I have used live autotrading (Gen 3) for a month and a half with a system as a test. I have noticed something I am not too comfortable with and I would like to share it in order to inform (hopefully) and better understand. Any input greatly appreciated.
1) I follow a system that usually trades 1 lot (US indices emini futures), but sometimes 2 lots and I have set the C2 settings to 1, to make sure it trades just 1 lot (it is a test, after all). What I have noticed when the systems shows an order for two lots is that they are both executed (despite the settings), only to be closed (by whom?!) soon after. Is this a standard procedure for C2 autotrading? Is it a glitch from my broker? Has anyone experienced something like this?
2) On another instance I have noticed that in my C2 autotrading stats (and in my broker statement) the system entered at a level, exited with a small profit, say 300, entered again at a higher level, and exited with another small profit, say 200. Nice. The point is that the official C2 stats on the system page (including the autotrading) show that system had just one long trade form beginning to end, and so it shows a bigger profit, say 900, than the entry and re-entry some points later (500). This is quite worrying, as it may make the stats unreliable.
3) The third point is slippage. Of course it is part of the game and should be accounted for. But just yesterday, and so far it was the worst case, in 2 trades I have had 8 tick slippage, which rarely happens to me when I trade the same instrument on Tradestation. How is your slippage experience for non frequent, but day trading only futures systems?
Mathew, I have all the figures and calculation. If you need them I can send them to your private mail address, if you like.
Thanks and regards
Without knowing exactly what each of your points and questions refers to, I can only answer in the most general sense. But here goes:
You write:
1) I follow a system that usually trades 1 lot (US indices emini futures), but sometimes 2 lots and I have set the C2 settings to 1, to make sure it trades just 1 lot (it is a test, after all). What I have noticed when the systems shows an order for two lots is that they are both executed (despite the settings), only to be closed (by whom?!) soon after.
I think the only way this could happen is if the system legs into a 2-unit trade. Imagine the following scenario: the system places an order to Buy 1 at Limit 100. It places a separate order to Buy 1 at limit 99. Both of those orders fall into your sizing constraints (max=1 contract) so both are placed in your account. Now, imagine both are filled, one at a time.
Well, every few minutes, C2’s AutoSynchronization technology compares your account to your size constraints. It will see you have a maximum position size of 1, but that your account holds two contracts. It will therefore follow your instructions and close one of the extra units. This can be avoided by simply setting your size maximum to a number that is above whatever the maximum number of contracts the system holds.
2) On another instance I have noticed that in my C2 autotrading stats (and in my broker statement) the system entered at a level, exited with a small profit, say 300, entered again at a higher level, and exited with another small profit, say 200. Nice. The point is that the official C2 stats on the system page (including the autotrading) show that system had just one long trade form beginning to end…
By default C2 shows the “rolled-up” trades. But perhaps you are unaware that you can change your “view” and show each individual execution: just hit the little “arrow” icon to the right of the “Recently Closed Trades” header. Then you’ll see each individual signal, and you’ll see that it matches your AutoTrading results (almost) exactly. (I say “almost” because if you are trading in a demo/sim account, we dont include your fill results in our calculation of real-life prices received by autotraders – which is what C2 uses when it displays hypothetical results; see point below.)
3) The third point is slippage. Of course it is part of the game and should be accounted for. But just yesterday, and so far it was the worst case, in 2 trades I have had 8 tick slippage, which rarely happens to me when I trade the same instrument on Tradestation. How is your slippage experience for non frequent, but day trading only futures systems?
First of all, if you’re using a sim/demo account (i.e. a not-real account) – then all bets are off. I can’t respond to complaints about slippage in a demo account. Sim accounts are not real markets and thus your fills may be weird, delayed, or whatever. But this does segue into a really important point that I want to make sure everyone understands: C2’s hypothetical track records include slippage because we use the volume-weighted-average fill price of all real autotraders to determine the fill prices shown on the C2 results page.
Matt
Thank you for your reply. I thought I had made clear that I am NOT using a sim account, but a real life account. ( I would not have bothered to write this otherwise). I am sorry I am vague on the system and the broker I am referring to, but I would rather not disclose them in a public forum. Not before having analysed and clarified the issues, anyway.
1) the system uses stop orders. When through, they become market orders. So if I understand correctly virtually every time there is an order for more than 1 lot, my account will be filled for more than one lot and then the C2 autosync will rectify this by closing one position (with associated commissions and delays) . This is unless, in the fraction of a millisecond between the first lot is filled and second lot is filled C2 autosync intervenes. A quite academic occurrence . Or am I getting something wrong? This is important, as it would make impossible to trade systems with a lower capital (or lower risk) than the one stated in C2.
2) I am aware of the arrow you mention and I have used it. I also clicked âshow autotrade Dataâ. It still shows 1 trade, while my C2 performance report and my broker statement show two separate trades. Again, I can send you a PM with the evidence.
3) I am not using a sim account and I am not complaining about slippage with you, Matt. Just asking for comments on this general point. Thank you for the explanation anyway.
Thank you and regards
If you set your maximum autotrade quantity to “2” contracts, Autotrade will never place an order of more than quantity 2. If you think there is an example where this was not the case, email me privately with specific details and I will investigate.
Regarding your other question: the “show autotrade data” screen is meant only to show aggregate autotrade trade quantities and average fill prices of fills reported by brokers. It is not meant to be any sort of system track record. To evaluate a system’s performance, you should look at the standard C2 trade history view – not the “show autotrade” view.
Matt. I have the feeling that I am not making myself clear. If so I apologise for it and I can only try again.
1) the point is not to trade more than 2 lots. The point is to have the system auto trading only one lot on my account when the the system provider sends an order to trade 2, 3, 50, whatever lots. If on my autotrade settings I set quantity to 1 lot only, and the system sends a general order (for all subscribers) of 2 lots, my real life, real account, real money experience has been that 2 lots are executed and then 1 is closed. I think it is weird and I am asking if this is what is supposed to happen. It may have huge implications: say that the system sends an order to buy 50 lots, but I want to trade(and my settings are set for) just one, I will have 50 lots bought and 49 closed some miutes/seconds after. â¦. That does not make sense…
2) Again, I said that using all the combinations (arrow up or arrow down, show/hide autotrade, downloading the CSV file, etc.) all C2 stats for that trade show that there is one trade only (example: long at 30, closed at 90, with a profit of 60 ). In My Autotrade performance report page and my broker statement there are 2 distinct trades (example, long at 30, closed at 40, long at 55, closed at 90, with a total profit of 45 - and 2 lots commission) . C2 stats show a profit of 60, I had a profit of 45. I hope it is now clear.
I have looked at your OEC trading records and I do not see any orders of quantity=2. Your maximum quantity size setting, which you specified, is 1 contract, and that is the largest trade that has been placed in your account. I am therefore puzzled by your insistence that C2 is trading quantity 2 in your account and then selling 1. If you have a specific instance where this happened, please email me privately the specific information (i.e. time, symbol, etc). For the life of me, I see no example of this in your account.
Regarding your other question (issue #2): I don’t really understand what you are asking. C2 shows trades on a signal-by-signal basis. Your broker trades on a signal-by-signal basis. The trades match almost exactly. If you disagree with this, or if you want me to explain a particular area of a particular screen, I’ll be happy to try to help. Take a screen shot of the specific thing you have a question about, and tell me the specific question you have. Send it to me via email. I’ll try to help.
Thanks
I will do it. You will see what I am talking about.
Guliano has asked me to bring closure to this thread and describe how we resolved this.
He did indeed discover a problem the way certain reversal orders were handled. The problem occurred when an AutoTrader sets his maximum trade size to 1 unit but a system tried to issue a position reversal using a stop order with quantity 2.
Technically speaking, The problem was that C2 would look at Guliano’s account, see that he was long 1 (for example) and that the system issued a stop order to sell 2. C2 would do the following math: “Guliano is long 1, system wants to sell 2 – and his maximum allowed quantity is 1. The new trade issued by the system should therefore be allowed, because Guliano will end being short only 1.” So we allowed the 2-unit trade to go through. But then the system quickly issued ANOTHER stop order, at quantity 1, which was also allowed to go through, also. When both stops ultimately filled, Guliano wound up with quantity 2 in his account, above his cap, and thus we needed to sell the extra position.
The solution was to make sure that maximum-quantity-checking takes into account whether the stop/limit order is a to-open or to-close order, and to compare the order with the current position.
As I said, this issue was solved last week, and I want to thank Guliano for bringing it to my attention. It was indeed a real issue and I want to thank him for making sure it was taken care of.
I understand that C2 has been around for 6-7 years now. I am surprised that it took C2 so long to recognize and rectify such a simple issue. After all, reversal orders are quite common in futures trading and have been in use for decades now.
