Auto Trading Wishlist
Author: mjj3
Creation Date: 1/17/2014 10:16 AM
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mjj3

#1
I've been trying to get my auto-trading running efficiently and here are some of the issues I've run into. Perhaps there are work around's that I'm not aware of.

1. Running the data update on a Cron / Task Schedule. It would be nice if there was a way to set the Windows Task Scheduler to run my data update automatically or have a WealthLab Service that is installed to do it. Occasionally I forget to keep WealthLab running at night or my computer reboots which leads to things not being ready by morning.

2. Login expired by morning when submitting trades. I login the night before but the login expires and trades submitted in the morning do not process without re-logging in.

3. Automatically sending alerts run in strategy monitor to quotes tool for auto execution. Currently this has to be done manually.

4. I only run swing strategies in wealthlab so all my orders are either open, limit or close orders. My problem is that my testing is mostly on daily bars for speed purposes. Then I have to convert it to run on either 5 minute or 1 minute bars to allow for entry at the close. This makes it impossible to run for large datasets. I know I can get partial bar data from yahoo (which I tried and wasn't happy with it). Alternatively if Market-On-Close orders could be added that could possibly work (though I've never used them before so I don't know what the fills are like).

5. Level II data - I now only focus on very liquid stocks and etf's on wealthlab as I can't control my orders well enough. I have very elaborate logic for execution from another platform that allows me to auto trade these stocks that I can't replicate without level II data.

Please take this list as constructive criticism as I am very happy with the backtesting capability but have struggled to get my auto-trading working for the above reasons.
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Eugene

#2
Thank you for your suggestions.

1. Since it's highly unlikely that something like this is going to happen, you can devise a workaround (quite) easily. For example, there's an utility called "Application Monitor v1.0" that checks if the specified process is active and restarts it when it has stopped working.

2. Please consider calling Fidelity directly and expressing your concern. They may have a reason for this behavior but at the same time they tend to listen to their customers.

3. If you want alerts to be sent automatically to the Orders tool, enable Auto-Stage. This is the auto-execution. Otherwise it's a discretionary action with all that it implies.

4. What exactly makes it impossible?

5. There's no room for Level II quotes in Wealth-Lab's architecture. Some food for thought: Level 2 Order data and developing Level 2 indicators
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mjj3

#3
Thanks Eugene for the quick response.

1. Should do it

2. I will call.

3. I'm actually sending them to the quotes tool so they only get sent to the orders tool when they trigger so I don't utilize all my buying power on orders that are unlikely to get triggered. (boy that's a mouth full).

4. Takes too long to run as I am trying to run the strategy against a couple thousand securities the last minute of the day to get as close to the closing price as possible.

5. I'll mull this one over. I have access to the data from another provider but I'm not sure wealthlab is the best platform to do it on. I come back as I do a bit more digging.
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Eugene

#4
1. By the way, if WLP displays a Fidelity login box on startup, it could be handled programmatically - say with an AutoIT script (for example).
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