Best Broker for Automated Trading

[RedRat]

Quote from heech:

I haven't used TT, yet. The startup costs made it a little less interesting for me (~$300-$500/month for FIX gateway access), although it seems like a quality platform. TT is also still not compatible with ICE/NYBOT products (on Ninja), which restricts it from my point of view.

Hi,

I trade through Velocity, it uses TT. I use FIX protocol and I only pay commission for contracts volume, there is no fee for using FIX gateway access. I trade Russell2000 futures which is traded on ICE, so there is no difficulty with ICE products.

Ninja also operates through FIX protocol when you use it with TT. You can look into FIX logs in your "documents & settings". The only thing is required is SecurityID FIX tag which specifies exact contract. While I do not trade other ICE products.

I tried previous versions of Ninja and it displayed prices for Russell2000 fine. But Ninja also needs to update this SecurityID tag. And after December futures expired, Ninja was not compatible because there were no SecurityID for March contract.

Best regards,
RR

 

[endsongs]

You forgot Tradestation in your list.

 

[heech]

Quote from RedRat:

Hi,

I trade through Velocity, it uses TT. I use FIX protocol and I only pay commission for contracts volume, there is no fee for using FIX gateway access. I trade Russell2000 futures which is traded on ICE, so there is no difficulty with ICE products.

I assume this is IB/broker-specific. If Velocity has numerous users on their TT FIX gateway, they just eat the cost instead of passing it on as a platform fee. For whatever reason, both MF Global and Advantage wanted to pass that explicit cost on to me. Sounds like that's a good reason to go with Velocity.

As far as ICE goes, I'm referring to ICE softs (former NYBOT products): orange juice, cotton, etc. AFAIK, Ninja is still not compatible.

 

[abattia]

Quote from endsongs:

You forgot Tradestation in your list.

Thanks endsongs, that's a good point. I don't know why TS is not listed among the integration options for NinjaTrader (which is where I got my initial list from). I wonder if there are any other broker technology options for NinjaTrader omitted from the list?

Endsong, if you autotrade and use TS's broker technology, what is your view of it's reliability for autotrading?

 

[RedRat]

Quote from heech:

I assume this is IB/broker-specific. If Velocity has numerous users on their TT FIX gateway, they just eat the cost instead of passing it on as a platform fee. For whatever reason, both MF Global and Advantage wanted to pass that explicit cost on to me. Sounds like that's a good reason to go with Velocity.

As far as ICE goes, I'm referring to ICE softs (former NYBOT products): orange juice, cotton, etc. AFAIK, Ninja is still not compatible.

IB supports FIX but AFAIK it costs $500 one-time setup and $100 / monthly fee. No 300-500 definitely. I do not know about other brokers.

If you use FIX why do you need Ninja? You can use FIX protocol to develop your black box or I am quite sure you can find trading terminal which supports FIX. Have a look at OpenQuant.

As for ICE products, ICE has tech support. I wrote them email and they responded with the SecurityID I needed for March contract. I think you also need SecurityID to identify other ICE products.

 

[heech]

Quote from RedRat:

If you use FIX why do you need Ninja? You can use FIX protocol to develop your black box or I am quite sure you can find trading terminal which supports FIX. Have a look at OpenQuant.

My code as currently written uses Ninja's trading API. Yes, I could (and probably will) port over to use QuickFIX one of these days, but it's not a priority.

As you yourself said, Ninja's link to TT is via FIX, that's why the TT FIX gateway is necessary.

As for ICE products, ICE has tech support. I wrote them email and they responded with the SecurityID I needed for March contract. I think you also need SecurityID to identify other ICE products.

ICE support really plays no role here. I've talked to both TT and Ninja's CEO extensively on this issue. The interface for NYBOT over TT is different from all other exchanges over TT, period.

 

[RedRat]

ICE support really plays no role here. I've talked to both TT and Ninja's CEO extensively on this issue. The interface for NYBOT over TT is different from all other exchanges over TT, period.

The interface is FIX. TT has specific adapter for ICE, but then you connect to TT via standard FIX. And previous version of Ninja supported December Russell2000 contract. So it should be possible, speak with Ninja' tech support.

 

[heech]

Quote from RedRat:

The interface is FIX. TT has specific adapter for ICE, but then you connect to TT via standard FIX. And previous version of Ninja supported December Russell2000 contract. So it should be possible, speak with Ninja' tech support.

I don't need to speak with Ninja's tech support. I've been corresponding with Ray, Ninja's CEO, multiple times on this issue over the last 12 months.

Ray, in explaining to me the difficulty so far, told me that he personally coded the support for the Russell2000 contract... and that TF is the *only* ICE contract supported over Ninja + TT. And so, he knows exactly the difficulty involved in generalizing to all ICE_IPE contracts. It's on his to-do list, but it simply doesn't exist right onw.

 

[RedRat]

Quote from heech:

I don't need to speak with Ninja's tech support. I've been corresponding with Ray, Ninja's CEO, multiple times on this issue over the last 12 months.

Ray, in explaining to me the difficulty so far, told me that he personally coded the support for the Russell2000 contract... and that TF is the *only* ICE contract supported over Ninja + TT. And so, he knows exactly the difficulty involved in generalizing to all ICE_IPE contracts. It's on his to-do list, but it simply doesn't exist right onw.

Hi Heech,

Today I did rollover to the June Russell2000 contract. I found that I do not need SecurityID at all! I just supply new MaturityMonthYear and I receive prices.

But I was not able to receive prices via Ninja. I compared outgoing FIX messages and found the only difference is I sent

207=ICE_IPE↨
and Ninja sent 207=↨262=5↨
(where ↨ is the 0x01 hex)
which means Ninja does not send ICE_IPE at all, this is definitely an error.


I agree there are "too many difficulties" to support ICE products. We need to send one more tag.

Which other products on ICE do you need? I was not able to get quotes for Brent, Sugar 11 and WTI. I contacted ICE support and I hope they will help me.

Best regards,
RR

 

[abattia]

Quote from heech:

I used TDA for quite some time. Worked well for me, no real complaints. There were a few quirks in terms of the broker adapter with Ninja, so you do have to be "careful" in handling events.

Heech,

Apologies for not picking up on this earlier, but could you please provide some more detail on the "event handling quirks" of TDA?

Also, as you didn't mention daily server reboots with TDA, am I right in assuming this wasn't a problem?

Many thanks
abattia