I’m not leaving behind the work on my algo trading software, but in long developement like this (more than one year from the idea, the first draft, the validation with a senior lecturer of a top University, to the ATS itself). I need to change the “thinking focus” to give a pause to my brain. In the meantime I’ve played with artifical intelligence stuff like “program-o” to create a Chatbot Widget for Wordpress (right on the sidebar). I like to use Photoshop and to code in old-style with Ubuntu. Right now, I’m finishing to code an Artificial Blogger program in c#. It is an alive A.I. “thing” who can create Blog articles and send intelligent comments on other Blogs.
Last week-end the “thing” created 16 artificial Blogs about various subjects, the first Blog was unreadable, full of uncoordinated nouns, verbs, adjectives and adverbs but the last one based on the Tennis players subject was acceptable. Okay that’s easy because if you read lot of sport players interviews, it is always the same small set of sentences … I came to the conclustion that the artificial blogger thinking level was almost like a Tennis player.
Have you ever heard Andy Roddick produce a complex sentence ?
If you are not a Quant, you don’t know for sure, it is a well kept secret. The main Mathematical tool used by Quants is the Average … Like with potatoes, they do all sorts of recipes with “Averages” : Moving Average (MA) or Exponential Moving Average (EMA) … Yes you can be a very well paid Quant and doing only additions and divisions. Hush Hush… this is more secret than the banking system of Swizerland.
This curve is the first one produced backtesting 2008 with the recognition algorithm. The gain is in PIP and does not depend on the initial amount or on the leverage effect. Maybe I should normalize the input tick data to have a better result.
“Idle, Long, Short, Wait for Enter, Wait for Exit” are the five states of an algorithmic trading software. I’ve modified the code structure to be able to accept any kind of strategies in a plugin form. I can plug or unplug a strategy at anytime without stopping the main program. The concept of software “hotplug” is very important when you deal with Real Time Market Data. The next step is to add Dynamic Intruments to the strategies.
Nothing is faster than memory access, don’t let too young programmers or IT company managers selling their stuff say that some database is faster with a blah blah blah algorithm. Right now you can buy a motherboard with 12 Gigabytes for a reasonable price. Load the quotes into a memory array, put it into a hash table, a c# Directory, a c++ Map and “Voila” you have the fastest database in the world. Oracle and Sybase should be dead at this time …
- Is there any reason for still having a database rather than playing with memory access?
- Hummm… Yes, I see only two reasons : the data formatting and the SQL querying!
When you receive data on a file, on an IP socket, on satellite dvb channel … you never have the same dump format. At this point you have plenty of “Commercial off-the-shelf”, ready-made products for database integration. And then you can use the SQL to do your well paid job.
It is a simple question of programming a pruning and formatting tool … so I’m proud to present “prune.exe” the “Swiss-Army-Knife” for huge data dumps. With this very little tool (programmed on the Kernighan & Richie way of life) I’m albe to adapt any file to the internal format my algo testing need…
Of course, in Algorithmic trading, you only need data for testing …
Once you’ve learned enough about trading systems to pick one that you like, the most important thing you can do to deepen your belief in the system is to back-test it against various sets of historical data for various markets.
If you do a good job of testing, (press a button and go to sleep) so that you know that your system is strong and robust enough to survive (and be profitable) in a wide variety of past market situations (credit-crunch for example), then you will have more belief in it’s behavior and abilities in future markets, during Fu*$#*g horrendous and probable draw downs.
Make money, get the right girl! Forex is sex! This is the substance of the Forex message. The money culture is not dedicated to children future but for instant satisfaction and earth devastation. Our children will eat our crumbs.
No need to be a visionary to understand that the Internet has changed the methods for trading the Forex. But what do we need to build from scratch a new and successful algorithmic trading software ?
You don’t need an expensive software architecture with powerful servers and very large bandwidth. No, you don’t need heavy architecture if you have the good algorithm (the one that nobody have and everybody want).
Of course if everybody was using the same algorithm, the problem will obviously be a question of power and speed. This is a validation of the expression : ideas are more powerful than the (brute) power.
The software architecture is not very easy to choose, Java is a good cross-platform development system, it can run everywhere and C# .net can also run either under windows, macos-x and linux with mono. Finally, the two choices are good, but you have to choose one. The element making a difference is the DotNet platform. Imagine you need to update a chart in real time for making a dashboard for Trading-Robot supervision. Integrating Reverse-Ajax with DotNet is really easy and it should be possible to code a robot directly in a website in C# without the needs of an expensive dedicated host.
We have choosen C# with the DotNet framework 3.5 and Ubuntu for the dedicated server used to log the quotes en real-time. For the database we choose MySql, simple, lightweight and also cross-platform.
Finally, the choice is not a problem if you know the different languages and frameworks, it is a question of feeling.
The real problem is inside the architecture … the code of the ATS itself!
This is the end of the research and development … and welcome to my first post!
I’m just finishing a new (another one) algorithmic Forex trading system. But this one is not based on any existing financial standards but on a mysterious speech recognition technique. Beleave me or not: it works fine. Impossible for me to say more, I just can say “It works” on “dead” and “live” real-time forex data streams. For the moment I got a demo-account, and I will start with a real money account next week.