ATP [Advanced Trading Platform]

[Ianwhitbread]

Yeah Tell me about it just when the ATP has behaving its self so well and BANG!  pop goes mtgox

Im sure Mtgox does it on purpose if not changing the API more times then I have hot dinners  then they simple go offline

just to note I can not even login  on the website

so totally frozen out


really makes me angry as I was doing well

now when I start the atp  who knows what it will do, sell or buy!  because the collected data will be out of sync

and grrrrrrrrrrrrrrrrrrr

just so bloody angry!!!!

[Ianwhitbread]

Back online now

[Ianwhitbread]

bloody prime example

just gone back online

last trade before the going offline

sold at $99

first trade going back online buy at $100

sorry just had to get that off my chest

if the ATP was online all the time  no way would it done that trade

it has been 3 days without a duff trade. now this happens

Thank you MTGOX

sorry Aido and Nova

[Aido]

hope all is well with you Aido, you have been kinda silent lately

All is well Ianwhitbread, thanks for asking. I'm just quietly plotting the next move in my world domination masterplan! 

I've been toying with the idea of using the TA-Lib Technical Analysis Library in AidoATP. Once the library has been integrated into the code it will give easy access to over 200 indicators such as ADX, MACD, RSI, Stochastic, Bollinger Bands etc.

I'm not sure yet, it would take a bit of work and its summertime in the northern hemisphere.

[Ianwhitbread]

My goodness me

Who thinks of the names on this list

Think I better go back to school to find out
What all of these name do!  Lol

Yes very hard to sit behind a computer when the sun is out
Even harder if you live near a beach or park

At least we all know your not a vampire now
It's good to get a bit of sun, keeps us all happy.

[Nova!]

bloody prime example

just gone back online

last trade before the going offline

sold at $99

first trade going back online buy at $100

sorry just had to get that off my chest

if the ATP was online all the time  no way would it done that trade

it has been 3 days without a duff trade. now this happens

Thank you MTGOX

sorry Aido and Nova

It should not have done that.  If it's been offline for an hour or more the old ticks should have completely expired out and it should have gone back into observation mode.
Can you post your configuration sans any secret bits like MtGox API key?  I'm curious as to why it would have executed like that.  Also how much did you lose on that trade?

[Nova!]

hope all is well with you Aido, you have been kinda silent lately

All is well Ianwhitbread, thanks for asking. I'm just quietly plotting the next move in my world domination masterplan! 

I've been toying with the idea of using the TA-Lib Technical Analysis Library in AidoATP. Once the library has been integrated into the code it will give easy access to over 200 indicators such as ADX, MACD, RSI, Stochastic, Bollinger Bands etc.

I'm not sure yet, it would take a bit of work and its summertime in the northern hemisphere.

That's actually an awesome little library.  I'll get it into ATPx right away too.

[Ianwhitbread]

Yes sure nova

I will try to do it this morning

Thank you

Ian

[Askit2]

Any news on the streaming ticker?

I only ask because (I can afford to lose the money) I get buys from ATP frequently but virtually never a sell. Its like the 2-5 minute breaks in prices cover all the best prices. Are the buys profitable? Sure If I sat on MTGoX to sell when it dropped enough.

[ewibit]

the problem are the high fees on gox...

[Aido]

Any news on the streaming ticker?

Due to big changes made to the XChange 1.7.0 methods for creating a streaming ticker it is now a bit more difficult to implement one in AidoATP than it was previously. It is on my TODO list but I'm working on a a couple of other things at the moment. e.g. I have totally rewritten the arbitrage code which I hope to commit to Github over the next few days. After that I plan to implement TA-Lib. After these two changes are in a somewhat working shape I will then look at the streaming ticker again.

[Askit2]

I appreciate all your hard work.

With the max tick set to 120 and the polling set to 30 I have a USD ticker size of 100..... in a perfect world I should have 240 ticks. In the real world I am not sure I should be under 50% but MTGoXs ticker doesn't reliably give me a response twice a minute or even once a minute. Setting max tick to 60 gave me even worse trades.

I like ATP and think that without the missing data I might actually see a profit. Today I get to trade back from -7%. This isn't the worst day ATP has had. and likely will not be the worst day it ever has. Since ATP trades me 100% or as close as it can into fiat if the market ever goes up I get huge losses. This would usually be counteracted by selling around the trend but for the life of me I have found only one way to make it sell. Risk algo 3 and max loss 1 when the market is down big or at least down often. I can't watch it 24/7 to swap algorithms and I don't think it should have as much trouble selling.

I know the weighting system is likely what I am running into. Short of having 30$ it won't sell anything. My balance isn't high enough to keep that much of a slush fund. So I see losses and trade manually back out of them.

[Aido]

Hi Askit2,

Have a chat with Ianwhitbread. Sorry, I am a bit too lazy at the moment to search back through the thread, but it seems he had hit upon a winning formula and was happy enough with the small but consistent profit ATP was generating (barring MtGox cock ups that is).

Maybe if you ask him nicely he will tell you his secret.


Mental note to self....ask Ianwhitbread for his config settings 

[Nova!]

Any news on the streaming ticker?

Due to big changes made to the XChange 1.7.0 methods for creating a streaming ticker it is now a bit more difficult to implement one in AidoATP than it was previously. It is on my TODO list but I'm working on a a couple of other things at the moment. e.g. I have totally rewritten the arbitrage code which I hope to commit to Github over the next few days. After that I plan to implement TA-Lib. After these two changes are in a somewhat working shape I will then look at the streaming ticker again.

I've been looking closer at TA-Lib and probably won't be putting it into ATPx.  There's no javadoc I could find on it, the forums don't seem to be working on my end and the last release was 2007.  I just don't see a way to integrate this library.

ATPx also won't be using the eXchange API from ATP.  The library is making too many assumptions I don't like and if MtGox or any other places changes something we are hosed until they put in a patch to the lib.  I'm working on a new interface that uses the streaming sockets API for MtGox.

[Nova!]

Aido what do you think about us implementing something like this for trading logic?
http://www.eclipsetrader.org/wiki/JavaScriptReference

Signals in ATPx will likely all be individual modules registered with a "SignalManager" object which itself is a tick consumer.
When a tick comes in from the exchange it would notify the SignalManager which would then notify the individual signal modules.

Trading logic would register itself with all the relevant signal modules, and be notified when a signal changes state or value.  It would then check to see if the current state of signals demands a trade. 

If we implement the programmable trading logic as javascript, anyone could write their own trade logic and modify it on the fly if necessary.
 

[Nova!]

And of course I posted that to the wrong thread.  Sorry.

[Ianwhitbread]

HAHA  

SEE MEN CANT MULTI TASK NOVA

I  did PM my settings over to you  ( I  hope I have not done a you ) and pinged it to the wrong place lol

and the amount I lost with the MTGox hiccup was not massive,  quite small like £5

so no major shakes

edit
but then I am not playing with massive amounts of money

just playing with 1btc at the moment

seeing what different formula do, doing some reading to find out what best

its would be perfect if I was clever enough to be able to do a proper back test in ninja trader  or something  like that

but have never been able to import the data to get it working or find the time to get it working

with many of us

I do this in my spare time

I work Full time in my "real life" and have a lovely wife and daughter  to look after, so don't tend to be on the computer in front of them.

but
its slow but i will surely learn from the mistakes I make

[Nova!]

HAHA 

SEE MEN CANT MULTI TASK NOVA

I  did PM my settings over to you  ( I  hope I have not done a you ) and pinged it to the wrong place lol

and the amount I lost with the MTGox hiccup was not massive,  quite small like £5

so no major shakes

I got it, I'm going to try running with similar settings, but I have a feeling the other trading logic didn't know how to deal with the shortened ticker.  The VWAP logic should have just caught it and waited until it had sufficient recent ticks to make a decision. 

[Askit2]

Hi Askit2,

Have a chat with Ianwhitbread. Sorry, I am a bit too lazy at the moment to search back through the thread, but it seems he had hit upon a winning formula and was happy enough with the small but consistent profit ATP was generating (barring MtGox cock ups that is).

Maybe if you ask him nicely he will tell you his secret.


Mental note to self....ask Ianwhitbread for his config settings 

The logic isn't the problem well at least my trading logic isn't. When MTGoX ticker was reliable for me this logic made me ~3% per day easily. By reliable I mean with a polling interval of 30 and a max tick age of 60 I had a USD with 90+ ticks. I was missing 1/4th of the ticks or less.

Currently with a 30 second polling interval and a max tick age of 120 I get less then 110. The perfect number would be 240. So I have 110 data points and am missing 130 data points. How accurate can I expect any trade logic to be missing half its data? I would say maybe 50%.

Currently on MTGoX I get reliable ticker data sporadically and I miss blocks of time of at least 2 minutes and usually 5 minutes regularly. How accurate could the trade be on the tick after a 5 minute sabbatical? I would bet not very. Add to that fun fact that the ticker frequently goes AWOL when the market heads a direction quickly and I get a lot of missed trades.

Even if the logic is great it is very hard to fight the nothing storm from MTGoX. I can sit on MTGoX website and when ATP loses its ticker at a weight of .009BTC of .01 BTC minimum (MTGoX tells me that is the minimum). I can watch the market go in the required direction for the trade to execute at a rate fast enough the ticker isn't bumped around much. The trade is missed by the nothingness. When the next tick comes in half the time the market is up slightly and it buys if the market had been heading down.

I'm not saying ATP is bad. But with a large near term gap in data maybe a trade isn't the best thing on the next tick. Possibly I am the only one having this much trouble with MTGoX ticker. I doubt it. Maybe the 50X errors crashing ATP only happen to me. I doubt it. Maybe the missing ticker data only happens to people who haven't paid MTGoX enough in fees. I don't know. Some one is trading when I can't get data. I can literally watch it happen.

Right now I have a max tick age of 120 and a polling interval of 15. I should have 480 data points. I have 130. I am averaging 25% successful polls. If I actually got 1 per minute reliably I would be OK with it. I get bursts of 2 minutes of polling then nothing for more. When I am lucky I get 2 in 60 seconds. It doesn't matter what I set the polling interval to I average a low %. I really doubt that any trading logic deals well with intermittent data. If you can point out one that that actually times out so it would stop trading when I am missing too much data I would very likely add it.

I appreciate both Aido and Nova's work I asked about the ticker because I am quite sure it would fix my problem or at least lessen the problem.
Some other fun facts.
I started with 0.41 BTC.
Today I had more then 15 BTC trading volume for the month.
Today I had 0.36 left. I have lost maybe 6$.
The logic is solid. It buys USD when I would want and sells USD when I want.

[Aido]

Understood.

I will look into the Streaming ticker code when I get a chance.