No announcement yet.

Advanced EFS Automation (unlimited strategies run through one consolidator)

  • Filter
  • Time
  • Show
Clear All
new posts

  • Advanced EFS Automation (unlimited strategies run through one consolidator)

    As I've been working with eSignal and EFS for almost two decades. I wanted to show off something really quite impressive with the intent to illustrate what can really be accomplished within eSignal. I'm quite proud of this because it has taken me almost 9+ days of beating my head against a wall to figure this out.

    I have a client that wants to deploy 20~200 strategies (trading systems) running through a consolidator. OK. I can handle that.
    He wants to have the consolidator validate and filter LIVE trading triggers from these various strategies as well as configure the various strategies "on the fly" day-by-day. OK. That gets a bit more difficult.
    He wants the consolidator and strategies to initiate and manage communications quickly and easily as he deploys this solution. OK. (thinking this might be impossible)
    He wants the consolidator to manage and deploy equity "slots" (allocation levels) as these strategies become active and pass verification filtering. OK. Assuming I can get past the first issues, I could get it to do this as well.

    The problem I had with this request initially was that my tradition means of addressing these multiple strategies into one consolidator was a bit clunky and would require the client to manage everything (as INPUTS) passing unique IDs for each strategy. This means, the "on the fly" part would be more like "you have to make sure you don't have duplicate IDs running at any given time to make sure we don't corrupt the function of the consolidator". Once the consolidator becomes contaminated with invalid data, it would potentially screw up everything with LIVE TRADING.

    So, I had to find a better way to address this (quickly). After a few days of trying different things, I took a break to think about it till I found a solution (often the best option for developers - walk away from it for a while).

    Then it came to me as I was driving.... The perfect solution. Capable of handling THOUSANDS of strategies and all of them would be capable of identifying themselves uniquely to the consolidator as well as verifying the consolidator recognized the strategy and was able to start processing live trading with it. INSTANTLY. COMPLETELY AUTOMATED.

    Imagine how cool it would be to have an unlimited number of strategies (for equities) running within an equity pool consolidator only taking the best trading signals and executing live trades where the user could build, reconfigure and reconstruct any number of settings, options and strategies into the consolidator solution ON THE FLY. Now, imagine that with this solution, we could setup multiple consolidator solutions so the user could deploy multiple pools of equity and trading solutions.

    Well, this is the prototype of my effort to build this type of solution for my client. Radios are on the right. Consolidator is on the left. Live trades are reported on the consolidator chart. Pretty cool that you can build this type of solution within eSignal, really. Thanks Dev Team!!

    Click image for larger version

Name:	RF.png
Views:	1
Size:	20.6 KB
ID:	267980

  • #2
    Well, here it is after a week+ of work on it to clean it up. Still looks somewhat similar, but it is far more advanced. It can recover from a crash. It can handle nearly 900 strategies in this configuration (I can increase this to over 90k). It process and handle multiple equity deployment types and can be integrated into nearly any existing EFS strategy.

    Pretty cool guys.. Thanks again eSignal Dev Team! Loving this new feature.
    Click image for larger version

Name:	2017-08-30 22_45_35-eSignal.png
Views:	1
Size:	22.0 KB
ID:	267988