Automated execution

Hi All,

I have my nice little models and signals, In Matlab and Excel. However what I would like to do now is to somehow create an automatic trade ticket to my/a broker. Anyone currently doing this? Or does any one have any ideas? Also I’m currently using Bloomberg quotes, anyone using quotes from their broker in an automated way?

thanks All

 

I'm in the same boat. Please keep me posted on what you find.

To Expand:

I've automated price acquisitions, running neural network models on each new bar, optimizing a trade strategy for the models using GA. Now what I'm looking for is a simple way to automate the execution of the trade to avoid sitting in front of the computer.

I've looked at X-Trader, Strategy Runner, Ninja Trader and others.
The problem is all these were designed first for chartists and for building a trading system/strategy, with the automated execution added on. I've got the signals and system from the NN and GA and only want a simple automated execution application.

Any suggestions from anyone?

Thanks,

Jerry

 

If you're in Chicago, there's a workshop going on today covering this with TT, QuantHouse and Tick Data.

http://www.quanthouse.com/website/CHI_01-31-08.html

 

Can't fit it into my schedule today but many thanks for the heads up.

 

Hi,

Glad someone else is in the same situation, alot of the tool that people are using here won't work with my models.

will keep you informed on my progress

 

Roger,

I may be getting a response similar to you from the brokers/ATS Vendors, I don't know. They start out about telling me how easy it is to set up a trading system in their script or macro language. I tell them, no thanks, I already have a complete trading system. Then they tell me that I can just insert what I have into their system or onto their server. Once I explain that a single model for a single market when exported to C++ may be close to 1 GB of executable code they realize that they can't do much with it.

However with persistent digging and many phone calls I found an approach that may work. Ninja Trader has a DLL that in conjunction with the set up at Mirus Futures will enable me to pass trade components: Market, Buy/Sell, Contract, Stop, etc directly form my "black box" application to the their trade execution app. Simple, clean and direct without having to wade through a software package designed to develop a trading system.

In my search for this I'm beginning to think that instead of Googling for "automated trading systems" I should have looked for "automated execution" or something similar to separate the execution from the system development/automation function.

I’ll be working on the DLL over the next week. If this approach is of interest let me know, either privately or publically, and I share the details.

Jerry

 

I presume you have checked out Interactive Brokers, but I thought I would mention it just in case. When I first started, I thought it would be a lot harder to program that it turned out to be. It does require programming ability, but if you have a lot of sophisticated code, the added coding to automate order execution should be manageable.

What I like most about IB is that their API is free, their rates are pretty good, they can accomodate stocks, futures, and forex in the same account, and there is an active developer community for help and sharing ideas.

 

All automation requires programming.

It's either you do it on your own or pay for it.

Simple

 

One last resort solution would be to create a bot or automated clicker with NN's to read characters off the screen and routines to check for color values in certain places on the screen to look for errors or something that requires user intervention. I wrote a program (altho not using NN's) that read characters off the screen and clicked a button to refresh the quotes. An alam would sound if the price moved out of a certain range, and I could come see what was going on. I also saved $20 a month by not having to get streaming quotes.

The following is a link that describes how to capture the screen in various languages:

http://www.geocities.com/krishnapg/screencap.html

 

Actually there is no need to write a program unless you want to for the fun of it, as TextCapture selld for $39.95 is very efffective at turing any text or numbers on any screen into alpha-numerics in your calling program.

Additionally things like MarcoExpress give easy assess to capturing pixels at specific locations, which when they change color can have lots of uses for alarm and control functions.