention pop up. *

You're right about the leverage, but individually per system there's actually only $500 risk per trade roughly.

I'm working feverishly to try to change the situation but this week all my time was eaten up by NinjaTrader bug problems and work-arounds. Or should it be IB bugs. Plus I'm trying out MTB as a broker because of the absolutely ****e historical data service from IB. The way NinjaTrader have coded their connection module to link up to it is bug-ridden too so I'm right up a gum tree there. I hear from other people that IB historical data is a no-no, e.g. for Amibroker. But the attitude of the NinjaTrader staff stinks and I wish I could drop that too, but it's just too good in all the other areas.


* of course I should be able to relax if I would just stop looking at that equity figure....

That's some large equity swings mate... Even if the risk per trade is small....

 

[brettus]

Re: Intraday PnL swings & being short the greenback up to the hilt

My equity was around 35K when the non-farm payroll came in. The wild yoyo moves in the EURUSD in the next hour where dampened by the move in the yen. I ended up at 38K.

Can't complain but I'm going into the weekend long the yen - so no chance of relaxing there if rumours of more BoJ intervention pop up. *

You're right about the leverage, but individually per system there's actually only $500 risk per trade roughly.

I'm working feverishly to try to change the situation but this week all my time was eaten up by NinjaTrader bug problems and work-arounds. Or should it be IB bugs. Plus I'm trying out MTB as a broker because of the absolutely ****e historical data service from IB. The way NinjaTrader have coded their connection module to link up to it is bug-ridden too so I'm right up a gum tree there. I hear from other people that IB historical data is a no-no, e.g. for Amibroker. But the attitude of the NinjaTrader staff stinks and I wish I could drop that too, but it's just too good in all the other areas.


* of course I should be able to relax if I would just stop looking at that equity figure....

if they only have 500$ risk each, then this tells me that your systems correlate too much.

 

[Adamus]

Totally true, they correlate too much and I've put too much leverage on. I'm going to halve it today.

Actually it's worse than that - $500 is the average loss - the largest backteste loss is 3 times that roughly.

There are just so many demands on my time. I was racing to get some cross-currencies backtested but the results are just rubbish so I need to look into that more. My list of things to do is just growing by the day and I'm hard put to work out which has to be done first.

* the whole connectivity issue thing with IB & NinjaTrader trying to persuade either IB or NinjaTrader to look at the bug. My current plan of attack is to try to get them in a conference call with each other. Not surprisingly neither of them answered that message.

* in relation to that, trying to identify any possible network error I might have - currently looking at trying to use ping to identify ICMP errors, if I could only work out the ping parameters. I want to set up the ping test to run continuously checking for packet corruption to tell for sure whether the DSL line and / or internet is healthy or not

* I'm checking out the alternatives to IB and NinjaTrader. I think MB Trading (broker) and NeoTicker (backtesting software) might be a good combination - I wonder if anyone on T2W can recommend NeoTicker

* I'm trying to find a rare bug in my 3Ducks code that causes it to die leaving an unprotected position in the market. It's only occurred once despite a month running simulated & live in ten separate markets.

* My trades last week in live trades different appreciably from the simulated trading to the extent that I want to check them all to find out when, where and why and hopefully do something about it. Maybe it was just a bad week - I already went some way to reduce the original discrepancies before I went live with it.

* I want to find a variant on the 3Ducks I am currently trading that will also work on the cross-currencies with the same sort of success. I tested AUD-CAD and the results were rubbish.

* I want to get my TurnArounds system live - this is a shorter term system than the 3Ducks

* I want to get a new DSL modem just in case the two current modem are both flakey - they are old but still make the DSL connection normally as far as I can see.