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Fatrat - I see you started your own thread on ATS framework development! Congratulations and good luck with that. I look forward to reading it and seeing the system unfold. This is great. The more discussions that take place on this topic, the more ideas are bound to come out.

The point with respect to information/data sources in your first post was lost on me. Now I see what you are getting at. Why are we doing this? That's a good question to start this thread off. Developing custom software gives the developer/owner of the software unprecedented levels of...

Actually fatrat, the intention of the thread was to discuss software architecture for ATS frameworks rather than strategy implementations or the trading logic of an ATS. I can't help you with the specific question you posted. Perhaps others can! On the topic of software architecture, I...

Hopefully I've sucked you in with the pretentious thread title. What I'd like to do here is discuss ATS system architecture best practices. To be clear, I'm talking about custom software built from scratch rather than systems coded up in Tradestation or Amibroker etc. In other words, I'm...

FWIW, Valdis is the producer of said QuantDeveloper software. The documentation linked to mentioned that reflection was avoided. What framework/languages do you think ARE appropriate for the absolute lowest level components of a trading system?

I've heard good things about www.tenfore.com data quality and price.

Any suggestions for optimal file system arrangements? When you say compressing historical data do you mean compressing ticks into bars for example or do you mean zip style data compression?

Thats interesting. Any idea on pricing? Anyone familiar with these products.Pros/cons/pricing? : http://www.data.sungard.com/infrastructure/fame/ http://www.skylertech.com/product/

I think I see where you're going with this. I didn't realize you were affiliated with QD. It seems you are considering a separate, perhaps cutdown version of QD specifically for the retail market. Not a bad idea.

SmartQuant supports FIX via QuickFIX. There doesn't seem to be anything precluding the addition of other adapters to support required feeds. What software do you use and with which feeds?

RE has said pricing will be in the range of $600 one time fee (plus free upgrades for a period?) Market is starting to get a little crowded: Amibroker $229 professional Wealthlab - I forget the price. TraderStudio - ditto Neoticker: circa $1200 for realtime? QuantDeveloper used to be...

Just be aware that under the hood, QD is significantly more sophisticated than RE. RE is a much more straightforward laser focused product.To make comparisons between the two doesn't really make much sense. If RE meets your needs though, you don't need to worry about it!

Yeah, I was going to say if it operates on 500 symbols then doing so by hand is not necessarily feasible! No matter. Squeeze has made his point with respect to data feed quality requirements. I get the impression that he would not under any circumstances undertake building an ATS with any...

You're perhaps making assumptions with respect to time frames used for the ATS. A strategy that operates on EOD data doesn't require a $2-3K/month data feed. Furthermore, one can make the assertion that if the data feed is good enough for manual trading, then it is good enough for replicating...

Huh? These are the only two sentences that don't make any sense. It's fairly old news (2003) but still fun nevertheless: http://www.mrc-cbu.cam.ac.uk/~mattd/Cmabrigde/ Online text jumbler: http://www.stevesachs.com/jumbler.cgi

What you envisage is a completely different proposition. JSystemTrader is a very lightweight and simple system. You are proposing a much more sophisticated and heavy weight architecture. One that is mutually exclusive with JSystemTrader. Perhaps you have some experience in this area. If...

If you read the threads at IB you'll notice this suggestion has come up before. Nonlinear has indicated that he would be happy to be a contributor to such a project. However, it requires someone to set up the project and deal with ongoing administration. Sourceforge is just a place for...

I've never written C# code before so this is most likely not best practice code (I've used an ArrayList which is probably superceded by some generics collection) and it is very rough and ready. There is no validation of input data. Anyway, it works and is something to start with: private...

Did you follow my suggestions? I don't think you did. Can you even code in C#? I'll make it really easy for you: 1) Got to Yahoo! Finance by typing in your browser: http://finance.yahoo.com 2) In the "Get Quotes" input box, enter the symbol of the stock you are interested in e.g. MSFT...

Have you tried Google? There are dozens of tools for downloading data from Yahoo! Finance. If you want to program something yourself then you'll need to have at least basic C# programming skills, specifically networking and file IO, as that is all it really boils down to. Firstly, you need...