Dear Community,
I'm currently working on a strategy targeting the Russell 3000, which on any given day can generate anywhere from 0 to roughly 50 limit order signals. My intention is to input these signals into the Quotes & Prices triggers window of WL8, with the auto place feature activated. However, upon activating my streaming data provider in the quote window, I encountered an error from my broker API, suggesting that I need to purchase a quote package.
For background, I conducted my backtesting using data from Norgate, but as of now, I don't have a live data feed provider.
Before I proceed with any purchase, I wanted to reach out to the community to gather some insights. Specifically, I'm keen to know which broker and feed provider, in your experience, offers the best compatibility with WL8 for streaming intraday quotes, and placing MOO orders.
I initially opted for Interactive Brokers due to the convenience of an extension that comes integrated with WL8, making the connection process seamless. As of now, I'm testing the waters with a paper trading account, so I'm still flexible in terms of choosing the most suitable broker and data feed.
Any feedback or recommendations you can provide would be greatly appreciated. I want to ensure I'm making the right decision before committing further.
Thank you in advance for your time and insights.
I'm currently working on a strategy targeting the Russell 3000, which on any given day can generate anywhere from 0 to roughly 50 limit order signals. My intention is to input these signals into the Quotes & Prices triggers window of WL8, with the auto place feature activated. However, upon activating my streaming data provider in the quote window, I encountered an error from my broker API, suggesting that I need to purchase a quote package.
For background, I conducted my backtesting using data from Norgate, but as of now, I don't have a live data feed provider.
Before I proceed with any purchase, I wanted to reach out to the community to gather some insights. Specifically, I'm keen to know which broker and feed provider, in your experience, offers the best compatibility with WL8 for streaming intraday quotes, and placing MOO orders.
I initially opted for Interactive Brokers due to the convenience of an extension that comes integrated with WL8, making the connection process seamless. As of now, I'm testing the waters with a paper trading account, so I'm still flexible in terms of choosing the most suitable broker and data feed.
Any feedback or recommendations you can provide would be greatly appreciated. I want to ensure I'm making the right decision before committing further.
Thank you in advance for your time and insights.
Rename
Have you read the blog article about data feed providers? https://www.wealth-lab.com/blog/wealthlab-data-providers
The above article really doesn't compare brokers, but it's a start. Also, most brokers provide limited data (static and on-demand data) and some intraday streaming data, but it doesn't compare with what a "real" data feed provider offers. If your goal is to track more than 50 stocks in the Quotes window, then you probably need a real data feed provider for streaming data. The broker's data feed won't be enough. IQFeed is the most expensive data feed service (~$120/mo), but it's fast and reliable on everything. They are not a fundamental (event) data provider.
The above article really doesn't compare brokers, but it's a start. Also, most brokers provide limited data (static and on-demand data) and some intraday streaming data, but it doesn't compare with what a "real" data feed provider offers. If your goal is to track more than 50 stocks in the Quotes window, then you probably need a real data feed provider for streaming data. The broker's data feed won't be enough. IQFeed is the most expensive data feed service (~$120/mo), but it's fast and reliable on everything. They are not a fundamental (event) data provider.
QUOTE:On any given day, how many signals do you need to monitor?
My intention is to input these signals into the Quotes & Prices triggers window of WL8, with the auto place feature activated.
Even IQFeed only allows 500 simultaneous quote streams, then you buy additional 500 quote packs after that.
Hello Superticker and Cone,
Thank you for directing me to the blog article on data feed providers. After going through the article and diving deeper into the WL8 Trigger Quote window documentation, I'm reassessing if I actually need a data feeds provider. My strategy conducts a thorough scan of the Russell 3000 stocks before market opens and produces limit order signals for that day. I aim to maintain a maximum of 5 filled orders at any given time.
During my backtesting phase, I utilized DrKoch's EstimateFillProbability and PlaceCandidates functions. Based on what I observed, the strategy rarely goes above 5 active trades. As I pivot to live trading, I'm in a dilemma about the optimal way to handle this. Specifically, I'm seeking clarity on two aspects:
1. The inner workings of EstimateFillProbability and PlaceCandidates are a bit elusive to me. Does it estimate the quantity of limit order signals required, factoring in historical fill probability, to achieve a cap of 5 simultaneous open positions? I believe only DrKoch might offer a definitive insight here.
2. The actual necessity of the Trigger Quote window for my scenario is another ambiguity. The documentation indicates its primary role is to prevent the dispatch of an overwhelming number of limit/stop orders to the broker at one go.
The exact quote reads:
The precise limitation on how many limit orders can be concurrently dispatched using Interactive Brokers remains unknown. My search on their official website didn't bring any answers. Has anyone encountered this limit and can shed some light on it? Otherwise, I might have to resort to a trial and error method.
If, hypothetically, the cap is set at 100 limit orders, and EstimateFillProbability works as I assume, then it might be plausible to forward all the generated limit order signals to my broker at market open, bypassing the Trigger Quote window altogether. If the broker restriction as 20 limit orders, I have no option but to rely on the Trigger Quote window, necessitating a live data feed.
I'd love to hear your insights on this matter. I hope I've articulated my concerns clearly.
thx
Spacious
Thank you for directing me to the blog article on data feed providers. After going through the article and diving deeper into the WL8 Trigger Quote window documentation, I'm reassessing if I actually need a data feeds provider. My strategy conducts a thorough scan of the Russell 3000 stocks before market opens and produces limit order signals for that day. I aim to maintain a maximum of 5 filled orders at any given time.
During my backtesting phase, I utilized DrKoch's EstimateFillProbability and PlaceCandidates functions. Based on what I observed, the strategy rarely goes above 5 active trades. As I pivot to live trading, I'm in a dilemma about the optimal way to handle this. Specifically, I'm seeking clarity on two aspects:
1. The inner workings of EstimateFillProbability and PlaceCandidates are a bit elusive to me. Does it estimate the quantity of limit order signals required, factoring in historical fill probability, to achieve a cap of 5 simultaneous open positions? I believe only DrKoch might offer a definitive insight here.
2. The actual necessity of the Trigger Quote window for my scenario is another ambiguity. The documentation indicates its primary role is to prevent the dispatch of an overwhelming number of limit/stop orders to the broker at one go.
The exact quote reads:
QUOTE:.
"Quotes provides a convenient solution to trade a Strategy that yields more Limit/Stop orders daily than what one might feasibly relay to their Broker."
The precise limitation on how many limit orders can be concurrently dispatched using Interactive Brokers remains unknown. My search on their official website didn't bring any answers. Has anyone encountered this limit and can shed some light on it? Otherwise, I might have to resort to a trial and error method.
If, hypothetically, the cap is set at 100 limit orders, and EstimateFillProbability works as I assume, then it might be plausible to forward all the generated limit order signals to my broker at market open, bypassing the Trigger Quote window altogether. If the broker restriction as 20 limit orders, I have no option but to rely on the Trigger Quote window, necessitating a live data feed.
I'd love to hear your insights on this matter. I hope I've articulated my concerns clearly.
thx
Spacious
QUOTE:
If ... the cap is set at 100 limit orders, and EstimateFillProbability works as I assume, then it might be plausible to forward all the generated limit order signals to my broker at market open, bypassing the Trigger Quote window altogether.
I doubt there's a limit to the number of limit orders on the broker's side. But each "pending" limit Buy order reduces your available capital to trade on the broker's side such that you'll probably run out of available capital before reaching 100 orders even if only a small fraction of those orders actually gets filled.
So the Idea of the Quotes window is to stage those limit order there and wait until their trigger price is hit, then place them with the broker. In so doing, you won't be reducing your available capital to trade on limit Buy orders which may never fill.
If you're going to stream price data in the Quotes window for over 50 stocks (You mentioned 100.), then you'll need a streaming data feed provider. But if you can keep that number under 50, then the broker's streaming data may be just enough. Your broker may offer an enhanced data feed for a surcharge; ask him.
IB's regular U.S. Streaming Bundle provides 100 streaming quotes.
1. Do you have documentation for EstimateFillProbability and PlaceCandidates?
2. answered in #4.
If you have enough Margin to cover all the Limit orders, you may not need the Quotes tool - but you do need a way to cancel open orders when you reach your 5-position Threshold. You can use Preferences (F12) > Trading Thresholds for that -
Note!
Thresholds do not guarantee that the threshold will be exceeded!
If you enter 50 limit orders and they all hit their triggers simultaneously, the broker will try to fill all 50.
Sign up for an IB Paper Trading account and use it until you understand how it all works. I think the account comes with $1M and Portfolio Margin, so you'll be able to enter up to 6 or 7 million USD worth of orders. Adjust your position sizing so that the test is reflective of your trading. In other words, if your account is $500K, you'll have to cut your sizing in half.
1. Do you have documentation for EstimateFillProbability and PlaceCandidates?
2. answered in #4.
If you have enough Margin to cover all the Limit orders, you may not need the Quotes tool - but you do need a way to cancel open orders when you reach your 5-position Threshold. You can use Preferences (F12) > Trading Thresholds for that -
Note!
Thresholds do not guarantee that the threshold will be exceeded!
If you enter 50 limit orders and they all hit their triggers simultaneously, the broker will try to fill all 50.
Sign up for an IB Paper Trading account and use it until you understand how it all works. I think the account comes with $1M and Portfolio Margin, so you'll be able to enter up to 6 or 7 million USD worth of orders. Adjust your position sizing so that the test is reflective of your trading. In other words, if your account is $500K, you'll have to cut your sizing in half.
Thank you for highlighting the Trading Threshold settings. I did come across it previously, but it may not align perfectly with my requirements. I'm planning to run multiple strategies that employ limit orders, and I'd ideally like a separate threshold of open positions for each unique strategy. This specific concern was touched upon in a previous discussion here: https://www.wealth-lab.com/Discussion/Control-Max-Open-Positions-in-Strategy-Monitor-9975.
It's surprising to see only three votes on it!
That aside, I've set up my IB paper trading account and requested a modification to a $100k balance from the default $1 million. This adjustment better mirrors the initial capital I plan to start with when going live.
As for DrKoch's documentation, I haven't found any yet. Since we can't tag individuals in discussions, I can only hope DrKoch sees this. If not, I might consider reaching out to him directly via email.
Thank you for the insights and sharing valuable information. Much appreciated.
Spacious
It's surprising to see only three votes on it!
That aside, I've set up my IB paper trading account and requested a modification to a $100k balance from the default $1 million. This adjustment better mirrors the initial capital I plan to start with when going live.
As for DrKoch's documentation, I haven't found any yet. Since we can't tag individuals in discussions, I can only hope DrKoch sees this. If not, I might consider reaching out to him directly via email.
Thank you for the insights and sharing valuable information. Much appreciated.
Spacious
QUOTE:I added the term "Threshold" to the title. It will be easier to find now.
It's surprising to see only three votes on it!
QUOTE:
As for DrKoch's documentation, I haven't found any yet.
These functions and methods are described in Help->Extensions->finantic.Indicators.
Let me know if you need more detailed information.
Your Response
Post
Edit Post
Login is required