I've been lurking on ET for the past 6 months and figured it was time to give something back. Today marks the first day that my ATS traded live with real cash and I would like to share my experience of developing such a system with anybody that is interested. I am happy to answer any questions that you may have but I will not talk about strategy specifics. Here's a bit of info about the system: Written in Java; Uses the IB API for data and orders but the system is modular and could accept any data provider or broker; Not designed with HFT in mind; and MySQL and flat (binary) files are used to store historical data. I also want to say "thank you" to everyone who has posted to ET over the years. This site and some of the amazing contributors have helped keep me focused, committed, and of course, entertained.
So how did it go, any glitches on your first day? I'm guessing it made money, and no big problems, so you're feeling altruistic and a little bored
i'm not a pro,but i can make\code ATS probably in less than a day. the big question -will it be profitable? on positive note-hey! i'm happy for you(as long as you are not trading same s** on front of me)!
As a coder your username made me smile. Did you manually trade your system before deployment? That's the stage I'm currently at. I've found that by trading the system manually I find improvements a well as confirming that the system functions as expected.
Yep, you nailed it. I take it you've been here before? As for any glitches, no, didn't have any of those. I've been testing the software for months with a paper account so I was pretty confident there wouldn't be any issues. In fact, I went to the gym while it worked it's magic. It was more of a test for me than the software!
Well, I'm by no means a pro either but this took me the better part of a year to put together. I started prototypes in January of last year and laid down the bulk of the system in the last 6 months. Turned out to be way more involved than I had imagined but I'm really happy with the result. Now I can hammer out a strategy in a day or two. I'll try not to take any fills from ya but no promises
Yes, during the good times just remember that bad times WILL come, during the bad times remember that good times WILL come again (as long as you avoid getting blown out of the game). It's a fascinating journey that never gets old, good luck.
What have you done to mitigate those bad times? I'm trying to approach the problem by running several strategies that are independent from one another and rely on different models. The theory is that if one or more strategies become less effective, the others will pick up the slack.
That's a good plan, but don't overload yourself and lose the ability to think about each strategy individually. If two or more strategies go south at the same time, you need to be able to evaluate each one independently. Or if you have a losing strategy, but the losses are more than absorbed by the winning strategies, don't get complacent thinking "it's gotta come back". You need to consider each strategy as if it was the only one, deciding when to go into "capital preservation" mode for that strategy.
I have found that automating the back testing of strategies has been the most powerful tool I have come across and I personally find it easier to fine tune and improve these systems with it. Rather than scrape over chart after chart by hand, in just a couple of seconds I can run a strat against years worth of data. Afterwards, I look at the trade setups and confirm things are working as intended or make adjustments as needed. Even if I didn't trade 100% auto, I would still back test strategies with some sort of platform.