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suggestion needed for live algo trading platform choice
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suggestion needed for live algo trading platform choice

  #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
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  #2 (permalink)
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  #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.

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