Gekko needs ticks
(04-18-2018, 02:31 PM)askmike Wrote: In my opinion realtime market data is only important when you are looking at small timeframes and doing anything related to micro market structures. If you build a strategy around a weekly or monthly trend in a market you really don't care about all trades and orderbook ticks happening every second.

You should always care about entries and exits.  The purpose here is to succeed, to make money.  Taking every advantage isn't just natural, its a necessity.

Why does the paper trader have a 'slippage' setting if not to approximate slight losses in entries and exits.  That slippage is microscopic compared to this problem.

Ignoring entry levels chosen  by your strategy, or making them random within the span of a multi-minute or hour candlestick price range is a mistake of the highest order.

The only sane way to trade the equivalent of a ten-minute candlestick chart with Gekko is to set it to 1-minute candles and set indicator inputs (MAs, etc.) to ten times the ten-minute settings.  (This is just an approximation.)

But while your entries and exits with 1-minute candles will be better, they'll often still be pretty terrible.  Price can move pretty far in a minute.

Strategies generate buy and sell signals at specific price levels, not wild approximations.  Gekko will sometimes give you better than expected fills, true.  And other times really bad ones.  Mostly it's random.  This makes a shambles of back trading results.  Hours of adjustment essentially wasted.

So the answer is to feed trades (ticks) to your charts and strategies.  It's the only thing that makes sense.  It makes drawing charts and running strategies more complex, but that's life.  If you want to compete well you can't give up any advantages.

I'm sorry to be the one to point this out to you.  I like the system you've built.  It would be pretty cool to trade with.  But it's currently not usable.  It has a fatal flaw.  I know this will require a fair amount of rewriting.  But I don't think it's quite as bad as it may seem at first blush.  And it may cause other cool things to happen along the way.


Messages In This Thread
Gekko needs ticks - by richard - 04-18-2018, 11:42 AM
RE: Gekko needs ticks - by ankasem - 04-18-2018, 01:52 PM
RE: Gekko needs ticks - by askmike - 04-18-2018, 02:31 PM
RE: Gekko needs ticks - by richard - 04-18-2018, 11:13 PM
RE: Gekko needs ticks - by Gryphon - 04-18-2018, 02:47 PM
RE: Gekko needs ticks - by susitronix - 05-04-2018, 07:35 PM
RE: Gekko needs ticks - by Gryphon - 05-05-2018, 08:29 AM

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