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A new (open source?) trading platform
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A new (open source?) trading platform

  #81 (permalink)
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wh View Post
Software Design of a (algo) trading system

I think the author of that doc misses the point both from a Use Case standpoint and an OOP standpoint, but it also looks like an undergrad draft that hasn't been through a referee process so I'll be nice .

At the core all you need to do is two things:

- Get market data in a timely fashion.
- Be able to Buy and Sell in a timely fashion.

Everything else is a feature.

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  #82 (permalink)
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It is easier to criticize then create, so here is a stab at creating something. I'm really open to input in this. Call me silly, but this might be a good excercise whether you are trading from your bedroom or in a small prop firm. Here you go:

We here at SoftCo have a new client, TradeCo. TradeCo wants us to build them a "Trading System" as they are unhappy with either the features or the costs of what is available commercially.

An initial meeting wih TradeCo reveals that they trade exchange-listed products, and the stakeholders include;
  • The Traders, who actually buy and sell things. TradeCo actually has two kinds of traders, which they call Carbon and Silicon. Carbon is a discretionary trader, while Silicon prefers full automation.
  • The Trade Systems Developer, who tests ideas for the traders to use.
  • The Risk Guy, who watches the Traders to ensure they doesn't overexpose the firm to market risk.
  • The Accountant, who keeps track of the Traders performance through the years.
  • The Portfolio Manager, boss man who decides overall strategy at TradeCo... and pays our bills here at SoftCo.
We at SoftCo asked each of the stakeholders to consider their top three requirements and reply in this format: As a <type of user>, I want <some goal> so that <some reason>.

This is what we heard:
(Carbon) As a Trader, I want:
1. so that .
2. so that .
3. so that .
(Silicon) As a Trader, I want:
1. so that .
2. so that .
3. so that .
As a Trade Systems Developer, I want:
1. so that .
2. so that .
3. so that .
As a Risk Guy, I want:
1. so that .
2. so that .
3. so that .
As an Accountant, I want:
1. so that .
2. so that .
3. so that .
As a PM, I want:
1. so that .
2. so that .
3. so that .

Our goal at SoftCo to work out internally how the User Cases can drive our development, come up with tests to fit those User Cases, and code to the tests. Every four weeks we will meet the client and show him our progress with actual working software, even if it is featurre-limited.

SoftCo's team has varying levels of experience and is geographically dispersed. Team input will be gathered by a guy called The Architect who has been out of work since his Neo program went haywire in a spectacular failure that became the subject of three Hollywood films.

If anyone is having as quiet a weekend as I am and wants to add some thoughts, they are most welcome. Are there stakeholders I am missing? What would you consider to be The Three Things these stakeholders care about most?

Mods - Is this a proper continuation of this thread or should I start another?

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  #83 (permalink)
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I'll start:

(Carbon) As a Trader, I want:
1. Fast and accurate market data so that I can make trade decisions.
2. Fast and accurate executions so that I can compete in today's markets.
3. Superior charting and visualization so that I can make trade decisions.

(Silicon) As a Trader, I want:
1. Fast and accurate market data so that I can make trade decisions.
2. Fast and accurate executions so that I can compete in today's markets.
3. Open architecture so that I have a global view of the market and can act accordingly.

As a Trade Systems Developer, I want:
1. Realistic exchange simulator so that I can test systems effectively.
2. Access to historical data so that I can test systems effectively.
3. Open architecture so that I can use Matlab, R, F#, C# etc as appropriate.

As a Risk Guy, I want:
1. Real-time position information so that I can manage market risk.
2. "Get Flat" capability so that I can shut down a trader.
3. Flexible reporting so that I can monitor and manage my traders over time.

As an Accountant, I want:
1. Persistant execution data so that I can watch our PnL and have an audit trail.
2. Accurate trade data so that I can compare internal records with our brokers records regularly.
3. Internally consistant reporting so that changing brokers doesn't affect our record keeping.

As a PM, I want:
1. Access to multiple data sources so that I can chose the best for our needs.
2. Access to multiple brokerages so that I can chose the best for our needs.
3. Consistant reporting so that changing brokers doesn't affect our record keeping.

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  #84 (permalink)
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This is what we heard:
(Carbon) As a Trader, I want:
1. It to work, every time, without freezing, without restarting, without unintelligible error codes.

2. It to be accurate, fast, intuitive, easy to use , minimal keystrokes required.

3. To customize the , look, feel, colors, timeframes, bar types, multiple time frames of each screen.

4. Ability to handle straddles across multiple accounts.

5. Handles multiple , simultaneous, data feeds, brokers, brokerage accounts. One click to send an order to multiple brokers/accounts simultaneously.

6. Drag and drop wizard to write custom indicators without having to learn Anything about programming.

7. Ability to open any standard indicator and click "Add Arrows" or "Add Back Ground Color Change" to the indicator.

8. Built in interpreter to read Meta4, Rlab, Esignal etc Indicators and re-write the code to my platform.

7. Color Gradient as a standard color selection. In all panels.

8. Ability to overlay ANY indicator or the price panel and not have to deal with scale issues.

9. Indicator to accurately show chop before you get in it.

(Silicon) As a Trader, I want:
1. BackTesting that (Expletive deleted) works.

2. Ultra sophisticated strategy features, ultra simple to implement and execute, fast, reliable,fast, did I mention fast?

3. Runs under Lenix, MacOS. Strategies can be written in C++.

4. Handles multiple , simultaneous, data feeds, brokers, brokerage accounts. One click to send an order to multiple brokers/accounts simultaneously.

5. One click to send opposing orders to multiple brokers/accounts simultaneously for hedging.

6. Avoids trading during chop, News, FOMC announcements.

As a Trade Systems Developer, I want:
1. OS independent

2. Hardware Platform independent

3. In depth documentation on the underlying code and ability to access it.

4. BackTesting that (Expletive deleted) works.

5. Built in multiyear tick, minute data with bid/ask in a continuous format.

6. Automatically high lights FOMC days, Holidays, Major News Days and has options to exclude them from back testing.

As a Risk Guy, I want:
1. Automatic determination of risk with alert sent remotely to Risk Auditor.

2. Internally audits all trades of all traders to determine when something appears improper and immediately sends a remote alert to Risk management.

3. Built in touch initiated Lie detector which randomly posts question to the trader about his activities and simultaneously monitors heart beat, pulse, breathing, sweating, nervousness, eye movement.

4. Sending an order requires fingerprint match and retina scan match

As an Accountant, I want:
1. In depth analysis of performance matrix comparing each trader against the history of all previous traders with builtin sliding scale to ALWAYS show that present traders are performing at a lower level than previous traders.

2. Automatic alert when a trader is within range of earning a bonus with option to force him to take vacation days until he is out of range of bonus.

3. Ability to charge back slippage to traders pay.

4. Companies performance based on bid price, traders performance based on ask price.

As a PM, I want:
1. Ability to pass responsibility for illegal trades to random trader

2. Ability to assign winning trades to personal portfolio.

3. Ability to assign losing trades to random customer portfolio

4. Ability to short positions while simultaneously pushing clients to take long positions in same instrument.

5. Ability to scan, identify and Gun for stops automatically.

6. Automatic position scaling to intermittenly roil market. Flash crashes a +.

Ok... so I've worked with some really bad people in my past.. so sue me...

I'm just a simple man trading a simple plan.

My daddy always said, "Every day above ground is a good day!"
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  #85 (permalink)
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tradelink

Hey guys, just an update regarding this thread :

* TradeLink - Open Source Trading now in effect (easier to remember)
* tradelink now support 17+ brokers and data feeds.
* Historical backtest has also been speeded up 4x with non-basket tick simulations.
* hit 250 members on the community list, 25% increase since this thread was started
* community list accesible via tradelink-users | Google Groups
* all introduction and expert tutorials now have videos along with text and code examples : CourseIntroAlgorithms - tradelink - Intro to TradeLink strategy programming - 100% open source since 2008... 14,000+ downloads. - Google Project Hosting
* many many other features

again join the community if you want to participate

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  #86 (permalink)
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Anyone know of a platform that supports CUDA or OpenCL for backtesting?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

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  #87 (permalink)
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wh's Avatar
 
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Mike, for example an c# like plattform ... CUDA.NET

Causality is the relationship between an event (the cause) and a second event (the effect), where the second event is a consequence of the first.
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  #88 (permalink)
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wh View Post
Mike, for example an c# like plattform ... CUDA.NET

I meant a trading platform that leverages CUDA or OpenCL already as part of the platform.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #89 (permalink)
Elite Member
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Favorite Futures: Stocks
 
wh's Avatar
 
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Big Mike View Post
I meant a trading platform that leverages CUDA or OpenCL already as part of the platform.

Mike

I have found ...



http://www.marketcetera.org/confluence/display/MPIO/Welcome+to+the+Marketcetera+Community
June 1st, 2011

nVidia Cuda Expertise on Tap!
Hello everyone,

From time to time we like to showcase the expertise of our partners and make community members aware of additional resources they can draw upon for their trading benefit. Technology Partnership is a firm that we have worked with for over a year and they have particularly deep expertise providing custom development on nVidia Cuda platform. We have spoken to several community members interested in nVidia as a simple to use platform for parallel processing of data, so I wanted to bring Technology Partners to your attention. Here is a quick introduction from their Managing Director, Sava Zxivanovich.

"...One of our core competencies is developing applications for financial institutions, including electronic trading systems and market analysis tools. We aim to bring quality, performance and scalability to our clients. One of the fields of development which our team is actively pursuing is the utilization of the processing power offered by modern GPUs, specifically nVidia's Cuda architecture.

We believe that the power of these processors can bring great increases in performance for applications used in tracking and analyzing electronic trading and markets. Performance is very important in time-sensitive applications, and the potential speed-up offered by these parallel architectures can decrease computation time and allow for more complex algorithms to run in tightly time-constrained environments.

Volatility models and options pricing calculations, in which we specialize, is an area where this parallel processing architecture can provide large gains in performance. Our team is dedicated to developing solutions to exploit the capabilities of these architectures, to bring unrivaled performance to the field of financial computations. Ability to process vast amount of data with small latency on commodity hardware provides an opportunity for small and middle size operations to deploy numerical arbitrage algorithms, real time risk management like VAR and increase speed of calculation of volatility models. For example, using nVidia Cuda platform we were able to increase speed of volatility models up to 200 times..."

If you are interested in speaking further with Sava and their nVidia expertise, please feel free to contact him directly at sava.zxivanovich@tp.rs!

Download. Run. Trade.

Roy Agostino
Managing Director, Marketcetera


Causality is the relationship between an event (the cause) and a second event (the effect), where the second event is a consequence of the first.
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  #90 (permalink)
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Big Mike View Post
I meant a trading platform that leverages CUDA or OpenCL already as part of the platform.

Mike

yes, it is called matlab...

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