Support Board
Date/Time: Mon, 25 Nov 2024 18:03:21 +0000
[User Discussion] - ASCIL custom automated trading system speed vs custom study + other management studies
View Count: 797
| [2024-02-18 05:15:54] |
| User394081 - Posts: 12 |
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I am starting a project to develop an automated trading system. I am unsure about the best way to develop it regarding calculation and order entry speed. I am not a programmer and any custom ASCIL work would be done by someone else. The buy and sell signals would be generated by simple price action (highest bar in N range, crossing SMA). From what I understand, I need to have have someone code a custom study. This study could then be used in an ASCIL automated trading system or I could use a combination of the "Trading system based on alert condition" combined with "Trade management by study" If I did everything with an ASCIL custom trading system how hard would it be to get the full functionality of the Trade Window and "Trade Management by Study"? How much faster would it be if I do this with the ASCIL custom trading system (In MS, rough guesses are OK? Date Time Of Last Edit: 2024-02-18 05:21:30
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| [2024-02-18 16:59:51] |
| emmanuel - Posts: 58 |
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It's my opinion that studies such as "Trading system based on alert condition" and "Trade management by study" are good for learning how to create trading systems with ASCIL. They are also good for a quick prototype, to see if a trading system idea has potential. But when you're creating an automated system that you'll be trading, with real money, nothing beats writing the entire thing as a single ASCIL study. With a single ASCIL study you can handle setup detection, order entry, risk management, and trade/position management all in one codebase. The trade window functions are easy to reproduce in ASCIL. Personally, I only use market orders in ASCIL, yet when trading manually I only use limit or stop-limit entries. That's because limit/stop orders are trickier to deal with in ASCIL and I find that a market order can be used to simulate a limit/stop order in ASCIL. As for the "Trade Management by Study", that functionality can be done in ASCIL but I'll admit that it's non-trivial. I've done it, but I'm not currently using that code (because it had a negative impact on the P&L). I don't know how to express the difficulty, other than to say that it's trickier than it seems. However, it's doable. |
| [2024-02-19 06:00:54] |
| User394081 - Posts: 12 |
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Thank you for replying. It sounds like you have some experience with this. SO it sounds like replicating the order window functionality in ASCIL is "easy" and order management is harder. I would assume that since attached orders are set up through the order window that when you are talking about other trade management it is scaling in and out of positions? Date Time Of Last Edit: 2024-02-19 06:04:15
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| [2024-02-19 16:15:41] |
| emmanuel - Posts: 58 |
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The "Trade Management by Study" doesn't do any position scaling. All it does is modify the position target or stop based on the value provided by another study. Of course this implies that the position has attached orders. For example, say you take a long position off a 10-period moving average. You can use the "Trade Management by Study" to tighten the stop by having it use a 20-period moving average to determine the stop price. That's all the study does; You give it a subgraph containing the target/stop price you want and the study uses that to trail the target/stop. However, right away there's a problem. Because if the position turns against you the 20-period moving average would also reverse, causing the "Trade Management by Study" to loosen the stop, which of course increases the risk in an uncontrolled way. You could mitigate this by creating a custom subgraph which only moves in the trade direction, but at that point you might as well ditch the "Trade Management by Study" and write the code yourself. That's why I mentioned earlier that the "Trade Management by Study" and the like are good for prototyping an idea, but not for anything serious. |
| [2024-02-20 23:10:55] |
| sgne - Posts: 105 |
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You also might try setting it up carefully and completely in a spreadsheet, and then using that to develop the ACSIL code. For me, only after working with a spreadsheet system for trading for a long while have I begun to understand how I might code it in ACSIL. |
| [2024-02-21 03:14:30] |
| User394081 - Posts: 12 |
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[quoteFor me, only after working with a spreadsheet system for trading for a long while have I begun to understand how I might code it in ACSIL.][/quote] I will not be coding it, as I have no experience. I will be hiring someone to code it. |
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