I finally decided to bite the bullet and sign up for a two week trial of Deltix Cloud Services. I was waiting for them to offer historical data for equities since I only trade equities. At the moment, only currencies and futures data is available. Below is my review of my experience so far. You can find the product here.
Deltix | Advanced Quantitative Strategies - Cloud Services (DCS) (
Background
I came across Deltix Quant Office when I worked as a quantitative trader. I looked at several institutional software packages such as QuantHouse QuantFactory, RTS Tango Quant, and Deltix QuantOffice. Deltix QuantOffice was by far the best, but also the most expensive. Luckily, they offer a very affordable retail version of their product called Deltix Cloud Services.
Deltix Cloud Services
Deltix Cloud Services allows you run their software on a cloud server. The biggest drawback is that you cannot directly trade the models you developed using this service. Also, you are only allowed to use their historical data. However, the monthly license is very affordable and reasonable considering the cost of their institutional version is about 100k. I am thinking about using Deltix Cloud Services for quantitative strategy research and then exporting the trading models into Multicharts for live trading. I think they will offer a cloud version for trading in the future. Right now they only have historical data for currency and futures. I am waiting for them to add equities.
Software Architecture
The software use an event driven architecture that is written in C#. The coding logic is similar to OpenQuant. It can work with many different types of data such as fundamental data, digitized new, corporate actions, and even trading strategies. This means youre not limited to technical strategies. The cloud version only offers the ability to work with price data. I really like how software implements portfolio trading. Each instrument strategy instance sends trading signals to a portfolio executor and the portfolio executor decides which order to submit based on your trading capital. This structure makes it very easy to apply money and risk management across multiple trading strategies.
Strategy Optimization
I havent seen any other platform out that offers what Deltix offers when it comes to strategy optimization symbol optimization, multi strategy optimization, and portfolio weight optimization. The cloud services only offers brute force approach, genetic optimization is available in the institutional version. There are many things it allows you to optimize such as the bar size.
Symbol Optimization
You can optimize a trading strategy on a basket of instruments with the same trading parameters or you can use symbol optimization where you find the best parameter for each symbol individually.
Multi-Strategy Optimization
You can optimize multiple trading strategies simultaneously and then only run the best trading strategies. For instances, you run and optimize 50 trading strategies but then trade the top 10 strategies from that list. You can also run multiple parameter sets of the same strategy.
Portfolio Weight Optimization
Finally you can take it a step further by finding the optimal capital allocation for each trading strategies. The best part is that all of these optimization methods include the option for walk forward analysis.