Where to start?

Discussion in 'Automated Trading' started by Bogus Exception, Dec 4, 2008.

  1. I am writing a program to take data in from stock indicators to make trades. Pretty common, right? But I am also going to add data that I receive from other sources and apply a backprop neural net to the data, self-training.

    You know, phases of the moon, cost of tea in China, etc. I have all of the middle part no problem. Where I am clueless is at the front and back of the system.

    The "front" I would call data collection from providers (yahoo is shown often). This is where the 'tick' data would come from. What is available? Is it just current price, ask and bid? Can a 'pay' site offer things that can't be obtained for free?

    On the back end is where the results of the middle 'logic' break a threshold and a trade is signaled. Is there an advantage to using one service over another? Being new, I am only concerned with US Stocks on NYSE and NASDAQ. Start simple.

    Am I looking for an API to program against, or a service where I need to programmatically simulate a client? Which has better success in the long run?

    The kind of trading? I doubt as frantic as day trading, but somewhere between that and swing trading-certainly not holding positions for more than a month-if possible.

    If it helps, I'm very good with .NET and Java.

    I know this seems really basic, and probably a bit obtuse, but I am literally just starting and after all the reading I've done I'm still just as clueless as when I started. There does not appear to be any objective evaluation of methods and tools.

    Therefore, any advice, reflections, regrets and wishes are appreciated very much!

  2. maxdama



    It sounds like we are using very similar strategies. Except mine uses a support vector machine instead of a neural net and I'm using Matlab instead of Java. Yahoo and other free services just have EOD price data. However, once you sign up with a broker they will provide data streams. I'm going to use Interactive Brokers and so far it has been easy to connect to the API. The API gives access to both the data and execution which you can link to your signaling engine programmed in Java or Excel.


    maxdama.com - The log of my research on and implementation of automated trading strategies
  3. maxdama,

    Thanks for writing.

    In trying to compare the services, I see that IB has a $10k minimum deposit, $10/month activity fee, but the requirements for the proprietary API say that the TWS client needs to be running in the background on the target machine.

    It still isn't clear from the site exactly what is required in the way of initial cash outlay and anticipated fees associated with the kind of trading we're talking about.

    For example, based on the above you figure you need to trade at or above a commission structure of $10/month. But then when you look here (http://www.interactivebrokers.com/en/accounts/fees/minimumDeposits.php?ib_entity=llc) it appears that the activity fee minimum for a TWS/API account is actually $500!

    I don't even need real time quotes, so looking at this is very confusing. Am I to understand that those of you using IB for automated trading through the TWS/API non-dedicated line/extranet are paying a minimum of $500/month for the privilege?

    Does that sound a little steep?

  4. Has anyone experience with other services? Will one service work for one kind of trading, and another not?

    I don't have a dedicated line (using Internet), and am a non-professional, but I do anticipate letting the program(s) make the decisions for me.

    Has anyone succeeded here without real time data (20 min delays, EOD, etc.)?

    Are there services that don't require clients (like IB's TWS) to be running on a machine in order to conduct automated trades?