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.
Topic: ATP [Advanced Trading Platform] - page 6. (Read 20894 times)
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.
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
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
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.
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.
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.
the problem are the high fees on gox...
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.
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.
Yes sure nova
I will try to do it this morning
Thank you
Ian
I will try to do it this morning
Thank you
Ian
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.
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
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?
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.
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.
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.
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
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
Back online now
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!!!!
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!!!!
Same error just slightly different debug.
2013-06-16 15:31:24,034 ←[1;31m:←[0;39m ERROR: Caught unexpected exception, shutting down MtGox trend following trading agent now!
. Details are listed below.
com.xeiam.xchange.ExchangeException: Error calling getAccountInfo(): CONF Redis is configured to save RDB snapshots, but is curren
tly not able to persist on disk. Commands that may modify the data set are disabled. Please check Redis logs for details about the
error.
at com.xeiam.xchange.mtgox.v2.service.polling.MtGoxPollingAccountService.getAccountInfo(MtGoxPollingAccountService.java:89
)
at org.aido.atp.AccountManager.refreshAccounts(AccountManager.java:121)
at org.aido.atp.AccountManager.getBalance(AccountManager.java:105)
at org.aido.atp.TrendTradingAgent.evalAsk(TrendTradingAgent.java:394)
at org.aido.atp.TrendTradingAgent.run(TrendTradingAgent.java:344)
at java.lang.Thread.run(Unknown Source)
I really wish MTGoX was a little more reliable.
Code:
2013-06-16 15:31:24,034 ←[1;31m:←[0;39m ERROR: Caught unexpected exception, shutting down MtGox trend following trading agent now!
. Details are listed below.
com.xeiam.xchange.ExchangeException: Error calling getAccountInfo(): CONF Redis is configured to save RDB snapshots, but is curren
tly not able to persist on disk. Commands that may modify the data set are disabled. Please check Redis logs for details about the
error.
at com.xeiam.xchange.mtgox.v2.service.polling.MtGoxPollingAccountService.getAccountInfo(MtGoxPollingAccountService.java:89
)
at org.aido.atp.AccountManager.refreshAccounts(AccountManager.java:121)
at org.aido.atp.AccountManager.getBalance(AccountManager.java:105)
at org.aido.atp.TrendTradingAgent.evalAsk(TrendTradingAgent.java:394)
at org.aido.atp.TrendTradingAgent.run(TrendTradingAgent.java:344)
at java.lang.Thread.run(Unknown Source)
I really wish MTGoX was a little more reliable.
sigh
why does MTgox have to make changes or go offline so often
got this error
2013-06-16 22:21:16,785 : WARNING: Testing connection to exchange MtGox
Exception in thread "Thread-3" com.xeiam.xchange.ExchangeException: Error calling getAccountInfo(): CONF Redis is configured to save RDB snapshots, but is currently not able to persist on disk. Commands that may modify the data set are disabled. Please check Redis logs for details about the error.
at com.xeiam.xchange.mtgox.v2.service.polling.MtGoxPollingAccountService.getAccoun tInfo(MtGoxPollingAccountService.java:89)
at org.aido.atp.AccountManager.refreshAccounts(AccountManager.java:121)
at org.aido.atp.AccountManager.run(AccountManager.java:101)
at java.lang.Thread.run(Thread.java:722)
im sure its not ATP as I cant even login on the website
roll on other support for different platforms
hope all is well with you Aido, you have been kinda silent lately
why does MTgox have to make changes or go offline so often
got this error
2013-06-16 22:21:16,785 : WARNING: Testing connection to exchange MtGox
Exception in thread "Thread-3" com.xeiam.xchange.ExchangeException: Error calling getAccountInfo(): CONF Redis is configured to save RDB snapshots, but is currently not able to persist on disk. Commands that may modify the data set are disabled. Please check Redis logs for details about the error.
at com.xeiam.xchange.mtgox.v2.service.polling.MtGoxPollingAccountService.getAccoun tInfo(MtGoxPollingAccountService.java:89)
at org.aido.atp.AccountManager.refreshAccounts(AccountManager.java:121)
at org.aido.atp.AccountManager.run(AccountManager.java:101)
at java.lang.Thread.run(Thread.java:722)
im sure its not ATP as I cant even login on the website
roll on other support for different platforms
hope all is well with you Aido, you have been kinda silent lately
I'll let the code answer this:
https://github.com/aido/AidoATP/blob/master/src/main/java/org/aido/atp/TrendTradingAgent.java#L267
So, VWAPCross_Up is true when last price > VWAP (i.e. current price has crossed up above VWAP, up trend) and VWAPCross_Down is true when last price < VWAP (i.e. current price has crossed down below VWAP, down trend).
Maybe Probably my choice of terms 'up' and 'down' was not the best.
The VWAP Cross indicator should probably be used in tandem with one of the other indicators.
Although, looking at the code now my description in the README isn't quite accurate. It uses current bid and current ask instead of last; a slight difference.
https://github.com/aido/AidoATP/blob/master/src/main/java/org/aido/atp/TrendTradingAgent.java#L267
Code:
if (currentBid.isGreaterThan(vwap)) {
tradeIndicator.put("VWAPCross_Up",true);
} else if (currentAsk.isLessThan(vwap)) {
tradeIndicator.put("VWAPCross_Down",true);
}
tradeIndicator.put("VWAPCross_Up",true);
} else if (currentAsk.isLessThan(vwap)) {
tradeIndicator.put("VWAPCross_Down",true);
}
So, VWAPCross_Up is true when last price > VWAP (i.e. current price has crossed up above VWAP, up trend) and VWAPCross_Down is true when last price < VWAP (i.e. current price has crossed down below VWAP, down trend).
The VWAP Cross indicator should probably be used in tandem with one of the other indicators.
Although, looking at the code now my description in the README isn't quite accurate. It uses current bid and current ask instead of last; a slight difference.
This taken into consideration if I want to use vwapcross algo correctly should my ask and bid logic look like this:
ask_logic: ADS_Down && VWAPCross_Down
bid_logic: ADS_Up && VWAPCross_Up
Or did I completely misunderstand the readme:
Quote
The trend observer functionality constantly monitors the market for trends. A combination of the Advance/Decline Spread, SMA and EMA algorithms decide what way the market is trending.
Market Trending Down = Look at buying
Market Trending Up = Look at selling
Once it is decided the trend is up (ask) or down (bid) it then compares the last transaction to the VWAP.
The ratio of last price versus VWAP is used as a waterline to make the final determination that we will take an action.
If trend = down & last < VWAP then buy
If trend = up & last > VWAP then sell
Market Trending Down = Look at buying
Market Trending Up = Look at selling
Once it is decided the trend is up (ask) or down (bid) it then compares the last transaction to the VWAP.
The ratio of last price versus VWAP is used as a waterline to make the final determination that we will take an action.
If trend = down & last < VWAP then buy
If trend = up & last > VWAP then sell
Sorry, sometimes I just can't resist a smart ass comment.
Have a read through the thread.
e.g.
Have a read through the thread.
e.g.
The vwapcross algo actually has decent performance and regular revenue generation in a static market.
You need to set the algorithm to high risk (when the market is flat like it's been), set the minimum currency trade size to 0.01, the minimum BTC to the exchange minimum for MtGox this is 0.001, the max local currency to 1, the max BTC to 0.1 ($10 is a lot of money to me and BTC is currently $120ish). Max loss tolerance of 0.25 (this translates to a risk of between 1 penny and 1 quarter).
Then you need to enable trading across multiple currencies such as GBP, EUR & USD. (I've got all currencies enabled, but performance seems to be in those 3).
You need to set the algorithm to high risk (when the market is flat like it's been), set the minimum currency trade size to 0.01, the minimum BTC to the exchange minimum for MtGox this is 0.001, the max local currency to 1, the max BTC to 0.1 ($10 is a lot of money to me and BTC is currently $120ish). Max loss tolerance of 0.25 (this translates to a risk of between 1 penny and 1 quarter).
Then you need to enable trading across multiple currencies such as GBP, EUR & USD. (I've got all currencies enabled, but performance seems to be in those 3).
What's your advice on bid and ask logic ?
I advise using bid and ask logic that will make a profit
Right ! ^^
have you tested some things yet ?
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