Pair Trading Platform

bone · Mar 15, 2009

The IB software (and Redi 8.1) waits for the condition to be satisfied and executes both legs simultaneously through smart order routing.

Credit Suisse and UBS have dedicated servers that actively works spread leg orders in the market place.

JaiSreeram · Mar 16, 2009

Quote from Murray Ruggiero:

TradersStudio can be used to trade single contracts we will put the single contract results together using its portfiolo features.
You will create a portfiolo which is the indivdual contracts of both Corn and Wheat, for Corn we use an intermarket of Wheat and for Wheat we use an intermarket of Corn.

Sub CornWheatSpread(SLen)
Dim MKSym As String
Dim CleanSymbol As String
Dim Spread As BarArray
Spread=Close-Close Of independent1
If Spread=Highest(Spread,SLen,0) Then
BuySingleContract(thismarket.Symbol(0)&"BuySide",1,0,Market,Day)
End If
If Spread=Lowest(Spread,Slen,0) Then
sellsinglecontract(thismarket.Symbol(0)&"SellSide",1,0,Market,Day)
End If
End Sub

Here is the code for SellSingleContract, Buy is similar.

Sub SellSingleContract(SignalName,Size, Price, OrderType, OrderTime)
If IsActiveCornContract() Then
Sell(SignalName,Size,Price,OrderType,OrderTime)
Else
ExitAllTrades
End If
End Sub

We only want to generate orders for a contract while it is the active one after that we want to exit all positions.
Here is the code for IsActiveCornContract.
This show the rules for which contract is active for the corn.

Function IsActiveCornContract()
Dim lastChar As String
Dim fileYear As Integer
Dim bOK As Boolean
Dim CleanSymbol As String
bOK=False
CleanSymbol=thismarket.Symbol(0)
If InStr(thisMarket.Symbol(0),".") Then
CleanSymbol=Left(CleanSymbol,Len(CleanSymbol)-4)
End If
lastChar = Ucase(Right(CleanSymbol, 1))
fileYear = CInt(Mid(CleanSymbol, 2, 4))
If lastChar = "Z" Then
If BetweenDates(Date, 8, 23, 11, 23) Then
bOK = True
End If
End If
If lastChar = "U" Then
If BetweenDates(Date, 6, 23, 8, 22) Then
bOK = True
End If
End If
If lastChar = "N" Then
If BetweenDates(Date, 4, 23, 6, 22) Then
bOK = True
End If
End If
If lastChar = "K" Then
If BetweenDates(Date, 2, 23, 4, 22) Then
bOK = True
End If
End If
If fileYear = Year(Date) Then
If lastChar = "H" Then
If BetweenDates(Date, 1, 1, 2, 22) Then
bOK = True
End If
End If
If fileYear = Year(Date) + 1 Then
If lastChar = "H" Then
If BetweenDates(Date, 11, 23, 12, 31) Then
bOK = True
End If
End If
End If
End If
IsActiveCornContract=bOK
End Function
More...

Thanks Murray for the detailed example.

HTx Pro · Mar 17, 2009

Hello all,

I was reading this thread and saw that TOMU mentioned Happy Trader. Thank you TOM.
Happy Trader does still exist and is now named HTx Pro. www.htxpro.com

HTX's specialty is Pairs/Spread Trading (Stat arb, Risk/Merger arb, Long/Short trading, Dollar Neutral spreads/ratios spreads, Structured arb, Multi legged pairs and cross-border arb) and has been in the making since the late 90âs.

For more info or a demo of our product, please feel free to contact us at 718 267-0385 or sales@htxpro.com

Thanks,
Steve K

Esq Esq Esq · Mar 19, 2009

We have some stat-arb guys that made our developers build some custom ODO orders (one dependent on other) and bunch of other tools for trading pairs, through modding laser.

PM me - maybe i can put u intouch if that's something that you need.

spreadem · Jul 13, 2009

Quote from bone:

Finessa, Apama, Portware, Orc are very nice dedicated server-based systems and are according priced as such.
More...

Is there anybody on this forum using these for equities ... how reliable are they?

henderson · Jul 13, 2009

we run a server based strategy and they are quite good; many times faster than I thought they should be.

In terms of nice equity spreaders and basket trading software.....Goldman can give you a spreader enablement on their Redi+ front-end that is stellar on the equities side.

nebulous · Jul 13, 2009

I think the earlier post ment Fidessa (not finessa). Fidessa, ORC and the others all should be very reliable. I have experience with ORC - reliability for equities is fantastic, but for the money it should be. ORC Trader (much less liquidator) and Fidessa have a lot more functionality than the OP has asked for but don't really work as a retail level solution he's looking for - I believe ORC's cheapest solution is over $4000/month.

spreadem · Jul 14, 2009

Quote from nebulous:

I think the earlier post ment Fidessa (not finessa). Fidessa, ORC and the others all should be very reliable. I have experience with ORC - reliability for equities is fantastic, but for the money it should be. ORC Trader (much less liquidator) and Fidessa have a lot more functionality than the OP has asked for but don't really work as a retail level solution he's looking for - I believe ORC's cheapest solution is over $4000/month.
More...

I have talked with the Orc reps and their solution would be overkill for retail. There must be another solution provider that offers similar functionality without the hefty price tag.

tigerwu · Jul 14, 2009

you can also try GL trade, they may have this feature. Is ORC that expensive now? I used to pay 2k a month for the ORC trader. I don't think they have a FIX solution for IB. BTW, you may still be able to soft dollar your execution platform.

spreadem · Jul 17, 2009

HTXPRO sounds like one to look into for pairs and stat/arb trading.