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AutoScalper: Automated Futures Scalp Trading Software for the individual investor on Interactive Brokers's Trading Platform. - User Manual


User Manual 

Begin by starting Interactive Brokers’ Trading Work Station (TWS), login as user edemo with password demouser  

After opening TWS you must configure it to enable ActiveX and Socket Clients by selecting this in the menu:
Configure==>API==>Enable ActiveX and Sockets Clients, this must be checked to enable AutoScalper to connect to TWS.

Then open your AutoScalper and press the Connect button:

This is the first screen you´ll see, showing the connection status of AutoScalper to the Interactive Brokers Trader Workstation (TWS). The lower half of this screen shows, on the left, the pricedata.
If you see prices (marketdata), and the connection status is OK, then click on the tab named “Scalper” to proceed .

This is AutoScalper’s settings-, activation-/de-activation tab, starting on the leftside: A mintick is the minimal price increment for the selected future, in this case (NQ, eMini Nasdaq) it’s 0.25 marketpoints, and we’ll use this as a unit for calculations and price settings. Stoploss is measured in minticks as well, Trade Qty is the number of futures you want to have in a marketposition and is of course measured in pieces. With CQ Ticks we mean consecutive ticks and can be used as a filter for entering new orders. “Reach” is a feature not implemented yet, and by checking the box at “STPLMT Order” you indicate your orders have to be placed as stoplimit orders instead of limit orders. By checking the box at “OutsideRTH” you indicate your orders must be valid outside regular trading hours as well. Proceeding to the mid-section, we see Order 1 with buy and sell, and Order 2 with buy and sell, this is where we set our orderprices based on the Bid-/Ask-/Lastprice plus, or minus, your preferred number of minticks. In this example will Order 1 place 2 orders: buy@1086.25 and sell@1086.75, or in the case of Order 2: buy@1086.25 and sell@1086.50 (bidprice + 1 mintick = 1086.25 + 0.25). Speed is one of the most important factors of scalping, and although it’s just a fraction of a second, you can select to have your sellorder placed before the buyorder by checking the appropriate check box.
Why Order 1 and Order 2? This brings us to the right part of the screen in which we can set when to place our buy- and sell order. You can choose when to place Order 1 and/or Order 2 from:


“Don’t wait” means you want AutoScalper to place the buy- and sellorder belonging to Order 1 immediately after activating AutoScalper, and immediately after the execution of it’s buy- and sellorder. This setting will ignore the settings of Order 2 of course, and guarantees you’ll have a position in, or waiting for, the market all the times. If you choose the 1st option, the “blank”, it means you only want to use the settings for Order 2 which are primarly downwards biased orders, and are executed after 1 or more (consecutive) downticks in your selected Last/Ask/Bidprice. Order 1 and his respective Last/Ask/Bidprice and consecutive uptick(s) settings are upwards biased orders.
So you can select up to 2 different price settings for 2 different occasions, whatever occurs first. For example: you can choose to place the orders belonging to Order 1 after 2 consecutive askprice upticks, and the price base (compilation) can be buy@bidprice & sell@(bidprice+2 minticks), Order 2 after 2 consecutive downticks of the bidprice and a pricecompilation like buy@(bidprice-4 minticks) & sell@(askprice+4 minticks). Of course this example is fictional and hypothetical and is by no means a representive setting for succesfull trading!
After having set the required settings all you have to do to let AutoScalper places your trades automatically is pressing the button “Start AutoScalp”. With the same button, but now with the caption “Stop AutoScalp”, you prevent AutoScalper from placing new orders, but it’ll continue to monitor your current position in order of a stoplimit. In case your current order reaches your defined stoploss point, AutoScalper changes the resting order’s attribute of a limit (or stoplimit) order to a market order and will therefore be exuted at the market’s current price, effectively closing your current position.
In the lower part of the AutoScalper screen, left from the middle, you can see the autotrade results: number of trades won, number of trades lost, total marketpoints (not minticks) gained or lost and number of marketpoints gained/lost at your current position. More to the right you can see the quantity of the selected future you have currently in your portfolio, subzero means you have a short position, above zero means you have a long position, 0 (or blank) means no position. At the “Scalptrades” section, you can see the current buy- and sellprice of your last combi-order, the orderstatus, and you have the ability to cancel the remaining order(s) if they are not executed yet by clicking the red button to the right from the orderstatus. For a more detailed view of automatically placed orders and their status, select the “Tradelog” tab, but we´ll go to that section later.

You can place orders manually as well, in this tab you can place limit orders belonging to Order 1 or Order 2 with one mouseclick, so you can anticipate to market movements immediately! You can choose to place the buy order from Order 1 and the sellorder from Order 2 by clicking their respective Buy/Sell buttons to provide you more flexibility in the fast-moving world of scalp trading. Or even faster, select the “Manual Mkt” tab:

Here you can place marketorders with just one mouseclick, obviously you can’t set a price, these orders are against current marketprices and are for immediate execution.
Moving on to the next tab, the Tradelog:

Here we can see in more detail what trades AutoScalper placed automatically: the date and time of the orders placed, the event which triggered the orders (for example: after 2 cons. upticks), the pricecompilation of of the buy- and sellorder, the stoploss (in minticks), the result (won/lost) and date and time when the position was closed. By pressing the “Copy to Clipboard” button you select all trades in this screen, then you can right-click in Excel, Word, or a text file, select “paste” and all trade data will be copied to that application, which can be usefull for further analysis.

The next tab is “BT_Ticks”, short for priceticks to be used for backtesting:

In this screen you will find the priceticks (max. 1 per second) stored by AutoScalper, if you want to use the backtesting features of AutoScalper this can not be empty. If you’re “AutoScalping” it’s better to uncheck the “Collect Data” box to be sure not to loose any processing time collecting/analyzing data. Scalping needs to be as fast as possible: the sooner your order is in the “order book” the higher the chances are your order will be filled. By pressing “Check Data” you can see more info about the collected data, like the traderange (lowprice to highprice), the number of dataticks collected so far, and the timerange. By pressing the “Copy to Clipboard” button you can paste these priceticks to Excel for instance, i.e. for further analysis.

The BackTest settings tab, in the left upper part you can set the setting(s) you want to backtest, more or less like how you set the tradesettings in the “Scalper” tab. Press the “Backtest 1” button and see at the right part of the screen the hypothetical results of these settings traded against the collected pricedata in the “BT_Ticks” tab. To see in much more detail the results of this individual setting, select the “Backtest_1_Log” tab, here you will see it’s portfolio and orderstatus at each pricetick. We´ll get to that screen later although it’s pretty self-explanatory.
There are many different tradesettings possible with AutoScalper, by pressing the “AutoFind” button you can backtest 100.000s of them with just one single click! Check the “Log only winning trades” checkbox to filter the settings you want to examine to only the profitable ones, and see the results in the “AutoFind_Log”. The AutoFind_Log displays in low detail the results and settings, for more detail you can apply these settings to the “Backtest 1” settings, click the appropriate button and examine the results in the “Backtest_1_Log”:

In this log you can see every pricetick, trade, order status, portfolio position,PNL (Profit/Loss) at any time of 1 backtested setting, in contrary to the AutoFind_Log :

Here you can find the tradesettings, pricecompilation and results of the AutoFind feature of AutoScalper. Both logs are equipped with the “Copy to Clipboard” button to export their results to other applications for further analysis.