Development of a Sierra Chart ACSIL Correlated Futures Strategy (NQ/MNQ)

Sierra Chart ACSIL Development – Correlated Hedge Strategy (NQ / MNQ) Project Overview This project will be independent from the current system already under development. The objective is to create a highly latency-sensitive, execution-focused strategy using correlated instruments with synchronized opposite directional exposure and dynamic risk management. The system should be designed for stability, configurability, execution precision, and safe live operation. --- Core Strategy Concept The strategy will operate using a single futures account and simultaneously enter opposite directional exposure using correlated instruments. Examples: - Long NQ + Short MNQ OR - Short NQ + Long MNQ The system should support configurable contract sizing / exposure ratios (example: 1 NQ : 10 MNQ, or any user-defined ratio). The goal is not directional prediction, but controlled volatility participation with dynamic exposure management. --- Scheduled Automatic Activations The strategy should support two automatic scheduled activations per trading day: - 06:29:59.xxx (configurable milliseconds, example: 500–700ms) - 12:49:59.xxx (configurable milliseconds) Requirements: - Monday–Friday only - No execution during weekends - No execution during market holidays - Highly precise and configurable timing All timing-related settings should be configurable through Sierra Chart study settings. --- Order Execution Requirements MARKET ORDERS ONLY Entries should use MARKET orders exclusively. The objective is immediate execution during fast volatility conditions. Both legs should attempt to execute as synchronized as technically possible. --- Synchronization & Critical Fail-Safe Logic This section is extremely important. If any of the following occur: - Synchronization failure - One leg rejected - Partial fill mismatch - Order state inconsistency - Attached order failure - Duplicate fills - Execution failure - Connection interruption causing unsafe state - Critical routing/order management failure The system should immediately: EMERGENCY FLATTEN ALL POSITIONS and cancel all remaining working orders as fast as technically possible. --- Required Safety Protections The strategy should include robust protection logic similar to institutional-grade safety behavior. Examples include: - Emergency flatten on critical execution failure - Cancel-On-Disconnect (COD) - Connection-loss handling - Automatic cancel/flatten behavior if system integrity fails - Order inconsistency protection - Duplicate execution protection - Broker/platform risk protections (max loss protection if applicable) - Weekend and market holiday protection The system should prioritize safe failure behavior over remaining exposed to risk. --- Position Management Logic The strategy should support configurable: - Stop Loss - Take Profit - Dynamic risk reduction - Progressive trailing behavior - Trigger levels - Lock levels - Offset behavior Example baseline configuration: - Both sides begin with configurable stop loss (example: 5 points) - Initial target configurable (example: 10 points) Dynamic Risk Reduction Example Example: One side exits at: - −5 points At that same moment, if the winning side is in profit: Example: - Winning side currently +5 The system should immediately move protection aggressively to: LOCK +4 Meaning: - If price reverses immediately, the remaining side exits at +4 - This limits overall damage to approximately 1 point net difference between both legs Important: After locking +4, the strategy should NOT begin progressive trailing immediately. Instead: The position should continue normally until reaching: +10 profit At that point: - +10 → lock +9 - +11 → lock +10 - +12 → lock +11 And continue progressively point-by-point. This behavior should be fully configurable. --- Progressive Trailing Logic The strategy should support progressive point-by-point trailing logic. Example: - +10 → lock +9 - +11 → lock +10 - +12 → lock +11 or any fully configurable progression. --- Manual Activation Mode In addition to scheduled activations, the system should include: Manual Activation Button A manual activation button inside the Sierra Chart study. Important: The strategy should NEVER activate manually unless explicitly triggered by the user. The purpose is manual activation during: - News events - High volatility situations - Momentum conditions - User-selected opportunities Requirements: - Reusable multiple times per day - Independent from automatic scheduled activations - Uses same configurable logic as automatic mode Manual trigger behavior: - Instant execution after button press OR - Optional configurable short delay (~3 seconds) --- Configurability Requirements All major logic values should be configurable inside Sierra Chart Study Settings. Examples: - Contract ratios - Stop size - Profit target - Trigger levels - Lock levels - Offset behavior - Trailing logic - Scheduled execution times - Millisecond timing - Manual activation delay - Safety thresholds The strategy should be designed for optimization and flexibility without requiring code changes. --- Technical Guidance Requested Since this strategy is highly latency-sensitive and execution-dependent, I would also appreciate recommendations regarding: - Sierra Chart + Teton vs alternatives - Routing architecture - Execution stack - VPS requirements - Latency optimization - Whether stronger VPS infrastructure is recommended Please recommend the best architecture for fast, stable, and safe execution. --- Expected Deliverables Please provide feedback regarding: - Technical feasibility - Recommended architecture - Suggested improvements or adjustments - Estimated development timeline - Estimated budget/cost - Additional requirements or questions needed before starting The objective is a stable, safe, configurable, and execution-focused live trading system.