From Strategy to Execution: What is the process?

Discussion in 'Order Execution' started by catechu, Dec 4, 2007.

  1. catechu


    I am new to the field of active trading. Suppose I develop a strategy. What is the process to actually start investing with that strategy?
    1. I develop an automated strategy on paper.
    2. I obtain a server, and program it to take in data and output trades (I have heard something about outputting in a FIX protocol format -- do I need to do this from scratch?). It determines the output based on the paper strategy.
    3. I find a brokerage which will automatically execute trades given my server's output.
      Are these the bare bones of starting an active investment firm given a strategy? If not, I would really appreciate it if someone could enlighten me on the process of going from strategy to execution.

      Another way to frame my question -- how do firms execute trades (e.g. what brokerages, etc.), and how does the implementation of their strategy fit into this pipeline?

      Thanks a bunch!
  2. promagma


    Find a broker first. Genesis and Interactive Brokers have pretty decent API's from my experience. Going the FIX route will cost some extra effort to buy flexibility. Keep in mind that many brokers charge "professional level" fees to use FIX.

    If you want a shortcut, check out software to create and autotrade systems (Tradestation, Wealth Lab + Fidelity, etc). If you really want to do your own programming, check out JSystemTrader framework. Building something from the ground up is a huge task.
  3. catechu


    Where can I find a list of brokers which provide APIs for trading?
  4. For most people it is:

    1) Convince themselves they can trade after reading "Commodity Trading for Dummies"
    2) Open account with brokerage.
    3) Trade their account until there is nothing left (often only takes a month or two)
    4) Ask others for advice
  5. Allright so the right process would be something like this.

    Develop a strategy on paper, and remember, the simpler the entry and exits rules are, the simpler it will be to program and the less bugs or errors it will make.

    use of of the many automated order execution software out there. The one i work with is ninja trader. I program my strategy in esignal which sends orders through ninjatrader. you can also use their strategy designer to create simple strategies, or code your own in C or javascript (for esignal)

    lots of brokers offer API you can integrate into various charting software.
  6. promagma