Hi all, I am developing my high speed trading platform. However, I would like to know if there are good open source high speed trading platform so that I can avoid reinventing the wheel. My questions are: 1. For order execution, is FIX the most popular (standard) approach? 2. For order management, what's the best method to handle that? Let's say you want to submit long/short orders to maintain market neutrality, what if one of the order gets executed and the other side doesn't so the legs are broken? How to manage these types of situation? 3. What's the best approach to incorporate a backtest platform to seamlessly connect to the execution and order management? Any thoughts? Thanks a lot!
http://tradelink.googlecode.com/ Not sure if it does FIX but it connects to many popular platforms. It is very customizable since it is open source. A little less user-friendly than say Ninja but I think it's where it's at for people who know how to write code.
ActiveQuant. http://www.activequant.org/ http://www.activestocks.de/ Java Based but you can port to.net [if thats your bag] with some hard work.
1. Stick with connectivity over the internet, FIX = institutional for all intensive purposes. Unless you have a Prime and need FIX I would stick to Internet. 2. You can't be long and short the same thing in the same account. Series 7 101 - its called painting the tape. If you need to get into something badly enough use liquid securities and trade longer term so you can get in & stay in and slippage won't be that much of an issue. If you NEED to be in a pair just use MKT or Limits and make sure your position management engine is robust enough to handle the partials, rejections, etc. Coming up with the trade is the easy part. If you go it alone you'll be spending a lot of time on position management and backtesting - much more than system/trade development. Why not focus on developing trades and then partner with someone with existing infastructure?