Does anyone here know of an open source backtesting software alternative along the lines of Trading Recipes, Trading Blox, Wealth-lab, etc.? If not, any skilled programmers willing to undertake this project and launch one? Think about the possibilities!
errr.. with open source you can't make any money....why would an ex-programmer like me bother? P.S. I own WLD 3.0 and Tradestation 2000i and between the two I am happy. I often used excel to create an open source illusion when someone did not own the above two....
Problem isn't the back testing software, or a good simulator, one of the problems is the data and its related copyrights. I am a member of a few exchanges, so while I can have the raw ticker database for my own use, I can not share the data with non-licensed (by the exchange) users. I have often thought about ripping out the custom pieces of simulator code (the models) and publish my simulator shell as open source. It is straight forward, with some simple stochastic modelling of the order book (trying to avoid survivor bias), but the models are proprietary (since I spent many weeks tuning the simulator against actual fills, the correlation is surprisingly high), but the shell (data loading, publishing a simple API for data subscription, publish the data into a pub/sub messaging bus, receiving orders via API or FIX, and simulate Fills / Acks / Cancels / Replaces) can be open sourced. By comparison, TT-Sim usually gives overly optimistic fills. The other problem is that it exists currently an engine only, with no GUI, no hooks except a scripting grammar, the C/C++ APIs, and FIX or socket based messaging, so it is of use to programmers only. When I find time, heh.
If "Open Source" doesn't mean "Free Source" for you , then you can take a look at QuantDeveloper, www.smartquant.com/quantdeveloper.php Full source code is available. Regards, Anton www.smartquant.com
Just wanted to get some clarification on quantdeveloper. is quantdeveloper different from quantstudio? what is the difference between the demo version and the ordered license version, how long is the demo viable? what type of intraday data format is needed, is data for emini nasdaq and s&p available or do you need to use another data source. thanks.
Anton, Don't get mad, I just need to act on behalf of the rights of consumer awareness. It's in my blood to speak out against what is (imo) un-ethical... like your over inflated pricing. BTW, why did you send this to me via PM? Isn't this freely available information? Hi, we are going to introduce new pricing soon (actually introduce three editions of QD) so that QD will become more affordable for novice traders / system developers. DC price depends on number of connections it can accept, enterprise (no limit) is $3750. "Local host" edition is $1750 QD + DC full source code is $15,000 for individuals and starts with $50,000 for small/mid size hedge funds and trading groups. Source code pricing can be negotiated depending on different terms, including licensing terms, terms of support, etc. Regards. Anton
Where do you see over inflated pricing here and what exactly is unethical? Not giving it to you for free? What is unethical I think is to publish on the public forum what was addressed personally to you via PM. Cheers, Anton
Consumer awareness Anton, that's all. Why isn't all your pricing available on your web-site. BTW, I asked for this info publicly... Why is there need for secrecy. You also never did tell us how much the "Data_Center" is on top of the $3750.00 people have been paying for the platform. Lastly, you didn't answer my question of what other costs might be incurred by potential clients. I think you just might idolize $Bill G. Cheers, your friendly consumer advocate