HFT platforms

Discussion in 'Automated Trading' started by josha, Jun 25, 2011.

  1. josha


    Hi there,
    I'm a relative newbie to HFT and have been trying to find an answer for this, but I haven't seen a good one yet.

    I have an algorithm that I'm happy with and have tested (I wrote some custom C++/CLI .net software to pull from a Bloomberg feed, run my algorithm, and log out what trades it would make), and now I'd like to put it into production. Like many algorithms, mine can be parallelized (per symbol) and GPU accelerated within the algorithm.

    What I'm trying to figure out is how customizable some of the platforms that are out there are. Really I think what I want is an API setup for HFT that can interface with various data sources, call my algorithm (preferably written in straight C/C++/Objective-C) in a parallel fashion (so the platform doesn't just have a single-threaded event loop), handle trade execution, and ideally also handle trade accounting. I'm guessing I'll need to write my own code to handle some general tasks (e.g. don't trade these symbols or during these times, sell all positions and stop trading, show me what positions we've got right now), but it'd be nice if the platform handled that, too.

    Most of the platforms I've seen mentioned, from IB to IQBroker, don't really seem designed for this lower-level but complete use case. Cactus Trading Systems' platform (http://www.cactustradingsystems.com/products.html) seems to be the closest to what I want, but does anyone have other thoughts or recommendations?