Trading Cycles

Glean Cycle Explained

In a Glean cycle, trading is how we :
  • further de-risk a historically profitable design by proving it makes money
  • risk a small amount of capital to determine if we want to risk a larger amount
  • learn any differences that may exist from trading it on historical data
  • decide if we want to improve our design further
  • ultimately to trade our target amount of capital and generate meaningful new revenue
  • run the operations of our business on a day-to-day basis
The last two points are accomplished by trading in ASP, Glean's automated strategy processor.   

Not every design will make it to ASP.    The proceeding aspects will be accomplished by trading in Glean.  

We'll cover all the specifics of both options below.   We'll also cover how to manage Buying Power in Glean.

Trading Getting Started

Live Trading
  1. Start Glean (or click 'Home' if already somewhere else in Glean)
  2. Click 'Trade' button
  3. Choose desired strategy design from drop down.
  4. First time using Glean or a particular connector?   The quotopia design is good for testing connections.
  5. Decide if you want to trade on Paper (inside Glean only), or Live (orders sent directly to the broker).
  6. First time trading a strategy?   Live trading on a handful of symbols is the best way to verify a design on realtime data.
  7. View will change to Live signals with design pre-loaded
  8. From the toolbar, select the desired broker to trade with.  Notes :
    1. Broker connectors that can be started automatically will do so.
    2. If you've selected a broker and it's not found (or your broker doesn't support automatic starts), click ? button next to the broker list for setup instructions.
  9. Once broker is found, enter symbols to receive quotes and begin trading.

Inside Glean

After you've found a historically profitable design, trading inside Glean is the next step in the Glean Cycle.

The trade inside step lets you verify that your design is still profitable on real-time data and with smaller amounts of capital or buying power.

You will typically want to trade inside Glean for about 2-4 weeks per design, before you scale up the design to your target capital levels.

Trading In Glean Advantages
  • Verify a design's profits hold up
  • Get comfortable trading with real money and leaving a design unattended.
  • Observe signal values in realtime
  • See orders, trades and positions as they occur
  • Allows you to manually force signal changes in real-time.
  • Designs can trade with both Community Buying Power (Community BP) or leased Buying Power (BP).
  • Small amount of Community BP is included.  Community BP counts seperately and so is in addition to whatever BP you lease.
  • Multiple designs can be traded simultaneously by running multiple instances of Glean.
  • If you run a trading training program, you can obtain additional Community BP above your initial level.   Contact sales for details.
In Glean Limitations
  • Works best with small sets of symbols, typically less than ten.
  • In Glean, only one design can be traded on real money at a time.   Additional designs beyond the first will be paper traded only.
  • Typically used for 2-4 week period before scaling up a profitable design and trading it unattended in ASP.

Trading Handful of Symbols inside Glean

Discretionary Signals

Discretionary signals are on/off signals which can be set manually by the user during trading.

Here is an example of discretionary signaling using the 'quotopia' design included with every new Glean install :

To trigger a discretionary signal :
  1. Follow steps above to start trading your design In Glean
  2. Select a symbol to force a signal change in.
  3. Right click on the live signals window to see a list of the signals which can be forced.
  4. Choose a signal value to force.
  5. The new value will take effect immediately, although may not be immediately visible.
  6. Triggered an order but it didn't fire immediately?   This is because action orders are processed on new ticks.
  7. Changed a signal but it wasn't reflected in the signals tab immediately?   This is because the signals tab is updated on new ticks (and then on the time interval specified in your design's ViewSignalsOnTickSec signal value.)

To see an example of discretionary signals :
  1. Open the quotopia design.   Trade it on a live market, one that ticks frequently will provide a better demonstration (eg APPL, SPY, IBM, major FX pairs, etc).
  2. Then set BuyMarket = ON which will send a buy market order on the next tick.   
  3. This is also one of the simplest ways to test the connection between Glean and your broker.

Control+H for help.

Live Testing Notes

  • To see signals immediate in live trading, use add > market data > view signals on ticks = 0.  (see quotopia design as an example, or the 'testing designs' tutorial)
  • If signal views are available in your design, a signal view box will appear to change your view.   Regardless of which view is selected, all signals will always calculate.
  • You can run multiple Glean instances to test multiple designs, but only the first instance will trade live to the broker.   
  • Subsequent glean instances will be papertraded inside glean, so you will be testing with live data but your orders will be filled by Glean from the feed (rather than the broker).
  • Live testing has BP limits enforced, so you won't be able to buy more than whatever your included BP level is.
  • To increase your BP level, simply open the design and purchase a lease : views > design purchase > buy current design, choose a BP level and buy it via the paypal site.

Connector-Specific Configuration

  1. If any per-connector setup is required, you can find out by clicking the '?' button in the Live Testing or Trading views.
  2. You can also see the same information for all connectors here.

Inside ASP

Live Trading Hundreds of Symbols

You're ready for ASP when you have a design PLUS any of the following :
  • you want to trade on more than a handful of symbols
  • you want to trade outside of glean
  • you have a separate production trading machine (co-located or not)
  • you want to trade in unattended fashion
  • you want someone else to trade your strategy w/out letting them see the design (nor access to your glean account)
For all of these situations, you want to use ASP (the Automated Strategy Program) to trade your design(s).

ASP comes w/Glean and is free to use, so long as you have sufficient buying power leased.

ASP Advantages

  • Trade hundreds of symbols or more per machine.
  • Trade Many designs designs at once
  • Multiple real-time accounts; Multiple brokers at once
  • Allows having a different data feed than the one provided by your broker
  • Runs in the cloud
  • Can trade automatically at a specific time
  • Can be run by old-school traders and people that don't understand Glean or strategy design.
  • Records all the tick data it trades, so you can playback later.
  • Optionally can export signals to csv, for later review or analysis in excel/r/matlab/etc
ASP Limitations
  • Only supports unattended trading.
  • No discretionary forcing of manual signals
  • No Community BP, Works with Leased BP or unlocked designs only.   
To use ASP you must have purchased a lease or unlock for your design.

Trading in ASP

Any design that is leased or unlocked will have a live DLL generated automatically.

For leases, this dll will be updated anytime you change the design.   (for unlocks, it's fixed to the purchase date of the design).

To trade a design dll in ASP :
  1. views > design trade > in ASP
  2. click 'design' and choose the desired design dll.   
  3. make sure that you don't choose a design that contains the word 'historical', because these will not work in ASP they will only run on historical simulators.
  4. your design will start trading.
  5. if your design does not specify what symbols it should trade (eg via a csv file), right click the design to change the symbols it trades.
  6. you can pause or remove a design from trading via right clicking
  7. signals and ticks will be automatically recorded.
Control +H if you need help trading in ASP.

Buying Power

Leasing A Design

To trade in ASP you will need to have first leased your design.

After leasing, Restart Glean and your dll should be automatically generated.

Control + H if you need help purchasing or leasing.

Moving BP

Buying Power can be moved between designs.

One move per day per user is allowed.

To move buying power :
  1. In Glean, select views > Trade > Buying Power
  2. Select the source design, click Find button in toolbar to find it by name.
  3. Click on the move BP button in the toolbar.
  4. Select the design where the BP will be moved to.
  5. Select the amount of Buying Power to move.
  6. Click ok.   Your BP will be moved.

Adding BP

To add BP :
  1. In Glean, select views > Trade > Buying Power
  2. Select the design to add BP to or click Find button in toolbar to find it by name.
  3. Double click the design to receive a quote on adding that lease BP.

Viewing Current BP Amounts

To view current amounts of Community and Leased BP :
  1. In Glean, select views > Trade > Buying Power
  2. In the toolbar, the total amount of Community and Leased BP is listed.