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real time autotradng with imported EOD data

Posted By jpm 7 Years Ago
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jpm
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Posted Monday March 22 2010
Hello,

I'm trying to create a simple system for autotrading and was wondering how to do this in RE.  The system takes imported EOD data from an ASCII file (continuous data files from CSI) the night before.  It would calculate a 10 day ATR from this data, then when the market opens the next morning, the model "captures" the realtime opening print of the day session only.  If this opening print is below yesterdays close (which is taken from the imported EOD data), it would send a buystop a certain percentage of the prior 10 day ATR above this open price.  Essentially , an opening range breakout method but using some data from EOD continuous files as filters.  

The issue is 1.) implementing realtime data (to capture the opening price) in conjunction with an EOD file, and 2.) Setting the correct times to capture the opening print for each market individually, which can be saved, so it doesn't have to be redone .  Ideally I would be able to cancel any open orders at the end of the "daily only session", the hours of which would be determined by me for each market.

Just wondering if this can be accomplished with RE, and if so what the broad strokes would be (can this be done with the drag and drop functionality or just by programming, etc.

Thanks in advance.


Edited: Monday March 22 2010 by jpm
Posted Tuesday March 23 2010
What you would do is keep your daily frequency system and handle NewTick to capture your opening print. I'm a bit unclear on what you're trying to accomplish with item 2, but I'm quite sure it's possible with code. When you say "setting" the correct times. Are you referring to modifying the data store? That might be tricky.

You would be able to modify and cancel orders on the NewTick event.

jpm (3/22/2010)
Hello,

I'm trying to create a simple system for autotrading and was wondering how to do this in RE. The system takes imported EOD data from an ASCII file (continuous data files from CSI) the night before. It would calculate a 10 day ATR from this data, then when the market opens the next morning, themodel "captures" the realtime opening print of the day session only. If this opening print is below yesterdays close (which is taken from the imported EOD data), it would send a buystop a certain percentage of the prior 10 day ATR above this open price. Essentially , an opening range breakout method but using some data from EOD continuous files as filters.

The issue is 1.)implementingrealtime data (to capture the opening price) in conjunctionwith an EOD file, and 2.)Setting the correct times to capture the opening printfor each market individually, which can be saved, so it doesn't have to be redone. Ideally I would be able to cancel any open orders at the end of the "daily only session", the hours of which would be determined by me for each market.

Just wondering if this can be accomplished with RE, and if so what the broad strokes would be (can this be done with the drag and drop functionality or just by programming, etc.

Thanks in advance.
jpm
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Posted Tuesday March 23 2010
thanks for the reply, will give it a shot.  When I say "setting the correct times", I just mean using the day session only times for all aspects of the system as opposed to including all globex hours which most platforms use for their open prints and working times.  I would think I would have to change the market session times to accomodate this?   For example, to place a corn stop, I would want to capture to 10:30 am est opening print (as opposed to to 7:00 pm globex opening print) and place the stop off that price.  Also, I would only want to work the order form 10:30 am until 2:15 p.m. 
Posted Tuesday March 23 2010
See

Live System Options. You can ignore data outside of certain times. It would be up to your system to "capture" the opening print though if you're getting that as it happens and not historically.

jpm (3/23/2010)
thanks for the reply, will give it a shot. When I say "setting the correct times", I just mean using the day session only times for all aspects of the system as opposed to including all globex hours whichmost platforms usefor their open prints and working times.I would think I would have to change the market session times to accomodate this? For example, to place a corn stop, I would want to capture to 10:30 am est opening print (as opposed to to 7:00 pm globex opening print) and place the stop off that price. Also, I would only want to work the order form 10:30 am until 2:15 p.m.


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