Looking for software to backtest/trade high-frequency algorithms

Discussion in 'Automated Trading' started by snackly, Sep 14, 2008.

  1. snackly


    I am currently working with NinjaTrader, but I find that it has no real good story when trying to work with tick data. NinjaTrader, like most platforms, is concerned more with chart based systems, where the end of each bar the system is executed.

    I am looking to backtest and trade off of tick data.

    I have looked at OpenQuant and RightEdge, but not found them to be very easy to work with.

    Has anyone else done any high frequency tick analysis and if so what software are you using?
  2. lrm


    I've not found any off the shelf product that can really do this effectively, except for very expensive packages from Kx Systems, Vhayu, etc. These software packages cost well into the six figures.

    Given the time frame you're interested in, you're likely going to be building your own software.

    Take care,

  3. raker


    I agree with IRM , I came across this company


    But again it looks expensive it is a all in one from testing to execution , and is primarily used by hedge funds and institutions , I am not aware of how much it costs ...
  4. Tradestation should do the job. Easylanguage is ok.

    I think backtesting using tick data makes little sense if not fundamentally wrong. Backtesting makes more sense in position trading. Intraday orders affect price moves. When you backtest your program is not part of the market and your results are purely hypothetical. I highly recommened the new book by Michael Harris "Profitability and Systematic Trading" where he explains some of the pitfalls of backtesting and how its accuracy increases as a function of the trading timeframe:


    Before you backtest read Chapter 6 carefully. It offer an honest and realistic assesment of the subject that can save a trader a lot of money in the longer term.

  5. lrm


    Exactly. If you're working at this time frame you at least must consider the order book and apply some set of assumptions on your impact to the market depth in how you are trading.

    Neat, gonna check it out. Thanks for the pointer.

  6. From what I've seen so far working through the examples (nice videos!), I think this looks really great for high-frequency trading strategy development.
  7. snackly


    Well yes, you need to account for what affect you'll have on the market, however there are heuristics that one can use to approximate that. And of course that impact largely depends on the size of the order, the liquidity of the market, the depth of the market (presuming you're not in a multi-contributor market), and the exchange order priority algorithms, etc.

    But thanks for pointing this out, it's very valid. That said, don't think that people don't backtest tick strategies. Clearly not everyone is crazy enough to just trade tick strategies without testing it against some set of assumptions.
  8. snackly


    Thanks for the tip. Is anyone trading live with this? As much as I'd like to try it out, I am a bit afraid of open source trading tools since there is nobody on the other end to hear me b*tch and moan as a customer when things go wrong, and they always do.

    Also, will this support ZenFire and other high performance data feeds/brokers? If its going to appeal to tick trading, that should be on the short list.

    In any case I will check it out and keep an open mind, thanks for the suggestion.
  9. Yes there are several firms and individuals that trade with it.

    I can contract with you for support either as a service or as-needed if you want extra help.

    No support for zen fire, just assent which is a high performance feed (they give you a raw tick stream, not a sampled one like IB). Zen fire could be added however.
    #10     Sep 14, 2008