Developing a Trading Framework from Scratch

Discussion in 'Automated Trading' started by fatrat, Nov 29, 2006.

  1. fatrat

    fatrat

    No, I don't have any suggestions. Some have suggested TradeBolt. There are other programs like AMIBroker that do this sort of thing, but I don't particularly like any of those programs.

    Have you back-tested your .efs indicators and scalps? I'm still searching for an edge. Care to comment about the style of system you are using?
     
    #31     Dec 4, 2006

  2. How about VB
     
    #32     Dec 4, 2006
  3. jtnet

    jtnet

    same thing as C++ to me, im only good with: if, for, while statements thats about the extent of my programming knowledge.
     
    #33     Dec 4, 2006
  4. Well.. that's pretty much VB, in a nutshell :)

    Richard
     
    #34     Dec 4, 2006
  5. jtnet

    jtnet

    i follow them daily, have to do with who is in control of the stock then trade with support and resistance based off the indicator. with human interpretation like looking at the overall market is doing and seeing how quickly things are moving at that time, becomes pretty accurate and can gauge capital managment. but for an auto systems of it, a set value for stops would still work out positive in the end. maybe even better because when i normally would close out winnign positions, due to a little pull back, the auto system would stay in the trade untill a trailing stop value is met.
     
    #35     Dec 4, 2006
  6. fader

    fader

    can you get the opening print from the primary exchange real-time from Esignal? i use IB which has an option to restrict datafeed to SUPERSOES, for example - it works for historical data downloads, but not for real-time quotes which include ECN data in pre-market hours.
     
    #36     Dec 5, 2006
  7. fatrat

    fatrat

    Yes. When you enter the ticker symbol, you use an =<exchange letter> to restrict charting to only those prints that came from a certain exchange.
     
    #37     Dec 5, 2006
  8. fader

    fader

    thanks, i haven't used esignal in quite some time; best of luck with your OO system.
     
    #38     Dec 5, 2006
  9. fatrat

    fatrat

    I've been reading "An Introduction to High-Frequency Finance" as of late to decide whether I need any sort of data-cleansing components for my trading system. The book is very math intense. The good news is that I have -most- of the math background required to understand the book. The bad news is that I forget pieces of information here and there and have been slogging through math books the past two days.

    The calculus? I'm decent I remember integrating by parts, most of the basic trig integrals, and integrating with substitution. I remember the basic multi-variable calculus. The matrix math? I mostly remember. The statistics? That's where my knowledge has some gaps. So, the intention, if all works out, is to take a probability and statistics class for a review of the material.

    There's two books I'm bouncing back and forth between. "An Introduction to High-Frequency Finance" and "An Introduction to Financial Calculus". There's quite a bit of material and I've read about 25% of each book. The only problem with these books, of course, is that there aren't enough exercises for the reader to work on to really reinforce the mathematics.

    As far as the opening system, it's roughly 60% complete as far as signal generation, but it is not complete as far as backtesting. I also need an order management system. Neither of these software components are trivial.

    I've decided to spend some time searching for contract work on the side to cover basic living costs and scrap scalping for profit at the time. I'm interviewing right now, so as soon as the interviews are complete and I have secured a solid schedule, I can plan development time ahead in advance.
     
    #39     Dec 6, 2006
  10. fatrat

    fatrat

    Finished implementing OO system. Just haven't tested it. More to come shortly.
     
    #40     Dec 10, 2006