I've finally managed to listen to the part of Thursday's Skype call I
missed on the day. Having dome so I'd like to clear up a minor
misconception, and suggest a couple more TLAs!
The "first draft" of Ray, currently in a new branch of his very own,
enters with a market order at the start of a new bar, in the direction
of the most recently completed bar. The original Ray the Random Robot,
now known as "Really Random Ray" (or RRR for short) enters with a
market order in a random direction when he receives a new tick. While
Ray's behaviour may seem rather frivolous, AlgoTrader may one day
perform Monte Carlo simulations and the like. Ray recently met the
Mersenne Twister, but does anyone have any better suggestions for
generating (pseudo) random numbers?
Even more recently Ray met Annie the Amorous Android. One thing led to
another, and the happy couple are now expecting a son in the very near
future! Ray and Annie have decided to call their offspring Ray Robot
II (or RR2 for short). Like his proud parents, the son of Ray and
Annie will be programmable. Andy's suggestion of bracketing the most
recently completed bar seems to me like the perfect christening
present. A bracket order (either stops or limits) with attached OCO
exits is most certainly a use case AlgoTrader should support IMHO,
preferably both broker specific as well as generic. I'd also like to
take this opportunity to repeat a question I've asked on a couple of
recent calls. Does anyone else have any strong opinions on other forms
of grouped orders that AlgoTrader should support?
Finally some interesting (and non-normal!) statistics, to me at
least. My blog and forum attract something like 10,000 visitors per
month. Over the years almost 10,000 of those have signed up to join
the forum in order to play with Ray and his siblings. Not one of them
has previously suggested what Andy did on Thursdays call. I guess none
of those visitors work for a hedge fund?
Thanks! From looking at your code I assumed Ray was already doing a Bracket-Order??? It looks like you are doing an initial MarketOrder and then a LimitOrder and a StopOrder withing the same OCO group? If this is not what Ray is supposed to do currently, what is it supposed to do? I'm confused.
About grouped orders. I had a closer look at the IB Documentation. They provide the following two Use Cases:
1. Using the Order attributes m_parentId, m_ocaGroup and m_ocaType you place orders that belong to the same OCO/OCA group. Note: you are calling the the placeOrder method two or more times.
-----Original Message----- From: algo-trader@googlegroups.com [mailto:algo-trader@googlegroups.com] On
Behalf Of Jim Hunt Sent: Samstag, 29. Oktober 2011 10:54 To: AlgoTrader Subject: [algo-trader] Son of Ray, bracket orders and other order groups
I've finally managed to listen to the part of Thursday's Skype call I missed on the day. Having dome so I'd like to clear up a minor misconception, and suggest a couple more TLAs!
The "first draft" of Ray, currently in a new branch of his very own, enters with a market order at the start of a new bar, in the direction of the most recently completed bar. The original Ray the Random Robot, now known as "Really Random Ray" (or RRR for short) enters with a market order in a random direction when he receives a new tick. While Ray's behaviour may seem rather frivolous, AlgoTrader may one day perform Monte Carlo simulations and the like. Ray recently met the Mersenne Twister, but does anyone have any better suggestions for generating (pseudo) random numbers?
Even more recently Ray met Annie the Amorous Android. One thing led to another, and the happy couple are now expecting a son in the very near future! Ray and Annie have decided to call their offspring Ray Robot II (or RR2 for short). Like his proud parents, the son of Ray and Annie will be programmable. Andy's suggestion of bracketing the most recently completed bar seems to me like the perfect christening present. A bracket order (either stops or limits) with attached OCO exits is most certainly a use case AlgoTrader should support IMHO, preferably both broker specific as well as generic. I'd also like to take this opportunity to repeat a question I've asked on a couple of recent calls. Does anyone else have any strong opinions on other forms of grouped orders that AlgoTrader should support?
Finally some interesting (and non-normal!) statistics, to me at least. My blog and forum attract something like 10,000 visitors per month. Over the years almost 10,000 of those have signed up to join the forum in order to play with Ray and his siblings. Not one of them has previously suggested what Andy did on Thursdays call. I guess none of those visitors work for a hedge fund?
On Sat, Oct 29, 2011 at 4:53 PM, Jim Hunt <soulsurf...@gmail.com> wrote: > I've finally managed to listen to the part of Thursday's Skype call I > missed on the day. Having dome so I'd like to clear up a minor > misconception, and suggest a couple more TLAs!
> The "first draft" of Ray, currently in a new branch of his very own, > enters with a market order at the start of a new bar, in the direction > of the most recently completed bar. The original Ray the Random Robot, > now known as "Really Random Ray" (or RRR for short) enters with a > market order in a random direction when he receives a new tick. While > Ray's behaviour may seem rather frivolous, AlgoTrader may one day > perform Monte Carlo simulations and the like. Ray recently met the > Mersenne Twister, but does anyone have any better suggestions for > generating (pseudo) random numbers?
> Even more recently Ray met Annie the Amorous Android. One thing led to > another, and the happy couple are now expecting a son in the very near > future! Ray and Annie have decided to call their offspring Ray Robot > II (or RR2 for short). Like his proud parents, the son of Ray and > Annie will be programmable. Andy's suggestion of bracketing the most > recently completed bar seems to me like the perfect christening > present. A bracket order (either stops or limits) with attached OCO > exits is most certainly a use case AlgoTrader should support IMHO, > preferably both broker specific as well as generic. I'd also like to > take this opportunity to repeat a question I've asked on a couple of > recent calls. Does anyone else have any strong opinions on other forms > of grouped orders that AlgoTrader should support?
> Finally some interesting (and non-normal!) statistics, to me at > least. My blog and forum attract something like 10,000 visitors per > month. Over the years almost 10,000 of those have signed up to join > the forum in order to play with Ray and his siblings. Not one of them > has previously suggested what Andy did on Thursdays call. I guess none > of those visitors work for a hedge fund?
@Andy - Maybe our definition of what constitutes a "bracket order" is slightly different? For me it implies either two stop orders or two limit orders. One stop and one limit doesn't count, using my own definition. Please also bear in mind that I'm looking for any excuse to make Ray Robot II slightly less "stupid" than his father.
Your IB specific examples give the flavour of the question I'm posing. Different brokers do such things in different ways. Does anyone (apart from me!) plan on using such advanced functionality? If so what functionality, and with which broker?
@Mukesh - I'm pleased to hear you enjoyed Ray & Annie's bit of festive fun. Please also bear in mind that I'm trying to make some serious points too!
On Sun, Oct 30, 2011 at 12:44 PM, Andy Flury <andyfl...@gmail.com> wrote: > Jim****
> ** **
> Thanks! From looking at your code I assumed Ray was already doing a > Bracket-Order??? It looks like you are doing an initial MarketOrder and > then a LimitOrder and a StopOrder withing the same OCO group? If this is > not what Ray is supposed to do currently, what is it supposed to do? I'm > confused.****
> ** **
> About grouped orders. I had a closer look at the IB Documentation. They > provide the following two Use Cases:****
> ** **
> **1. **Using the Order attributes m_parentId, m_ocaGroup and > m_ocaType you place orders that belong to the same OCO/OCA group. > Note: you are calling the the placeOrder method two or more times.****
> -----Original Message----- > From: algo-trader@googlegroups.com [mailto:algo-trader@googlegroups.com] > On Behalf Of Jim Hunt > Sent: Samstag, 29. Oktober 2011 10:54 > To: AlgoTrader > Subject: [algo-trader] Son of Ray, bracket orders and other order groups
> ** **
> I've finally managed to listen to the part of Thursday's Skype call I > missed on the day. Having dome so I'd like to clear up a minor > misconception, and suggest a couple more TLAs!****
> ** **
> The "first draft" of Ray, currently in a new branch of his very own, > enters with a market order at the start of a new bar, in the direction of > the most recently completed bar. The original Ray the Random Robot, now > known as "Really Random Ray" (or RRR for short) enters with a market order > in a random direction when he receives a new tick. While Ray's behaviour > may seem rather frivolous, AlgoTrader may one day perform Monte Carlo > simulations and the like. Ray recently met the Mersenne Twister, but does > anyone have any better suggestions for generating (pseudo) random numbers? > ****
> ** **
> Even more recently Ray met Annie the Amorous Android. One thing led to > another, and the happy couple are now expecting a son in the very near > future! Ray and Annie have decided to call their offspring Ray Robot II (or > RR2 for short). Like his proud parents, the son of Ray and Annie will be > programmable. Andy's suggestion of bracketing the most recently completed > bar seems to me like the perfect christening present. A bracket order > (either stops or limits) with attached OCO exits is most certainly a use > case AlgoTrader should support IMHO, preferably both broker specific as > well as generic. I'd also like to take this opportunity to repeat a > question I've asked on a couple of recent calls. Does anyone else have any > strong opinions on other forms of grouped orders that AlgoTrader should > support?****
> ** **
> Finally some interesting (and non-normal!) statistics, to me at least. My > blog and forum attract something like 10,000 visitors per month. Over the > years almost 10,000 of those have signed up to join the forum in order to > play with Ray and his siblings. Not one of them has previously suggested > what Andy did on Thursdays call. I guess none of those visitors work for a > hedge fund?****
