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Random assortment of suggestions and improvements

Posted By Freolad 8 Years Ago
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Posted Sunday January 25 2009
I've been using RightEdge for several months now and thought, in the interests of improving it for current and future users, I'd post a wishlist of suggestions/ideas that have sprung to mind. Hopefully others will find these useful too.

If / Then OCO orders direct to Broker
I'd really like the ability to submit stop-loss and profit-target orders to the broker along side the initial market/limit order. ie, submit an If / Then OCO order to the broker so that if the market/limit order is filled, the stop/proft orders are automatically activated and the execution of one cancels the other - all done by the broker. Many brokers support this type of order and for those that don't the existing process within RE simulates it easily enough and would be backwards compatible. However, for those brokers that can support it, it reduces the risk of losing money in the event of a network disconnect or system crash because the stops/profit targets are automatically lodged with the broker along-side the initial order. At the moment, there is a risk that a limit order could be hit but network problems, etc could prevent RightEdge from submitting the stop-loss or profit orders. Eeek. Wink

Update limit orders without cancelling them first
It would be nice to be able to update a limit order (or stop-loss or profit-target order) without first having to cancel the old one and then submit a new one. At the moment there is a window of time when no limit order exists at the broker (after the old one has been cancelled and before the new one has been submitted). Many brokers now support the ability to update a limit order with new values to reduce this risk. It sounds like it may be possible to support this in a backwards compatible manner (similar to the one above). ie, if the broker can update a limit order, then great; if not, default to the current behaviour of cancellation and re-creation.

Multiple Strategy Support
At the moment, RightEdge seems geared around the idea of trading a single strategy. It would be nice to be able to trade multiple trading strategies simultaneously. Especially if the strategies could utilize different time frames (I haven't yet checked out the new betas so I'm not sure if the multiple timeframe support applies to different strategies). It would also be nice if the different strategies, when run live, could be enabled/disabled in real-time without affecting the others. Also, might be nice to be able to re-allocate capital between them in real-time and view their individual performances.

Re-syncing support between RE and a broker
At the moment, as far as I understand it, when re-connecting a broker plugin has the option of accepting the last known state from RightEdge (regardless of the state of orders/positions at the broker) or to update the state of orders/positions within RightEdge. The problem with the latter option, as I understand it, is that RightEdge will no longer actively manage those positions. ie, it won't submit stops or profit targets for them or automatically cancel them after X bars which may come as a surprise to the trader who is expecting RightEdge to automatically do this. Could the syncing api be improved somehow so that the RightEdge could be updated with the state at the broker during a re-connect and RightEdge could then continue to manage all the resultant orders/positions as per normal?

Orders/Trade persistence
RightEdge store the active state of all orders and positions in an XML file and then uses this when re-starting to manage previously submitted orders and fills. I encountered a problem where this file became corrupt and hence RightEdge wasn't able to restart. Is it possible that a backup of file could be stored somewhere and RightEdge could automatically fallback to the backup if the main one becomes corrupt? Or could all writes to the file be made synchronously so that the risk of corruption is reduced? Or else, if the file is corrupt, perhaps log an error somewhere, remove the old file, and continue. This would allow a system to automatically restart without needing manual intervention and/or hopefully reduce the chance of the file getting corrupt and thus losing all the details associated with previous orders/positions.

Symbol List API
Hopefully some of us are already or will soon be leaving our systems automatically running for weeks and months. When trading equity indexes (ASX200, FTSE200) stocks get added and removed from these indexes periodically. It would be nice to have the ability to update a symbol list and trading strategy with the new symbols and tell a strategy that an old symbol has been removed (so that it can stop monitoring it and/or close any open positions in the symbol). At the moment, the only way to do this is to monitor a larger universe of stocks and to source the data externally into the trading strategy so that it can only place trades in the correct constituents. This could work but could increase memory usage significantly because indicators would have to be calculated for the larger universe and hence more memory would be required to accommodate all the extra data + indicators. Also additional bandwidth would be required to monitor the larger universe. Probably workable but perhaps not ideal. Tongue

These are just a few ideas off the top of my head and things I've encountered over the past few months. I don't know if anyone else finds any of these interesting but they'd certainly improve my trading capability and let me sleep more peacefully through the night while automatically trading. BigGrin

Thanks again for all your hard work.
Posted Sunday January 25 2009
Very nicely articulated.  With the exception of OCO, we have all of these suggestions logged.  Also for multiple strategy support, please see the Multiple Systems system in the Trading Systems section.

Freolad (1/25/2009)
I've been using RightEdge for several months now and thought, in the interests of improving it for current and future users, I'd post a wishlist of suggestions/ideas that have sprung to mind. Hopefully others will find these useful too.

If / Then OCO orders direct to Broker
I'd really like the ability to submit stop-loss and profit-target orders to the broker along side the initial market/limit order. ie, submit an If / Then OCO order to the broker so that if the market/limit order is filled, the stop/proft orders are automatically activated and the execution of one cancels the other - all done by the broker. Many brokers support this type of order and for those that don't the existing process within RE simulates it easily enough and would be backwards compatible. However, for those brokers that can support it, it reduces the risk of losing money in the event of a network disconnect or system crash because the stops/profit targets are automatically lodged with the broker along-side the initial order. At the moment, there is a risk that a limit order could be hit but network problems, etc could prevent RightEdge from submitting the stop-loss or profit orders. Eeek. Wink

Update limit orders without cancelling them first
It would be nice to be able to update a limit order (or stop-loss or profit-target order) without first having to cancel the old one and then submit a new one. At the moment there is a window of time when no limit order exists at the broker (after the old one has been cancelled and before the new one has been submitted). Many brokers now support the ability to update a limit order with new values to reduce this risk. It sounds like it may be possible to support this in a backwards compatible manner (similar to the one above). ie, if the broker can update a limit order, then great; if not, default to the current behaviour of cancellation and re-creation.

Multiple Strategy Support
At the moment, RightEdge seems geared around the idea of trading a single strategy. It would be nice to be able to trade multiple trading strategies simultaneously. Especially if the strategies could utilize different time frames (I haven't yet checked out the new betas so I'm not sure if the multiple timeframe support applies to different strategies). It would also be nice if the different strategies, when run live, could be enabled/disabled in real-time without affecting the others. Also, might be nice to be able to re-allocate capital between them in real-time and view their individual performances.

Re-syncing support between RE and a broker
At the moment, as far as I understand it, when re-connecting a broker plugin has the option of accepting the last known state from RightEdge (regardless of the state of orders/positions at the broker) or to update the state of orders/positions within RightEdge. The problem with the latter option, as I understand it, is that RightEdge will no longer actively manage those positions. ie, it won't submit stops or profit targets for them or automatically cancel them after X bars which may come as a surprise to the trader who is expecting RightEdge to automatically do this. Could the syncing api be improved somehow so that the RightEdge could be updated with the state at the broker during a re-connect and RightEdge could then continue to manage all the resultant orders/positions as per normal?

Orders/Trade persistence
RightEdge store the active state of all orders and positions in an XML file and then uses this when re-starting to manage previously submitted orders and fills. I encountered a problem where this file became corrupt and hence RightEdge wasn't able to restart. Is it possible that a backup of file could be stored somewhere and RightEdge could automatically fallback to the backup if the main one becomes corrupt? Or could all writes to the file be made synchronously so that the risk of corruption is reduced? Or else, if the file is corrupt, perhaps log an error somewhere, remove the old file, and continue. This would allow a system to automatically restart without needing manual intervention and/or hopefully reduce the chance of the file getting corrupt and thus losing all the details associated with previous orders/positions.

Symbol List API
Hopefully some of us are already or will soon be leaving our systems automatically running for weeks and months. When trading equity indexes (ASX200, FTSE200) stocks get added and removed from these indexes periodically. It would be nice to have the ability to update a symbol list and trading strategy with the new symbols and tell a strategy that an old symbol has been removed (so that it can stop monitoring it and/or close any open positions in the symbol). At the moment, the only way to do this is to monitor a larger universe of stocks and to source the data externally into the trading strategy so that it can only place trades in the correct constituents. This could work but could increase memory usage significantly because indicators would have to be calculated for the larger universe and hence more memory would be required to accommodate all the extra data + indicators. Also additional bandwidth would be required to monitor the larger universe. Probably workable but perhaps not ideal. Tongue

These are just a few ideas off the top of my head and things I've encountered over the past few months. I don't know if anyone else finds any of these interesting but they'd certainly improve my trading capability and let me sleep more peacefully through the night while automatically trading. BigGrin

Thanks again for all your hard work.
Posted Monday January 26 2009
Freolad/ BillB,

As an automated trader which has been having a serious look and waiting for RE to come up the curve to make it a fully robust solution, i think you have outlined (in order of importance) very clearly the issues remaining for it to get to where we need it to go.

As a commercial operation we currently use a proprietary java api for execution. We recently made a decision not to use RE as our core execution and backtesting package - although in a lot of ways we would have liked to but for the issues mentioned in the previous post. Resolving these issues will turn RE from a retail platform that needs to have someone "looking over its shoulder" to something that could provide robust 7 x 24 automated execution.

From our point of view all the requests mentioned here are high priority with the exception of multiple strategy and symbol list API ranking slightly lower (we trade FX).

Billb - I am curious as to why the OCO functionality was not logged - is it already in the feature request list? If you were to hazard a guess at time frame (we won't hold you to it!) what would the timeframe on getting some of these features implemented.

Cheers

Russel


Edited: Monday January 26 2009 by russ1111
Posted Monday January 26 2009
Hi Right Edge developers

I'm looking for an automated trading package. Reading your web page it looked like Right Edge could do it all, however having read this post by Freolad and a few others it looks like it has a few short comings which would need to be addressed before I took the plunge.

Especially things like If/done OCO orders, I like to always have an order with my broker, I don't want to wait until my entry order is filled before placing my stop and profit target orders, I want these orders already in the brokers platform waiting to be placed as soon as my entry is executed. Ditto the ability to update an existing limit order with the broker, not cancel the order then place a new order. I don't want the chance of a lost connection leaving me with no order on the brokers platform.

Not having used RE yet myself, I don't quite understand all that Freolad said about Re-syncing and order/trade persistence, but they sound like the kind of things that could kill am automated trading platform if they are not working right.

I see you have logged most of these suggestions, I too would add support for OCO being included as well.

Any idea on timeframe to address these issues?

bren10
Posted Monday January 26 2009
Hi,

Just a quick post to put my vote behind Freolad's suggestions, they hit the nail right on the head! These same limitations are holding me back from using RE as an automated trading solution.

I too would be very interested in an indicative time line to roll these features out.

Jason
Posted Tuesday January 27 2009
russ1111 (1/26/2009)
Freolad/ BillB,

Billb - I am curious as to why the OCO functionality was not logged - is it already in the feature request list? If you were to hazard a guess at time frame (we won't hold you to it!) what would the timeframe on getting some of these features implemented.

I think I misspoke here.  I meant that the previous items were already logged and that the OCO functionality was now logged.

Posted Wednesday January 28 2009
Thanks again for your articulate suggestions.  I've added them to the newly created RightEdge uservoice forum, so go ahead and vote for them Smile

Thanks,
Daniel

Posted Thursday January 29 2009
I just voted on user voice.

The major concerns / Improvements I believe need to be:

-If / Then OCO orders direct to Broker and Update limit orders without cancelling them first. As stated above having orders at a broker all the time gives everybody involved a good sleep at night factor.

-Orders/Trade persistence and Re-syncing support between RE and a broker both rate a close second behind them.


Posted Tuesday February 03 2009
Hi Daniel,

Thanks again for your articulate suggestions. I've added them to the newly created RightEdge uservoice forum, so go ahead and vote for them Smile


That's an excellent idea - creating a forum where we can vote for these and other features. Thanks very much for setting it up. Smile

I'm off to vote now..


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