automated multi-instrument trading

[mkalayog]

Im new to NT and evaluating NT 7 64-bit for automated multi-instrument trading thru IB. I'd like to do something similar to what I've been doing w/ Wealth-Lab/Fidelity; automate the trading of a portfolio of (1000+) securities based on NS rules. I'm pretty sure I can do this using NT, but the question I have is whether I have to manually add (Add()) each of these securities to the NS, or whether I can choose a list of securities elsewhere in NT to avoid the manual labor. WL is convenient in that the same script can be applied across many different lists of securities without having to modify the code. Can I do the same w/ NT? If not, is there a role for the market analyzer to obviate the need to enter the securities manually? Many thanks in advance-

[NinjaTrader_RyanM1]

Hello mkalayog,

Welcome to the NinjaTrader forums!

You can run strategies and backtests against lists in version 7. Attached shows a strategy applied to the S&P 500. It creates a separate strategy instance for each instrument in the list.

If you need to base trading logic on multiple series then they must be Added to the code in the Initialize method. Unfortunately there's no shortcut here.

[mkalayog]

RyanM, if you can run a strategy against a list, and if you can have a large number of strategies live simultaneously, then is there even a need to modify the base trading logic for automated multi-instrument trading? In other words, what's the difference between having running a thousand live strategies (actually a single NS against a thousand different securities called from a list) versus running a single live strategy whose NS incorporates a thousand different securities in its code? (e.g., are there max # of strategies that can be live at any given time, are there differences in performance, etc). Thanks -

[NinjaTrader_RyanM1]

It really depends on your coding conditions. If you need to reference multiple series to determine your entry conditions, then these series must be coded in. If the only series you're interested in is the series the strategy is applied to, then running against a list may work for you.

All things being equal a single strategy will be more efficient than multiple strategies. Unfortunately we can't provide specific guidelines on the amount of strategies you can effectively run with your hardware.