Mechanized Trading Systems

Discussion in 'Strategy Building' started by RapidEye, Nov 21, 2002.

  1. RapidEye


    Used to visiting traderclub, nice to find ET.

    I develop TS's for many years now manually following their signals. My intention now is to set-up a real time app in java that would trade some systems using the IB API. The application should have a historical-real time database of intraday futures prices (globex,eurex) that would be used for some analysis with nets and other methods, producing trading signals that should be directed to IB TWS.

    I have already finished a version of my java app that can backtest stored data and write some results analytics. Now I am supposed to write the part that manages historical and live data prices in real time and produces signals for execution (using TWS API). Here comes my question...

    What data feed should i select ? Which vendor offers both *historical and real time* feed for futures, providing at the same time a *java API* to retrieve and manipulate these data locally in my box?

    For example, a system could require to analyze the last 10 days of 1min intervals to examine if a signal is triggered or not.

    I have already done some research but i am rather confused. Most providers don't offer historical prices and also don't provide a java api.

    Can anybody help regarding this point ? Any other recommendations from someone that already trades real-time TS's using IB or other firms ?

    Many thanks! :)


    (apologies for my bad English :D )
  2. bobcathy1

    bobcathy1 Guest

    Try this site

    he has a lot of programs that he designed for TC2000.....TS6 and a whole load of interesting information.
  3. Thanks for the link, Cathy. I hope you won't be accused of being a salesperson for this guy this time...:cool:
  4. RapidEye


    Just to make it clear that ...where "TS's" I mean Trading Systems and not TradeStation. I use Java to write my systems and what i am currently looking for is the automation part rather than implemented ideas.

    Thanks anyway bobcathy1

  5. Congrats on your work and program(s). Unfortunately, access to historical data has been a thorn and bane to traders for too long.

    I think the data vendors are finally seeing the need and are trying to accomodate at least a small window of past data to users.

    Check out ESignal, Qcharts, Futuresource. and if you what to fill all traders hearts with joy - CQG. You might also pursue talking with Reuters and Bloomberg. The data is sitting on their oomputers - it could be a great new business for them to allow access to the data(for a fee). Think of the bandwith that is available after maket hours to allow access and downloads.
  6. rcreal


    The datafeed and platform are available for the cost of what most data vendors charge. Also, automated futures trading supposed to be available from TS soon (when???).

    Try using to interface with IB TWS or one of many brokers who offer a front-end package to PATS J-Trader ... or
  7. RapidEye


    rcreal, thanks for your reply

    For the automation of a system I would divide the whole work in 3 parts: Data Management, Data Processing (signals generation), and Orders Execution.

    With TradeStation I would have
    1) a very good database going back in history and also providing live feed.
    2) a reliable execution mechanism with low commissions (IB is better although)
    3) a Processing platform (EasyLanguage) with many restrictions that wouldn't allow me to implement ideas which require object-oriented programming.

    Although I know about the kind of restrictions that I would face using EL, I am not awared about how one can overcome such problems using DLL's or other "tricks".
    Is there any way that I could call my java code from within EL, to process the data provided in TS platform and produce signals to be directed to TS execution mechanism ?

    My primary thought is that EL could not allow me to interface the signals of (for example) a custom Neural Network or a system that trades an other system (metasystem) or.....

    So I plan (actually being forced as you see) to go with the hard way, implementing all three parts I mentioned above. Processing data to generate signals , and translate these signals to execution orders (using IB api) seems to be parts of work under my control. But my problem is how to construct a database with intraday futures prices that would contain a history of at least some months of data and would be refreshed continuously with real-time (1min) prices. I cant find a vendor that provides historical and real time data that could be retrieved through a java-api.

  8. fmbarron


    We are working on our own automated system. We are using NeoTicker for our historical data. Try

  9. We at have successfully utilized QuoteTracker's HTTP interface for quote data.

    What is cool about the QuoteTracker HTTP interface, is that no matter what data feed you choose, you get a standardized interface for which you can query and retrieve data.

    We have switched from Datek to PCQuote, and we never had to make a single code change.
    #10     Nov 22, 2002