"Rapidly Realized" Ideas to Code for Commodity Advisors & Traders
I finally finished and published my book, which is called “Algorithms for Commodity Trading Advisors”. Are you a Commodity Advisor or Futures Trader, looking for ways to improve your workflow, to swiftly re-allocate portfolios for all of your clients, or perhaps to implement low-latency trading systems? Now more than ever, trading algorithms are becoming more …
Continue reading “NEW BOOK: Algorithms for Commodity Trading Advisors”
I made a step-by-step video tutorial showing how to export continuous contract futures bar data from Sierra Chart to Zorro. You will find it here on YouTube:
I made a step-by-step video tutorial showing how to set up Zorro to use the Visual Studio C++ debugger. You will find it here on YouTube:
Just a quick update that I am now operating full time and am accepting new clients. Below is the video version. As always, I can be reached via email: andrew@vitaltrades.com. My YouTube channel is here: https://www.youtube.com/@vitaltrades My GitHub code repository can be found here: https://github.com/AndrewAMD Thanks, and I look forward to working with you! – Andrew …
I recently worked on an Interactive Brokers TWS API implementation in C++, and I wanted to share some thoughts on it while they are fresh in my mind. Intro The purpose of this post is to prove that IB’s TWS API has a socket implementation that is replaceable. I made an implementation that retains all …
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Executive Summary I describe a way to add exact fees and credits to any Zorro backtest, using the new enterTrade() function. I will be needing this capability to detect the minimum capital requirements of my Don System by determining the exact Interactive Brokers commission fees incurred. Motivation Shortly after I published my success story, I …
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Executive Summary I wrote a stock trading system. It trades NYSE and NASDAQ stocks long-only, using Zorro and IB. It appears to be profitable in backtests, and it passed a reality test suggested by Johann Christian Lotter. Licenses for sale. Disclaimers Before we begin, I have some obligatory reminders: Historical backtest performance does not imply …
Continue reading “Success Story 1: Stock Momentum Trading System”
In this second part of my Continuous Futures mini-series, we will convert our Sierra Chart continuous futures CSV data to Zorro’s T6 format. Analysis of the CSV Data Let’s take a look at the first few lines of the file, to see what we are parsing: Date, Time, Open, High, Low, Close, Volume, NumberOfTrades, BidVolume, …
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In this mini-series, we will export continuous futures data from Sierra Chart as a CSV and import it to Zorro in T6 format. I will assume the reader has some basic knowledge of how futures work. For this post, I will focus on the data acquisition. Continuous Contracts in Brief First of all, a “continuous …
Continue reading “Continuous Futures Data in Zorro 1: Data Acquisition”
This is part 2 of the Darwinex API series (part 1 is here). We will parse Darwinex’s historical data, which is in the JSON format. Normally, we would use Zorro’s dataParseJSON() function for such a task, but the function’s present incarnation does not appear to support the eccentric format that we have downloaded. (Perhaps someone …