Need some advice/help

Discussion in 'Automated Trading' started by maskiepop, Jun 30, 2007.

  1. maskiepop



    I have never traded before - so some of the things I will be saying could be very dumb.

    I want to trade the S&P 500 emini of CME. So during the past 8 months I have been analyzing the S&P 500 emini data using SAS (Statistical Analysis Software). I obtained historical data (tick data) from OpenTick, wrote maybe a ton of SAS code, (ok, half a ton), and now I would like to get to the stage where I can run the trading decisions I developed in SAS against live data.

    What I am looking for is a trading platform that I can interface with the SAS app I wrote.

    The way I see the whole thing working:
    - the trading platform receives the feed
    - produce charts, etc
    - pass the tick and quotes data to the SAS app
    - receive buy/sell signals from the SAS app, including Stops,
    - inform the SAS app of the status of the orders
    - manage the orders

    My problem is that I can't seem to find a trading platform that does that.

    SAS can interface with Win apps via DDE. I can get the SAS app for instance to treat excel files as SAS files - read from it; write to it. It also has a feature called a named pipe which I think could be even better, although I haven't tried that. In the named pipe feature the data is sent/received as ascii data streams between SAS and the Win app.

    I would appreciate hearing from someone who streams out Tick data from a trading platform for analysis in excel. Or whatever. I would also like to hear from anyone who passes buy/sell orders as text files to their trading platforms.

    I have looked at both NINJA trader, OEC (Open E Cry) Trader. I am not sure that either fits the bill. I could be wrong.

    If someone out there is using OpenQuant and is familiar with most of its features, I'd appreciate his/her comments, suggestions as to whether OQ can do it, and possibly how much effort is required to make that happen. I am not a C# programmer, although I will give it a try if the tasks are well within a beginner's capabilities.