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in search of an advanced stock trading platform
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in search of an advanced stock trading platform

  #1 (permalink)
Elite Member
Pacifica, CA
 
Futures Experience: Advanced
Platform: AmiBroker, TradeStation, NinjaTrader
Broker/Data: Options House
Favorite Futures: Futures, Stocks
 
jdfagan's Avatar
 
Posts: 34 since Jun 2009
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in search of an advanced stock trading platform

I've been tasked by a systems trader to help him automate a stock trading system...but first, I need to find an adequate trading platform that can meet some of his advanced requirements for his automated stock trading system. I'm currently evaluating various automated trading platforms (MultiCharts, I/RT, OEC, etc.). But so far have not found one that can satisfy his requirements. I'm turning to futures.io (formerly BMT) to see if any of you have any ideas (whether its one trading platform or a combination of technologies you think could achieve our objective).. I will report back here if and when I find a platform (or combo of software pieces) that can handle these tasks. OEC is out as of now (they can't handle it for sure). MultiCharts, I/RT...pending more research..

Here are 3 crucial aspects we need the trading platform to be able to handle to make it a strong/viable stock trading platform for us:

1. The most important issue for us is being able to target our system to the stock symbols universe. Our general mode of operation is Universe -> Filter/Screen Yields Subset -> Apply Trading System (whether historical backtest or realtime trading).

2. A dynamic on the fly filtration/screening system that can be applied to different stock sets. Example of different stock sets with different #'s of stocks in it: entire universe (thousands; perhaps upwards of 5-10k), exchange (NASDAQ has 2800+ companies), custom watchlist (for example, can be dynamically defined like stocks that have current stock price > $10/share; or stocks that have daily ATR < 5% move; or could be static set of stocks hand picked from stock universe).

This was question I recently asked my partner who is turning to me to find a trading platform for his stock trading project:

Quoting 
How many stocks do you envision that eventually the trading system will actually run against? Thousands? Or more like hundreds? Do you need a dynamic filter that determines this on the fly? Or will we construct a static set of stocks (after initial data mining research) that will be used as the basket to run the trading system on?

His answer:

Quoting 
It will be thousands of symbols. The screening process will yield 1000's of target symbols. The refining filters, if any (based upon fwd test) would be on the fly.

This would be a filter/prescreen process that is applied before allowing signals to be generated (whether historical backtest vs realtime trading). Here is more info on AmiBroker's on the fly filter system:How to create your own exploration

Note the examples near the bottom like so:
 
Code
//This one will show you only heavily traded securities:
filter = volume > 5000000;
3. Auto-handling/detection of stock splits.

Here is info on how AmiBroker handles it (http://www.amibroker.com/guide/h_basic.html):

Quoting 
Splitting a stock

To perform stock split use Symbol->Split menu item or Split toolbar button.

AmiBroker provides easy way of handling stock splits. Program will try to guess split date and ratio by analyzing quotations. If there is just a single quotation after split this should work, if not you will be asked for split date and ratio. Note well that this operation can not be undone!!!

From version 2.0 and up the split function offers more functionality: you can use old-style ratio or you can specify a split using following expression:

x->y

which means that x shares before split become y after it. For example 2->3 means that 2 shares become 3 after the split. So ordinary split into five pieces will be 1->5.

As you have probably guessed it is possible now to perform reverse-split, for example 2->1, which means that 2 shares are joined together into 1 share.

If any of you know how one could currently handle these advanced stock trading requirements above, I'd be grateful to hear your take on how to achieve.

Note, the above requirements for the most part can be handled by AmiBroker. However, what AmiBroker does not handle automated trading very well at all IMO - i.e., its lacking a good Order API. Opportunity is out there for a trading platform in the stock space if one could currently handle the above requirements .

JD

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  #2 (permalink)
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  #3 (permalink)
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Futures Experience: Beginner
 
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Hello, if you're really serious about trading stocks, go with the Bloomberg terminal . It's $1200 a month, but treat it as a business cost, like 'rent' you pay for your shop.


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  #4 (permalink)
Elite Member
Asia
 
Futures Experience: Beginner
Platform: NinjaTrader, TOS
 
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MetalTrade View Post
... It's $1200 a month ...

That's a great price. You sure that isn't Euros?

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  #5 (permalink)
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Yes sorry, they have around 290,000 data terminals that cost between $1,500 and $1,800 monthly.

So I guess my 1200 was euros at the time I was quoted.

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  #6 (permalink)
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Auckland
 
Futures Experience: Advanced
Platform: Ninja Trader
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So what does it do to your trading.

will it pick the great winners.

are these terminals better than Falcon computers.


sharmas

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  #7 (permalink)
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I know a few huge stock traders, they can't trade without it.

It's their 'tool'

Does it gives them an edge, oh yeah.

Would it give you an edge. I don't know, what's your trading capital, your training and what capital are you running in your fund ?

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  #8 (permalink)
Elite Member
Auckland
 
Futures Experience: Advanced
Platform: Ninja Trader
Broker/Data: Zen-Fire
Favorite Futures: CL and ES
 
Posts: 710 since Apr 2010
Thanks: 3,720 given, 661 received

Trading Capital

great question
is it the Capital that matters or winning the game

I met a guy last week in Auckland who had 40k and in 6 months hasn't made any money and now is sitting on 5k in Capital

so is it that capital or great business plan and being on the winning side that matters


thoughts

sharmas

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  #9 (permalink)
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Futures Experience: Beginner
 
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It's knowing that with $10.000 you will not make $100.000

It's knowing that you need millions to make a million.

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  #10 (permalink)
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España
 
Futures Experience: None
Platform: NT
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redegenerated's Avatar
 
Posts: 131 since Jun 2010
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sharmas View Post
Trading Capital

great question
is it the Capital that matters or winning the game

I met a guy last week in Auckland who had 40k and in 6 months hasn't made any money and now is sitting on 5k in Capital

so is it that capital or great business plan and being on the winning side that matters


thoughts

sharmas

a business plan requires adequate capital...it's like a dog biting is tail

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