Automation of rules-based day trading
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Working on .NET core, react, Azure, AWS, .NET, C#, WPF, Oracle , SSIS, react native, Design
Feltham
82709898435222836527591112412555321477054151147984610
Description
Experience Level: Expert
I am a financial trader of European stock CFDs. My trades typically last a few minutes to a few days. I trade based mostly on company earnings reports I’ve been working on this over 60 hours a week, for the last 12 years. Prior to that, I worked as a stock analyst for a major American bank in the City.
Depending on the day, I may follow as few as 5 and as many as 30 companies.
For the last twelve years, I have been trading manually, issuing orders by clicking a button on the CFD window. I realize I need to automate about 80-90% of my trading decisions using VBA. My CFD broker has a simple Excel-based program that mimics trade entry by typing a formula including price, volume, buy or sell, etc, into a spreadsheet, which is where VBA comes in.
There are three reasons for me to automate my trading. The first is that I often don’t obey my trading rules, and want them to be “hard-wired”. I am not looking for any assistance in devising these rules. But I am interested in learning how best to implement them. The second reason for automation is that it is impossible for me to monitor, say, twenty different stock positions simultaneously. The third reason, related to the second, is that very often the window of opportunity for a trade lasts only 5 to 20 minutes, usually after the market open, and it is possible to create algorithms that scan for opportunities and take trades based on certain criteria, trades I would otherwise have missed.
I have programmed many VBA macros, so I am familiar with the language.
The specific VBA programs will involve analyzing real time price and volume from my market data provider, and making trade decisions based on that analysis. Each company will have a dedicated row of six cells, with last traded price, bid, ask, volume, high, in separate cells. Each row will correspond to a separate company. I plan to buy a high powered workstation specifically for this task.
All the values in each cell are updated in real time when the markets are open from 8 AM to 4:30, UK time. The updates can occur from once every second (or faster) to once every half hour, depending on the liquidity of the market. In the auction period before the European market open, at 8:00 AM UK time, the series of bids and offers builds up in the trade book and an equilibrium price is determined. For me, this is usually the most critical moment of the day. The majority of my best trades are placed seconds before the market open. I will need the ability to issue initial buy or sell orders via some kind of front end.
There will be as many as 8 to 10 separate Excel VBA algorithms, depending on the situation (e.g. exit an existing trade, add to an existing trade, catch a trend) The most important is for me to hard-wire a rule for trade exits. This is extremely complicated and will involve a number of parameters beyond simple price behaviour. But a good enough algorithm is far better than what I have been doing manually. Some level of knowledge of financial markets, and preferably stock markets, is essential for this task. eSignal cannot simulate real time data streaming after the fact. However, it does provide historical data tables (e.g last, bid, ask, high, low, vol) that can be used to simulate real time streaming.
The job can be done remotely. I live in central London. I will buy a separate eSignal account, with streaming and historical data for which I can supply the password. You would have to download eSignal (it’s free). I have another eSignal account which I am using for my manual trading. This will be a trial and error process, as I tweak the algorithms. Some tweaks I can make myself. Others will require further work from you.
Depending on the day, I may follow as few as 5 and as many as 30 companies.
For the last twelve years, I have been trading manually, issuing orders by clicking a button on the CFD window. I realize I need to automate about 80-90% of my trading decisions using VBA. My CFD broker has a simple Excel-based program that mimics trade entry by typing a formula including price, volume, buy or sell, etc, into a spreadsheet, which is where VBA comes in.
There are three reasons for me to automate my trading. The first is that I often don’t obey my trading rules, and want them to be “hard-wired”. I am not looking for any assistance in devising these rules. But I am interested in learning how best to implement them. The second reason for automation is that it is impossible for me to monitor, say, twenty different stock positions simultaneously. The third reason, related to the second, is that very often the window of opportunity for a trade lasts only 5 to 20 minutes, usually after the market open, and it is possible to create algorithms that scan for opportunities and take trades based on certain criteria, trades I would otherwise have missed.
I have programmed many VBA macros, so I am familiar with the language.
The specific VBA programs will involve analyzing real time price and volume from my market data provider, and making trade decisions based on that analysis. Each company will have a dedicated row of six cells, with last traded price, bid, ask, volume, high, in separate cells. Each row will correspond to a separate company. I plan to buy a high powered workstation specifically for this task.
All the values in each cell are updated in real time when the markets are open from 8 AM to 4:30, UK time. The updates can occur from once every second (or faster) to once every half hour, depending on the liquidity of the market. In the auction period before the European market open, at 8:00 AM UK time, the series of bids and offers builds up in the trade book and an equilibrium price is determined. For me, this is usually the most critical moment of the day. The majority of my best trades are placed seconds before the market open. I will need the ability to issue initial buy or sell orders via some kind of front end.
There will be as many as 8 to 10 separate Excel VBA algorithms, depending on the situation (e.g. exit an existing trade, add to an existing trade, catch a trend) The most important is for me to hard-wire a rule for trade exits. This is extremely complicated and will involve a number of parameters beyond simple price behaviour. But a good enough algorithm is far better than what I have been doing manually. Some level of knowledge of financial markets, and preferably stock markets, is essential for this task. eSignal cannot simulate real time data streaming after the fact. However, it does provide historical data tables (e.g last, bid, ask, high, low, vol) that can be used to simulate real time streaming.
The job can be done remotely. I live in central London. I will buy a separate eSignal account, with streaming and historical data for which I can supply the password. You would have to download eSignal (it’s free). I have another eSignal account which I am using for my manual trading. This will be a trial and error process, as I tweak the algorithms. Some tweaks I can make myself. Others will require further work from you.
Kevin B.
100% (2)Projects Completed
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Last project
30 Mar 2017
United Kingdom
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