Hi, I am highly considering purchasing OpenQuant for the development of automated trading systems. The system Im initially looking at automating is a high frequency (50-80 trades a day) scalping system that trades EUR/USD, AUD/JPY and possibly GBP/JPY. Now which ECN broker (not a deal desk) would be the suitable for this? The most important criteria for me would be fast execution and reliability. As to the spread I expect all brokers would be similar maybe 1 pip on the majors and 3-5 on the GBP/JPY. I realise i probably dont have many options as most brokers are market makers... Thankyou. Nizar.
i am in the process of opening an acct w dukascopy. from my research they are the best ecn type to trade with. carry could be better for the low volume trader, but strong overall.
I use Openquant with Interactive Brokers. Judging from the questions / comments on the smartquant forums, it is one of the most commonly used (if not the most common) broker for OpenQuant users. My personal experience with Interactive Broker's data feed, reliability, and executions have been positive. I have been with them for two years, and have been trading live with OpenQuant against my accounts for the past 4 months with success. I trade Globex currency futures, ETFs, and some equities; I don't trade spot Forex per-se, but I imagine the experience would be similarly positive. Btw, I run TWS and OpenQuant on a hosted server with reliable bandwidth. It is a rackforce.com Virtual Private Server (Windows 2003 server), dds200-W, $59 USD/month. I run multiple strategies with 1-min bars and the performance is fantastic for my needs. You would need to check it out for yourself if you are running multiple instruments/strategies with tick data however.
Thanks for your responses guys. I will check them both out. Just on the above, does anybody else have any recommendations on hosting servers to hook up automated trading systems through?? Dareminator -- So how does it work exactly? The systems reside in the private server and then fires off signals to IB? How quick is the execution and whats the lag like between the trigger and the orders being executed? Almost negligible would you say? Many thanks, Nizar.
The hosted server is your full and private install of Windows 2003 server (think of it as a more robust version of XP for our purposes). You access it with the "Remote Desktop Connection" client, which comes standard with every Windows machine. You have access to the full desktop and run and view applications on the remote server like you would on your local machine. The full copy of TWS (the client software from IB) runs on the remote machine. IB provides every account with two logins, so I dedicate one of my logins to the instance on the server. OpenQuant also runs on this machine. It connects to the local TWS. The real-time data feed, executions, order updates, etc are as close to instantaneous as you could get with internet access(the ping time to IB servers is a consistent 109 ms). If you need to shrink this time, you would need to get on IB's extranet (unfortunately I don't have more info), or use a broker like Velocity Futures who hosts your server in a datacenter near the exchanges. (all above is assuming your trading is automated. remote desktop connection induces a delay of maybe 0.5 seconds, so if you plan to click on things manually during trading, you'll have to factor that in).