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4. Optimization (Part 2) The problem with the approach described is that it doesn't necessarily work in different languages. More specifically, I'm not sure it will work at all in scripting engines that I want to support (more on that later) So, the alternative approach is to define a...

4. Optimization There are a couple of approaches I can think of to take for optimization. One is perhaps more OO than the other. I'll start with the approach that is probably the easiest for an end-user but has potential cross-language issues. Java annotations. With Java annotations you...

3. Access to OrderManager and PositionManager The most logical thing to do would be for Strategy to provide references to these two objects to SignalGenerator when it is being constructed. Then from within any method in the SignalGenerator implementation they can be accessed as member...

Thanks for that. I will read more docs. Unfortunately, QuantDeveloper is not open source so I can't examine the implementation and make contributions to it. I didn't see anything about portfolio level backtesting when I scanned the docs you referred me to earlier but I may have missed it. At...

I'll start out of sequence with the Event Handlers. 2. Event Handlers These are the hooks that get invoked when certain events happen in the system. The developer of a strategy can use these hooks to make trading decisions. As per my earlier post, it would be nice if the strategy was...

OK, back to the Strategy class and associated issues. To recap: Strategy is configured and instantiated based on an XML configuration file. The configuration has information specifying details such as market data source and broker to use. Crucially, it also specifies a SignalGenerator class...

Yes, I think that is the way I see it. There is a one-to-one mapping between Strategy and Position Manager. The Position Manager manages the positions for a Strategy. Strategies can be multi-instrument and therefore there can be positions for more than one Instrument in the Position Manager...

Feel free to steal/borrow ideas generated from the following thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=81666 Any contributions you have to make are also welcome. I will be covering various objects that collectively will constitute an ATS framework (supporting...

Zooming out for a moment to look at the bigger picture, here is a higher level overview. The system is based on the following premise: "Any strategy decision making logic needs to either be notified of information or be able to interrogate for information to the same level of detail (or...

Tell me about it! Looks like you are making excellent progress nonetheless.

Good question. The answer is: it's probably not wise at all. However, what I had in mind is a situation where you could run a strategy in "live mode" but it is actually executing against a paper trading account at the broker and is operating in real-time. For example, Interactive Brokers have a...

Okay, so far so good. Let's walk through this basic Strategy class: It has a static factory method getInstance() which is responsible for creating a fully configured Strategy object/instance. A mock XML file e.g. : <?xml version="1.0" encoding="UTF-8"?> <mojo-strategy...

As I alluded to in the previous post, the Strategy configuration may end up being quite complex. It is quite possible that it will be one of the largest classes in the framework. As such, I expect to re-visit the class definition for Strategy multiple times to iterate and refine. Here are...

I envisage desribing the configuration of a strategy declaritively perhaps in an XML file. This has a few benefits; the main one being that black box strategies can be distributed but still allow parameters to be easily adjusted by the end user via the metadata for the strategy in the XML file...

Assuming the provider subsystem deals with input/output with the external world I'd like now to focus on what is done with the incoming market data and what is generated from it i.e. the real black box part of an ATS and how it might be structured for re-use, backtesting, optimization etc...

I have obviously omitted an interface for Historical Data providers in the UML above. Whilst I'm working away on the specifics of the provider subsystem, I'd like to move on to some higher level stuff for discussion.

Yes. You can have multiple API clients connected to TWS at the same time.

Not sure if this is what you mean, but Pairs Trading goes into some details on this matter: http://www.amazon.com/Pairs-Trading-Quantitative-Analysis-Hardcover/dp/0471460672/

Looks pretty neat so far. The default namespace for the web service needs to be updated though. The service details: http://freemarketdata.net/service.asmx The WSDL: http://freemarketdata.net/service.asmx?WSDL For RUBY, it would be interesting to see if you can get it to work...

I just dropped a DataGridView component from the toolbox on the form and gave it a name (resultsGrid). No initialization or headers required. The only code I added to the form is the code in my earlier post. I did this in Visual C# community edition. My first piece of C# code ever...you've...