Scott’s Journal

[ScottMcNab]

I finally worked out how to compare live trade results from IB flex export with the back test “expected” results (apologies to Julian for emails asking for help…please delete before reading ). I have always just kept a diary each day (for last 6-7years) of trades from TWS to ensure was matching back test but have never had a systematic way of assessing slippage (just sporadic assessments). One month is not a huge sample size but I guess it’s no surprise that I saw more slippage (against me) in Feb in systems trading “all USA” stocks than in RUI and RUA….will be interesting to watch.

[JulianCohen]

I backtest with

LimitExtra: 0.001 * Fillprice

Included so that my testing accounts for some missed fills and slippage to a certain extent. Have to remember to remove that for live trading though otherwise the results are messed up.

[ScottMcNab]

Just watched the batchtrader video and playing around with generating orders template in RT…
can I ask please…
the time for GAT…guessing is the time zone the particular version TWS running on ? Or is it being loaded and held on IB server and so I therefore need to use New York time ?
for stocks I need to sell at mkt on open….does batchtrader interpret “sell” as opening a short position like TWS does…or does batchtrader interpret “sell” as close long positions ?

Many thanks in advance for any help
 

[Nick Radge]

BatchTrader or BasketTrader?

I have my TWS set to QLD time but times in the order sheet are US Eastern.

[ScottMcNab]

Damn… I cant even get the names right….hopeless
BasketTrader
Thanks for info Nick …will use US Eastern in order sheet

[ScottMcNab]

Can I ask please if anyone else has data for Gern missing for Thurs 14/3. ..just spent 20 min thinking was an error in system code as  stock appearing in backtest that was not present in list of orders from previous night…but error seems to be originating from missing data

 

update…seems was trading halt…i never looked at how there are dealt with in Norgate before

[ScottMcNab]

another appeal for help 
i tried using basket trader for all 6 accts last night for the first time as had been successful trial for last week or so on single acct…this morning was a mess of warning errors about cancelled orders as cross with resting order
the stock in question was not placed as a buy order in any of the systems but it was trying to be sold (at market on open) in 3 different accounts
I (incorrectly ?) thought that as they were separate accounts I could avoid this issue…have I simply done something wrong when I set up csv file …or perhaps I launched basket trader incorrectly somehow (each of the 6 instances running had the correct account number)…or do I need to place the sell orders manually
Many thanks in advance for any help

[Nick Radge]

I think IBKR/BasketTrader had an issue last night. We had orders across different accounts, all unrelated, using different baskets, and none failed to fill. 

[Nick Radge]

I would also add, that if using multiple accounts, ensure the ID numbers are all different.

[ScottMcNab]

Is this the order ID Nick ?

[Nick Radge]

Yes. Generated from RT. 

[ScottMcNab]

Thanks Nick. I will need to think more about this more…I am not sure how RT would know how to make the order ID different for each of the six different systems unless I combine them into one large file….but then I would need to separate the resulting order csv again before I load them into the different accts in TWS…hmmm

[Nick Radge]

You can either put them in a single file, or manually combine all the files into a single csv then manually renumber them. Different accounts is overkill. Same fil would be best

[ScottMcNab]

Thanks again Nick….much appreciated. I manually renumbered them last night based on what I understood from your previous post and it all worked fine. I am stuck with the multiple different accounts for different entities/people etc but it doesn’t take long to manually renumber them

[Nick Radge]

Are all the accounts under a single-parent account? i.e. you log into a single account and have a drop-down menu to select the other accounts?
If so, you can create a group, place a single order and it will automatically get allocated proportionately to the underlying accounts. Happy to do a TeamViewer to show you if that’s the case.

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