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PostPosted: Wed Oct 31, 2007 3:10 am 
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Joined: Fri Oct 19, 2007 2:37 am
Posts: 8
How many have been using OQ for live trading so far?
I very want to hear any opinion about using OQ with real money!
Any problems?
Maybe someone works with IB and OQ in live mode?

Thanks!


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PostPosted: Tue Apr 29, 2008 12:35 am 
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Joined: Fri Feb 08, 2008 5:46 pm
Posts: 26
Anyone out there using it for Live Trading? I just want to confirm that a few customers are up and running before I buy.


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PostPosted: Tue Apr 29, 2008 1:18 am 
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Joined: Thu Oct 25, 2007 12:11 am
Posts: 86
Location: Austin, Texas
I, too, would like to know if anyone out there is successfully running live with OQ.

I have been testing a strategy that runs live, but with a paper trading account at IB, and so far I have had about 4 or 5 serious bugs and missing features crop up that make OQ unusable for live trading, at least for the strategy that I am attempting to implement.

I have reported these bugs, and sent example code to recreate them, but so far have not had them resolved. It has been about two weeks. I assume they're working on it and it will be fixed soon - however, I haven't received an update recently; maybe they're all fixed already in version 2.5 - I can't tell, I haven't gotten a response yet for my request to list the bug fixes/features in version 2.5.

Regards,
DFT


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PostPosted: Tue Apr 29, 2008 10:23 am 
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Joined: Fri May 25, 2007 1:57 am
Posts: 24
I am running live with real money:
InteractiveBrokers Friends and Family (FA) account, 3 sub-accounts
11 strategies
1-minute bars
9 Futures and 3 ETFs
Approx 20 round-trip trades per day (the strategies are pretty selective).

On my most active strategy (about 15 trades/day): Version 1 of the code worked well in paper-trading mode, but when I went live I found I had a bunch of issues. Most serious consequence was having an open futures position at the end of the day when I should have been at zero. I was extremely lucky to see and close that position before it went against me.

I totally overbuilt all sorts of guards into version 2 of that strategy. That made it fairly robust, but I still didn't feel comfortable leaving it completely unattended as I kind of lost track of all the possible states the system could be in and didn't trust that all exceptions would be handled.

Then one Saturday morning I sat down, re-thought my implementation, considered the issues I was having, and looked at all the events OQ can generate. I refactored the code in about 2 hours (the computational piece didn't change). One of the things I added is a panic timer that is set to trigger in 75 seconds to cancel everything and close all positions. At each new 1-minute bar, I do a couple of sanity checks and reset the timer. If I don't reset the timer, a full Clean Deck is triggered. In real life, this is happening 4-5 times per day on some of the Futures I trade (up-till-now only due to a break in IB's market data).

I deployed version 3 of this strategy 4 weeks ago, and after closely watching for the first week I felt comfortable letting it go unattended. For the last three weeks I just start IB TWS and OQ in the morning, and don't look at the results again until the next morning (which saves me the aggravation of watching the intraday ups and downs).


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PostPosted: Wed Apr 30, 2008 3:43 am 
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Joined: Fri Feb 08, 2008 5:46 pm
Posts: 26
Dareminator,

Thanks for the honest update! Could you share the basic premise behind your sanity checks? I am not looking for code, but just saftey ideas.


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PostPosted: Wed Apr 30, 2008 12:07 pm 
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Joined: Mon May 21, 2007 2:51 pm
Posts: 30
thank you to let us know, dareminator

would be also interested in an exchange of ideas to increase dependability for unattended use of strategies, in my case also with ib.

think would be worth discussions along the complete chain

- internet connection (dsl, cable, provider interrupts and ip-changes, router-failures etc. ) mostly there are only short interruptions, how to handle, any ideas like always position limits and do checks as soon system is back online

- is the strategy in the right state according to its positions etc. (manual adjustments to a running strategy??)

will post ideas with progress of my developments...


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PostPosted: Wed Apr 30, 2008 3:51 pm 
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Joined: Fri May 06, 2005 1:40 am
Posts: 521
necho wrote:
is the strategy in the right state according to its positions etc. (manual adjustments to a running strategy??)

On this topic see Dareminator's latest post on how he is working around the "Partial Fills and stuck orders" problem (a good post BTW). What Dareminator describes sounds similar to what I and probably every other user who has been using OQ/QD for Live/Unattended trading is forced to do - graceful order management and portfolio synchronisation handling. Since some of my strategies keep positions open for days at a time, portfolio syncronisation with broker side can get... tricky.

To help build your own base library to keep portfolio's synchronized and avoid "Partial Fills and stuck order" type complications described in the above thread, perhaps check out the free library ".NET State Machine Toolkit". I have not used it yet, but have my eye on it for a rewrite of my order and portfolio synchronisation handling code. Since the issues are more or less universal no matter what type of strategy sits on top, ideally it should probably become part of the framework or a standard module. Standard interfaces to sit between any strategy and any brokers order system would speed up live strategy development a lot ([edit] and make changing brokers hassle free).

Maybe if it can't be part of the framework, it could be a good OQ community project... overall design, testing/spotting bugs and problems may benefit from a collective effort.

[edit] P.S. If your not sure what a state machine is or how it can help here, check out part one of the series: http://www.codeproject.com/KB/cs/statem ... parti.aspx
Quote:
What are state machines?
A state machine is a model of how something behaves in response to events. It models behavior by making its responses appropriate to the state that it is currently in. How a state machine responds to an event is called a transition. A transition describes what happens when a state machine receives an event based on its current state. Usually, but not always, the way a state machine responds to an event is to take some sort of action and change its state. A state machine will sometimes test a condition to make sure it is true before performing a transition. This is called a guard.


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PostPosted: Wed Apr 30, 2008 4:49 pm 
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Joined: Thu Mar 20, 2008 4:41 pm
Posts: 273
Location: Sweden
krn_2k wrote:
necho wrote:
is the strategy in the right state according to its positions etc. (manual adjustments to a running strategy??)

On this topic see Dareminator's latest post on how he is working around the "Partial Fills and stuck orders" problem (a good post BTW). What Dareminator describes sounds similar to what I and probably every other user who has been using OQ/QD for Live/Unattended trading is forced to do - graceful order management and portfolio synchronisation handling. Since some of my strategies keep positions open for days at a time, portfolio syncronisation with broker side can get... tricky.

To help build your own base library to keep portfolio's synchronized and avoid "Partial Fills and stuck order" type complications described in the above thread, perhaps check out the free library ".NET State Machine Toolkit". I have not used it yet, but have my eye on it for a rewrite of my order and portfolio synchronisation handling code. Since the issues are more or less universal no matter what type of strategy sits on top, ideally it should probably become part of the framework or a standard module. Standard interfaces to sit between any strategy and any brokers order system would speed up live strategy development a lot ([edit] and make changing brokers hassle free).

Maybe if it can't be part of the framework, it could be a good OQ community project... overall design, testing/spotting bugs and problems may benefit from a collective effort.

[edit] P.S. If your not sure what a state machine is or how it can help here, check out part one of the series: http://www.codeproject.com/KB/cs/statem ... parti.aspx
Quote:
What are state machines?
A state machine is a model of how something behaves in response to events. It models behavior by making its responses appropriate to the state that it is currently in. How a state machine responds to an event is called a transition. A transition describes what happens when a state machine receives an event based on its current state. Usually, but not always, the way a state machine responds to an event is to take some sort of action and change its state. A state machine will sometimes test a condition to make sure it is true before performing a transition. This is called a guard.


I'm about to start running live any day now, and sooner or later I'm gonna be working on something to keep the orders in sync. I'd love to collaborate on it with the rest of the community :)


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PostPosted: Tue May 27, 2008 4:18 pm 
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Joined: Tue Apr 29, 2008 6:01 pm
Posts: 7
Hi Letharion, are you running Openquant live yet?
I use 2.5.2 an still struggle to get things going in a stable manner.


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PostPosted: Wed May 28, 2008 11:04 am 
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Joined: Thu Mar 20, 2008 4:41 pm
Posts: 273
Location: Sweden
Yes I am
So do I.

At the moment, I have 2 problems.

(1) My bars don't build correctly.
Had I not been on daily bars, I couldn't have used OQ at all. At the moment it's mainly very inconvenient. Nearing the close, I turn the strategy off, build daily bars from the trade data I have gathered during the day, and until I have gathered enough trade data to support my calculations, I then need to import from .csv files. (Because I need to overwrite my current data with the new trade-data. This will become a lot easier in a week or so. But ofc I'd like OQ to just correctly build daily bars automatically for me.
This is, as far as I can tell, a problem with OQ.

(2) Somewhere along the line, automatic reconnection fails.
Every evening, I get booted from my brokers system. During the next morning, OQ attempts to reconnect automatically, which is great, or would have been, had it worked. For some reason, the socket never opens, and no connection can be established to the broker until I restart OQ.
This may very well be an issue with QuickFIX, or my FIX-coding. I don't think OQ is to blame for this.

Usable for testing on a smaller scale, but for me personally, nothing I will entrust any bigger amount of money too. Nor would recommend to someone "new" who can't accept loosing money to such "experimentation".

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PostPosted: Wed May 28, 2008 11:27 am 
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Joined: Tue Apr 29, 2008 6:01 pm
Posts: 7
Thanks for your answer!
I feel that I don´t have the right to blame OQ by 100% because I don´t have devoted enough time to OQ yet.
But so far I am very disappointed and feel somehow betrayed because basic functionality does not work properly. And this is what a product that is already in version 2.5.2 should do.
The question is do I devote more time and keep on struggeling or do I quit this product.
I´ll keep you informed.


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PostPosted: Wed May 28, 2008 12:39 pm 
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Joined: Thu Mar 20, 2008 4:41 pm
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Location: Sweden
I think OQ is a good product, but it lacks a good deal of polish. Things are getting fixed.
As long as my problems get solved I'm likely to stick around.

What exactly are you struggling with D1? I don't think I've seen anything about that?

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PostPosted: Thu May 29, 2008 2:38 pm 
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Joined: Tue Apr 29, 2008 6:01 pm
Posts: 7
OQ has the potential to be an excellent product, is very polished but lacks a good deal of repair. When you buy a new car you want to drive immedeately and not hear we will probably fix it within the next weeks.
I have unexpected crashes etc.
I will dig deeper into it over the weekend.


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PostPosted: Thu May 29, 2008 3:27 pm 
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Joined: Thu Mar 20, 2008 4:41 pm
Posts: 273
Location: Sweden
Do that :)
In OQs defense, most of the "crashed" I've seen so far, hasn't been OQs fault, but my own.
I don't know how much you know about programming, but a simply try catch removes a lot of problems.

Yes, OQ sometimes could handle such issues with more grace, but the try catch often should have been there in the first place :)

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PostPosted: Fri Aug 29, 2008 8:38 am 
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Joined: Fri Aug 29, 2008 8:34 am
Posts: 2
I have an OQ license but I've had to shelve it for now because I can't get any support from OQ. In fact, I've been waiting since June for the answers to 3 questions I posted there.

www.verified-trading.com


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