Trading Platform Ratings for external interface

I'm looking for a trade management and execution platform.

Can anyone make some suggestions or rate some of the platforms like Ninja
in terms of their ability to interface with an external package that generates the trade “signal”, that is the decision to make a trade.


To Explain:

I develop trade signals in a proprietary application using neural networks and related technology. So I don't need my execution platform to decide when to initiate a trade based on some combination of technical indicators but rather execute a strategy when my AI based models want to trade.

For example one model predicts the probability of the market making a new high of a certain size in a defined forward time window.

I would want trading execution platform to import a "signal" from my NN, either in a flat file, or API and then execute a trade management strategy previously defined in the trading platform. For example 'Buy MOO, Sell MOC or at profit > 1.5 * the average range of x bars, or at a stop loss of ..."

Thanks in advance form anyone with experience in using trade execution applications to do this kind of trading.

Jerry

 

I would use FIX for this (Quickfix is one implementation), if I could, as it has all the low level features you could want, plus is (relatively) broker-independent. But finding an appropriate broker who supports this isn't always easy. It also lacks higher level features that you might want and some more "retail oriented" platforms support, but I'd think your data model would be able to take care of that, and besides it seems there are lots of free libraries that work with FIX-type systems.

 

Euler,

Thank you for the suggestion.

QuickFix was not on my list of possible platforms. I took a look at it but it lacks what I'd call the trade management side.

I have a custom application that does most of the Fix communication functions and works with IB. It works fine for communication. However the data model has a rather simple
output, for example is the market is going significantly higher over the next 3 bars? How do you play that as a trade strategy? Buy MOO with a profit target to exit? Buy on a retracement and exit MOC at the end of the modeled time window? There are a dozen ways to play that knowledge.

I was hoping to find a package to put in the middle between my NN generated signals and the communication package that has the ability design, test and execute a wide range of execution strategies. All the packages out there do this to some degree but my goal is one that can accept external triggers as the trade entry driver fairly seamlessly.

Button Trader is an excellent trade platform. I spoke with them and their response was that they considered putting an external signal interface in that package but dropped the idea due to lack of demand.

I guess non-linear trading models are still a small part of the trading in terms of the number of individual users and most people still use linear equations and rules defined within the popular packages.

Anyone here using non-linear models and if so what is your broker interface package?

Jerry

 

Have you looked at Ninja trader? We are currently automating day trading strategies on the emini indexes. You can write your own trading application within Ninja Trader which uses C# language. We have one that we wrote that reads a text file that comes from another program and then executes closing trades for our positions. I would think that you could do something like this by having your trades signals in a text file and then have an execution program from Ninja read the file and send the orders to your broker. They support IB, Mirus, and many others.

 

Thank you for the suggestion.

It sounds like Ninja would meet my basic need for an external trigger.

Do you have any comments on Ninja in terms of stability?

One of my associates in this system implememtation keeps trying to steer development toward custom apps and away from using platform packages as in his view they all have stability problems.

 

I have never used Ninja, but a lot of people on this board use it and seem to like it -- maybe look in the "reviews" section of this Web site?

Even if it isn't 100% stable (what is?), I've worked with other platforms in the past that are probably far less stable; my solution was to write scripts that periodically check to make sure the platform is running, placing orders, etc. and restart it if necessary, so max downtime was only a few seconds. Windows apps, especially, seem easy to control via Win32 libraries.

 

Excellent idea to deal with a 1 in 1000 problem..monitor, evaluate and restart. MacroExpress is also a great tool for monitoring apps as it easily can capture pixels at various locations
to sense a chage in status, screen or other events.

The support folks at Ninja gave prompt response to my questions and it appears that Ninja can do what I need.


From Ninja:

Please see this section of our Help Guide, which explains our Automated Trading Interface and what you can do with it: http://www.ninjatrader-support.com/HelpGuideV6/Overview.html

You can also use the External Data Feed: http://www.ninjatrader-support.com/HelpGuideV6/ExternalDataFeedConnection.html

-You can use the MarketData() fuction on any ATI interface to send market data to another source.

 

We have not yet had an stability problems at all in over a year of trading every day. We use Mirus Futures and they have a special connection to the exchange with a server at the exchange that is running Zen Fire.

Rich

 

Rich,

Thanks for the feedback.

I'm beginning to consider the possibility that my associate might have priorities other than stability in that the cost of the Russians programmers he has doing custom development is an off the top expense, in terms of cost, income and eventual profit distribution... who knows why people have strongly held viewpoints?

Jerry

Jerry