So basically I've been working on my own algorithmic platform that lets me write my own strategies in C#, without paying ridiculous fees to bling bling providers. It uses the CTS T4 API, so you need an account to play with this. Bang away your codes in the code editor, compile them, link to a strategy with assigned variables, and view market data or send orders. Free download at: http://scctrader.hftstrat.com.
If i code up a strategy in C# do i get access to tick by tick bid ask data? Is the software event driven? How about playback modes? Can i play back a data tick by tick as if it were coming in live?
I built a platform like this a few years ago for IB. It is not a lot of work to get a simulation, read-data, playback and even get a basic framework for strategy. But it is a lot of work to add Risk models, performance statistics, all perks for an algorithm like TA, fundamental, add optimization and notification support. It is kinda high risk to use such systems for live trading. We already have market risk to take care
I don't understand why someone would tie themselves to the windows platform like this. I wrote my own autotrading/backtesting platform too, but it was in C++ and completely platform-independent. My main motive was to run on Linux primarily but also windows if need be. There are plenty of platform-independent GUI front-ends and SQL database back-ends available without having to go down the microsoft rabbit hole. Yes, you can run C# on Linux with mono but why take the performance hit?
yup, the playback mode is still in progress. my other gateway software will get this feature first, discussed in another thread: http://www.elitetrader.com/et/index.php?threads/python-to-trade-futures.287514 basically i work with whatever's free and available at the moment. The t4 desktop runs on windows on a single computer, so i need both running at the same time to debug stuffs. with this i can quickly code up a few ideas of my own, and if they work, will climb out of the rabbit hole and into the rainbow.
You took the words right out of my mouth.... anything that has the line #include "windows.h" is pure evil. OP: Whats your monetization strategy? Are you offering free downloads now as a trial period and than requiring a subscription? I too have developed "from scratch" C++ AT software, but have no intention to sell subscriptions or give away the software....unless of course it stops working the way I want it to.... only then will I sell subscriptions and automated Technical Analysis strategies to people who like buzz words like "Articial Intelligence" ,"HFT", "Low Latency","Big Data", etc... Not meaning to slam you or your software, I'm sure your software is solid. This is just an area that you don't see much "Open Source" work in, and most valuable software packages (outside of the big expensive platforms) are kept in house, so I'm trying to determine what your intent is.
I think this is pretty impressive....especially for one programmer. However, I've seen the incredibly long amount of time it takes to get these things fully-featured and bug free. Remember Tradestations 2000 ? It was over a million lines of code and they had to scrap it after the original programmers left the company. It was bug ridden and could not be salvaged. (Written in C++) Another one: Interactive Broker's API. It's taken them FOREVER to get this right....and it's still not there.
monetization is last priority on my list. actually my top priority is to find a swanky job in quant dev with these as my portfolio; my resume could make do with hipster quotes like "C#, WPF, event-driven, trading". i don't have actual any work experience to boast though. 2nd priority is to develop a proven strategy, and probably fund others' or my own account. Give, and you shall receive.
That makes sense, and should be a good resume builder in my opinion. Personally, I think it is way more impressive to have built something from nothing, as you've done, than it is to have "industry experience".... I also have zero " industry " experience