ProRealTime and IG Spreadbetting

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Viewing 15 posts - 1 through 15 (of 32 total)
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  • 12/29/2022 at 6:08 PM #206471
    TimH

    Hi,

    Can anyone suggest where I can buy/rent PRT trading systems designed for UK Spreadbet accounts? I am aware of the ProRealCode MarketPlace however they seem CFD-focused and sellers I’ve contacted aren’t able to optimise the Money Management part of their systems for Spreadbetting as it isn’t available in their country.

    Regards, Tim.

    12/30/2022 at 9:53 AM #206489
    GraHal

    How do you see Money Management for SB being any different than for CFD, can you give an example?

     

    12/30/2022 at 10:48 AM #206496
    PeterSt
    GraHal wrote:

    How do you see Money Management for SB being any different than for CFD

    I guess it is not about how Tim sees or may expect a difference – it is about how e.g. me would see that. And you know what ? I have no clue. Spreadbetting is not available over here.
    haha

    So maybe there is no difference. Or maybe there is, regarding the margin. And if that is so, then I would not be able to make MM for that …
    (not that I would like to trade deep in the margin, but that is for customers to decide)

    It’s all (possibly) a bit similar to the 69% or whatever it is today, of people losing money on CFDs. Why CFDs ? … it must be related to the margin (say 5% vs 20% for direct stocks).
    Just guessing !

    12/30/2022 at 10:49 AM #206497
    TimH

    Thanks for your response. I’ve just re-read the emails I exchanged with the supplier (in Italy). I think it may be more a case that he isn’t familiar with spreadbetting as it isn’t available in Italy. It’s hard to explore further without him describing details of his system.

    Regards, Tim.

    12/30/2022 at 10:59 AM #206498
    PeterSt

    If you further allow me …
    Here’s an example of how MM relates to the ideas of the (for me virtual) customer and how it would be related to the margin;

    This does not allow going under water at all (or hardly). In my case, this is thus because I just don’t like to be under water. But you can’t guess how many people obtain the Professional Status, only because it allows for a way better margin. So what do these people do ? Allow to go under for 100K while investing 5K (5%) and go broke.

    Now if the random customer does not allow for this in the first place, there may not be any difference in MM for spreadbetting.

    Maybe @Mauro T. “Algorithm System”  has a response with sense ? (the mention won’t work, I’m afraid).

     

    Edit : the 2nd and 3rd attachment are consistent with each other.  Skip the 1st please.

     

    12/30/2022 at 11:11 AM #206505
    GraHal

    TimH have you tried Forward Testing 2 identical (System 1 and System 2, both exact same code) System 1 on SB and System 2 on CFD … do you see any difference in results?

    12/30/2022 at 11:47 AM #206516
    Mauro T. “Algorithm System”

     

    Hi, Tim is interested in this Bot:
    https://market.prorealcode.com/product/revolutionary-strategies/

    But unfortunately being in Italy, and not being able to test Spreadbet as they are not available in Italy, I am not able to see its functioning both in the Backtest and in ProOrder.
    Honestly, being ignorant of its functioning in ProOrder and of how I should modify the Money Management specifically for Spreadbet, I cannot give an answer if the bots work, and with what result.
    As Gra Hal said, I suggested that you try proOrder for it to work.
    Mauro T. “Algorithmic system”

    12/30/2022 at 11:47 AM #206517
    TimH

    I’ve just ‘back’-tested a system against the

    • Germany 40 cash (GBP1) CFD
    • Germany 40 (DBF) Spreadbet

    The performance of the two back-tests were identical. They both traded with a quantity of 1.

    What’s interesting though, is that it’s possible to back-test with a quantity below the minimum trade quantity, e.g. 0.5. This wouldn’t be possible in live trading. I’ll try the forward test as you suggest (which I assume you mean running the system live on a demo account) and see what happens.

    12/30/2022 at 11:57 AM #206518
    GraHal
    TimH wrote:

    system live on a demo account

    Yes Live in Demo on ProOrder .. it’s the only way to then be able to rely on the results.

    12/30/2022 at 12:02 PM #206519
    Eric

    This is the only difference (as i know of)

    Spread betting on forex has a number of differences to trading forex in the underlying market, mainly related to how prices are presented and the way you deal.

     

    1 user thanked author for this post.
    avatar TimH
    01/06/2023 at 9:44 AM #206871
    TimH

    Hi all,

    Thank you for your responses. This is just a final update from me on this post, regarding differences between Spreadbetting and CFD. I followed GraHal’s suggestion and ran an FX strategy on both accounts,

    • same position sizing.
    • EURJPY DFB Spreadbet
    • EURJPY CFD

    The execution of the strategies were similar, however, the instruments are in different currencies. This resulted in very different results.

    The key take away for me is that

    • fundementally, the systems will run on either environment BUT…
    • the underlying instruments are likely to trade in different position sizes and also different currencies.

     

    01/06/2023 at 9:57 AM #206872
    GraHal
    TimH wrote:

    the instruments are in different currencies. This resulted in very different results.

    In your opinion, if you were to convert the currencies to be the same and add back the IG currency conversion charges (on CFD) then the results would be almost identical?

    01/06/2023 at 10:31 AM #206874
    TimH

    I attach a screenshot of the spreadbet trades (left) and CFD trades (right).

    You’ll see the EURJPY trades were similar (albeit different currencies/size meanings). I had a second instance of the system trading GPBJPY however the CFD system didn’t trade GBPJPY but the spreadbet did (there was just one trade). I haven’t got to the bottom of why that was.

    One huge learning for me was that the fill prices on backtest were usually very different to those on live (using IG/PRT). I’ve been used to using a different set up (Norgate data/Amibroker/InteractiveBrokers) and the fills were usually spot-on. With IG, I expected the odd difference but most of the trades were different. I know I’m going off-topic, but for me is undermining my faith in backtesting through IG/PRT. The trades were around 10pm/11pm in the UK so perhaps volume was thin. I’d love to hear experiences from others on this.

     

    1 user thanked author for this post.
    avatar GraHal
    01/06/2023 at 11:02 AM #206883
    PeterSt
    TimH wrote:

    One huge learning for me was that the fill prices on backtest were usually very different to those on live (using IG/PRT). I’ve been used to using a different set up (Norgate data/Amibroker/InteractiveBrokers) and the fills were usually spot-on. With IG, I expected the odd difference but most of the trades were different. I know I’m going off-topic, but for me is undermining my faith in backtesting through IG/PRT. The trades were around 10pm/11pm in the UK so perhaps volume was thin. I’d love to hear experiences from others on this.

    Tim, I can tell you that my PRT-IG backtesting vs Live is spot on always just the same. However, because you a.o. refer to IB as well, your culprit should be in the realm of “improperly” recognizing or dealing with the spreads in IG. IB doesn’t work with spreads (or else neglectable) but with commission, which frees you from losing on spread (but get charged for commission just the same).

    I never ran into any situation that made me think that backtesting with IG is not reliable. One thing, however, don’t try to compare e.g. IB with IG (both PRT) by means of backtesting, because nothing will be the same. Not even a simple average works out to something “slightly similar”, hence no one strategy will work the same on both PRT-IB and PRT-IG by any means. … This is not what you are referring to, but it could be an easy pitfall.
    Prices in IG are not the same (though indirectly the underlaying are) and ticks are many more. Because of this latter, IG disallows for strength stuff (at say the 1 second bar level) which e.g. IB normally allows for. In the end you will get used to that (by means of different solutions/approaches) and tbh (obviously) most people in this community don’t know better and are used to it too.

     

    PS or not-so-much PS : Adapt a strategy to being transparent for currencies, is really one of the most difficult things (IME). Adapt it to that other dimension at the same time : the price of the instrument that will influence half of your parameters, is obfuscating so much that you don’t know where to go if you don’t have at least one right in the first place. Now introduce Fx and you will definitely be lost.

    01/06/2023 at 11:29 AM #206886
    TimH

    Thanks for your reply. The attached screenshot shows the live trading (top chart) and the equivalent back-test (bottom chart). The system was profitable on back-test but on live, it lost.

    I’m encourage that you’ve not experienced such problems. I’ve contacted IG for help on this so hopefully that will throw more light on it. I like the PRT interface and have had good dealings with IG in the past. I’ve also spent a lot of time evaluating / developing strategies on PRT so I really hope I can get it working.

     

     

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