NTUSDT
NT / Tether USD
crypto

I use crosstrade but for NT. Never had issues. Tradovate option is new never used it. Very happy with crosstrade

I'll go through your Q point by point.
CVD, volumetric reversal zones, VWAP, hurst exponent, z-score... These are actually pretty well-known concepts, used by many institutional traders and investors. So no, it wouldn't be fair to say I built my strategy completely ground-up. Rather, it is probably fair to say that the specific entry conditions (sequences) and settings I use are all unique and not based off someone's strategy, yes.
To slightly drift the convo towards resources, if you're fixing to build a script like mine, I recommend going through the material published by the CME itself on order flow (DOM, volume, bookmaps).
I think reading books wouldn't be as straightforward, given your background. I also prefer more intuitive, yet statistically sound and direct approach rather than scrambling to implement the knowledge I obtain from generic books, 90%+ of which may be irrelevant for what I'm trying to build.
Answering your other question, I'd strongly recommend rigorously backtesting whatever you build.
If you're a complete newbie, backtesting essentially means testing the expectancy of your strategy on PAST market conditions. It takes very little time to conduct (especially automatically), and is somewhat reliable in the overall equity curve of your strategy, though remember that market conditions change and they change heavily, every few years.
Adjacent to the same question, your data, whether it's order flow or the price, is actually pretty trivial in day trading. People like to fetishize "level 2 order flow data", which would be fair if you were doing high-frequency trading (HFT), but in day trading (making maximum of 2-3 trades a day), it doesn't make much of a difference.
Where to start? I'd say, the best place to start is Ninjatrader. NT script runs fully on Python, which should come in super handy. My stack didn't include python when I started automating my trading, so I missed out on Ninjatrader's capabilities. And it's pretty affordable compared to Sierra.
Also recommend getting Tradingview if you are a complete beginner.
I hope this gives you a general idea of what to do and how, but if you have any more Qs, you can drop them in this thread, any time you like down the line. Good luck!

I traded 5 prop firms (all on Tradovate) and use Replikanto on NT, low latency and low price (I think $299 lifetime), here is how my setup looks like, this is 28 accounts


https://preview.redd.it/ub10x50yfkih1.png?width=2539&format=png&auto=webp&s=a1598e3b8954147a1fb8b7764da7f5ceb73e9bac

Xhld not tradeable on IBKR, you can tell by the NT symbol. BTW t212 uses IBKR as their backend.

I use crosstrade but for NT. Never had issues. Tradovate option is new never used it. Very happy with crosstrade

I'll go through your Q point by point.
CVD, volumetric reversal zones, VWAP, hurst exponent, z-score... These are actually pretty well-known concepts, used by many institutional traders and investors. So no, it wouldn't be fair to say I built my strategy completely ground-up. Rather, it is probably fair to say that the specific entry conditions (sequences) and settings I use are all unique and not based off someone's strategy, yes.
To slightly drift the convo towards resources, if you're fixing to build a script like mine, I recommend going through the material published by the CME itself on order flow (DOM, volume, bookmaps).
I think reading books wouldn't be as straightforward, given your background. I also prefer more intuitive, yet statistically sound and direct approach rather than scrambling to implement the knowledge I obtain from generic books, 90%+ of which may be irrelevant for what I'm trying to build.
Answering your other question, I'd strongly recommend rigorously backtesting whatever you build.
If you're a complete newbie, backtesting essentially means testing the expectancy of your strategy on PAST market conditions. It takes very little time to conduct (especially automatically), and is somewhat reliable in the overall equity curve of your strategy, though remember that market conditions change and they change heavily, every few years.
Adjacent to the same question, your data, whether it's order flow or the price, is actually pretty trivial in day trading. People like to fetishize "level 2 order flow data", which would be fair if you were doing high-frequency trading (HFT), but in day trading (making maximum of 2-3 trades a day), it doesn't make much of a difference.
Where to start? I'd say, the best place to start is Ninjatrader. NT script runs fully on Python, which should come in super handy. My stack didn't include python when I started automating my trading, so I missed out on Ninjatrader's capabilities. And it's pretty affordable compared to Sierra.
Also recommend getting Tradingview if you are a complete beginner.
I hope this gives you a general idea of what to do and how, but if you have any more Qs, you can drop them in this thread, any time you like down the line. Good luck!

I traded 5 prop firms (all on Tradovate) and use Replikanto on NT, low latency and low price (I think $299 lifetime), here is how my setup looks like, this is 28 accounts


https://preview.redd.it/ub10x50yfkih1.png?width=2539&format=png&auto=webp&s=a1598e3b8954147a1fb8b7764da7f5ceb73e9bac

Xhld not tradeable on IBKR, you can tell by the NT symbol. BTW t212 uses IBKR as their backend.

Hmmmm.... well how far down this rabbit hole do you want to go?
I technically am trying to create a multi-asset personal quant fund that uses Equities, Options, and Futures with 12 different orthogonal edges. It uses IBKR for options and equities and NT for futures.
So to answer your question, yes, it tracks pre-trade sizing, and also live monitors broker positions, so that there is an open bridge between what is supposed to be open verses what currently is in happening in the event of a power outage or a black swan event.

The hard part is double checking that everything is uncorrelated so that you can make the same dollar work in multiple places at once, and then knowing how much to scale with unrealized profits or scale down with recent performance. So it's sort of a super brain, that tracks all open and closed position, and also creates tags and tracks data on each of the different strategies performance.
A lot of crazy things have to happen in modeling it, where you have to define what drawdown could look like when you have a few or all of the strategies each going through a drawdown period all at once.
Too be honest its way easier just to have AI code something that morning and then set it with calculations for that specific day, rather than having to think about the bigger picture of multiple strategies working in conjunction with each other.