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Live manual trading on EOD data

Posted By Trader Naum 3 Years Ago
Posted Thursday August 11 2016
Am evaluating RE and so far quite impressed with its backtesting capabilities. I am stumbling, however, in how to make it work for my style of trading. Suppose, I have a system that operates on EOD data to place trades the next day. I did historical simulations and would like to go live. I do not want to automate the execution -- in other words, I'd like to get a signal from RE and place an order manually (the broker is TDAmeritrade). Let's also say I'll be using the PremiumData plug in (I like its prospective functionality quite a bit). So how do I do this? I guess I need to start my strategy live. Say, I keep the paper broker. Of course, I'll need to keep them in sync. I've seen some workarounds that modify the xml file with positions. Am I thinking along the right lines? I hope I'm not the first one to have these semi-automated needs as opposed to building a completely automated system.
Posted Friday August 12 2016
For an EOD system that you want to trade like this, in general I think the best thing to do is to run a simulation at the end of every day.  You can use the "Scan" tab of the system results to see the orders that were active when the simulation stopped.  Those are the orders you would submit manually.

This method doesn't ever take the real trades that you make into account.  It will just simulate the fills with the paper broker.  If your system generates signals based on market data without taking into account what price orders are filled at or how much buying power is in the account, then the fact that the fills aren't exactly in sync shouldn't affect you much.

If you do need the simulated executions to exactly match how your orders were actually filled, then RightEdge doesn't currently directly provide that functionality.  However, it should still be possible to write it yourself.  Basically you need to record the real orders and executions in a format that the system can read.  Then when you run the simulation, it should have a mode where it reads those orders and executions and replays them.  Then on the last bar (which it won't have order and execution information for), it will apply its "normal" trading logic, and the orders it submits will show up in the Scan tab of the system results for you to submit manually.  To have the fills match exactly, you would also want to customize the paper broker so that the system can specify the price an order should be filled at, to match what the real fill was.

If you want to go down this path and want more details on how to implement it, let me know!

Posted Saturday August 13 2016
Daniel, thanks! Let me see if the easier approach that you outlined would work for me. The not very exact fill may not be such a problem.

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