whred into

Discussion in 'Automated Trading' started by whred, Dec 13, 2011.

  1. whred


    Hello. I think I would like to put together a small automated trading system. There are still a lot of things I need to learn about, so I thought I would come to ET and ask around.

    I am mostly interested in making an AI-based Forex trading system. If I am going to trade it myself, it will generate "EOD" signals at 10pm. If I am going to make something for C2, it could be an intraday system. I have historical daily & intraday Forex data to train a system on, but I do not yet have a real-time feed. It will be a while before I need real-time data, but I want to know what will be available for when I'm ready.

    My primary question right now is, what are the better intraday Forex feeds, and what are there costs? If I develop an intraday system, I would probably be looking for 5M bars available over an API (ASCII or XML). My system pulling the data down would be a Linux system, and not a Windows system. I'm not sure yet if I am going to need index data. My FX broker has a $600/month feed, and I am starting to look at eSgl.

    I'm not exactly a newby. I've occassionaly helped professional traders with their own systems, so I'm a little past the point of wondering if my task is even possible. My primary strength is a gut instinct about what will probably work. I can share ideas about self-learning systems unless there is a practical reason why I shouldn't, or a legal reason I can't.

    My primary fear is that my mass of historical data will somehow be incompatible with the real-time data I would be subscribing to. I have already had to fix a lot of "holes" in my EOD data, and I suspect there will be even more in the intraday data.

    On the technical side, I will be using the open-source FANN neural network library, unless I have a technical reason to roll my own. There appear to be a few open-source projects that I will be able to leverage. Does anyone here have any experience with QuantLib or TA-Lib?

    I was also curious if anyone has any experience with C2, and if they had problems trading with them on the smaller time-scales (5M, 1M, or tick). I have a bunch of historical 1M and tickdata, but I'm guessing that would cost a lot and be hard to trade. Sorry for being a little vague, I'm not exactly sure what ET's rules are on mentioning the names of other websites or companies.

    Let me know if you have any suggestions or questions.