Hi - I have had a look through the forums and there is a lot of good info on platforms for automated trading for retail investors. I currently use Multicharts Portfolio Trader / Interactive Brokers to test and trade some relatively low freq strategies (minute level bars / around 10 trades per day / ETFs and Futures markets). I am interested to know if anyone has had experience with what would be considered a more "institutional" quality setup? Multicharts has its problems, but I've generally be able to get it to do most of what I want, but it may lack robustness - not great as the size of the fund grows. I have seen products like Deltix and Quantfactory but the user base is obviously smaller so it is harder to get feedback on how good / expensive these systems are. TT would definitely be an option if I could trade ETFs on the platform... I don't need to run anything HF but I would need the flexibility to connect to various brokers via FIX (I guess). Thanks for any help.
Openquant is great. Full FIX implementation for sure. Not sure if they offer portfolio testing. You could certainly implement it. Their approach to software scripting is somewhat unique in that they provide a structure wherein your code is all slotted into functions that get called upon occurence of external events. I think they pioneered that and Ninjatrader followed suit. Openquant is the only package I've used wherein I trusted the backtesting results. Some other backtesters simply don't work correctly, never have worked correctly and I've done my bit towards providing info about same to the developers to little avail. Most of this stuff available is "charts with testing added". Openquant is "testing with some charts for those that just have to have them". You might look at AMIBroker. It is fast, very very much so. The code is compact and runs entirely in the Processor Cache memory. Not sure about portfolio or FIX. I like Sierrachart but haven't seen any mention of portfolio testing in the forums.
What exactly is multicharts missing ? re: "lacking robustness" Many backtesters aren't accurate for the reason of using bars....and they are not able to indicate which occurred first: the high or the low.
IB is by far the most technically capable back-end for algorithmic trading by a retail (home) investor. The platform fees for CQG (my preference among) and TTrader, including API and historical data, are astronomical ($2K/month + exchange market data). IB has hundreds of very active API home traders and there is a Yahoo discussion forum for asking questions. If you are a reasonably capable programmer you can have a fully automated system up and running after one year or so, robust to dropped connections, limits and the like. It's not low latency but it is faster than you can trade by hand and it can trade for you while you are away from your screen.
My error - I should have specified what I meant by robustness. I was really thinking of the execution side of the platform for running the strategy and not the backtesting functionality which I should say for balance that I think is actually pretty good for what I need. However, I have found it unreliable as a platform to execute the strategy on occasions. As an example, I run a pair trade across two futures. I have just added two additional months - one worked fine, the other didn't. (By worked, I mean connected to IB to download the correct symbol and load the data history.) This will correct itself in a day or two but it is a pain in the meantime. And sometimes data disappears and needs to be reloaded. Sometimes price feed is slow for futures but not for stocks. Etc - no dealbreakers on their own but they just raise question marks in my mind as to how robust the platform is. As I said, I have no issues with what the system can do, just occasionally things go wrong for no good reason. (No doubt some is down to the user as well). Thanks to you, and everyone else, for taking the time to reply.
I'm glad to see you are considering TT and wish to remind you that the TT platform you would have access to is the exact same platform used by the leading banks and hedge funds around the world. Regarding price, our Pro package, with complete algo functionality, is offered at $400 and is capped at $1,800. Our standard package, which excludes most automated trading functionality, starts at $50 and is capped at $1,000. https://www.tradingtechnologies.com/platforms/pricing/
re:"This includes all market data fees and back end fees." I have an IB account right now. So I would need to transfer my account to a TT account ?
@syswizard That is correct. You would need a TT account. If you scroll down the first link you will see our list of available FCMs. https://www.tradingtechnologies.com/platforms/tt-platform/ http://about.trade.tt/
Hello @red712004 . I have asked AMP the same question and will let you know where they stand on the other exchanges. I believe they're very close to supporting Eurex and ICE but I don't have definite information on that.