Automated EOD trading on complete exchange in Portfolio Trader

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fatgecko
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Automated EOD trading on complete exchange in Portfolio Trader

Postby fatgecko » 15 Jun 2021

Hi Everyone,

Has anyone got experience working with Portfolio Trader to do automated EOD trading on a complete exchange (or multiple exchanges)? I am seeking to set up something like:
* Universe = all NASDAQ/NYSE/AMEX (~10000 or so symbols)
* Script processes EOD data after the close, send orders to market before next day's open.

A couple of questions:

1. Is there a way to pass the EOD data automatically to PT without a real-time connection to a data feed. No retail data provider gives RT data for more than 2500 symbols (IQFeed), so PT fails when you try. The strategy only needs EOD data, so I'm wondering if a daily EOD download can be scheduled (in Quote Manager) and passed to autotrading in PT without the need for RT? Or is there some other way to handle this issue?

2. If orders are only generated at the open of the next bar this would appear to introduce a 24 hour delay in order execution. E.g., EOD data is received Monday night, but not processed until the open of the next bar (i.e. on receipt of Tuesday's data on Tuesday night), meaning that orders based on Monday night's data don't make it to market until Wednesday morning.

Hoping there are some experienced users out there to assist with these questions, or tell me automated EOD trading not possible.

Salzburg
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Re: Automated EOD trading on complete exchange in Portfolio Trader

Postby Salzburg » 15 Jun 2021

Hi, i think you will run into problems such as,

- how will you manage to map 10000 symbols since you can really do this manually PER symbol , not in one go.

- How will you manage to keep your 10k symbol up to date on the fly, using Multicharts, quote monitor and portfoliotrader?

- Polygon.io would allow you to pull data request for all symbols at same time, without restrictions. cost around 200usd...
But i dont know how you would get polygon data into MC.

- You can trick MC to execute EOD strategy at the close by using a custom session ending 1 minute before real close, resulting that your order will be executed at the close. Bad part is that you would need to send market order.

I tried myself to pull off something similar to this, but not with 10k symbols, but gave up MC... i think MC is not the right tool for such job as in handling a huge amount of symbols.. Its great for trading a limited set of symbols.

Good luck

fatgecko
Posts: 6
Joined: 18 Mar 2021
Has thanked: 4 times

Re: Automated EOD trading on complete exchange in Portfolio Trader

Postby fatgecko » 15 Jun 2021

Thanks Salzburg. Great to get your thoughts, and find someone else who has tried!

Mapping - have done this using a screen macro, took about 4 hours to complete, so ok there.

Symbol List - don't see this as a huge issue, as I'm ok to compromise with a manual update to the PT instruments on, say, a weekly or monthly basis.

RT data - yes, still a limitation; hoping someone might have some way of doing this.

EOD session - great tip, will give it a go.

Still interested if anyone has comments on getting EOD data into PT for 10000 symbols automatically.


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