I'm looking to automate a few profitable strategies I'm using, and thought I'd try to post here and see what happens.. I'm open as to which platform to use, as long as it's not full-blown institutional cost. My order entry is X-Trader Pro, so the broker connection will be their API. Looking at software, since both Neoticker and Right Edge seems to be lacking support for TT, OpenQuant seems to be an obvious candidate. Their forum however has a few people complaining about synching of positions and that is pretty serious. I also think Excel/VBA is possible, since I have access to an FMDS with historical data (X-Study). The system is not your typical indicator-test, then create a signal. It is market making in a spread, so it's a requirement that someone has experiences with spreads. And handling everything relating to position management and partial fills also has to be included, otherwise it's not fully automated. ----------------------------- DEFINITIONS PositionSize = Number of Spreads per position LongSize = Number of contracts longside of spread ShortSize = Number of contracts on shortside of spread BalanceTime = Time before balancing spread VARIABLES Offer1 = <Intentionally left blank> Bid1 = <Intentionally left blank> Offer2 = <Intentionally left blank> Bid2 = <Intentionally left blank> ProfitTarget1 = <Intentionally left blank> ProfitTarget2 = Bid 1 for LONG and Offer 1 for SHORT position POSITION HANDLING System must be aware of number of contracts on each leg of the spread. If spread is unbalanced, an additional order to balance the spread at market must be submitted. Open orders are then updated to reflect this (increased order at profit target(s) and lowered where position is sought opened). With partial fills, offer out the partial position at the profit target immediately. If position is reduced, the bid/offer to open position is once again increased. Orders must be updated to reflect changes in the levels of Bids/Offers/Profit Targets. No more new positions opened after a certain time. Open positions closed at a certain time Trading time can/should be hardcoded or defined in another way. --------------------------------------- If you're interested in doing this project, let me know per PM and we can discuss cost etc. And if you just want to comment on the project, feel free.
So this is a pair-trading system then ? Equity Options or Index Futures ? (I see contracts mentioned)
Yes, it's basicly the same as pairs trading - but noone says pairs about futures trading (or options). Which futures doesn't really matter, as that is (should) be easy to change.