Launched High Frequency Automated Trading Blackbox

Discussion in 'Automated Trading' started by 2cents, Aug 8, 2007.

  1. This is a trading website.

    A member has recently deployed a fully automated trading strategy.

    He has posted about it in the 'Automated Trading' forum.

    Others are here discussing the topic, asking questions which are relevant to them or answering when they can.

    What is the point of your question?

    ---------------------------

    2c, congrats and good luck. Let us know how things go.
     
    #21     Aug 11, 2007
  2. only parts of it... had to contract a top nerd mate of mine to get the whole thing off the ground, and i have a pretty strong IT, AI, Telecoms background as well although a bit dated... coding-wise, it took us twice as much effort to go from a backtest ready "system" to launch, than to go from scratch to a backtest ready "system"... there are loads of things... the fine-tuning of the auto-reconcile auto-restart on line / session failures i'll remember fondly notably...

    how does one begin?: you need to have a clear rules-based system in place first, that passes manual backtesting etc at a minimum. ideally you'd want to modelize its behaviour (mathematically) and test its behaviour in extreme conditions etc so as to refine size of initial and incremental positions etc etc... otherwise your just building another time bomb... and if you have all that, then you have to take a gamble... loads of time & effort no guarantees... but so is life ;-)
     
    #22     Aug 13, 2007
  3. i won't disclose what we are using but yes, the choice of languages and the development environment etc is extremely important...

    another hurdle in my case (spot currencies) was to find free / affordable & clean multi-year tick data for proper backtesting... i wasted weeks on that, had to do the clean-up etc as well... nightmare job even with the semi-automated routines etc... but no regrets...
     
    #23     Aug 13, 2007
  4. way to go, TS ;-)
     
    #24     Aug 13, 2007
  5. cheers Nik, will do
     
    #25     Aug 13, 2007
  6. I'm confused. As I know, in Forex you always buy at ask and sell at bid. Doing 100 trades a day means losing 200-300 pips right away, which is more than average daily range in most currency pairs.

    Looks impossible to win in such setup.
     
    #26     Aug 14, 2007
  7. DonKee

    DonKee

    Congrats on the launch.

    btw, does anyone have any feedback for me on the best resource, tutorials, etc for learning C# for trading purposes?

    I am messing around with "Ninja" and it seems their wizards are very basic, I'll need much more in-depth knowledge of C# to convert my systems to their platform.
     
    #27     Aug 14, 2007
  8. You mean you went mountaineering without a map/compass? Why? That kind of risktaking doen't sound like a good prerequiste for a trader. :D

    Anyways, good luck with the ATS, very kind of you to share here, thanks,

    Ursa..
     
    #28     Aug 14, 2007
  9. maxpi

    maxpi

    The wizards set up your environment and give you a framework for your code. I thought that was about as much as a wizard could do really, given the complexities of what has to be coded after that.

    I'm learning C# and basically, after a week or two I can get things done better and faster then I ever could with "Easy Language". The guy on the forums says there are differences between C++ and C# enough that he did not think my Sam's book on C++ was a good idea, so far, I'm fine with it all just referring to the Sam's book, Googling, looking at the coded stuff that comes with Ninja, etc...

    Congrats 2C!! Enjoy
     
    #29     Aug 14, 2007
  10. man

    man

    2c, what sharpe ratios are we talking here? thnx.
     
    #30     Aug 14, 2007