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A moment aside from seriousness: I *fucking love* CTime and CTimeSpan classes from Microsoft's ATL library. They make my life so incredibly easy.

After some thoughts on the matter, I've decided to isolate strategies and models from the core application of the Incisor Trading Engine. The primary reason? Because a crash in one model should not affect another model. While there is some performance gain to be had from having code execute...

To implement and backtest ideas and work with time in an easier fashion [and to avoid E-Signal APIs], I wrote a DLL that helps me pull information from E-Signal and populate a database with it. The intention of this code, however crappy it may be, is to help me implement Don's Openings and...

First pass is going to be compiled in. Second pass will likely be DLLs. I have some ideas for this. I can add support for things like COM, Python, .NET, etc. The application is written as an ATL .EXE, so it can register itself as a COM server. COM has performance issues though with...

Frosty, plot a volatility measure alongside your equity curve and see the results. The volatility indicator will trail market data and your periods of weak performance if there's a connection between weak performance and volatility. The past few days have been more volatile than a good bit of...

I will be focusing on the strategy scheduler tonight instead of the GUI aspect of this project. I think the GUI is good enough to organize what I need to know for the time being, so now it's critical to report signal information as well as trade information. I'll return to the GUI later...

Rough version of product manager in place. Not the most elegant looking thing, but makes it easy to index and move to the product in question and request that that product's strategy gain control of the reporting interface. <img src="http://www.losingtrader.com/images/incisor2.jpg"> The...

Think of it like an operating system that manages state and consider ticks as hardware interrupts. With regard to the loop design, one of the problems is that any computational models that execute inline with the loop will results in a compute-time based latency before the next tick/packet...

I think all the low-cost third party products are useless because they focused too much on the non-technical user. The generality hurts people. The high-cost products worth using are, well, high-cost. Plus, we probably both have more time than money. There's very few people here on ET...

I'd say the biggest reason I'm doing it is because it's very clunky to get information from other frameworks into C++ code to analyze information, and the cost for the better packages for minor features doesn't seem like it's worth it. Take e-Signal for example. Dealing with time in their...

I wrote some components tonight to assist me in managing the products managed by the trading system. While the intention is to manage the trading of NTAP, I added code to dynamically subscribe and unsubscribe from multiple data-streams based on user input. This in itself was not difficult...

I haven't decided yet, because I don't intend to make a profit from this framework aside from trading. Open source is definitely a possibility, but if I go that route I will likely bring aboard a small pool of developers to look over the code, inspect it, and make sure it's reasonable before...

1) First, let me point out that C++ is not the end-all, be-all of my trading framework. C++ makes it especially easy to write COM/DCOM objects, so wiring my software for distributed use, free-threading models, and connecting it to C# and .NET can be especially easy. I don't think C++...

I love this thread. Perhaps consider getting a blog with an RSS feed, Frosty. I would enjoy such a thing, because then I could read your words much more quickly without having to search through ET's interface. A fan, -FatRat

Care to comment on styles used? I'm looking for my edge right now, and have been reading everything from technical analysis to all kinds of strange product pricing models. I'd like to start with simple and scale.

When you looked at your results, were you concerned that your results started to level off over time? dProfit/dTime on the equity curve with high frequency noise removed looked like it was leveling off. Is that a concern? Wouldn't you want a positive slope in terms of the near-term results?

The reason I posted that information is simply this: How much information does an ATS need from the usual market sources to be successful? We know that the AMIBroker/Tradestation users have access to all the features of their respective languages, but what of those features are they actually...

I think, for the benefit of myself and others, I'm going to detail the development of a trading system from scratch in C++. I've only been working on implementing a blackbox for Genesis only recently. My past experience was as a contractor writing software to manage and distribute quote data...

I approve of the spirit of this thread, as I am involved in such an endeavor myself. As for my technology, I use C++ (ATL/COM), SQL Server 2005, and Genesis as my broker. Right now, my primary problem with my intraday trading system is that while I'm recording NASDAQ Level1 and Level2...

I'm just curious whether any of you know of any decent reading material on automated intraday trading strategies. Seems like most of the information passed along is by word of mouth and through experimenting. Have any authors genuinely touched the topic of automated scalping and not as a...