For quite some time now, I have been looking for a new trading system development, testing and deployment platform. Unfortunately, every time I feel that I have found an appropriate solution I have run into a ceiling of some sort. I had recently started a thread regarding Excel which had its share of positive reviews but was more or less flooded with negatives. I do not wish to take that thread of topic so I have decided to start this one. Before inquiring what platforms are recommended, it would be best to state what I am looking for. I require a system that will allow me to analyze data on a tick by tick basis on multiple time intervals across multiple markets. I also require the capacity to induce external number sets to be analyzed simultaneously with the market data. These outside number sets may or may not be induced in real-time. I also require the ability to utilize time and sales data in the system in both real-time and back-test environments. The software should have strong back-testing capabilities that can run tests on a tick by tick basis regardless of the time-frame chosen. It must also be capable of processing the system in real-time and preferably linkable to a brokerage firm for trade execution and management. It must be able to process large amounts of data (such as tick data for multiple markets spanning several months at a time) at relatively high speeds. I am aware that this would take a very powerful computer but I am willing to make that investment if need be. Just so there are no mix-ups, I primarily trade e-mini futures so the platform must support that. Support for equities, options and other instruments would be a definite plus. Many of you will be recommending that I just develop my own platform. If this is my absolute last resort, than I will do what I must. However, I am trying to avoid having to develop my own platform since developing an effective system takes up enough effort as it is. So if any of you fine traders and developers have some advice you would like to share regarding this matter, please feel free. Some programs I have been looking into are Trader's Studio, Mat Lab, Mathematica and as I have stated before, Excel.
Trader's Studio is not real-time. It is promised, but like most software vendors, they constantly slip their delivery schedule. You might look at the smartquant web site. These guys are constantly changing their market model and you can never tell if they'll be in business under the same name the next year but there have been good things said about them here on ET. They are not sponsors so when searching for comments be sure you are aware that the comment may come from a biased viewpoint as the SQ people don't normally identify themselves. . Complicated, but powerful. Be sure you look at the need for their database engine when\if you evaluate it. Jack
maybe orc software or rtsgroup's realtimesystems can do what you want. but if you put forth a little effort you can do it yourself. get a good os (linux and bsd are free) get a feed. get a message queue (activemq.com is free) use a language (python and perl are easy; java a bit harder, c++ more than what you need) use APIs (stand on the shoulders of giants. java's esper, quantlib, scipy, quickfix)
Pertaining to SmartQuant, when running back-tests are you sure that it performs calculations on a tick by tick basis rather than just the time interval selected? For instance, if I were to run a test on a 7 minute time-frame and enter a trade at 1520 with a profit target set at 1522 and a stop loss set at 1519 and the bar's high was 1523 and the low was 1518, would SmartQuant be able to give the proper read out based on what happened first?
You can use trades, best quotes or even market depth in OpenQuant (SmartQuant retail product) to simulate execution during strategy backtest. Partial fill simulation is also supported if you use historical quotes or market depth. Regards, Anton
Thank you Anton for that informative reply. I was not aware that OpenQuant is capable of back-testing on this level. I had downloaded a trial of it before but got caught up in some things and was not really able to utilize the trial. I am wishing I had since it might have saved me a lot of development time.
There is a list of features on this page http://www.smartquant.com/openquant.php - intraday backtesting and automated trading with tick data - market depth and order book support are there Regards, Anton