I have a proven, profitable automated intraday strategy that averaged about 700k-1M shares/day. Universe is about 200-300 listed stocks. I wanted to know about the following issues: 1. various datafeeds, their reliability and pricing schedule 2. various firms that would allow me to trade through API (functionalities and programming platform), book our trades and their respective pricing schedule (ticket charges, shares per share) Any insight, advice on the above topics and other details I need to know about???
Praetorians, I've been looking into this for a while as I also wish to do as you plan. A couple of brokerages stand out: 1) www.pointdirex.com has a FIX API you could use and their commissions for high volume can be negotiated. 2) www.interactivebrokers.com also has an API. In both cases you will need (or get someone) to program your strategy. (I'm programming my own). Wherever you end up, I'd be interested to hear of your experience. You can PM me if you like. Richard
About 40% of my trading is automated through the API at Assent in San Diego. Their API is the strongest data feed I've used. I will PM you rates etc.
I have been running automated strategies for the past year and I have been using REDI+ and tradefactory. You probably should get a direct (T-1) connection for either of these products. They are both offered by Spear which has the most competitive rates in the industry. REDI+ is fine for sending orders from a spreadsheet a few at a time if you are in no hurry (1 sec per order). It's DDE data feed is too slow for a universe of 300 stocks, and so is excel probably. Tradefactory however, is perfect for watching large lists on a tick by tick basis and has the capacity to watch every stock on the major exchanges in real time, really limited only by your connection speed which is why you need a T-1. The data is fast and reliable and >100 orders per second can be routed however you like. Tradefactory has a java API front end that is totally open. You can set your system up to buy at the bid/ask/mid, etc. Tradefactory is free....you just pay your negotiated SLK rates. I am not the greatest java programmer in the world, but I should mention two things about Tradefactory's API. First of all, it is not an applet, it runs very stable in DOS, although you can use applets if you want to have some nice shiny buttons to push. Second, Spear has created classes for every conceivable order type/button press/menu bar/everything. You could basically reconstruct their entire front end product using their existing classes, so if you are, or can get a good java programmer it is a very powerful tool indeed.
Oliver, Whoever told you that is smoking crack. No way, not even close. I use REDI + and submit orders right from my Excel spreadsheet using VBA. I am connected with a full private T-1 directly to the REDI servers, and I use a dual xeon 3.06 screamer with 2 gigs of memory to submit the orders. I use win2k pro and office 2k. I opted not to go with the latest OS on recommendations from redi tech support. My setup is as fast as it gets with REDI+ and it barely gets one order per second.......that's right ONE freaking order per second.....If I submit 60 orders it takes a whole minute for them all to execute. In other words, you are SOL if you are trying to do any kind of arb with a basket of stocks. I can't tell you how wrong you are here man.......just like everyone else on here giving out info they have no idea about. For arbing baskets of stock GS and SLK distribute a product called Tradefactory. It will send 100+ orders per second and it can be totally automated as well. "FYI: it is possible to send 50+ orders per second in Excel with Redi+ (over DSL)."
I am completely ignorant of this, but I've been told by others that SLK has a great platform for automating....
I stand by my comments. I use it every day, and it works. Need to ammend your VBA code to include the "new" submit2 order. Oliver
Out of curiosity, how long has this submit2 order been around? Is there some way to receive regular updates? Is there even one asshole at SLK that knows anything about this code besides Paul Anderson? I have been using this for years and I shit you not, using the order.submit I max out at just over one order per second. Would you be gracious enough to send me a snippet of your code? Just the part that shows the new order type. Thanks, Joe