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QuickFIX "layer" for Ninja?
Started:October 15th, 2009 (05:21 PM) by heech Views / Replies:2,311 / 11
Last Reply:April 8th, 2010 (08:44 PM) Attachments:0

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QuickFIX "layer" for Ninja?

Old November 14th, 2009, 08:14 PM   #11 (permalink)
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heech View Post
The "why" should be pretty obvious. I mean, it's strategy specific, so I won't get into it in too much detail... but I'll just say, it's profitable to have both.

The alternative way of implementing this (and it would save commissions) is putting another layer on top of the Ninja order code, and some how "sum up" the short/long orders to come up with some kind of a net position... and then place orders accordingly. That might work, but it really complicates the logic for what I'm doing in terms of tracking individual positions/fills. I prefer to think of these as independent positions, even though they're on top of the same instrument.

Probably because one strategy is anti-correlated with theother or one is an hedge for the other :-) Harry Markowitz applied to Automated trading ....

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Old April 8th, 2010, 08:44 PM   #12 (permalink)
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Any progress on the QF adapter for NT? I'd also be interested in something like this.
Also, if you need some assistance I can help. I've created QF wrappers in the past as well.

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