I need some advice on a broker and datafeed to choose for integration with Open Quant. I have developed some trading strategies which give good returns on Forex majors, Stock Indices and certain stocks on the daily chart only. Later I wish to move down to lower timescales and trade on intraday ticks.
I realise Interactive Brokers is the all singing all dancing broker but I have to be honest, their customer support is awful and I have heard horror stories about their fills (slippage). Also I hear TWS needs to be restarted daily which I don't want. I will be executing strategies by running OpenQuant on a server.
I wish to trade Forex and Stock Index Futures first. Later, Commodity Futures. Finally Stocks and Options.
I am considering trying MF Global (Futures/Options broker in London - I am UK based) who publish an API in C# (I am a programmer so am able to code it up).
For forex, I am considering trying Oanda.
I have contacted Lightspeed (Stocks only on algo trading) and Velocity Futures also
I would of course just make my life easier and go for Interactive Brokers but the TWS / Slippage issue is making me thing twice ...
Most FX broker/dealers provide access to their APIs for free, but not Oanda. Noooooo, Oanda's CEO has always believed that he should "protect" the small traders from the dangers of an automated trading program that can go "wild". Recently Oanda has provided us with MT4 so the culture is finally changing. Rumours are that Oanda is working to provide MT5 and that MultiCharts are negotiating with them Now they just need to decide that providing a free API is more profitable than charging for it.
A year or two ago I was looking around the Forex Factory forum. I saw posts from a sytems trader who appeared to be very advanced using the handle "Craig". He has used both IB and MB APIs. I also remember him being involved in a discussion about using the FIX protocol at both brokers.
Beware of the thousands of "script kids" over at Forex Factory.
The real reason is probably because they take the other side of the trade, and they want the most under prepared traders
That's why a lot of cfd firms don't provide api's. Another reason may be brokers that provide their own feed and bid ask prices don't want their skewed prices to be arbitraged against...
Ok well speculation aside, it's back to the drawing board.
I'm in talks with MF Global to see how to link Open quant to their servers via a PatSystems api, but apparently this doesn't come with historical data. How then do I bootstrap my strategy with the data it needs at startup?
If you take a moment to think about it you will realize that you have have it backwards. Oanda has priced their API to prevent new traders from using it. A trader must have a proven strategy with significant transaction volume to justify using it. So Oanda's API makes no sense for you as a newbie trader to use. Consider using Oanda's API after you learn how to trade.
Interesting Note: Oanda did not start as a trading company. They started as a business that sold price data. When I first visited their internet site it was all about current and historical currency prices with a a single and difficult to find link to FX trading. If you would visit their internet site now you would see that over 50% of the front page is still devoted to businesses other than trading (although the trading business has become so successful that it is finally highlighted) Until recently they never advertised FX trading and were still one of the 2 largest FX dealers. I found them through the NFA capitalization reports where they also shine.
I wish you luck with OpenQuant as it will present some additional issues for you.
The following user says Thank You to GT22 for this post:
Ah Genius, I like it. Ok so Oanda are cunning, avoid.
Coming back to MF Global. Ok why I like them is they're in London and up the road. I can always knock on the door if I get bad fills :P
They apparently support PAT Systems API, and so does OpenQuant.
You mention trouble with OQ? What sort of trouble? I didn't buy it yet, I'm on a trial. So far I can see their support is crappy but its the only piece of software that does what I want - that is remotely Quantitative. Ninjatrader etc... is a traders tool. OQ lets me do clever things like nightly portfolio rebalancing between strategies depending on sharpe ratio.
It looks like you are already figuring out that with Open Quant you will be mostly on your own as support will be weak. I am trying to remember who uses it, but no success yet. Nor did I see any recent discussions on the two largest trading forums.
If I had your skills, I would consider developing my trading systems as .dlls. Then I could separate the development/testing and trading platforms thus avoiding many of the compromises required by a single platform approach.
My skills need to be upgraded before I try backtesting especially since I trade across so many instruments.
I will offer you this (although I know that you do not need me):
If you have a server with very good internet connectivity, I have a crude MT4 tick collector that I need to place somewhere reliable to collect Oanda tick data for the 28 major pairs. You could easily develop something similar with something like Ninja to start collecting exchange tick data.
Currently the exchanges and futures industry are heavily spending on lobbying to survive. Otherwise OTCs higher efficiency would put them out of business. Heavy lobbying is the reason that the US FX industry is no longer allowed to trade gold and silver on margin. Even though the futures industry is a dinosour and more crooked than FX ever was (look at the daily synthetic gaps for one example), it isn't going away anytime soon.
Futures, OTCs, Fx. its all a casino game really and the brokers/exchanges/market makers are the "house"
Ok thanks again for your input. yes OQ is terrible support. However I think I've pretty much figured out the whole program. Not a lot to it. I'd LOVE to develop my own trading software but quite frankly I don't have the time. Its a huge job. Years. As a result I'd prefer to pay some chap Ģ800 and buy a platform that does most of what I want, even with terrible support (although that is nagging me). I've ruled Ninja out as its buggy and too simplistic for my needs. OQ is sort of "semi professional". Its a basis for what I want to do in the future.
Ok long term, yes I'm planning to replace OQ piecemeal with custom software. I want to see the strategies making returns first though
As a stopgap I have developed a plugin library with my own indicators and I override "Strategy" meaning I can override all the Order Filled functions to output the orders to a database. That means down the line I can risk / profit calcs and do all sorts of funky stuff. In the short term I want to do simple things like log every trade ever taken and email me when there's a new trade. I will be paper trading for some time to get confidence that I didn't just make a fluky backtesting mistake and with a bit of luck in a few months I can go live.
All I have to do is ring up MF and OQ and get those two to talk. Lol ...
I am using OQ with IB and IQ-Feed.
You donīt have to restart the TWS, you can use the gateway-software which is stand alone and can run for weeks.
As far as the slippage goes, there are always unhappy customers. I used to trade on an elect. exchange as a member and even then I complained about slippage. :-))
I donīt see any issues with OQ, yes the support seems a bit short handed on first side, but as soon as you get to know Anton you are on your way.