Need tips on developing my own ATS to trade FX

Discussion in 'Automated Trading' started by const451, Dec 27, 2010.

  1. const451

    const451


    Thanks a lot. I am currently emailing with MB Trading. They do not have any specific info on the website. They provide FIX for orders only including FX, they have API Quote for data streaming, it's also language and platform agnostic; they also have MBT SDK which is Microsoft only COM interface which also includes historical data besides ordering and data streaming. Min account $400. Looks good except I'll have to use at least two APIs.
     
    #21     Dec 29, 2010
  2. const451

    const451

    You place an order #1 it does not come back immediately, then you place order #2, then order #1 comes back filled out... don't you need to use messaging for that?
     
    #22     Dec 29, 2010
  3. rosy2

    rosy2

    you place an order 1 and update your OrderManager class.
    you place an order 2 and update your OrderManager class.
    order 1 comes back and you update your OrderManager and Position classes.

    where is messaging required in your scenario?
     
    #23     Dec 29, 2010
  4. I keep it small 0.02%-1% max risk per strategy. Correlation is a moving target, often youll notice pairs are correlated on 15 min and uncorrelated hourly, daily etc. For me I try to be profitable
    every month (Which I am not). But I can track each strategy
    backtested and realtime on a monthly basis to see over many trades if my correlations are low.
     
    #24     Dec 29, 2010
  5. Diversification is a real choice in trading. However, up to 1% risk per strategy but for how many !! strategies.

    Using different time frames with different strategies is also a smart choice. but Down correlation will still happen.

    I hope your testing will reveal a profitable setup. Keep informing us the results.

    Thanks:)
     
    #25     Dec 29, 2010
  6. 6 strategies on 5 pairs. It's rare but if all strats had a position simultaneously my total risk entry-stoploss would be 4.4%.
    Test and Live results are attached.
     
    #26     Dec 29, 2010
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    #27     Dec 29, 2010
  8. const451

    const451

    I do not know yet I am learning :) THX
     
    #28     Dec 29, 2010
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    #29     Dec 29, 2010
  10. bpcnabe

    bpcnabe

    You need 10k to open an account with IB unless you are a student or some other criteria. Once deposited and open, you can turn around and take out 8k if you want. IB needs on deposit 2k in order to margin trade. If you drop below that, they may restrict you (not sure, never had to test that theory).

    The PDT thing you keep obsessing over is for equity and equity option trading. Please google it and educate yourself.
     
    #30     Dec 29, 2010