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Which Platforms are authorized to auto trade Eurex?
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Which Platforms are authorized to auto trade Eurex?

  #1 (permalink)
London UK
Trading Experience: Intermediate
Platform: Tradestation, Multicharts, MarketDelta
Favorite Futures: Currency Futures
Posts: 9 since May 2013
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Which Platforms are authorized to auto trade Eurex?


Does anyone here auto trade Eurex products?

If so what platform do you use? Does that platform provide an option for creating a unique ID flag for each algo you have live?

If it doesn't are you in breach of the German HFT Act??

Thoughts please.

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  #2 (permalink)
London, UK
Posts: 29 since Sep 2016
Thanks: 1 given, 29 received

I do.

As far as I know, there is no difference between Eurex and other exchanges. Unless you become a clearing member (you'd need a 1Bn$ balance sheet for that), you need to go through a broker, so the broker will give you a platform.

Because I trade a lot, I go through the API of our Prime Broker instead of using a platform, but I've used MultiCharts in the past and it works fairly well. Most of the trading logics I kept in C# in my own libraries and used MultiCharts just for the execution, getting the signals from a dll library.

As per the HFT issue, there's no way you will trigger any HFT related issues as long as you don't start to manipulate the order book, e.g. put limit orders in and out 10,000 times a day.


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  #3 (permalink)
Market Wizard
Boca Raton
Trading Experience: Advanced
Platform: Variety
Broker/Data: Optimus Futures, LLC
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mattz's Avatar
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I also think like @wintergasp that MultiCharts could be a good platform for execution (I suggest to use Rithmic for dat a execution). TradeStation of course could be a good solution as well.
Also, ADL via the new TT could provide automation for your method.
It is extremely important that you do your automation over a platform build for automation.
Many platform offer automation, yet have a seriously flawed engine for back-testing and execution.

As far as creating a unique ID, yes, you should. I am not familiar with the Eurex laws as they pertain , but due to the regulation of Algos and automation rules, you should discuss with your broker the risk limits that you want to set on each method and account. The reason you need a unique ID is when failure occurs, you want to know which method has caused the execution. Also, as I mentioned, you want to set risk parameters in terms of margins, just in case your algo fires a trade by error. This does happen. We execute algos for customers and we developed due diligence process that helps customers from choosing a platform, direct API to risk limits. You should follow the same process where you execute.

I hope this helps.

Matt Z
Optimus Futures

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  #4 (permalink)
Boston, MA
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Platform: NinjaTrader
Broker/Data: Rithmic/IQFeed
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Silent warrior's Avatar
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Which Platforms are authorized to auto trade Eurex?

I have designed, backtested, debugged and now routinely deploy an algorithm which I use on NT7 profitably.

However, in certain scenarios with fast moving price action, I occasionally run into problems with hung orders and naked orders, with the order placement at times occurring on the wrong side of the price action. Is TT better equipped to deal with these scenarios?

Sent from my iPad using futures.io futures trading

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  #5 (permalink)
London UK
Trading Experience: Intermediate
Platform: Tradestation, Multicharts, MarketDelta
Favorite Futures: Currency Futures
Posts: 9 since May 2013
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I thought i'd quickly update this thread with my findings.....

I actually opened up a can of worms with this topic when asking various platform providers, brokers and even Eurex themselves.

The rule is very simple....

When trading Eurex products, if the ultimate step of order submission, to the exchange (inc modification and deletion) is automated (in anyway) then one MUST have a unique hexadecimal ID assigned to that specific logic. The ID must be logged with the clearer. There literally is no exception to that rule. So this includes anything from auto spreading and synthetic orders to complex trading systems.


What one will find is that most platforms that provide synthetic orders and auto spreading have now built in this Eurex compliant Reg ID with their available algo orders. E.g. TT and CQG do this. Note that these two platforms also provide literature on how to specify your own unique IDs for algos you've custom built.

Direct / Sponsored access......

Another way around the Reg ID requirement is by routing your orders via a brokers server, who in turn submits there own compliant orders. I believe Interactive Brokers work like this. But, I don't. I have sponsored access (trade under the name of a clearer), directly to various exchanges. I don't use TT or CQG, hence my original question. Ask various platforms that provide automation if they allow you to specify a unique and custom Reg ID for Eurex trading and they won't know what you're talking about, which is shocking!!

Anyway, credit to Multicharts.......

I raised this issue with them and they added the ability to specify a custom Hex Reg ID when routing via the CQG Web API. Just thought some of you might find that interesting.

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  #6 (permalink)
Market Wizard
Gits (Hooglede) Belgium
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rleplae's Avatar
Posts: 2,966 since Sep 2013
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are you talking about the LEI (legal entity identifier) or is this another additional field that is required ?

is this hexnumber per instance running, or unique for the algorithm ?

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