Esignal Paper Prices Vs. Real IB broker prices

[spamula]

Yesterday I tested my new automated system for the 1st time it had been showing good profits on the esignal paper system. I traded just 100 shares of AMAT using Interactive Brokers smart
routing system (sends to ARCA, Island et.) using market orders.

At the end of the day I was down $-38 net inc. estimated trades on esignal paper and $-51 on my IB broker account inc. trades.

This means esignal was 34% off the real broker in
the worst event or 25% depending on which way you divide -51 and -38.

Has anyone got any data on the relationship between real broker prices and those given by paper trading. I have therefore decided
to decrease my months paper traded profits and losses by 34% in the extreme to get a more accurate picture of what the startegy would look like if I traded using a real broker at good market prices.

Has anyone got any thoughts on this topic, what have other users found when comparing paper and real broker profits???

[Doji3333]

Paper Trader Prices..

The answer is simple..

Paper trader fills prices at the "current price" or at a price you select (if you use LIMITS). Thus, you are filling your orders at prices that do not take into count the SPREAD or slippage.

with IB, you are trading in RT and the SPREAD (as well as slippage - in fast markets) will determine your fill price...

so, if you are trading a stock with a spread of 8~10 cents, your fill price could be 4~10 cents AGAINST you (compared to your fill in the paper trader).

there are two solutions to this issue...

1. issue limit orders for all entry/exit signals. This solution may cause your system to NOT take a trade if the entry limit order is never filled.

2. issue MARKET orders for entries, then re-adjust your system to account for the different in price (from expected entry price to actual entry price). Then use LIMITS to exit your trade..

in example 2, if you expect to enter a trade at $30 but actually get filled at $30.10 - you would adjust your Profit Targets UP by .10 (as well as your stops). if you don't use PTs, then there is not much you can do (except use the LIMIT ENTRY ORDERS).

I hope this helps.. (speaking from someone who has gone thru this).

B

[Doji3333]

oops... forgot commissions..

commissions will eat up some of this.... at 100 shares, you should have been charged $1 per trade - so if you had 10 trades - you get the idea..

Let me know if I can help..

B

[spamula]

Thats all very well Brad but I take it that you will have to change
your profit target manually to account for the fill i.e. paper $30
real IB price 30.1. I suppose you have to wait for the next bar to alter profit targets etc. otherwise you risk sending same order twice.

Also limit order don't work very well with existing IB interface,
maybe if placed through dynaorder limit orders would work better but then esignal EFS would not know what price you got filled at
so its stops maybe off some what etc.

Is this the best script to generate limit orders?:

getMostRecentBid()

You could use limits for exit/entry but you will have to be watching therefore you may as well not use automated system.

As tradestation uses one feed for executions + charting can it calculate your entries/exits using its EL script for the prices you actually got filled at? Also EL is also supposed know when you have not got filled and corrects this if you so wish automatically.
Any ideas is tradestation the ultimate solution for automated trading programs and executions?



Thanks for the reply Brad.

Regards
Spam

[spamula]

The -$38 vs -$51 takes includes $1 trade costs. thats still a difference of 34%.

My stop is at .2 maybe I should change it to .18 to counter slipage.

[Doji3333]

Auto Trading..

Spam,

First, esignal is a viable solution for what you are attempting to accomplish. There are tools - like dynaorder or ninjatrader - that offer a more robust trade automation solution.

Regarding the ask/bid values, yes, that is the function you should use to get the BID - I'm sure you found the ASK value as well..

Generally, you'll have the same problem with tradestation if you use MARKET orders for your system. The spread is something all stock traders (day traders) have to deal with.

You might consider placing a LIMIT order 0.02 cents above your expected entry (if you were using DO or some other utility). This gives you the ability to try to get filled a LITTLE bit above where you want - instead of WAY ABOVE.

Regarding TS for Esig.. I think it is a matter of preference. One of my best friends LOVES tradestation - but he has been with them since the "very beginning". Others HATE it. TradeStation does have all the functions for trading "built-in" - so they have everything you need - but you are limited to their brokerage firm.

So, it is, again, a matter of opinion and sacrafice. I can tell you that DO (www.dynaorder.com) is a very good solution for trading with IB. I have also developed a "traderouter" solution that works with "hammer" (www.sungard.com). I will be adding IB to it soon and others. It is not quite ready for market (not documented) - but it is in use every day with one of my other clients.

I believe esignal is easily capable of accomplishing what you want - you'll just have to find a solution for placing more complex orders and returning the fill price - like DO.

B

[spamula]

People, how does DynaOrder get the bid or ask price for the limit order????

If it does not get filled do you have to get filled manually?

Also I hear - getMostRecentBid() is not reliable in getting a limit price. What is the best formula for getting a good limit price without inputting manually or using DO with current IB efs?

Regards Spam

[dynastore]

Spamula,

Dynaorder does not take bid/ask prices from anywhere - it uses price that was used as a "limit price" parameter of the BuyLimit function call.

I.e. if you call the BuyLimit function with some particular number as the limit price parameter, it will be used in the order.

[spamula]

So do you have to manually input the limit price before the order is sent?