B S --
I understand your desire to automate multiple intraday strategies. So,
regarding your four questions.
1. I wouldn't reject the idea of combining strategies into one afl.
Because:
1.1 It is easy to do. Just put each of your systems in a separate .afl
file, and have one master control .afl to call the separate files using
#include.
1.2 I don't know how you want to handle "available buying power". Do
you want your multiple strategies to share money, or keep it separate?
But what ever way you decide can be handled best by the master control .afl.
1.3 What if more than one strategy wants to buy the same stock, or
maybe even one wants to buy while another wants to sell the same stock?
I don't know what you want to do in these cases, but once you decide,
put it in master control.
2.0 Personally, would use explore or scan. I don't know what would be
the advantage of backtest over either of these two.
3.0
3.1 ~2000 tickers: Not in real time, but maybe 1800 for $$$. However,
can you use EOD to reduce down to say ~100? IB can handle 100 tickers
max in real time. See:
http://www.amibroker.com/guide/h_quotes.html
to find out what some of your choices are.
3.2 What do you call a bad tick? Is it typo, or a single transaction
at market near lunch time when volume was low. Can you tell the
difference? Does it matter? To me a bad tick is one I can't use in my
strategy. So, my strategy has to deal with what I call 'bad' ticks.
4.0 I don't know. But my guess is that the answer is pretty complex
and is a function of your computer speed, what other software you have
running, your internet connection, and your data supplier, to mention a
few. Just for laughs, on your computer, open Date and Time
Properties>Date and Time. Try to say 'tick' in sync with the second
hand or the seconds display.
-- Keith
On 4/11/2010 15:24, B S wrote:
I'm currently exploring the best way of automating multiple intraday
strategies and was hoping some on the board could give their opinion
on whats practical / possible when using AB and IBcontroller to send
orders to IB:
1. If I don't want to combine the strategies into one AFL - whats the
best way to simultaneously run multiple strategies in real time? Is
it multiple instances of AB? If yes, will static variables set in one
instance be available to other instances?
2. I've read Tomasz recommend that real-time trading should be done
through AA - do most use scan, exploration, or backtest? Are there
advantages/disadvantages that one should be aware of?
3. Is it practical to run these strategies against portfolios of ~2000
tickers? Any recommended data providers that do a good job of
filtering bad ticks?
4. I understand that AB runs on set intervals rather than being event
driven in real-time mode. I'm assuming this means that each time the
AFL runs, it checks every symbol for signals instead of only those
with new data. What is the limiting factor then for how often each
symbol is checked for signals? Is it simply the time that it takes
for the scan/exploration/backtest to complete? So if i set "Run
Every" to 1sec, will it automatically restart as soon as it finished
running? Or is there more to it?
Would greatly appreciate hearing any suggestions/opinions on the above
points. Thanks.
