Algo creation using tick data?

Discussion in 'Data Sets and Feeds' started by HedgefunTrader2, Jul 6, 2011.

  1. Hey guys,

    I don't have any experience with creating an algorithm but I have done a lot of research (primarily in Spiders (SPY) ) and have come up with something that I'd like to have someone code up.

    My concern is that what I would need requires a program to follow the SPY second by second, and once my specific pattern appears, a trade is taken. Is that too complicated?

    I'm just wondering if anyone out there has created an algo using very fast data (like seconds or ticks)? I'd like to think it's possible, just hoping to get some feedback from those who have experience with algos and faster time frames.

    Thanks! :)

  2. mickmak


    Second by second is not a big deal. especially you are only looking at one security. Tick by tick is slightly more aggressive of an algo, but not too hard as long as your business logic is not too complicated and blocks (implementation).

    Are you looking at the entire book or just L1 prices?
  3. rosy2


  4. Hi Mick. Good to hear that second by second isn't that difficult. As far as L1 vs entire book, I guess all I would need is level 1 for finding and triggering a trade. And yes, it would only be for one instrument (SPY).

    I hope my logic isn't too complicated. Essentially it's one specific chart pattern (simple construct I think) that the algo would need to be able to identify. Unfortunately this pattern doesn't occur only on whole minute data, it forms across fractional minute data as well. That's why I need the algo to be able to go second by second.

    Thanks for the reply Mick, if you have any other tips, please feel free to post them here.

  5. you may wish to checkout tradelink, which is open source and works with tick-by-tick data (level1 and level2) at very high speeds in both live and simulated trading.

    google tradelink for more info or visit
  6. Can anyone recommend a data provider that has clean tick data? I currently am an Esignal subscriber but I don't believe them to have pristine tick data.


  7. sma202


    To people who use tick data, my question is on how you select the appropriate timeframe for backtesting. Do you look at 1 day's worth of tick data or multiple days or just use several hours? If multiple days, it's a given that you will run out of memory soon enough. What are the approaches to backtest a few months of tick data?
  9. The proposed chart-pattern on a one second chart with automated trading is quite feasible if the chart-pattern can be made fully objective.

    There are various platforms, some of which have been mentioned. Each platform connects with certain brokers and offers a subset of capabilities. Issues around prime broker/executing broker selection include commissions, latency, leverage, stock locate, algo ticket, competing prop desk snooping fears, synthetic products offerings, technology offerings, administrative offerings, and soft dollar offerings.

    Paying to have someone write your indicator in a popular trading platform such as NinjaTrader is cheaper and less uncertain than paying to write a custom application. It is a question of capabilities and costs as most business decisions are.
    #10     Jul 14, 2011