Seeking Open source backtesting engine ??

Discussion in 'Automated Trading' started by Elite_Master, Aug 14, 2010.

  1. Hi,
    I started building a backtesting engine in C++ to use with IB market data, but now I'm thinking not to reinvest the wheel.
    Are there any robust open source solutions? Please comment if you have used one. Thanks
  2. I can recommend tradelink... it works with IB as-is, as well as 12 other brokers. It's open source under LGPL and totally free :

    Regarding backtesting :
    * the tradelink simulator provides full tick-level simulation including l2/depth if available...
    * very fast it plays back ticks between 200,000-800,000 ticks/second.
    * It will do realistic portfolio playbacks, so it's easy to test basket or arbitrage strategies in addition to single symbol setups
    * backtester execution engine supports limit/market/stop orders for fills out of the box
    * There are three different off the shelf playback programs included in the package, and if you don't like those you can build you own GUI/app around the HistoricalSimulator component which provides the features above
  3. Hi tradelink,

    I was looking at your work and it is a major development, you probably spent thousants of hours of hard work towards that. Why are you giving it away for free? Why didn't you develop a commercial product to sell? Another question. Since it is open source, can commercial companies take your code and develop their own products? What do you get out of that? Just a few questions.
  4. if you are a hedge fund trading OPM, you need to have full control and transparency that comes with source code. I originally built tradelink because I came from one of the largest commodity funds and when I left I wanted the same power I had at this fund, but I felt it was stupid that everybody was reinventing the wheel and I couldn't find open source finance solutions of the same caliber as open source products in the academic/IT space. so I opened sourced the commodity elements of my platform and called it tradelink. that was 2.5 years ago and tradelink has evolved a lot since.

    we do happen to sell commercial products built ontop of tradelink. we don't talk about them on elite trade because we honor their no spam/no commercial posting request.

    glad you like the product.
  5. Thanks. I guess the fund you worked for allowed you to take the source code with you. That is unusual though. Anyway, do you have a commercial website?
  6. dave4532


    Tradelink, just out of curiocity, do you make a commission each time your open source software connects to a broker and places a trade? I mean, is it essentially acting as an introducing broker?
  7. not an introducing broker. don't make comissions.
  8. Raul641


    Tradelink looks great, but it seems to be Windows only. Would it run on Mac/Linux with Mono?
  9. it should yes although you may have to modify the pathnames.

    if somebody with a mac/linux figures it out we'll incorporate it into the release.

    note that not all the brokers' software will run on windows (although if you have a windows machine you can run broker software there and run tradelink on other machines).
    #10     Sep 18, 2010