Multiple brokers, multiple price series

[mstreck]

Hello,

I want to implementing a strategy which will take entry signals from an instrument from a first broker, but want to execute the orders an a second instrument from a second broker.

Can I handle this as a 'standard' multi-Instrument strategy, i.e. connecting data feed of both brokers, applying the strategy to the first instrument of the first Broker, in the strategy Initialize() method adding the second instrument of the second broker, getting the entry signals from an indicator applied on the first instrument, and executing the orders being linked to the second Instrument?

Will this work?

Any pitfalls I need to know?

Thanks,
Martin

[sledge]

Doesn't sound possible. Where did you read about doing this?

Kinetick is not a broker.

[mstreck]

I have not read about it, just would like to know whether this is possible at all.

I can connect to two brokers that do not have the same instruments, e.g. one with futures and another one with CFDs, and load a chart with two instruments, wherein one is the future and the other one the corresponding CFD.

Since the chart loading is possible, I am wondering whether I can do the same in a strategy.

Thanks for any help. I may just try it out.

Cheers,
Martin

[sledge]

As far as i know, as long as they are not the same type.

You could watch a future and should be able to submit a stock order from a strategy attached to the future.

[NinjaTrader_PaulH]

Hello Martin,

Thanks for your post.

You should be able to create the strategy with the instruments from different feeds and send orders to the specific broker of interest.

[mstreck]

Thanks!

I am trying this with Managed Approach and send the orders to the tick series of the cash instruments, while the entry signals will be taken from the futures instrument.

I guess that Position.Close() will not work, using ExitLong / ExitShort instead is probably better.

I tried to backtest it, but only the first entry works, further entries are not executed in the backtest, so I need to debug it more,

Cheers,
Martin

[mstreck]

I have it up and running now.

I forgot to link all necessary objects to the cash series.

For others who want to implement similar:

I apply the strategy to the primary bar series (futures), where an indicator gives me the entry and exit signals. This only executes bar updates.
Adding the cash tick series for ASK and BID, so I get tick level execution of orders. Then, linking all orders (managed Approach) to the respective tick series of the cash Instrument.
Just be careful to reference Positions[1] and Instruments[1] for the cash series and position management.
TickSize of the cash series you can read once in OnStartUp() by BarsArray[1].GetTickSize(0) and set a double variable accordingly.

Cheers,
Martin

[mstreck]

I have some issues with closing an open Position on the cash series.

I have slightly modified the Setup in that I add only a LAST tick series of the cash Instrument (CFD) as a secondary Price series.
The entries work fine, also entries to the opposite side work fine closing the open Position and open a new Position in the opposite direction. I use ManagedApproach in this strategy.
However, Positions[1].Close() does throw an error. Shall I simply use an Exit order tied to the Price series 1? Or is this a known bug with FCXM (it uses a FXCM account on the cash series)?
Would I Need ASK and BID separate streams to send the Exit order to the opposite stream, or can I simply use LAST Price stream for the Exit orders?

Thanks for any help,
Martin

[NinjaTrader_PaulH]

Hello Martin,

Thanks for your post.

Regrettably the use of Position[1].Close() is unsupported and I am unable to assist with any errors associated with its use.

You should be able to use last to issue exit orders.

[mstreck]

Thanks for this valuable Information. I Change the code to use Exit orders on the LAST tick stream and this works fine.

Cheers,
Martin