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Strategies & Market Trends : The Final Frontier - Online Remote Trading -- Ignore unavailable to you. Want to Upgrade?

To: Tai Jin who wrote (2133)	1/4/1998 10:30:00 PM
From: TFF	Respond to of 12617

Tai Jin: Sounds great! Although I can hear the floor traders laughing right now;)

To: Tai Jin who wrote (2133)	1/5/1998 6:30:00 AM
From: Eric P	Respond to of 12617

Tai Jin: <<How do you intend to perform "mechanical" (programmed?) trading? That's what I'd like to do - just have a program do my trading for me based on rules. Is this possible with Castle?>> I plan to do mechanical daytrading the same way people do mechanical position trading. ==> Develop trading ideas, then backtest it with historical data. One early problem was the unavailability of historical level II data. I ended up having to save realtime data to disk. And it takes up a lot of room. Each day of level II data for the ~18 stocks I am tracking takes up about 35 MB of disk space. Once stored on disk, I can rerun the same data over and over again to test different trading ideas. Once a few profitable strategies are found, they can be manually traded to verify that execution quality will not ruin the results. (I test using a $50 roundturn commission and assume the fill at the SOES price after a 10 second delay from the entry signal). Finally, the system (hopefully) can be automated to place the order and provide notification of the order after the fact, to save time. I am hoping this will provide the following advantages: 1) SPEED, SPEED, SPEED 2) Ability to simultaneously monitor and trade up to 50+ stocks, while being very selective in trade execution. ==> Maybe taking only 10 or less trades per day of the very best opportunities. 3) It take the emotion out of trading. Provides consistency. As irby said... Plan your trading, trade your plan. Several problems to date: 1) Developing a consistently profitable trading plan. Currently, I am using only level II data. I plan to bring in Bonds, S&P futures, etc. Other key variables??? 2) Testing using only SOES executions. (I am not certain how to simulate whether a SelectNet Island order would have be executed or not) 3) While trading manually, I find that it is often very difficult to get even SOES orders filled in the active stocks (DELL, MSFT, INTC, etc.) Only time will tell whether this approach will be useful. -Eric