|
For execution I use Tradovate(which uses Dorman Clearing LLC). They have low commissions, and offer a membership to reduce commissions to $0(you still have to pay exchange costs though). Before Tradovate, I had used AMP for execution, but eventually left them over the cost of commissions. I use a 8 tick stop and a variable profit target(a result of weekly re-optimizing). Last week the target was 24, and the week before the target was 16. The stop loss value I don't like to change, and 8 ticks has been enough for "good" entries. If I need more than 8 ticks, then I believe the entry price is my mistake - not the stop loss value. I perform optimization every Friday, using that week as the training data to find the "best" thresholds for changes in depth before signaling a trade. Then the next Monday, I'll use those new values all week(and repeat the cycle that Friday). Basically - re-optimize every week. It's not a lot of work, just input the starting date, click optimize, and wait ~20m for the outputs. I like to keep track of each week's settings, with the plan to one day review their changes, and try to reason about why those changes happened(I haven't done this yet though, it's one of those one-day-I-ought-to ideas). I don't have any algorithm parameters for unexpected volatility, the closest I have is a condition that turns the automatic entries off if the nearest 4 bids and asks(examining a total of 8 prices) contain more than 4 ticks of spread(no bids or asks), and both sides limit orders sum to less than 30. I didn't add that until sometime around Valentine's day 2018(that was not a good couple-of-days). When that happens, it disables entries and sends me an SMS. |