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Thread: Ray the Random Robot in the October 2010 Dukascopy JForex Strategy Contest

  1. #1
    Administrator Jim's Avatar
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    Ray the Random Robot in the October 2010 Dukascopy JForex Strategy Contest

    The latest build of Dukascopy's JForex client software is numbered 2.5.9. Unfortunately whilst it still manages to translate Ray's original MetaTrader 4 code into Java successfully it no longer manages to compile the translated version. It's just as well in all the circumstances that Ray already has a completely new personality, hand crafted in the finest Java. Rest assured that Ray is almost as artificially stupid as ever!

    We have made one small change however. To keep his Dukascopy incarnation in closer coordination with his MetaTrader 5 and Strategy Trader clones, Ray now enters the market based on the direction of the last one minute bar, instead of the last tick.

    We decided not to let the new improved Ray loose on October the first, a Friday. Instead we powered him up last night just before the forex markets opened again after the weekend. This morning we awoke to discover that Ray has raced into 10th position overnight.

    JForexOct10-Leaderboard-Oct04.jpg

    He's currently way ahead of last month's winner ipleX, who apparently hasn't bothered to get out of bed yet!
    Reality is merely an illusion, albeit a very persistent one - Albert Einstein

  2. #2
    Administrator Jim's Avatar
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    Ray's Problems with the Bank of Japan

    After another promising start Ray's hopes foundered yesterday, following a surprise announcement by the Bank of Japan that they had cut interest rates. Since Japanese interest rates were already at 0.1% Ray might have been forgiven for thinking that they couldn't go any lower, but they did!

    At the time Ray was long GBP/USD to the tune of a cool £2m. Here's a chart showing one view of what happened next:

    JForexOct10-Spikes.jpg

    Ray's stop-loss on his long position was at 1.57765. Cable spiked lower on the news, and that stop was hit, eventually getting filled in 5 different chunks. The first three at 5:08:20.641/642 GMT totalled £650,000 at prices ranging from 1.57730 to 1.57655. The remaining £1.35m sell order was rejected, and then retried at 5:08:21.489 GMT whereupon it was finally filled in two more chunks at 1.57510/500. The bottom line was that the majority of his 50 pip stop was filled with slippage of over 25 pips. Not a good start to Ray's Tuesday!

    Here's another view of that same spike, courtesy of Dukascopy's tick chart:

    Oct05-0605-Ticks.jpg

    Here's an interesting thing though. Ray's multi-currency clones were also trading through that very same spike. The live version on a Smart Live Markets spread bet account was short 1.6 £/pip with a target of 1.57560. That order was filled in full at 5:08 GMT at a price of 1.57560. Somewhat more surprisingly perhaps, albeit on a contest account, the MIG MT4 version was long 4.0 lots with a stop at 1.57763. That order too was filled in full at 5:08 GMT, at a price of 1.57763.
    Reality is merely an illusion, albeit a very persistent one - Albert Einstein

  3. #3
    Administrator Jim's Avatar
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    A Limit Order with Limitless Execution Time

    A bit later on Tuesday morning some more news was released. This time it was at least anticipated, the UK service sector Purchasing Manager's Index released at 9:30 BST (i.e. 8:30 GMT). Ray had followed his disaster earlier in the day with a losing short trade, doubling his position size with each loss. By now his MMMM was telling him he should be long £8 million, but Dukascopy didn't consider he had enough margin, and only let him have £4,110,830.

    Those PMI numbers are released 2 minutes early to Reuters subscribers, and by 8:28:20.426 the pound had already risen quickly against the dollar, and Ray's target at 1.59005 was filled in full with zero positive slippage. Here's the tick chart:

    Oct05-0930-Ticks.jpg

    What happened next illustrates one of the potential hazards of automated trading. As you know by now, Ray is very impatient and loves to be in the market 100% of the time. In his latest revision we make him wait for the start of the next one minute bar, so he did that then tried to buy £1m at market with maximum slippage of 1 pip. Dukascopy's platform duly converted that order into a buy limit at a price of 1.58885 or thereabouts. The only problem then was that order never got filled. Even when the price fell way below that entry level:

    JForexOct10-NoFill-1.jpg

    Ray just wasn't equipped to deal with that particular problem, so eventually I phoned up Dukascopy support. They told me that the problem appeared to be some sort of communication error between my client terminal and their servers, and that if the issue had arisen on a live account rather than a contest account they'd have been on the phone to me straight away in such circumstances. They then cancelled the errant order manually at their end, and Ray burst into life once more and this time he decided to short cable just for a change.
    Reality is merely an illusion, albeit a very persistent one - Albert Einstein

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