Wow. 22% in one day. Not bad… When the computer loses money it is his fault. When it kicks some ass like it did today – well, you know only a genius could come up with a brilliant trading system like this.
This feels pretty damn good. March is turning out to be a much different month than February. For the month, our expectancy is 1.23 and our win rate is 83%. The ATS made 7 trades today and all of them were winners – and it even crashed!
At around noon the damn thing crashed. We are starting to get a better idea of why this is happening. From the logs we can see that it often loses connection with the trade server briefly during the day. When it reconnects, the server is sending us some data that is killing the ATS. I brought up the window to check on it and it was just gone.
It doesn’t close the positions when it crashes, so I just let them run – as it would do if it didn’t crash. I went for a walk and when I came back around 2:30, I noticed that we were up about 25%. I called my friend and we discussed what we should do. Should we close everything and stop for the day? Since I’m the trader, he left it up to me.
I was torn – the ATS would just wait until the close. But 25% is a lot, and I didn’t want to give back most of the gains in the last hour and a half of trading. So I made an executive decision. I decided to close half of everything. You can’t really lose by closing half. We are now going to implement something like this into the strategy of the ATS – to take some profits if we are up a lot.

This entry was posted on Tuesday, March 6th, 2007 at 5:13 pm and is filed under ATS. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.