Trading Pairs

[srvsrv]

Is anyone using NT to trade pairs?

A quick search of the forum did not turn up anything encouraging.
I don't know where I got the idea but I thought NT7 was going to support pair trading (I'm new to this, I think some people call it "trading spreads", maybe that's just for options.)
I may have misunderstood what was meant by support for "multi-instrument" indicators/charts(?) If so, the fault is mine for not asking earlier.

Thanks

[kdoren]

I trade pairs. I have a multi-instrument multi-timeframe strategy that I developed under NT6.5 which I now run under NT7; I use it for strategy development, backtesting, & optimization, and NT has worked out really well for this. NT7 allows optimizing over the combined results for an instrument list, so it's a big improvement. Entry and exit points are currently calculated using daily data, and the trade entries and exits are backtested using 1-minute data.

I don't use NinjaTrader for live pairs trading, for a couple of reasons.

1) I make extensive use of Interactive Brokers "Generic Combo" orders to enter and exit trades, which NT doesn't support to my knowledge. Generic Combo orders are great, they let you define your own synthetic "security", i.e. buy 5 shares of XXX and sell 9 shares of YYY. I enter limit orders, and IB executes the order when the spread reaches the desired amount.

2) Every night I calculate tomorrow's entry and exit prices using a large (300 column) Excel spreadsheet with prices fed from IQFeed using a tool called XLQ (great product), based on the strategy rules and parameters I developed with NT. I started out trying to make my NinjaTrader strategy output the trigger prices, but that didn't work because they are based on Daily data, and NT won't call OnBarUpdate for today's data until the next bar starts forming tomorrow morning after the market opens. This deficiency still exists in NT7.

3) I currently hold 10-20 pair positions at a time, and monitor over 100; I use a tool called PairTrade Finder to help in pair selection and monitoring. I may experiment with building a single strategy to do all of that, to see if it would be workable (each pair requires 4 Bars Objects), but I haven't tried that yet.

I don't trade pairs from charts, but I'm experimenting with multi-input multi-timeframe charts and indicators under NT7 to aid in strategy development. I've made indicators for Ratio, Correlation, and some more complicated things specific to my strategy. They work as far as displaying in a chart is concerned; the Symbol for the secondary instrument is passed as a string parameter. NT7 really should allow multiple DataSeries as inputs, which would generalize much better, but unfortunately it doesn't, so for example I can't use my ratio indicator on 2 moving average indicators. I may upload some of them when I'm sure they're final.

I've been running into trouble trying to use indicators on indicators. Some of the problems have been issues which I've been able to fix in my indicators, but I believe that there are also some bugs in NT7 in this area. I'll post a bug report if I can figure out a simple way to reproduce the problems.

NT has its issues, but the ability to develop multi-instrument multi-timeframe strategies has been critically important to me, and it works quite well.

Good luck, -Kevin

[srvsrv]

Trading Pairs

Kevin,

Thanks for your very helpful post.
Checking out your approach (tools &etc) should keep me busy awhile, at the very least you've saved me going down a dead end or two.

Steve