suggestion needed for live algo trading platform choice - Matlab, R project and Python | futures trading

Go Back

> Futures Trading, News, Charts and Platforms > Platforms and Indicators > Matlab, R project and Python

suggestion needed for live algo trading platform choice
Started:January 21st, 2016 (08:09 AM) by windiwne Views / Replies:346 / 2
Last Reply:January 26th, 2016 (02:07 PM) Attachments:0

Welcome to

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Thread Tools Search this Thread

suggestion needed for live algo trading platform choice

Old January 21st, 2016, 08:09 AM   #1 (permalink)
Trading Apprentice
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: VIX
Posts: 2 since Jan 2016
Thanks: 1 given, 1 received

suggestion needed for live algo trading platform choice

Dear All,

I have some questions about automated trading platform choices and developments. I have several trading systems I want to put them into live actions and I need some advice on the platform/broker/programming language.

The systems are trading very liquid ETFs and futures/options and I may further develop systems for FOREX. The time frame is from 1min to 1hr depending on the securities. Some are fairly quantitative based on statistical models like Kalman Filter and modeling the risk neutral densities while some are fairly simple based on indicators. I cleaned up 5 year tick data in python to make minutes bars and I built the original systems in R since I like their statistical libraries. So far I have tested some of the systems using minute resolution and they generally agree with my R backtest results. I have also placed the trades manually for my hourly system for several months as an out-of-sample live test for the robustness of the system.

I have seen so many trading platforms and I want to pick up one which I can use for longer time and could potentially handle more money if I can successfully scale up (so far I only have ~100K USD capital and I am thinking about 1M as an upper limit for this starting platform). As for my background, I am more towards the empirical quantitative finance research side using R/Python/Matlab for strategy development but I can also handle not so complicated c++/c# programming.

So far I have been considering four platforms for live trading. Ninjatrader, IB-Matlab, swigpy on python or Ibroker on R. I understand that the last three choices could be more flexible in terms of models but requires substantial amount of coding to setup the system. I do not need the system to do backtest as I can get tick data and deal with it in my old R/python/MATLAB setup. With the limited capital and time at this starting point I am leaning towards using Ninjatrader+IB for fast deployment of simple ETF and futures systems especially about order handling. I am also guessing since I am using 5mins-hrly bars I can simply use the data from my IB account w/o paying more data fees. Once the systems started to generate some profit and I get a better understanding of the slippage/fees/order handling in auto-trading I can gradually build my own systems in python, Matlab or R to handle more complicated models or I may even team up with some coding gurus for a better infrastructure. BTW, the thread of R live trading in the forum is more than 2 years old. I am wondering what the experiences are. As for my options trading I will still deal with semi-auto systems, namely I would like to be able to read the index option chain data from IB automatically and let my R program do all the calculation for me to select the best strike combinations and I will place the trade by myself due to the bid-ask spread.

Any suggestion is appreciated. Thanks.

Last edited by windiwne; January 21st, 2016 at 08:21 AM. Reason: add more contents
Reply With Quote

Old January 21st, 2016, 08:09 AM   #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.


Old January 26th, 2016, 02:07 PM   #3 (permalink)
Trading Apprentice
Los Angeles, CA
Futures Experience: Advanced
Platform: Interactive Brokers
Favorite Futures: ES, CL, SB, KC, Forex
Posts: 14 since Jan 2016
Thanks: 0 given, 5 received

R is a good choice for strategy/idea exploration and backtesting , not such a good one for live trading where real-time data needs to be processed. First, it is inefficient for streaming data processing, has memory management issues, and finally, there is some, but not very good support for unit-testing, and you will definitely need to unit-test your code used in live trading.

So, I would recommend sticking with "real" programming languages, such as Java, C#/C++ (if you are more comfortable), or Python if you don't need much concurrency.

Reply With Quote

Reply > Futures Trading, News, Charts and Platforms > Platforms and Indicators > Matlab, R project and Python > suggestion needed for live algo trading platform choice

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Upcoming Webinars and Events (4:30PM ET unless noted)

Corey Rosenbloom: Tips, Tactics, and Real Trades: Trading Intraday Trend Reversals

Elite only

An Afternoon with FIO trader bobwest

Elite only

NinjaTrader 8: Programming Profitable Trading Edges w/Scott Hodson

Elite only

Anthony Drager: Executing on Intermarket Correlations & Order Flow, Part 2

Elite only

Adam Grimes: Five critically important keys to professional trading

Elite only

Machine Learning Concepts w/FIO member NJAMC

Elite only

MarketDelta Cloud Platform: Announcing new mobile features

Dec 1

NinjaTrader 8: Features and Enhancements

Dec 6

Similar Threads
Thread Thread Starter Forum Replies Last Post
Which platform is a better LONG-TERM choice: Ninja Trader or MultiCharts ? gillesc Platforms and Indicators 23 October 12th, 2015 05:41 PM
Is trading NKD Nikkei futures the best choice for afternoon/evening trading? tennon Index Futures Trading 8 July 7th, 2014 09:31 AM
New algo trading platform Rizm ( artemiso Platforms and Indicators 22 April 21st, 2014 09:07 PM
Mike's platform choice evolution dominikos The Elite Circle 5 April 7th, 2014 09:24 PM
Algo Trading - Best Platform? njetty Platforms and Indicators 7 October 19th, 2012 05:35 AM

All times are GMT -4. The time now is 03:39 PM.

Copyright © 2016 by All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts

Page generated 2016-10-20 in 0.09 seconds with 19 queries on phoenix via your IP