Going from backtest to live. Best practices?

Hi everyone!

After taking a few weeks to research and getting acquainted with AB, it´s time to move to live trading. I will start out with manual order entries and would greatly appreciate if someone who has been trading live would care to comment if there is better practice than this.

I have IQFeed (with 15 min delayed quotes) and IB as a broker. My idea is to enter the market through limit orders the last 10 minutes before close. All strategies are all developed for the daily timeframe only.

My plan is this:

  1. Setup a new DB with IB with 1 min interval with approx 180 days history
  2. Add all symbols that I want to trade (about 20) to the DB. Also add them as Real Time Quotes in AB.
  3. Run an exploration on 1 min repeat on daily timeframe that outputs any signals.
  4. Add a telegram notification if there is any signals 60 minutes before close (if I'm not at the computer)

I usually have max two orders to enter per day, so it shouldn't be a problem with manual handling to start with.

Is this a reasonable approach or are there better ways?


@Muzzle, just for curiosity, why using limit orders near session close?
Since you are using IB, did you evaluate MOC orders (Market on Close)?

@beppe My research indicates I get a lot better average price for fills, using limit orders. Both with the maker rebate and the spread, since I usually place my order a few ticks away from midprice if I have several minutes to get the fill. And since it´s just a couple of orders, I can handle it.

Previously I did full automation with both MOC and and market order, and after 1 years, about 2 percent extra of the capital was paid in taker fees (compared to using limit order). Now, using full automation with limits orders isn't an easy task, but since I will do it manually to start with, I will try to grind out that little extra using limit orders before I need to switch to market orders (preferably MOC) when I'll automate it fully.

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