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AutoTrade ATM - Issue about EXIT Orders
10 replies, 1437 viewings
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OmniTrader Upgrade Forums
ATM
AutoTrade ATM - Issue about EXIT Orders
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Last Activity 4/21/2021 9:48 AM 10 replies, 1437 viewings |
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market_student Member Posts: 14 Joined: 4/15/2007  User Profile |
So I have been testing the ATM with AutoTrade on a Paper account. After struggling to get the right settings for Autotrade, have been monitoring what is the process flow and events that take place to get comfortable with this new piece of technology. Here is what I discovered that **may** be an issue for Nirvana to address immediately. 1. The Autotrader runs the ToDo list at 5AM every morning. 2. I have "New" signal selected so the trades should happen at MOO 3. After the ToDo list is done, it displays the NEW trades to be initiated, with the respective share amounts and strategy in the AT, ATShrs, ATStrategy column. I an see these orders in the OPEN ORDERS tab of the PORTFOLIO window. 4. The NEXT day 5AM, when the ToDo list completes, it appropriately puts the NEW orders in FL and I can see the DAY BEFORE's NEW orders in the OPEN POSITION tab of the PORTFOLIO Window. 5. HOWEVER - Any trades that the Autotrader had from before that NEED TO EXIT at MOO DO NOT SHOW UP IN THE OPEN ORDERS Tab. They just are CLOSED and can be seen in the ORDER HISTORY AND POSITION HISTORY tabs 6. I found a few and when I look at the ORDER HISTORY TAB _ do see them there as "Sell" and "Executed" on the PRIOR Day.... I guess the summary of the issue is that when the ToDO list is run and it generates NEW orders - IT SHOULD ALSO GENERATE EXIT orders and POST THEM IN THE OPEN ORDERS to be executed at MOO of the appropriate day I would be interested to hear from other users who may be testing the AutoTrade if they have seen a similar behavior. Are there any other settings in AutoTrade to ENABLE these EXIT orders to show up in the OPEN ORDERS Tab? Thanx [Edited by market_student on 3/8/2018 6:34 AM] | ||||
| jpb Veteran   Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI User Profile |
I also believe that with the paper portfolio, MOO and Market are the same. Since OT doesn't have intraday data, it will always treat the trade as though it were executed at the open price. A MOC will use the close price, but that's all you have. High and Low would be used with stops and limits. Do you have the "Update Portfolio" checked in AutoTrade? When working with the paper portfolio, you might need that checked to apply some of the updates. The Nirvana team recommends turning this off for live trading because it could cause an order to be submitted that you don't intend. One other thought -- and I haven't tried it myself with ATM -- try Lab Mode and step through the days. You can continue the lab session each day and step forward into the new day. If you are using historical data, it treats each day as a new day and runs the analysis, presents the orders, places the trades. You still have to inspect the portfolio to see what exited (and the position history tab helps you with that). But it gives you a way to step forward. Maybe that's not your goal. When you do switch to a live broker, the exit orders that you don't see do show up at your broker. I know this for a fact since I'm running live with GXT and AT with ATM. There are still a few bugs where some orders don't get placed and I need to manually submit them, but Nirvana has fixes going in for those. | ||||
| market_student Member Posts: 14 Joined: 4/15/2007 User Profile |
You are brave (or perhaps have tested it lot longer to have enabled live trading)... to me my plan is 1. To validate the order placement in Paper Mode, then 2. Switch to LIVE trading but running Autotrade still in PAPER mode and manually sending orders to my broker, and if all this is robust 3. Switch to full Automode and connect the Autotrader to my broker. For #2, it is imperative that I SEE these exit orders in the Portfolio-Open Orders tab... Shouldn't be a big deal for Nirvana to enable as it is a logical step Best | ||||
| jpb Veteran Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI User Profile |
If I recall, Lab Mode will show it just before you advance to the next day. But at the beginning of the next day, it has executed and is found in the Position History. AutoTrade was out before ATM so I have more confidence in it. It is really the TradePlans that control exits and they've been around for many years. Even with that, I don't give it 200% of my account to trade -- just a fraction of it so that I can watch what's going on. That limits gains and losses but gives me a controlled go live. I turn up the % as my confidence grows. Cheers | ||||
| tradermike Veteran Posts: 116 Joined: 12/21/2004 Location: Folsom User Profile |
You definitely will benefit from taking the time to gain confidence in the functionality of Integrated Brokerage (and TradePlans), prior to turning your whole account loose with automation. And as you make the transition from paper to live testing, you might consider limiting all trades to 1 share…and then scrutinizing the logs to verify everything is operating as you expect. (For example, a stare and compare of your brokerage log vs your OT log – on a daily basis for a while.) During this phase, it’s not about maximizing ATM or growing your account. But rather, gaining confidence that all the tools and broker integration are working out nicely. Once you have confidence in the automation, only then does it even begin to make sense to crank up position size, leverage, etc. I will share that I have successfully used Integrated Brokerage quite a bit - OT & VisualTrader to Interactive Brokers / GX Trader, and using Trade Plans. (That said, all of my experience there has been with Real-Time…so not sure of any EOD nuances.) As jpb said, once you’re in a trade, it’s all about the TradePlan. Regards [Edited by tradermike on 3/8/2018 10:19 AM] | ||||
| SteveL Veteran Posts: 262 Joined: 8/19/2005 Location: Boulder, CO User Profile |
My understanding is that the TradePlan processing is handled by a "backend" component. So, it may not be as straightforward as you are thinking and hoping for pending exit orders to be displayed. I suspect Barry Cohen (Nirvana forum answer man) will eventually comment on that possibility. I think part of the problem of displaying exit orders, before the actual market data is available, is that some exits (e.g., virtual limit orders) won't know whether they have been triggered until the market data has been obtained by OT. As jpb noted, AutoTrade (AT) has been available since the middle of last year. It works well. There have been some bugs along the way. So, it would probably be wise to monitor/check your live trading results once engaged to make sure it is doing what you expect. I've been using AT for live trading since it became available, and find that it is working well for me. But, I do still monitor it, and keep a daily log (for now). | ||||
| Barry Cohen Sage   Posts: 6338 Joined: 1/19/2004 User Profile |
I believe it will work the way you are intending if you use the "Update Portfolio" setting in AutoTrade - set that to run some time after market open. That will allow the initial order to execute/fill which allows the next step in the trade plan to become active & submit stops. | ||||
| market_student Member Posts: 14 Joined: 4/15/2007 User Profile |
Barry - To your point of "Update Portfolio" option - It has always been set in my AT setup. As far as sending the orders AFTER the market opens is fine, except I don't understand HOW that will change the outcome here. It is my expectation that the EXIT order is generated from the STRATEGY itself which is supposed to be run AT THE EOD for NEXT days orders (Entry or Exit)... Am I misunderstanding the logic here? Further - I DO SEE STOP orders that are generated and placed in the OPEN ORDER section (I believe these are function of the Stop function of the TRADE PLAN), so not getting to see the orders to exit seems a bit confusing. What is the fundamental that drives the natural EXIT (not the stop). Isn't that the outcome of the logic of the strategy in play (RTM7, T3-V3 etc).... If so, then how come the ENTRY signals are able to show up in the Open Orders tab and not the exits, if the source is the same? Apologize if I sound repetitive and confused, but am still searching for a plausible answer to satisfy my logical inside.... Thank you all for the other suggestions and I will try the Lab Mode as well. Have not done much with that... Best regards | ||||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
Example 1 - Without updating portfolio during market hours... Monday. Run ToDo List & submit orders before market open. Entry orders should be shown in Open Orders tab. Stops are not active or submitted yet. Tuesday. Run ToDo List & submit orders before market open. The ToDo List downloads the data, runs analysis AND update's the portfolio for Monday's trade plans so that those initial orders execute & their associated stops become active (& may now show in the Open Orders tab) - essentially a day late. But since this is paper, it should retroactively close any of those trades that should've had exits triggering within the completed Monday bar. After all of this, then it submits new orders for Tuesday. In that example, if you have AutoTrade updating the portfolio any time up to 8:50AM CST, it will have no effect as the data downloaded is delayed, so no new bar for Monday will not exist until Tuesday's data download. So you need to make sure Update Portfolio is done after 8:50AM CST. Example 2 - With updating portfolio during market hours... Monday. Run ToDo List & submit orders before market open. Entry orders should be shown in Open Orders tab. Stops are not active or submitted yet. Say at 9AM CST, Update Portfolio runs the ToDo List which downloads the Monday bar's data & runs analysis. This will execute all your trades - so the stocks become open positions & the stop orders become active & could possibly trigger. Tuesday. Run ToDo List & submit orders before market open. The ToDo List downloads the data, runs analysis AND update's the portfolio for Monday's trade plans. The Monday trades are already executed though, so all that happens for the Monday trades is the stops are tested again. Again since this is paper, it should retroactively close any of those trades that should've had exits triggering within the completed Monday bar. After all of this, then it submits new orders for Tuesday. | ||||
| market_student Member Posts: 14 Joined: 4/15/2007 User Profile |
I have been now further watching the mechanics of Autotrade and am convinced that there is some other issue here. 1. See the attached jpg for Order History - WHAT DOES "REJECTED" Mean? This is DANGEROUS as, if one is trading this LIVE (running Autotrader as PAPER mode) and MANUALLY executing trades in the live broker, with the orders that come up after the daily Scan is run..........ONLY TO FIND the NEXT day (when the Scan runs again) that such ORDERS are getting REJECTED in OT Order History 2. Your explanation of UPDATING the PORTFOLIO say 5 to 10 mins AFTER the market opens to MOVE the open orders to the PORTFOLIO's OPEN POSITION does NOT work. I have watched this multiple days in a row now. and though the process runs at 10am EST (I use your Omnidata so factored in 15 min delayed data). Can you explain #1 above and get the rest investigated internally.  Attached file : Screen Shot 2018-03-23 at 6.20.51 AM.png (66KB - 295 downloads) | ||||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
It means AutoTrade attempted to place the trade, but the broker (Paper broker in this case) rejected it for some reason. If you're using email alerts, you would've received an email telling you why it was rejected. If you aren't using the email alerts, we need to look at the brokerage log file. If OT has been restarted since then, the log file will be located in C:\Program Files (x86)\Nirvana\OT2018\Brokerage\Logs. Feel free to attach it or zip/compress the logs in that folder & attach.
10 minutes is not enough time passed for it to collect new data for the day. Try 20 minutes after market open. |
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