importing lists of trades into TB

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sr100m
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importing lists of trades into TB

Post by sr100m » Mon Aug 09, 2010 5:15 am

Would it be possible to program TBB to take entries and exit prices and dates from an external list of trades (e.g. a csv file) rather than generating the trades internally from trade rules.

I would like to test an approach that would involve taking strategies I have for Tradestation, generate lists of trades from tradestation, import them into TB and then do the portfolio and position size testing in TB.

(As tradestation does not seem to be able to output initial stop loss values without a fiar bit of programing, a TB blox would also be coded to generate the inital stop loss value - usually based on some multiple of atr).

This approach would allow me to use the strategies I have for TS, at least until my coding skills improve enough to be able to convert the easylanguage into TB code. I appreciate that I lose the option to optimise strategies in TB (apart from maybe optimising the initial Stop Loss) but would like to test this approach.

sluggo
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Post by sluggo » Mon Aug 09, 2010 7:56 am

I imagine it could probably be done, yes. However I think you or someone you hire would need to write new Blox code to accomplish it. I don't think the standard out-of-the-box distribution contains anything that would do it in turnkey fashion. I haven't searched the Blox Marketplace (link) to see whether anybody has donated code to do what you want; maybe you might pop over there to have a quick look.

Blox programmers for hire can be found on the System Development Partners page (here)

Anthony Marsland
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Tradestation to BLOX conversion

Post by Anthony Marsland » Tue Apr 26, 2011 7:26 am

Hi there SR100M,

Did you manage to find/create a solution to your query.

I have exactly the same requirement having written a number of systems in EasyLanguage and would love to combine them into a Suite within BLOX. It would be a great time saver to be able to import the trade data into BLOX rather than reprogram them all, especially as some are intra-day (not a BLOX speciality I gather).

If you still need a stop/risk value function for Tradestation I have one that you may find useful.

Warm regards,

Anthony

Tim Arnold
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Post by Tim Arnold » Tue Apr 26, 2011 8:46 am

I have a block that reads the Tradestation trade log and imports into Trading Blox for signal and trade generation.

It is a starting point, and would require further work, but email me if you are interested.

Roger Rines
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Post by Roger Rines » Tue Apr 26, 2011 11:14 am

Before performing this comparative platform approach, consider making some trade settings changes in both platforms before you capture the trade detail to compare in Trading Blox.

One of the first changes to make is not use any slippage in TradeStation and to disable it as well in Trading Blox when you generate a comparative test. Slippage in TradeStation is fixed amount deduction, while Trading Blox allows for volatility rate slippage. While it is possible to use a fixed value for slippage, it isn't a static cost.

Review the Global Settings in Trading Blox and be sure you understand how the various settings can affect the comparison.

I would also remove the trade commission. By not allowing anything to affect the net result between entry and exit, the analysis will be much simpler and without the differences in how cost is applied.

Check the data files being used to be sure they are scaled the same. If it is at all possible, use the same data files in both platforms. If the data scales are different, and the transactions aren't adjusted to take the scale difference into account, the net results will be faulty.

When doing your initial comparison, set the trade size in TradeStation to 1 contract or share. In Trading Blox use the Basic Money Manager set to 1 contract or share.

Expect to do an initial comparison, to ensure the size and timing each platform uses is the same. This is important because if sizing is going to be part of the analysis, it is important the trade execution issue be put to rest first.

Anthony Marsland
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Pre Test Tests

Post by Anthony Marsland » Tue Apr 26, 2011 2:43 pm

Hi Roger,
Thanks for your kind recommendations. I'll post my findings as I work on this project...

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