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OrderClerk

 

 

 

 

OrderClerk is an order management application which has been developed specifically to work with RealTest and is included in your RealTest installation.

Currently the only brokerage supported by OrderClerk is Interactive Brokers (IB). Others may be added in the future.

OrderClerk is a smarter substitute for IB Basket Trader, optimized for use with RealTest. It accepts CSV file order lists and transmits them to IB via the TWS/Gateway API.

In addition to placing orders, OrderClerk receives execution reports from IB and maintains a round-trip trade list based on your filled orders. Importantly, each order includes its Strategy name, which is then preserved in the trade list.

This enables RealTest to use your live trade list as an input each day when generating tomorrow’s orders for a multi-strategy system, ensuring that those new orders are correctly based on the actual current positions and quantities for each strategy.

This capability is implemented by automatically running the script in Hybrid TradeList Mode by implicitly adding TradeList: OrderClerkTrades.csv (and an appropriate TLFields definition) to each Strategy definition.

As an example, to fully automate all seven strategies in the bensdorp_book.rts example script, the following OrderSettings section was added to the script:

The first three items override the general-purpose Settings items used for regular backtesting.

OrdersMode tells RealTest to target OrderClerk when generating orders.

OrderClerkFolder tells RealTest where to find OrderClerkTrades.csv and where to put the new order list.

OrdersNetLiq tells RealTest to use the latest actual net liquidation value (mark to market account balance) of the account as the value of S.Alloc when generating orders. This ensures that entry order position sizes will accurately reflect the current account value.

The key point is that NO changes were required to any of the strategy definitions themselves. It was NOT necessary to add TradeList or TLFields statements nor to change any of the regular strategy formulas in order to generate the correct set of new orders. This is all done internally and automatically.

For more information about OrderClerk and how to use it with RealTest, see the separate OrderClerk User Guide documentation.

 

 

 

 

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