Choosing software package for testing and running an ATS

H

hrokling

I'm a discretionary trader, but want to set up a system to trade US stocks. I've got a very clear idea of the system, but I'm kind of uncertain of what software package to choose for both creating and testing, but not least actually running the system.

I'm currently looking into the German system TradeSignal, which looks very good actually, but unfortunately has limited info available in English (no manual translated yet, no English forums - which would basicly leave me with "normal" customer support).

I'm pretty certain that Neoticker would be a good option, but it might be a bit on the expensive side (cost isn't really a problem though).

I doubt Tradestation could do it, at least the backtesting on a portfolio part would be a big hassle there. Also, starting with a big Stock Universe every day, then narrowing it according to criterias could be a bit much for TS8. Wealth Lab Developer has portfolio testing, but I'm actually a bit worried it might be too slow to handle it all.

Anyway here's more info on the system (cut down in detail):

STOCK UNIVERSE
Probably in the range of 2000-3000 symbols (US). The criteria is average daily volume should be more than 5m USD. Preferably the system should be able to update the list of stocks within this criteria by itself - this isn't important however, as it could be done manually once in a while.

The following filters then apply for choosing trading candidates:
OPEN PRICE up so and so much
FIRST 30-MIN LOW - relative to yesterday's close
TODAYS VOLUME

After using these filters the number of stocks to follow for the rest of the day should be significantly reduced, making it possible to watch the LAST price for the symbols for the rest of the day.

Then entry criterias follow of course, along with exits, stoploss, profit targets, money management etc etc.

Of course I'm looking to tweak parameters a bit, but I expect it to generate 1-3 positions per day on average.

I'm absolutely not interested in creating stuff in C#, Visual Basic etc - I'd like a complete system to just leave unattended. As well, I'm planning to hire someone to help me out with setting it up.

I'm very curious to hear what you have to say about my plans, and what software package you think could be suitable. I will follow up with how this all moves ahead.
 
Here's a small update on my progress during this week:

Tradestation is out of the question.

TradeSignal is still in the running, waiting for them to get back to me with a cost estimate as well as whether it's doable or not.

Wealth-Lab Developer - I took a look at it again, and it should definitely be doable. I'll look a bit more into it.

QuantDeveloper / SmartQuant: Having written it off as nerd-stuff for the guys doing high-frequency arbs etc I was very pleasantly suprised when I looked more at it. It has way more features than I need, and is relatively expensive compared to other options. However, this probably has more long-term potential if I want to add more strategies and then do portfolio risk management etc.

I have a feeling so far that using Neoticker would be more work than QD to get it up and running.

I'll write more as this moves forward.
 
I've looked at the Amibroker site several times, and my impression is that this has to be one of the software/strategy building software packages that offer the best value for money. It can do a proper portfolio backtest, although I'm not sure how it fares on the position sizing/money management part of it. As for running a live deployment of the strategy I outlined in my first post, I just hope it won't continously try to check the whole stock universe of thousands of symbols throughout the day. I'll try to send an email to AFLWriting.com and see both whether it's doable and how much it would cost to get it written.

One software package I forgot to mention is Investor/RT which looks like a fantastic piece of software for "normal" trading and charting. However, I see the brute force optimizing of strategies they have included as a warning sign, so for more advanced strategy development I think I'll look elsewhere. But they have some very very neat things built in for sure. Should create a better layout for their webpage though :)
 
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