Help Needed to Implement a Spread Based Model

Discussion in 'Automated Trading' started by garywernick, Sep 10, 2009.

  1. I have developed a mathematical model and am now using CQG's autospreader in a proof of concept phase. It seems to be working although it's early days, and I am now looking at how best to implement it.

    This model requires an autospreader and to be able to keep positions on the about 40- 60 combination of instruments (or "strategies") upon which it works. It operates in illiquid markets, holding open the positions for between a couple of days to a couple of months.

    CQG, whereas better than most, lacks ability to track my positions by strategies (and yes I know that that it has the button on the position screen which claims to do this). And although it has the makings of a very fine product I have been experiencing several problems, especially with the autospreader. Moreover there is currently no API to the autospreader.

    It should be possible to build using TT or Stellar, but this would require a lot of programming via the APIs especially in respect of position keeping and checking for being legged out/ double fills. Presumably this would leave me with a lot of inelegant VBA / Excel code which will be hard to keep bug free and maintain.

    I am currently struggling with my mainly manual Excel spreadsheets to reconcile positions.

    As these are illiquid markets which are likely to be easily moved I am trying to avoid an expensive implementation such as RTS Tango, especially as low latency is not important. This is going to be a small scale operation due to to the illiquidity of these markets although hopefully the model will generate a worthwhile income if it works as expected.

    The other suggestions are to build an implementation using Mathlab - linking presumably to a front end trading systems API or even directly. I had a look at Mathlab and couldn't get started with it, and this would appear to be quite a steep learning curve for me and I would want to make sure that it was worthwhile before starting.

    I can cobble together some code in VBA, but am not sufficiently competent / too rusty as a programmer to write a system with real money at stake (ie all the error checking etc). And to be honest I would rather avoid it if I can.

    Are there anybody who would provide me with the infrastructure to implement this model for me (either with my paying for the reasonable development costs or their taking a share of the profits). Or is there any software which can cover this functionality at a reasonable cost. Are there any developers out there who might be interested (I am based in NW London) especially if you could recycle existing code.

    Kind regards

  2. yshterk


    Gary, check your PM, I just replied with some ideas.