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A new (open source?) trading platform


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A new (open source?) trading platform

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  #1 (permalink)
 Big Mike 
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Hey guys.

Over the past year a good half dozen or more of you have told me that you are writing your own trading platform. Each of you have your own reasons for writing your own platform, but I think the one thing in common with all of you is that you were unhappy with the platforms that already exist in the market.

A lot of you guys are really brilliant programmers, and excellent traders to boot. I've often wanted to try to find a way to get you together to work on a new trading platform in a joint manner. It seems like a lot of wasted resources to do it independently.

So, I finally just decided to start this thread. I am unsure what kind of traction to expect. Obviously, there are a lot of things to consider when developing a new platform. Everything from the language and architecture, to licensing and pricing, to features and support.

I would just like to say that I will offer up any resources I can to try to bring you guys together to create a joint team.

I think to get us started it might be beneficial for those of you have already started writing your own platform to step up and reply with at least the core fundamentals (language, vision, license) of your new platform, then we can step back and take an inventory and see where we stand.

Mike

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  #3 (permalink)
 LukeGeniol 
Italy (IT)
 
Experience: Advanced
Platform: ATAS, R|Trader, NT8
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It would be fantastic, I've always thought to the possibility of a custom platform.

Luke.

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Luke.
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  #4 (permalink)
 NickA 
London
 
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Zenfire has sample code for .NET & C++. It compiles and allows you to get ticks into your application. Not a bad starting point. I guess that's one of the first choices is whether to use a managed framework or roll your own.

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  #5 (permalink)
 ZTR 
 
Experience: Advanced
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I had offered to help NetTecture test & develop a GUI (if he would let me) for his proposed platform and of course Zondor was interested as he had met him on-line previously and thought it was in interesting idea. Nothing happened so far... (Maybe this will give him a push.)

Then beta NTs got better and better. By this point we pushed the development of the ladder & persistent indicators, and even got NT talking out our alerts on line and then complex conditions, etc. & stopped worrying as we felt we had a great discretionary platform and were anticipating all the great things with IQ &/or Kinetick.

Now, there has been the problem with historical data and am thinking for back-testing and strat development there needs to be something else. Until NT 8?

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  #6 (permalink)
 wh 
Neubrandenburg, Germany
 
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there is enough stuff in the air. the problem at the first time is to find a broker api and a good testing army.

what are the goals of "our" framework?

- indepent
- c api for real algorithmic trading
- fast without lags
- forex / future / options
...

to build this we must make a model on a paper/uml.

look at codeplex for example:
CodePlex - Project Directory

i believe sefstrat is a good adress.

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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  #7 (permalink)
 MXASJ 
Asia
 
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Let me preface this by saying I'm an absolute crap programmer, but here are some thoughts and the logic process I've had on a "roll my own" platform over the past few months:
- What do I trade and do I want the same platform and analytics for stocks/futures/options?
- Do I need charting in the same platform?
- Do I need data warehousing and backtesting in the same platform?
- What type of execution latency is accepatble?
- Having decided the instrument(s) I want to trade, what APIs are available?

For now, I've come to the conclusion that Ninja meets my requirements, though it is not ideal. I try to keep my trade logic platform agnostic, and to that end I'll be a Matlab owner and user this year so that I'll have a common trade execution and analytics platform that I can use with some of the widely available commercial trading platforms if I move on from Ninja. Matlab can talk to IB, TT, PATS, RTS, CQG and others though some work is required. If I get good at Matlab and trading programming in general that is also a marketable skill, should the need arise.

The alternative (in my view) is a from-scratch effort to develop a ISO C++ or Java platform on Linux, though that will limit who you can connect to. Again also a (very!) marketable skill.

IMHO creating another .Net multi-asset, multi-broker trading platform is not worth the time. Also weighing in on that thought is my style of risk management and how that risk is calculated, monitored, and adjusted.

In the end a trading platform is just a tool you use to express your opinion about the market.

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  #8 (permalink)
 LukeGeniol 
Italy (IT)
 
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BTW an idea could be to build one from some good existing one that provides api, lately it seems to take interest T4 platform from CTS, very fast and seems accurate feed too.
Anyway one simple no frill platform, fast and realible, would be ideal.

Luke.


P.s. It seems there's no much interest in this topic.

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  #9 (permalink)
 Big Mike 
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I think the right people haven't seen the thread yet. I can't remember everyones names is part of the problem -- but a lot of people have told me over the last year they've got code already started, not just an idea but actual work done.

So hopefully they'll find this thread and we'll see if there is any interest in working on a group project. I guess it will depend on their objective.

Mike

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  #10 (permalink)
 MetalTrade 
 
 
Posts: 1,081 since May 2010


SourceForge.net: Download and Develop Open Source Software for Free

Better join an existing active trading program project ?

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  #11 (permalink)
 Big Mike 
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MetalTrade View Post
SourceForge.net: Download and Develop Open Source Software for Free

Better join an existing active trading program project ?

Metal,

The point was (from post #1) I know several people writing their own, so I wanted to see if there was interest in sharing. Yes sourceforge is great, but these people that I know writing their own were doing so privately. Now the question is, are they willing to do so publicly with the promise and interest of help from others?

Mike

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  #12 (permalink)
 LukeGeniol 
Italy (IT)
 
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Maybe we also could establish a collective budget or make a donation system like the one for elite member.

Luke.

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Luke.
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  #13 (permalink)
 MetalTrade 
 
 
Posts: 1,081 since May 2010


Big Mike View Post
Metal,
. Now the question is, are they willing to do so publicly with the promise and interest of help from others?

Mike

If they would, they would be on sourceforge IMHO ?

I find the idea great. Me as a J2EE and C++ programmer (but not really a good one) can't imagine that it's hard to write a blazing fast trader platform. After all we connect to an easy API of for example IB ...

for the rest it's receiving data and displaying it on screen, making some calculations for the indicators, and some way to allowed self written code interact with the program.....

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  #14 (permalink)
 Big Mike 
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MetalTrade View Post
If they would, they would be on sourceforge IMHO ?

I don't think that is always the case. A lot of times someone starts a project for their own needs and never goes as far as making it "public" like on sourceforge. So, this thread will either lure them out of the woodwork and make them consider working as a group, or the thread will die a slow and painful death

Mike

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  #15 (permalink)
 aviat72 
San Francisco Bay Area
 
Experience: Intermediate
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As some one who initially started out developing their own trading platform, I would caution on jumping on the bandwagon. The domain is so vast with so many different kind of requirements that it is not easy meet them all. To me the biggest challenge was the visualization part; I can write the core code but I have limited visualization expertise.

I think for pure discretionary trading with some trade management, NT7 is great. Yes it has its quirks but it is getting better over the last 6 months. It has all the cool features to do back-testing and validation and also allows you to export your results to do further analysis. You can not back-test on tick by tick data but if you use a single range bar, you get pretty close to it; it is possibly a better representation of what you would face in the real world as you long as you account for the slippage.

Where it lacks is performance and database integration.

There are multiple factors for performance all of which are inherent to the architecture and can not be changed soon.
-> .NET managed code
-> Windows Forms drawing library based on GDI+ which is very CPU intensive
-> Single threaded main loop charting loop.

However the question is where do these limitations matter? They matter when you are doing very fast trades; were the 100s of milliseconds really matter. They also matter in high volume environment where NT might just fall behind in processing speed.

The other big area where NT falls behind is the database integration. You can not request historic data; everything has to be on the charts. In some cases you can always workaround this by building longer and longer charts but clearly this is not the most elegant solution. There are other cases where there is no workaround possible. For example, if you want indicators which run both on 24/7 and RTH data in the same strategy you are out of luck since a chart (or a strategy) can only run one session.

---------------------------------------------------------------------------------------------------------
To summarize:
-> Do not reinvent the wheel: Any custom platform should not be a jack-of-all but focus on some specific need. It should be seen as a supplement to what is already out there, and not a replacement.

-> Database Integration: In the meantime the best investment would be to develop a high-speed system (a set of dll files) which allows you to:
(a) Maintain a database of historic data
(b) Provide APIs to easily access the data in your code without having to load it on the charts.

------------------------------------------------------------------------------------------------------------
The Big Picture Proposal:

I will continue to refine my trading plans and strategies using NT. The database integration is one obvious area which can be done within the NT framework which will make the system a lot more complete.

To address the performance need, when I am ready to go automatic, I will probably write my own C/C++ based program which will be light weight, bare-bones and multi-threaded. If done properly, we will also be able to reuse much of the code we develop for NT in the system, especially the indicators and strategies AND the database access mechanism.

To keep the system light-weight, I will stick to IB/DTN combo.

IB data-feed is great during high volatility environments because its sampled feed ensures a near real-time information. DTN is great 99% of the other times when you want your tick based analysis tools to work.

IB is one of the most cost effective and reliable brokers out there and DTN-IQFeed is one of the most reliable data-feeds out there

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  #16 (permalink)
 aslan 
Madison, WI
 
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I have been threatening to roll my own for a long time. I have even PM-ed many of the people Mike is trying to get together to offer help. I either never got a response or got a "I'll let you know when its ready" type of response. Why is that?

For one, most people that can actually pull this off, are pretty sure they can do it themselves, and can't or don't want to work with others, and want to do it their way (the old NIH - not invented here syndrome). Also, if they can do it, this might be their edge.

Next, if you are going to spend countless hours trying to develop something, why give it away? If you are working as part of a group, this becomes less of an issue.

If you are giving it away, how do you protect it? Do you create a great structure, and let someone else use it to make a paid application?

Next, what are you trying to write? I know I can write the pieces to support what I need. Do I really want to write a bunch of functionality that others want/need? If you want to sell it, then the answer is likely yes.

Sorry, not trying to throw cold water on this effort, just trying to explain why it may not take off.

aviat72 said "Do not reinvent the wheel", could not agree more. If you are doing this to just fix/add to Ninja, then you are really wasting your time for the most part. It has to be something different/better if you really want it to take off.

If you want to build something great, the architecture is the key! You have to start with a great extensible architecture if you don't want to fall into the issues that Ninja, TradeStation, ESignal, etc. all currently have. Anyone starting now has the advantage that they know what everyone else has, and can create a good starting point.

In terms of language, I think you have to go with either C++ or C#. C++ will ultimately be faster and more portable, but don't under-estimate C#.

You need to decide on a platform. Windows is obvious, but what about MAC or Linux? If you go with windows, do you support legacy stuff or just Win7 WPF? Will you be 32/64-bit?

What data feeds and brokers will you support? Zenfire and IQFeed are pretty easy to interface to on windows. If you want to use another platform, you feed/broker needs to support it. Not many support MAC today :-(

Personally, I have been writing my own code as I know my requirements and did not expect to make it available to others (could change). This makes the coding much simpler since I don't need to code things that I don't use (it is architected for it for it). I am using C# and WPF, and would add in some C++ if I had to code some performance sensitive code (not anticipating that).

I am watching this thread with interest.

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 MetalTrade 
 
 
Posts: 1,081 since May 2010

I would like to write the most cpu intensive part of the program in ASM.

That would blow all other programs away in Speed, the goal must be stability and the fastest application out there.

A good Java programmer could write a platform independent program but you would have to watch out for the performance.

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 darthtrader3.6 
wny
 
Experience: Intermediate
Platform: ninja, excel
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I would check out tradlink before starting from scratch. Would probably get a lot farther ahead pitching in to help them out than from rolling your own.

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  #19 (permalink)
 sam028 
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darthtrader3.6 View Post
I would check out tradlink before starting from scratch. Would probably get a lot farther ahead pitching in to help them out than from rolling your own.

tradelink - Project Hosting on Google Code

Good luck for tradelink, I haven't been able to run most of its pieces.

I agree with Aslan's post, and he's right when he says the archiecture is the key (but I think C++ will be a better choice than C#, and forget about Java ).

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 aslan 
Madison, WI
 
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sam028 View Post
I think C++ will be a better choice than C#, and forget about Java.

The language depends on the goals, and all of those choices could be appropriate. Some things to consider:
  • performance
  • portability
    • targeted platforms
    • targeted devices (PC, tablet, browser based, phone)
    • GUI
  • leverage existing code
  • targeted customers (everyone vs small group)

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  #21 (permalink)
 aviat72 
San Francisco Bay Area
 
Experience: Intermediate
Platform: NT,TOS,IB
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To me performance and reliability are the key.

I too would prefer C++ for the core components.

For custom-indicators and strategies, we could provide a C#/Java type interface which then link in with the core components. This way you have the ease of use and the flexibility for the add-on stuff, while the core components execute fast.

Portability should be important. However I would not mind if it is restricted to Windows/Linux/(and perhaps Mac). Tablets, and mobile stuff is not for serious trading and your broker's stuff should be good enough for most.

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  #22 (permalink)
 Treggs 
Working on my LCD tan
 
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Why not do something a little different and simpler to start with.

One market that is lacking development is mobile trading. Why not get a group together, and offer your services to someone like Ninja and Zen fire to write a mobile trading platform for Android or iPhone. Android might be a better market as it's open and your app doesn't have the probability of getting rejected by apple but just thinking out loud. I don't have the skills to add significantly to the coding of such a project but as a ninja user, I would pay extra if my ninja license covered a mobile trading platform.

Yes Zenfire have their beta website and you can use remote desktop to connect to your home trading box on the go but ninja charting on the go would be awesome!

Imagine something like a Dell Streak or HTC Evo 4G with a "Ninja Trader lite" app.

I am out of contract shortly on my current phone and I intend to by an Android phone next so I can learn to program for the Android environment. That's my idea of a hobby

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  #23 (permalink)
 NetTecture 
Szczecin
 
Experience: Intermediate
Platform: Ninja, writing own now
 
Posts: 212 since Mar 2010

Tome for me to step up. I have been working on a platform for about 9 months now, on and off as I have other commitments (working as IT consultant, and as I write this I finally found a job where I can do both once I am set up - even trading during work, as I am paid mostly to be available now).

Tradex (as is the name) will have to undergo one more code reorganization (about 2-3 weeks most) then I will start publishing stuff and making it available.

I got pretty stuck in the development cycle for some time - sorry for that.

Legally:
* Tradex will NOT be totally open source.
* Core libraries will, though. I may not take the server and parts of the client open source, but core libraries will be.
* Client work even if open source may require using a paid fo rthird party (Infragistics) for compiling visual components. You can always do your own, but I just use Infragistics.
* Open source will definitely be the MarketStream format, which is used to store tick data. Code for that will be under a VERY lenient license so everyone else can use that format and rely on the reference code.

So far it looks, technically:
* .NET 4.0
* SQL Server 2008 R2 for data storage. Not sure yet how granular I get there. It is NOT planned to store tick data in normal table format. I think more of a blob per X minuts - 15 minutes for more active items, 6 hours to one session for very rare traded items.
* Client/Server architecture, though at a later stage it can start a local "mini server" for smaller installs. We talk real client/server here - simulating accounts for different traders.
* Multi Process architecture for connectivity. Conenctions are done by separate processes, so the main server runs 64 bit (as does the UI), but the RIthmic connector, for example, can run 32 bit. This also means one can restart the server without loosing data (as the connector keeps buffering it - and if it stops buffering it, it will still write it on disc).

* The application is VERY modular - especially in the UI. We do not talk of "make your own indicators", we talk of "every window type is coming from an external library, so you can actually replace the DOM with your own implementation".
* The application will be very multi threaded.

Once I am live, I plan to release often (weekly drops). First step is data collection and a trading interface.... plus maybe a library for NinjaTrader... so you can write a strategy in NinjaTrader and let Tradex execute the trades.

So much for now. Sorry for any delays

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  #24 (permalink)
 studio88 
Queensland, Australia
 
Experience: Intermediate
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Big Mike View Post

I would just like to say that I will offer up any resources I can to try to bring you guys together to create a joint team.

I think to get us started it might be beneficial for those of you have already started writing your own platform to step up and reply with at least the core fundamentals (language, vision, license) of your new platform, then we can step back and take an inventory and see where we stand.

Mike


Hi there Mike,

Mike, a while ago prior to me starting to use Ninja and MC I had been using a Open source program called TradeProject, which some or many people may have already heard of.

The TradeProject site is obviously located at Welcome to TradeProject

At first, it was too very to much scritpy for me and I just need some charting application that would give me connectivity with IB at the time. So I tried it out only to discover there some and many nice features and to me, TradeProject has the potential to eventually do what many other programs do that charge big bucks for.

Adding to the above, TP is both ready in both 32 and 64 bit for download

TradeProject is done by a fella named Daniel whom I believe is from Germany, and also has what appears to me the most Quiet forum on the internet, yet to this day still cannot believe how this can be so. Guess he doesn't market his site or program which I still very much appreciate.

So while I was there downloading an updated verison (they are not too frequent), I decided to Post on his forum to mention about your post and the futures.io (formerly BMT) community.

Now I am not trying to jump the gun here, but I feel there will be a great benefit to both Daniel and futures.io (formerly BMT) if everyone can get behind something as you say. I myself feel very strong about Opensource moving forward and that the power of a user base, be it programmers or traders who beta test to give feedback about bugs.


For quick reference and prior to updating TradeProject, I did a couple of screen shots of both My ASX setup for NT7beta 18 and TradeProject for readers and watchers to have an easy comparison, which I thought would be good to show for a side by side comparison. Also take in mind that there are still very many things not shown in Ninja Trader as well as many things still not shown in TradeProject screens accordingly.






From a simple mans perspective, TP has much of the stuff under the bonnet that most other programs have whom may I add, charge a wack for, included with the free bugs. Well, if you want some bugs which you can feel good about fixing for everyone to benefit, then I obviously would encourage you to at least check this out.

For those with a much higher mechanical knowledge than me, I suggest you be the ones who look under the bonnet.

My trial to MultiCharts has now near expired, and as much as there are so many great things about the program, to my surprise I am left not caring as it doesn't even have a DOM, let alone a few other missing things that one gets so very used to when using NinjaTrader. Seems with Ninja with or without bugs, it has Order Entry all over the Joint, a great feature yet just another feautre, but this is something that I have come to like about NT.

Many other readers will also no doubt bag the opensource platforms for where they are at or how far behind in some ways. Or, it may be that the simple truth is "Certain programs suit our trading styles and needs" which also could be worded as "Certain programs suit our Repetitious Task actions to achieve our goals". No matter which way you blend the words, we are all different, yet commonly have very similar goals.

So whether Daniel comes here and posts or not, I still encourage others to give the man some feedback as he quietly gets on with his goals and IMO has achieved some pretty Fantastic results thus far. (from my perspective). Please sound off on some feedback for those who wish to explore further.




ps: I attached my NT asx screen as well, as mentioned, both have many more features hidden under the bonnet. Please click the links below once, and then once more again for a full size preview which is best shown in a 24" screen (as I use 3 of them so dont notice)

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  #25 (permalink)
 studio88 
Queensland, Australia
 
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Hmmm, nearly 9 hours and not one interested reply.

Ahh well, I guess the the saying with Horse to water stands true, well each to their own I guess.

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  #26 (permalink)
 Big Mike 
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studio88 View Post
Hmmm, nearly 9 hours and not one interested reply.

Ahh well, I guess the the saying with Horse to water stands true, well each to their own I guess.

Studio,

It looks interesting. Like a good starting point if it is open source. Is it? I couldn't find the answer to that.

I see it is written in C++, but I couldn't find if it uses .NET add-in's or more info on writing your own indicators and the language it uses for those. It says multi-threaded, and has native 64-bit binaries, but it seems to support only IB which is a socketed-application and thus 32-bit/64-bit doesn't matter, I wonder of the difficulties in adding Zen Fire support.

Mike

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  #27 (permalink)
 aslan 
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Same here, could not find any ref for open source if it is. Looking at cfg, they are using .net (have ribbons), but are using C++. I was looking at the broker/feeds as well, and have no interest in IB, but would be interested in getting Zen hooked up as I have experience with the Zen API.

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  #28 (permalink)
 studio88 
Queensland, Australia
 
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Big Mike View Post
Studio,

It looks interesting. Like a good starting point if it is open source. Is it? I couldn't find the answer to that.

I see it is written in C++, but I couldn't find if it uses .NET add-in's or more info on writing your own indicators and the language it uses for those. It says multi-threaded, and has native 64-bit binaries, but it seems to support only IB which is a socketed-application and thus 32-bit/64-bit doesn't matter, I wonder of the difficulties in adding Zen Fire support.

Mike


Hi Mike, I cant really answer those questions on behalf of Daniel with his TradeProject, but I too am curious to such answers. He did say he will come on over here to take a look though, as I sent him a link to this thread regarding your previous thoughts so I offered some encouragement to engage here in such community where there could/should/probably much assistance or collaboration (potentially) if this is what he or the community would like of course.

To me, looking on the outside, I see potential, and use the program from time to time and understand it is still in its early stages though moving still moving forward. Daniel himself today replied back quite promptly and also acknowledges thought that there is a complete lack of documentation, and that was something he was also going to look into.

My reply to such comment is that is why it good to have such collaboration so things like that can be documented by the people who write and document well which leaves the programmers to focus on what they do well which basically is programming...hahaa.

The benefits of opening up collaboration and team building towards the single objects could be discussed for hours if not days, weeks or months and years as we all know. I am an optimist in this regard and feel sometimes some of my talent is spotting another persons talent, in which case I feel Daniel could very well be the case.

No doubt daniel will read these posts and hopefully decide to post, in which case he will be able to answer many questions that both you and others have. I guess like any project, the more interest there is, the more involvement some thing needs, or tends to receive. (providing the interest is there in the first place).

You are right though Mike, currently TP only seems to support an IB connection, which may suit me down to a tee atm, but its not about me, its about a community and as much connectivity options as possible which takes us back to collaboration. Now perhaps daniel originally also wrote this program for himself and was happy to cruise with it leaving it at that, but either way, I am keen to hear your, others and his discussion as to what thoughts are surrounding such collaboration.


Sorry for the long winded reply, but its getting late again here in Aus an my mind is slowing, time for sleep I think

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  #29 (permalink)
lurker
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see here for a relevant list of opensource platforms: Directory of Trade Data Analysis Software

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 studio88 
Queensland, Australia
 
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aslan View Post
Same here, could not find any ref for open source if it is. Looking at cfg, they are using .net (have ribbons), but are using C++. I was looking at the broker/feeds as well, and have no interest in IB, but would be interested in getting Zen hooked up as I have experience with the Zen API.


aslan, a little while back I found out that unfortunately TP is not Open Source, but I believe the developer will be adding support for another API rather than only the current IB, however I dont think it is Zen api, but could be IQfeed (I think).

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  #31 (permalink)
 Trader.Jon 
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There are opportunities, but obviously not for everyone ...

I have no experience with this platform, but it has been around for awhile and I think it already has been rebranded for some brokerage .. perhaps this is a consideration == start && ('fix' what you dont like) since the source is included along with support .. ??!! C#, C++, VB.net, NN, dataserver, multicore support " All CPU intensive processes in M4 are asynchronous, taking full advantage of the latest in multiple core processors. Data loading, neural network training, expert advisor processing and other features make full use of asynchronous programming throughout M4. We also make it easy for you to add your own asynchronous features by reusing our AsyncProcess template class." and it is skinnable

Not a rant, or recommendation.. just an alternative .. and I am not a programmer so .. 2 CDN pennies worth .. there is a delete key .. but I am interested enough to contribute$ toward a co-operative purchase of this or something better to brand it with futures.io (formerly BMT) or some such ...
Technical Analysis and Charting Products by Modulus Financial Engineering

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  #32 (permalink)
 studio88 
Queensland, Australia
 
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Trader.Jon View Post
Not a rant, or recommendation.. just an alternative .. and I am not a programmer so .. 2 CDN pennies worth .. there is a delete key .. but I am interested enough to contribute$ toward a co-operative purchase of this or something better to brand it with futures.io (formerly BMT) or some such ...
Technical Analysis and Charting Products by Modulus Financial Engineering

Yeah right Jon,

From opensource development free talk to get it now for only US $8,500 is a little bit off the Richter Scale, don't ya think?

Not really sure what you mean when you say "interested enough to contribute$ toward a co-operative purchase" so can you explain what you mean by this, what does a co-operative purchase do or how does it work exactly?

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  #33 (permalink)
 Trader.Jon 
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studio88 View Post
Yeah right Jon,

From opensource development free talk to get it now for only US $8,500 is a little bit off the Richter Scale, don't ya think?

Not really sure what you mean when you say "interested enough to contribute$ toward a co-operative purchase" so can you explain what you mean by this, what does a co-operative purchase do or how does it work exactly?

Back in the 'good old days' when I was fortunate enough to be able to farm for a living, often groups of farmers would form a co-operative to buy expensive items such as combines (a family group / farmers in same township, that sort of thing,) or other rarely used (and definitely beyond the scope of one farmer to purchase with the idea that it would pay for itself over time), in one way or another. In the context here, co-op would have to be a limited buyin of equal shares, likely about 50 or so, where the cost would be shared and then, as licenses, the co-op 'legal entity' would distribute compiled versions of the software, and then members would contribute testing, suggestions, write code, etc, much like what is done here at futures.io (formerly BMT). Due to the need for a 'legal entity' they would have to be legal officers elected by the members and likely best situated in country/state of origin for the software purchase.

Herein is suggestion that there are different ways of doing things to get to the same place, with both negative and positive aspects and potentials. Nothing is perfect, and writing your own trading platform/adding on to open source code, is time consuming and sometimes wasteful task. Buying code does have its drawbacks of going down a road already started.

Just opened a door out of a box: maybe it will slam shut with me still in it, maybe not

Hope that answers the question,
Jon

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 NetTecture 
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The problem with this is that the 8500 license would not allow sharing

That said, I will start publishing the first Tradex code parts slowly next week under Tradex This includes MOSTLY source code... so.... )

Just fixing up some stuff in the core (Tradex.dll). It will be a long way. I twill also include the connector framework (including connectors when allowed to) as well as UI elements.

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  #35 (permalink)
 Trader.Jon 
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NetTecture View Post
The problem with this is that the 8500 license would not allow sharing .

My confusion I guess .. This is what I read on the link:
This is a non-exclusive, royalty free enterprise license. You may compile the application and distribute it to any number of end users without paying royalties!"
I built the co-op idea on that ionformation. As said, no worries, I returned it to my ideas box and close the lid.


NetTecture View Post
That said, I will start publishing the first Tradex code parts slowly next week under Tradex This includes MOSTLY source code... so.... )

Just fixing up some stuff in the core (Tradex.dll). It will be a long way. I twill also include the connector framework (including connectors when allowed to) as well as UI elements.

Congrats on moving forward and seeing the results soon.
Jon

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 studio88 
Queensland, Australia
 
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Trader.Jon View Post
My confusion I guess .. This is what I read on the link:
This is a non-exclusive, royalty free enterprise license. You may compile the application and distribute it to any number of end users without paying royalties!"
I built the co-op idea on that ionformation. As said, no worries, I returned it to my ideas box and close the lid.



Congrats on moving forward and seeing the results soon.
Jon

Hi Jon,

Ahh, so thats what you mean. Yes I feel that would be a great idea, and one that would obviously make it cost effective if it could be implemented to across a broad range of users, but its seems a little grey the area as NetTecture has pointed out.

I hope my previous post never came a across as harsh in anyway as for a moment I thought you had referred to to the what the link had said being on special for 8.5K (I thought per head).

And yes NetTecture, good stuff there mate, hope to see further developments there.

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 Trader.Jon 
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studio88 View Post
Hi Jon,

Ahh, so thats what you mean. Yes I feel that would be a great idea, and one that would obviously make it cost effective if it could be implemented to across a broad range of users, but its seems a little grey the area as NetTecture has pointed out.

I hope my previous post never came a across as harsh in anyway as for a moment I thought you had referred to to the what the link had said being on special for 8.5K (I thought per head).

And yes NetTecture, good stuff there mate, hope to see further developments there.

No problem whatsoever ... I was just trying to contribute ideas and possibilities: others might have seen it (the idea of the co-op as not possible) the same way so I am glad we got it sorted out. I dont the see the idea of the co-op as being much different as peeps contributing on futures.io (formerly BMT): we all bring something a little different to the table. My anticipation is that those developers are bringing out a much newer version of the software so they are getting cash in by lowering the price point temporarily.

Looking forward to assist in test of anything that gets produced by futures.io (formerly BMT) members, that is a given.

Jon

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sscrab
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Big Mike View Post
Hey guys.

Over the past year a good half dozen or more of you have told me that you are writing your own trading platform. Each of you have your own reasons for writing your own platform, but I think the one thing in common with all of you is that you were unhappy with the platforms that already exist in the market.

A lot of you guys are really brilliant programmers, and excellent traders to boot. I've often wanted to try to find a way to get you together to work on a new trading platform in a joint manner. It seems like a lot of wasted resources to do it independently.

So, I finally just decided to start this thread. I am unsure what kind of traction to expect. Obviously, there are a lot of things to consider when developing a new platform. Everything from the language and architecture, to licensing and pricing, to features and support.

I would just like to say that I will offer up any resources I can to try to bring you guys together to create a joint team.

I think to get us started it might be beneficial for those of you have already started writing your own platform to step up and reply with at least the core fundamentals (language, vision, license) of your new platform, then we can step back and take an inventory and see where we stand.

Mike

Hi Mike,

I registered 5 minutes ago to ask this exact question, well, sort of, and here I find it is asked by yourself.

I'd be keen to write a custom strategy development platform, less of a focus on execution or plumbing into brokers. Certainly have some ideas on how best to organise this sort of thing.

Have you had many follow-ups on this? Given you started the thread, I guess you have some thoughts also?

Best

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  #39 (permalink)
 bizman70 
toronto, ontario
 
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i would like to help is setting something up as well - not technically inclined but am pro active in automated trading - would look to have the ability to design and execute price patterns and bar pattern setups -

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 MXASJ 
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Not sure this is the best place to post this but here you go:

Has anyone looked at StreamInsight, Microsoft's shot at the CEP space? Is anyone aware of it being used in trading apps?

Thanks.

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 NetTecture 
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MXASJ View Post
Not sure this is the best place to post this but here you go:

Has anyone looked at StreamInsight, Microsoft's shot at the CEP space? Is anyone aware of it being used in trading apps?

Thanks.

You will not see that outside of closed shops (due to high licensing costs - iompractical to put into a product) and there it is way too early to see it in wide adoption. Development takes time.

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  #42 (permalink)
 MXASJ 
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NetTecture et al...

Would you mind sharing a bird's eye view of what considerations are needed in the design of a trading platform? I've made it past "Hello World" programming but I'm very new to this and large project stuff is something I'm trying to get my head around.

I know this is a very broad question, so I'll make some very broad statements to see if it leads to something.

At its heart a trading platform needs to receive inputs (price update data, account update data, order update data, etc), do something with that data, and then output something (orders, a chart, a db write, etc).

On the input side, there is no universal standard for messages. Some may be FIX, some may be a broker API, some may be a datafeed API, some may be static data from a db, etc. "Connectors" that translate data/events into a common format are required.

The "core" of the trading platform processes data/events in that common format.

The "connectors" are then used on the output side, perhaps sending things back out as a FIX message or broker API-specific message, or being output to a graphics engine for charting or any trade visualization, etc.

So where would one even start if you wanted to build your own platform? A UML diagram and a specification document? Would you start at the "core" and work outwards?

What are the performance constraints, best practices, industry consensus, etc to keep in mind in all aspects of such a project?

I continue to look at Tradelink ( tradelink - Project Hosting on Google Code) for general architecture ideas but I'm not smart enough to know if it is brilliant or not. What is actually important? The database structure? The messaging bus? Unique ways to handle concurrency and multithreading on a per "connector" basis?

Any thoughts, ideas, or suggested reading is most welcome.

Thanks in advance for your time.

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  #43 (permalink)
 NetTecture 
Szczecin
 
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MXASJ View Post
NetTecture et al...

Would you mind sharing a bird's eye view of what considerations are needed in the design of a trading platform? I've made it past "Hello World" programming but I'm very new to this and large project stuff is something I'm trying to get my head around.

I know this is a very broad question, so I'll make some very broad statements to see if it leads to something.

At its heart a trading platform needs to receive inputs (price update data, account update data, order update data, etc), do something with that data, and then output something (orders, a chart, a db write, etc).

On the input side, there is no universal standard for messages. Some may be FIX, some may be a broker API, some may be a datafeed API, some may be static data from a db, etc. "Connectors" that translate data/events into a common format are required.

The "core" of the trading platform processes data/events in that common format.

The "connectors" are then used on the output side, perhaps sending things back out as a FIX message or broker API-specific message, or being output to a graphics engine for charting or any trade visualization, etc.

So where would one even start if you wanted to build your own platform? A UML diagram and a specification document? Would you start at the "core" and work outwards?

What are the performance constraints, best practices, industry consensus, etc to keep in mind in all aspects of such a project?

I continue to look at Tradelink ( tradelink - Project Hosting on Google Code) for general architecture ideas but I'm not smart enough to know if it is brilliant or not. What is actually important? The database structure? The messaging bus? Unique ways to handle concurrency and multithreading on a per "connector" basis?

Any thoughts, ideas, or suggested reading is most welcome.

Thanks in advance for your time.

This is very broad a topic and I think if from the way you ask it some explaantions may not stick well due to lack of knowledge.

First, I think, you need to agree on an architecture and what you want to do. Plus WHY - there are soem platforms out. They lack featuers, but identifying WHY you do something is core.

Then in the end you deal with a message passing / Event driven architecture. You need a decent set of messages. Fix etc. is a start. The all lack interoperability, but at the end an order is an order, so within your system you want ONE define view on it, regardless of what the end connected system says. I go with a large C# library defining classes for everything. They possibly can not cary all data, but they carry all data that I need.

Another tricky thing is how to deal with threads. WIthout multi threading you get into perforamcne hell. WIth multi threading you get into programming hell - unless you plan that properly. THat said, planning that is not that hard for something like trading.

Dealing with financial data is also challenging performance wise, unless you go end user (few symbols). Updates even for ES are not that many.... but getting some complete exchange is another ball game (one reason I do my own). Data storage is tricky here. Wnat something that is end user usable? Flat files are pretty much it, or db blobs. Useing a db server ?Get a lot of discs. I currently run 6 discs for data, soon going to 8... only for the data files (logs, tempdb resides on other discs). Not only the volume is tricky, also the amount of updates.

In the end, it is not a small proejct whatever side you tackle it. Iti s not a project for someone just after his "hello world".

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 aslan 
Madison, WI
 
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This is a big task, but you have to start somewhere.

I would start by looking at the different feeds you want to support. Look at how symbols are done, how historical and live data are provided, how orders are processed. I have looked at IQ, Rithmic, ZenFire, and Fix. They are all similar, but enough different that you need to transform their API into a common interface that the core uses. Your core code should not deal with any of the APIs directly.

Seems strange, but just dealing with the symbol universe is kind of a pain because each API does symbols differently. You need to pick a format that is your base, and then be able to map all of the other feeds to your symbol mapping. This is especially true if you are going to support multiple feeds concurrently (like MC). How do you store your symbol info?

The next step is to decide how to store data. You can use flat files, files per date, database, or whatever. Personally, I don't think a DB is the right choice as you are just adding another layer that does not provide much, but it could make sense based on your goals. One of the key issues here is keeping all ticks in order, but most feeds still use second based timestamps. This is where a straight files are nice, because you just write them to the file. In a db, you need to add another field to maintain the order of the ticks. Also, what timestamp granularity do you want to keep track of?

You can work thru most of the above without even thinking about the GUI much, but you have to tackle that at some point as well. The GUI is also related to your threading model, which is critical to your performance. Are you going to go windows only or include others like OS X/Linux? If you are going to go windows, then I like the WPF architecture as you can do so much with the GUI, and the threading works well. The main drawback is you are locked in to windows/C#. The alternative is to go old school with C++ and use the older windows model (like SierraCharts).

The next step is work thru the charting, order processing, DOM, position tracking, .....

This is a huge task, and before you even start, you have to have your goals laid out, and then start peeling the onion. As you attack pieces, be sure to come back to the top level occasionally to make sure you have not pigeon holed yourself.

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  #45 (permalink)
 NetTecture 
Szczecin
 
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aslan View Post
This is a big task, but you have to start somewhere.

I would start by looking at the different feeds you want to support. Look at how symbols are done, how historical and live data are provided, how orders are processed. I have looked at IQ, Rithmic, ZenFire, and Fix. They are all similar, but enough different that you need to transform their API into a common interface that the core uses. Your core code should not deal with any of the APIs directly..

I question your selection. Fix is ok, Rithmic, too. IQ, too. But Zen-Fire is redundant - it internally IS RIghtmic, uses the API, so you gain little real insight.

I actually gained a lot by integrating (ongoing work) NxCore. VERY interesting.


aslan View Post
Seems strange, but just dealing with the symbol universe is kind of a pain because each API does symbols differently. You need to pick a format that is your base, and then be able to map all of the other feeds to your symbol mapping. This is especially true if you are going to support multiple feeds concurrently (like MC). How do you store your symbol info?

That actually is painfull. It goes gfurther as often between technologies the symbols also propagate to the broker. Trade YM on Rightmic and TradeMaeven, and the symbols are different ON THE ACCOUNT STATEMENTS. Nice, isn't it.


aslan View Post
The next step is to decide how to store data. You can use flat files, files per date, database, or whatever. Personally, I don't think a DB is the right choice as you are just adding another layer that does not provide much, but it could make sense based on your goals. One of the key issues here is keeping all ticks in order, but most feeds still use second based timestamps. This is where a straight files are nice, because you just write them to the file. In a db, you need to add another field to maintain the order of the ticks. Also, what timestamp granularity do you want to keep track of?

No feed I know of uses second timestamp granularity. Neither RIghmit nor Zen-Fire do (NInja does, but that happens after the feed and it is a major issue wit h the platform, together with the fact that tehy do NOT maintani order - bid/ask and quotes are stored in separate streams, apparently). No idea about IQ. IB does 1/10th of a second snapshots, NxCore 25ms timestamps with order, Righmic microsecond as they arrive.

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 aslan 
Madison, WI
 
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NetTecture View Post
I question your selection. Fix is ok, Rithmic, too. IQ, too. But Zen-Fire is redundant - it internally IS RIghtmic, uses the API, so you gain little real insight.

I started out with ZenFire, so it is what I knew. You are right though, in that ZF is completely built on top of Rithmic, so if you can deal with the Rithmic API, ZenFire gets you nothing, unless your broker wont give you the Rithmic connection strings for the ZenFire server. The two APIs do a few things differently, but in general the R API is much cleaner.


Quoting 
No feed I know of uses second timestamp granularity.

IQ does, Tradestation does.

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 NetTecture 
Szczecin
 
Experience: Intermediate
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aslan View Post
IQ does, Tradestation does.

Sure about those?

I espeically dislike "Tradestation does". Tradestation is not a feed. This is like saying "NinjaTrader does", but at the end this is NInjaTrader fucking up the stored data. So, how you know that TradeStation "feed" (which to my knowledge you hae no API to) does it?

When I started my quest back into trading, I determined I am not inteested in a feed that comes with an API that requires more than a token local application / window (i.e. something like nanex installing a local price SERVER is ok - it has a window showing data throughput etc., but something like IB is not where you run requests through a local trading application).

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 uexkuell 
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Regarding the general design of a trading platform I am absolutely with Aslan so far (already built a platform on my own and in the process of building it learnt some lessons the hard way):

- Main point is to abstract from any existing API, symbology, data formats. Otherwise the platform will be very hard to adapt for changing environments.
- Symbology has to be universal, logical and straightforward
- Storing data has to be as simple as possible. Trying to be sophisticated is detrimental.
- Store every single bit of information that is available at the maximum resolution possible. You will at some time in the future find a use for it.
- If the data feed does not supply timestamps use the processor clock and store together with the data.



Some ideas for the design:

Symbology
Have a format that can be used consistently for everything. Examples (hopefully self explaining):
FUT:CME:ES:201103
OPT:CBOE:SPY:CALL:201101:122
STK::AAPL

Data storage
Store every tick from a day in just one plain file (binary) with a name like TICKDATA 2010 12 21.DAT.
Header contains a list of all symbols together with a unique code that identifies them in the data file.
This makes retrieval a little more difficult.
It makes much easier data storage for longer timeframes and backup.
You see what you have and it's easy to transfer data to another computer, exchange or join data.





NetTecture View Post
No feed I know of uses second timestamp granularity. Neither RIghmit nor Zen-Fire do (NInja does, but that happens after the feed and it is a major issue wit h the platform, together with the fact that tehy do NOT maintani order - bid/ask and quotes are stored in separate streams, apparently). No idea about IQ. IB does 1/10th of a second snapshots, NxCore 25ms timestamps with order, Righmic microsecond as they arrive.


Don't know why such misinformation should be disseminated:

- Zenfire has millisecond timestamps.
- IB has no timestamps, ticks come irregularily. Sometimes 2 snapshots/sec, sometimes even 12/sec depending on market activity, symbol and other factors that are only known by IB.

Zenfire:
Table of Content
>Zenfire namespace>TickEventArgs>TimeStamp
This leads to:
DateTime Structure (System)
(64bit MS.NET DateTime structure)

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 aslan 
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NetTecture View Post
Sure about those?

I espeically dislike "Tradestation does". Tradestation is not a feed. This is like saying "NinjaTrader does", but at the end this is NInjaTrader fucking up the stored data. So, how you know that TradeStation "feed" (which to my knowledge you hae no API to) does it?

When I started my quest back into trading, I determined I am not inteested in a feed that comes with an API that requires more than a token local application / window (i.e. something like nanex installing a local price SERVER is ok - it has a window showing data throughput etc., but something like IB is not where you run requests through a local trading application).

Yes, very sure about IQ. TS actually has more granularity in the feed, but they store data with sec granularity.

Totally agree that TS is NOT a good starting point.

The key point here, is the granularity does not matter, because you still have to maintain order of quotes, and unless you have an unrealistic granularity you will always have a few quotes with the same timestamp. So, you have a sorting issue if you rely on the timestamp field alone (i.e. in a db).

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 NetTecture 
Szczecin
 
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uexkuell View Post

Don't know why such misinformation should be disseminated:

- Zenfire has millisecond timestamps.

Zenfire:
Table of Content
>Zenfire namespace>TickEventArgs>TimeStamp
This leads to:
DateTime Structure (System)
(64bit MS.NET DateTime structure)

Reality check: DateTime does NOT store milliseconds. Really. It stores TICKS. I suggest reading the documentation you point to for clarification. MS is just the smallest increment exposed OUTSIDE TICKS. Ticks are 100ns large, finer than any clock available. Not milliseconds. NICE try.

DateTime.Ticks Property (System):
A single tick represents one hundred nanoseconds or one ten-millionth of a second. There are 10,000 ticks in a millisecond.

No clue where you got the idea System.DateTime stores milliseconds. Again, maybe Zen-Fire cuts off the ticks. my own Rithmic code did not (now pulling data from Nanex).

I have quite some stored Rithmic data here from development, and the timestamps go a lot finer than milliseconds. Not sure whether Zen-Fire cuts them off (never used the API too long, way too clumsy with the object model). I now use nxCore which has a theoretical MS resolution, but gives the "minimum effective resolution" in every daily tape start, which is currently set at 25 (i.e. the milliseconds counter only increments in increments of 25).

Actually I think of storing the order of items in the ticks. Even bwlow MS that gives me 10.000 ticks per millisecond, 250.000 if using up the complete resolution, so I can store timetamp and maintain order in one field.

Another item - I second storing everything with as much resolution as possible Order and delay MAY come in handy writing a decent simulator. Yes, your order takes time, but the exact order is necessary to make sure you can give good simulated fills.

Final note: If you are multi threaded - Windows Scheduler Resolution is about 55ms. Smallest task switch interval. Want more? High prioerity thread, never switching (critical section) and using spinlocks when needed. Effectively uses tons of power (CPU core at 100%) and blocks one core. OTOH the only way to go smaller. IF that is needed. IO etc. still make it mostly a futile attempt.

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 MXASJ 
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Might be splitting hairs (or asking a silly question) here but is there an advantage to having your exchange(or broker)-facing engine running a very light core written in C++ on a Linux box? Everything else can be dot Net, and perhaps a sockets connection is used between the FE and BE? Is sockets even the prefered way to get a Linux app to talk to a Windows app?

The reason I bring that up is I used a commercially-available platform recently that did just that. The C++ core was so lean it didn't event have a concept of a bar, only a tick plus all the other raw price and order data. If you required a bar you would have to build it either on the FE or the BE.

I can see the workflow advantage of a full dot Net environment, but is one at a disadvantage with that technology facing the exchange?

As always your opinions are most welcome...

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 NetTecture 
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MXASJ View Post
Might be splitting hairs (or asking a silly question) here but is there an advantage to having your exchange(or broker)-facing engine running a very light core written in C++ on a Linux box? Everything else can be dot Net, and perhaps a sockets connection is used between the FE and BE? Is sockets even the prefered way to get a Linux app to talk to a Windows app?

The reason I bring that up is I used a commercially-available platform recently that did just that. The C++ core was so lean it didn't event have a concept of a bar, only a tick plus all the other raw price and order data. If you required a bar you would have to build it either on the FE or the BE.

I can see the workflow advantage of a full dot Net environment, but is one at a disadvantage with that technology facing the exchange?

As always your opinions are most welcome...

Yes and no. As I said - you loose a core, and you have to block task switching because it does bring a slower scheduler in. OTOH.... you gain speed. Do you? The moment you hit the network you are mostly in another task anyway with interrupts (due to the network driver). I am not sure that at the end you really safe something. It may make sense for HFT, but then you need a VERY lightweight OS below it - one that is quite primitive. Is there a real time linux with guaranteed network driver latency?

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 Big Mike 
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Guys -- dare I say it, but why not work together?

A lot of you have expressed that you have worked on, are working on, or plan to work on your own platform. Assuming the majority of you are doing this to become better traders, and not to sell the platform for revenue stream, then why not join forces together?

Mike

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 MXASJ 
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Big Mike View Post
Guys -- dare I say it, but why not work together?

A lot of you have expressed that you have worked on, are working on, or plan to work on your own platform. Assuming the majority of you are doing this to become better traders, and not to sell the platform for revenue stream, then why not join forces together?

Mike

I think that would present a challenge on a few fronts, beginning with something as basic as Use Case.

I, for example, don't normally use charts for anything other than post-trade visualization i.e. I have no need for real-time charting in anything I build myself. The requirements for static data such as instrument names, expiration dates, tick sizes and values, exchange names, trade times, etc will vary from user to user. And then there is an API. Nothing is really free, and John, Paul, George, and Ringo might have access to TTFIX, Rithmic, RTS, and PATs respectively but that will present a challange in a distributed development environment. And then of course my requirement for MSSQL in the BE will be met with the open source crowd wanting mySQL...

All that before a single line of code is written .

NetTecture was kind enough to post some of his base code, and some of the other stuff out there is also a good place for ideas.

Not in any way shooting down the idea of collaboration, but I think it is more of a challenge for the trade platform than say, a middle-office trade reconciliation/risk management platform. And personally I'm an absolute crap coder at present... but working on it.

My 2 pesos...

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 NetTecture 
Szczecin
 
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MXASJ View Post
I think that would present a challenge on a few fronts, beginning with something as basic as Use Case.

I, for example, don't normally use charts for anything other than post-trade visualization i.e. I have no need for real-time charting in anything I build myself. The requirements for static data such as instrument names, expiration dates, tick sizes and values, exchange names, trade times, etc will vary from user to user. And then there is an API. Nothing is really free, and John, Paul, George, and Ringo might have access to TTFIX, Rithmic, RTS, and PATs respectively but that will present a challange in a distributed development environment. And then of course my requirement for MSSQL in the BE will be met with the open source crowd wanting mySQL...

All that before a single line of code is written .

NetTecture was kind enough to post some of his base code, and some of the other stuff out there is also a good place for ideas.

Not in any way shooting down the idea of collaboration, but I think it is more of a challenge for the trade platform than say, a middle-office trade reconciliation/risk management platform. And personally I'm an absolute crap coder at present... but working on it.

My 2 pesos...

Ok, here is my new years goal. I am currently in the process of getting my code base more organized. Sadly this is blocked by me currently not trading in person (I have someone trading some of my strats) but being ina data warehouse proejct for 50 hours per day After that I am more a WOW addict than anything. As in: I also need some rest. That will take possibly till mid of the year (that said, it pays handsomely). Anyhow.

* I have a place on codeplex where I want to put some stuff. Tradex.codeplex.com
* I have my own TFS in my company for the builds and source control. THat said, there is a bridget that would allow partial publication to TFS. I never managed to acutally set that up.
* So, today is my last fuull working day this year. Tomorrow I will spend traveling and doing shoppnig. After that it is 2 weeks with time.
* And in this I want to get some of my code at least up to Codeplex. This will be core libraries, data structures, and possibly connectivity code as far as I have it. All my current services interfaces and possibly the general service runners (my "server" is some generic code that then loads services that do the work - keeps the individual services nicely packed).

Licensing will be very lenient (BSD style - take, use, modify, use comercially, just credit origina). Feel free to jump on it.

Services, front end etc. will be excluded form the free upload, at least "in general". Front end also needs commercial components (user interface).

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 traderwerks 
Taipei Taiwan
 
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MXASJ View Post
Might be splitting hairs (or asking a silly question) here but is there an advantage to having your exchange(or broker)-facing engine running a very light core written in C++ on a Linux box? Everything else can be dot Net, and perhaps a sockets connection is used between the FE and BE? Is sockets even the prefered way to get a Linux app to talk to a Windows app?

The reason I bring that up is I used a commercially-available platform recently that did just that. The C++ core was so lean it didn't event have a concept of a bar, only a tick plus all the other raw price and order data. If you required a bar you would have to build it either on the FE or the BE.

I can see the workflow advantage of a full dot Net environment, but is one at a disadvantage with that technology facing the exchange?

As always your opinions are most welcome...

I did something a few years ago. The core was a small CEP engine that ran on Linux, and the UI / Control user interfaces was in WxWidgets connected with zeromq so the UI and execution were separate.

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tradelink
Miami Beach FL USA
 
 
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Hey sam, I see you were having trouble using tradelink.

Did you join the tradelink users list? We'll help you out with whatever problems you're having.

You can do this by googling tradelink, clicking on the tradelink project. Then on the right side of the page you will see the link for 'TradeLink users'

Please let us know what trouble you encountered.


sam028 View Post
Good luck for tradelink, I haven't been able to run most of its pieces.

I agree with Aslan's post, and he's right when he says the archiecture is the key (but I think C++ will be a better choice than C#, and forget about Java ).


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 NetTecture 
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Just to give an update redaring Tradex (my framework).

* I installed the sync tools. WIll see I get them working sunday. This will then start moving source into codeplex. Live link - all checkins automatically get moved, including work items.
* I make good progress on the NxCore connector. This is a hell of a decent data feed api Also got permission to publish the NxCore connector code- but it will need access to the local API before compiling, sorry. i dont distribute other peoples code and dll's.
* And finally I just got the first smaaaaaalll class covered 100% by unit tests. Another one on the way - the really nice thing is that I find obscure bugs with this. Nice. I start moving the core asemblies under full unit testing now because basicall I finalyl got code coverage reporting working in TFS and - they are so central I really dont want any bugs in them.

I would expect some updates to happen january.

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 Big Mike 
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NetTecture View Post
Just to give an update redaring Tradex (my framework).

Congratulations, a nice end of year accomplishment

Mike

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tradelink
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Hey guys,

I would encourage you all rather to write your own project from scratch to join the TradeLink project.

It was created 3 years ago when I left one of the largest commodity funds in the world and went to trade on my own. There was not much out there open source wise so I created a platform and open sourced it. That was three years ago, now tradelink supports 15 brokers and data feeds including all the major proprietary trading firms and many retail ones.

It works with equities, options, fx, futures on both live and historical tick data. You can backtest level 1 and level 2 strategies at over 300,000 ticks a second, which is faster than many commercial platforms costing hundreds of thousand of dollars a year. Live trading operates at 40,000 ticks a second. We have over 12,000 downloads, 200 users on the mailing list and 50 commercial users representing half a billion in assets.

We also have a seperate company providing commercial support to hedge funds, prop trading firms and larger users who need extra assistance. Corporate supports helps to accelerate the growth of the open source project, because the more big companies who use it the more powerful the open source platform becomes for everybody. Again we've been at this for three years. Regardless of how big it gets, We're 100% commited to open source.

What I'd love to see happen is for you guys to use and contribute to tradelink and make it better. Together we can build something so much more impressive and powerful than having a bunch of fragmented individual platforms, which are great for personal use but to really make open source work you need a powerful community.

If this sounds interesting to you, please join up on the mailing list.

google tradelink
click on the 'tradelink project', hosted by google code (google's version of source forge)
here is where you can download the installer, view instructions/videos, read tutorials, download the source code
to join the group, click on 'tradelink users group'. here we talk about basic technical support issues in tradelink as well as extending the platform.

looking forward to seeing some of you there,


Big Mike View Post
I think the right people haven't seen the thread yet. I can't remember everyones names is part of the problem -- but a lot of people have told me over the last year they've got code already started, not just an idea but actual work done.

So hopefully they'll find this thread and we'll see if there is any interest in working on a group project. I guess it will depend on their objective.

Mike


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  #61 (permalink)
 fluxsmith 
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tradelink View Post
Hey guys,

I would encourage you all rather to write your own project from scratch to join the TradeLink project...

Very interesting. I'm glad to see the language appears to be C#. Please let us know when you have ZenFire support.

Thanks

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tradelink
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TradeLink is fully .net compliant so you can use any .net language, including c#, c++, vb, f# and many others.

Somebody on the mailing list will help you add zenfire support if you're a developer interested in using zenfire.


fluxsmith View Post
Very interesting. I'm glad to see the language appears to be C#. Please let us know when you have ZenFire support.

Thanks


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 MetalTrade 
 
 
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tradelink View Post
What I'd love to see happen is for you guys to use and contribute to tradelink and make it better. Together we can build something so much more impressive and powerful than having a bunch of fragmented individual platforms, which are great for personal use but to really make open source work you need a powerful community.

If we would have the GOM tools from GOMI on tradelink it would be a done deal :-)

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tradelink
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we would be very willing to help GOMI port his tools to tradelink.

it should be fairly easy because they appear to already be written in .net

If you want to drop a message to GOMI indicating you'd like to see his tools on tradelink, we will extend the offer to help him do this.

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tradelink
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also we don't see any zen fire api downloads on their site, but if somebody has these files/docs and wants to post them as a feature request on the tradelink site it's not impossible somebody will work on adding zen fire support.

you can find the tradelink site by googling 'tradelink', clicking on 'tradelink project' and then click on 'issues' to submit a feature request

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 MXASJ 
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Hi Tradelink,

Through the links in the Zenfire forum ( ZenFire • View forum - .NET) you can find the API (https://github.com/ZenFire/ZenFireDev.NET) and documentation ( Table of Content).

The links are for the .NET version.

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tradelink
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here you go

Issue 1197 - tradelink - zenfire connector alpha - Project Hosting on Google Code

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 TickMiner 
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After spending some time looking at tradelink I'm very impressed. The code looks very clean. Great job!

But before I could use it for trading I have a few wish list:
- ZenFire - Mirus support
- Optimizer - Maybe port Mogo over
- A Renko bar type with wicks (MedianRenko or WickedRenko from NT)

Unfortunately I'm focused on trading algorithm now but can help later.

Keep up the great work. This if the first open system that I like.

Bests,
John

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 aslan 
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I dont have time to dig around in TradeLink, but if someone can provide me a code chunk for another bar type (i.e. RangeBar), I can put together the guts of BetterRenko for you to run with.

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tradelink
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here is the strategy documentation :

ResponseDocs - tradelink - Automated Trading Reference - Project Hosting on Google Code

here are examples of enabling and using time bars in a strategy :

BarListTracker - tradelink - track many barlists at once - Project Hosting on Google Code

here is the source code for behind the scenes stuff for time bars :

BarTimeIntervalData.cs - tradelink - Project Hosting on Google Code

here is source for tick bars :

BarTickIntervalData.cs - tradelink - Project Hosting on Google Code

here is the source for volume bars :

BarVolIntervalData.cs - tradelink - Project Hosting on Google Code

here is source code that appleis to all bars :

BarListImpl.cs - tradelink - Project Hosting on Google Code (per symbol)
BarListTracker.cs - tradelink - Project Hosting on Google Code (any symbol)

here are unit tests for various bar types for more use-case examples :

TestBarList.cs - tradelink - Project Hosting on Google Code
TestBarListTracker.cs - tradelink - Project Hosting on Google Code

renko should be easy enough to add. if you need assistance, please ask for help on the community users list :

tradelink-users | Google Groups

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 MXASJ 
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NetTecture View Post
Just to give an update redaring Tradex (my framework).

* I installed the sync tools. WIll see I get them working sunday. This will then start moving source into codeplex. Live link - all checkins automatically get moved, including work items.
* I make good progress on the NxCore connector. This is a hell of a decent data feed api Also got permission to publish the NxCore connector code- but it will need access to the local API before compiling, sorry. i dont distribute other peoples code and dll's.
* And finally I just got the first smaaaaaalll class covered 100% by unit tests. Another one on the way - the really nice thing is that I find obscure bugs with this. Nice. I start moving the core asemblies under full unit testing now because basicall I finalyl got code coverage reporting working in TFS and - they are so central I really dont want any bugs in them.

I would expect some updates to happen january.

@ NetTecture

Just a quick note to say I'd be happy to help. If your original intention to use .NET 4.0, SQL2008R2, Client/Server architecture, etc etc is still the case it will be an interesting project. FWIW you might consider making the server core Powershell-friendly. At the very least I can try to help with a Powershell add-in that can do things or check things (start stop services, enumerate client connections and subscriptions, basic connectivity checks, etc) so that no GUI is needed on the server.

I presume you would target WPF for any GUI requirements?

I might also be able to help with some SQL elements. I've got a SQL exam coming up so anything that is not related to the AdventureWorks db will be a welcome distraction . I presume the core db design is not something you want to open-source but some of the basic SQL connectivity might be?

I'm not a brilliant coder by any stretch, but feel free to call on me for whatever.

EDIT: Was playing around with the Ninja ATI via Powershell today...

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  #72 (permalink)
tradelink
Miami Beach FL USA
 
 
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regarding zen fire connector, I was able to obtain the example code but there appears to be missing a zenfire dll or two (or zenfire.interop)....

if somebody can make this available we can probably make available a demo connector for people to test.

please feel free to post on the users list if you can help out with either of these things :

tradelink-users | Google Groups

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  #73 (permalink)
 MXASJ 
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Pretty sure this is the latest .NET version. It's from the URLs I posted but not easy to find.

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  #74 (permalink)
 MXASJ 
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URL where the Zenfire DLL can be found is here:

ZenFire • View topic - Current Version: 1.0.13.0

I've asked the mods to delete the Zenfire DLLs attached to the post above in the interests of only allowing DLLs where the source code is provided to be posted on this site as per site policy.

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  #75 (permalink)
 MXASJ 
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traderwerks View Post
I did something a few years ago. The core was a small CEP engine that ran on Linux, and the UI / Control user interfaces was in WxWidgets connected with zeromq so the UI and execution were separate.

@ traderwerks... have you looked at zeromq since then? I've been poking around the .NET non-hardware messaging space for some enhanced messaging and pub-sub functionality and it looks like zeromq should be on the shortlist.

@ tradelink... this is a very cheeky question to ask but if you were starting out from scratch today would you do anything different on the messaging front?

I've had one of those weekends where I'm looking for solutions to problems I don't have yet as part of my continuing education.

EDIT: Let me spread the education love through links.

pub sub : https://en.wikipedia.org/wiki/Publish/subscribe
Observer Pattern: https://en.wikipedia.org/wiki/Observer_pattern
Design Patterns: https://en.wikipedia.org/wiki/Design_pattern_(computer_science)
MOM... Message Oriented Middleware: https://en.wikipedia.org/wiki/Message-oriented_middleware

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  #76 (permalink)
 bomberone1 
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I use also now this great open source project

EclipseTrader

this is great because works on windows,mac,linux both 32 and 64 bit.
Allow many many feuters.
I think that you could give your experience and contribute to it. Ir's all free.

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  #77 (permalink)
 NickA 
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bomberone1 View Post
I use also now this great open source project

EclipseTrader

this is great because works on windows,mac,linux both 32 and 64 bit.
Allow many many feuters.
I think that you could give your experience and contribute to it. Ir's all free.

I see you have multicharts listed as your platform of choice. What made you change? How does elipse compare to MC?

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  #78 (permalink)
 wh 
Neubrandenburg, Germany
 
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eclipsetrader looks nice:

what you need:

java api from your broker
a little bit java, xml knowledge

in the pfd you find a sample project with eclipsetrader

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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 bomberone1 
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I am not a programmer, so I don't know how to connect eclipse to interactivebrokers or to zenfire to send order. Thaht is the reason i change platform. I think that more people in this forum could do many things with eclipsetradee if they know how to program.

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  #80 (permalink)
 wh 
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Software Design of a (algo) trading system

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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 MXASJ 
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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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 MXASJ 
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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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 MXASJ 
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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)
 ThatManFromTexas 
Houston,Tx
 
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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)
tradelink
Miami Beach FL USA
 
 
Posts: 21 since Dec 2010
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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)
 Big Mike 
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Anyone know of a platform that supports CUDA or OpenCL for backtesting?

Mike

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  #87 (permalink)
 wh 
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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)
 Big Mike 
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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

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  #89 (permalink)
 wh 
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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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 sysot1t 
 
 
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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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 Big Mike 
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sysot1t View Post
yes, it is called matlab...

Yes of course, but Matlab isn't a trading platform as you know. But I guess its as good as we get right now.

Mike

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  #92 (permalink)
 sysot1t 
 
 
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Big Mike View Post
Yes of course, but Matlab isn't a trading platform as you know. But I guess its as good as we get right now.

Mike

trading platform would depends on definition, keep in mind you can tie matlab to IBKR API as well as CQG API... so it is all on what one would define as "platform" ... also, TradingSolutions from ND does support GPU's.. but at the end of the day, the question is what is the purpose? if you cant code or take advantage of the parallelism of GPU's.. what would you get out of it?

I find GPU's useful for finding opportunities in the misspricing of options that might generate arb opportunities... easy to go through a universe of options where you evaluate every single tick as an event to determine if there is still parity and if there isnt then an opportunity might be present.. or when trying to find opportunities when doing arb on ETF's that track a similar index but that are weighted differently... other than that, GPU's have no use or value to the regular/average retail trader...

so I am curious to know how you would use it, given that you are looking for a platform that supports it...

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  #93 (permalink)
 Big Mike 
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sysot1t View Post
so I am curious to know how you would use it, given that you are looking for a platform that supports it...

Mainly to play. I'm a trader, yes, but I'm also a geek who loves computer tech.

Would be fun to build a beast of a system with quad gpu's just to see some CUDA crunching for a backtest or optimization.

But your point is well taken, to make full use of such power you really need to know what you are doing. I really would need to learn Matlab and also finish building my personal SQL server tick database, two things that aren't likely to happen soon due to time If only I could build a quad gpu system to magically give me more hours in the day...

Back on track, I am sure a wrapper could be built inside MultiCharts PowerLanguage to call a DLL with C++ which then uses Matlab to run the CUDA crunching and return a small dataset back to MultiCharts so it could make use of it. But if you are in this deep, probably best to just bypass MultiCharts altogether.

Mike

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  #94 (permalink)
heretic
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sysot1t View Post
yes, it is called matlab...

sysot1t, I haven't used matlab for quite some time, could you expand upon what support it has incorporated for OpenCL? Searched a bit and found a commercial CUDA package called Jacket for Matlab, they also have a C/C++ library called LibJacket.

[too new, can't post link]

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  #95 (permalink)
 waverider 
Brisbane Australia
 
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This is probably the best place to post this question:

Does anyone have any experience with charts in Flex ? Are amCharts the best (most powerful / flexible) option? Or is there something better?

Any insights appreciated !

wave

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  #96 (permalink)
 wh 
Neubrandenburg, Germany
 
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waverider View Post
This is probably the best place to post this question:

Does anyone have any experience with charts in Flex ? Are amCharts the best (most powerful / flexible) option? Or is there something better?

Any insights appreciated !

wave

"open flash chart", but amCharts has fine stuff ...

Overview | Open Flash Chart is a highly customisable open source (LGPL) flash charting tool.

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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lurker
New Delhi, India
 
 
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Traderlink, just using this thread to thank you. I landed on your website searching for a solution to connect Amibroker with Sterling API. I'm yet to implement that, but from the looks of it you are doing a great job!

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  #98 (permalink)
 olevkat 
Thailand
 
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Does this opensource platform have:

1/ volume charting capability with Interactivebrokers datafeed?
2/ Gom volume ladder type feature to parse the bid ask volume spread using above data feed

High data granulity is not the paramount requirement. If the above is not available, how do we go about implementing a rough and dirty of the above in C#

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 NickA 
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olevkat View Post
Does this opensource platform have:

1/ volume charting capability with Interactivebrokers datafeed?
2/ Gom volume ladder type feature to parse the bid ask volume spread using above data feed

High data granulity is not the paramount requirement. If the above is not available, how do we go about implementing a rough and dirty of the above in C#

The thing is high data granularity is a requirement to implement a footprint chart (ladder), it will just be a work of fiction otherwise. It would be like constructing a 1 minute chart from hourly data!

Because IB have always published there API there are a ton of projects to help you get going, if you are prepared to use J# that might be a better bet as it is how IB support .net I am told.

I think you might have mis judged what the thread is about there is not one specific "this open source platform" though a couple of potential candidates where mentioned. Finally the idea nevere really germinated ( hardly surprisingly) last activity was nearly a year ago.

Edit: Having said that it would be good to resurrect as a place where people could post about open source projects they come across.

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tradelink
Miami Beach FL USA
 
 
Posts: 21 since Dec 2010
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Quoting 
Does this opensource platform have:

1/ volume charting capability with Interactivebrokers datafeed?
2/ Gom volume ladder type feature to parse the bid ask volume spread using above data feed


1. yes for IB. yes for volume-interval bars. yes for charting. volume bars can't presently be charted although this is easy to add (few lines of code). charting for volumes in a given bar isn't supported, this is fairly easy to add (probably 10-30 lines of code).

2. not familiar with GOM volume ladder, although people have built many different custom bar types and indicators in tradelink so you may want to ask on the mailing list. tradelink-users | Google Groups

there are also 100+ technical indicators built in with a gui for strategy building, so there may be something close to what you're wanting already.

tradelink - 100% open source since 2008... 23,000+ installs across 10+ countries. - Google Project Hosting

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