Hi, does someone has some compiled information / docs / comparison chart of institutional level backtesting/execution software, like Deltix, AlgoTrader, etc. ? Would in particular be interested in *detailed* feature summary, pricing, etc. ... Thanks!
This is (as you'll soon learn is common on this forum) not the reply you were looking for, but I've spoken to a number of institutional traders at hedge funds and prop shops and they pretty much unanimously advocate building backtesting software in house. The specifics of rebuilding the book accurately and implementing matching according to each exchanges/contracts rules are awfully big pieces of the puzzle to leave to black box such as a piece of software someone else wrote in my opinion. I've heard of a few institutions that do use Deltix, but I honestly fail to see the value in these institutional level backtesting software offerings. The market microstructure driven crowd is going to want to control the whole pipeline of data from server switches, redundancy, and storing data all the way up to the specifics of their implementation of optimizers...whiel the vast majority of other traders are going to be fine with MATLAB, R, Python, or even a retail solution if they aren't latency sensitive. Maybe someone will come along later and inform me otherwise though.
I concur. I don't know of any institution that would use an off the shelf solution. Even my friend who just started a tiny ($1.2m) fund, built his own stuff (python / java). FWIW I no longer run institutional money, but even with my own money I wrote my own system (pure python). This all relates to non latency sensitive stuff BTW. GAT