Hello All A little background before the questions: In the late 90s I wrote a manual stock trading system using the FIX protocol for a a start up dot com company. I will spare you all the details. For the last eight years my software company has serviced and written software for DOD and prime contractors. We specialize in advanced models and simulations. Now I want to merger the latest M&S -OA methodologies we have developed back into a private quantitative black box system. My questions are: 1) Which brokerage system would be best to tie into. 2) Which brokerage system is the easiest to tie into: I.E. I don't want to rewrite and debug a FIX handler again, if I can avoid it. 3) What are the pitfalls you all have experienced with your systems and brokers. Thanks Greg
1) Interactive Brokers has an API popular with developers and has customers interested in and doing auto trading. 2) AFAIK Interactive Brokers API. 3) Interactive Brokers API documentation is spotty and changes/fixes/updates are not fully specified. Need to do complete testing with paper trading account as demo account is useless for API testing. Need to watch for API updates or else your application may not work or do odd things.
I will assume that most of you are trading in a mode that is fully automated. Except for maybe restricting the parameters of what and where you trade. So for those of you who are automated. If you would not mind sharing. What kind of percentage return are you getting for the trades you have. Or whats your average daily gross return rate. I have seen statements from other (non automated) day traders that they get from .5 to 1% daily. I am purely curious about what the norms and potentials are that this automated group has experienced. I would also be interested in seeing any URLs with viable data on them. Thanks Greg
The CoolTrade website shows actual user statistics for top traders. If you have a CoolTrade account, you can actually click on any of the strategies and use them for free. Go to http://www.cool-trade.com and click on the Strategies menu item and you can see the average monthly returns for the Long and Short strategies. The best strategy I can see is doing about 15%/mo, but most of the other strategies are doing between 3-4% a month. The unique thing about these strategies is that they are 100% automated. If a member does a manual trade, the strategy is excluded from the list. Ed
Edbar. Thanks for the URL. I am not a cool trade member, so I can not fully review the data. Though it looks promising from what I can see. Thanks for the info. Anyone else care to respond ? Thanks Greg
Edbar. I see that cool trade is your baby. At what point did you decide to take a tool that you could privately make money with and rent it out. Im curious at what the tipping point is from potentially running your own quant fund with your own private system or renting out the code to others. Greg
Frankly Greg, the size and magnitude, of an enterprise grade trading system, such as CoolTrade is beyond the capabilities of a single individual. For instance, the failover clusters and load balancers, redundant data feeds (eod and realtime), redundant servers (44 at last count), is beyond what a single person could do. Not to mention well over 3M lines of code in dozens of programs. Plus the feedback / suggestions from actual CoolTrade users helps to make the system that much more powerful. Much more powerful & profitable than if I just sat at home running it on 9 computers like I did from 2001 to 2003. That is why, I shutter when I hear someone say they want to "hire a programmer to create their own trading system". Yikes! I can only think it will be a small excel driven system with a single datafeed and hardly anything for indicators. You can get elementary systems like that for free from the TWSAPI yahoo group. However, creating an Automated / Robotic trading system that starts in the morning, picks stocks, buys/sells, long/short, adds to your holdings, sells some or all of the position(s) off, and automatically calculates the entry/exit prices, and shuts itself off after the market closes, AND ALL 100% on it's own is a complete different ballgame. Also, the large institutions are competing with the public with automated trading systems and the only way to counter their activity is to get automated trading systems into the hands of the public. CoolTrade is making headways into making that happen. Working with TD AMERITRADE, we have been able to give the system away free to a large number of TD AMERITRADE account holders. The notion that "if it works, they wouldn't be giving it away" is completely false. It does work, as evidenced by thousands of CoolTrade members in 34 countries. One of the reasons the CoolTrade system works so well is do to the excellent suggestions we get from so many of our members. The system is full of awesome features and proprietary indicators that are the direct result of customer feedback. You don't get that by working in a vacuum. Best! Ed
Edbar is correct about in his insights there. I was a Cool-Trade user for a time as not only an evaluator, but as a hard core script developer for my own benefits. No shilling, just some independent reviewing so that I could objectively make comments from an actual use basis. I found the software to be smooth in its operation and constant in its ability. Any real conflicts that I had arose from the IB end of things. I had no trouble whatsoever making comments on the blog, or interacting with the company helpstaff (smile at the pleasent memory). And in my testing developed several personal, helpful insights and tools. I quickly realized that as a particular trader, I might find a few shortcomings in the product ability. But it was not from Cool-Trade's want to please the user. I just wanted a tad more control of some of the features. And I could easily speak to monthly net returns of 6% or better (never less that 4%). I even developed a personal script that let me daytrade using a $5,000 account. The first week there I violated the rules and got slapped on the wrist. Upon reinstating though, I had structured my script such that I had no additional troubles. Going me even better, Cool-Trade's shop recognized the problem and added features to help add daytraders concerns into the product's core operation. Now I liked the self-setup and never used the company's version, but it was nice to see the company looking out for the little guy! Could I have suggested more changes? I have no doubt. But I was quickly on to other tasks in my computer business and my time was not there to really dig in deep. And as power computer user (multiple computers and accounts when I was active), it was a bit of a task to try to manage too many things at once. All in all, Cool-Trade's a great product. And the association with Ameritrade should only be looked at positively IMHO. It is an easy to learn/use product with nothing but upside. While I run my own auto traders (internally developed and customized), I could easily see augmenting them with a few Cool-Trade setups. Geez, I sound like a commercial. Let me dampen that fire. I did find a few things that I wanted to do differently so I don't use it as my main source for autotrading.
there are lots of off off the shelf stuff that you can get. they'll keep you busy for a while before you decided to spend a few hundred thousand on "institutional" products.