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Comparison of auto trading platforms
- Thread starter rdencpa
- Start date
I got the following answer from SQ within a day of my email to them:
Hi Richard,
1) It is not possible to reconnect to IB TWS automatically when IB TWS restarts, so EODSA is not possible.
2) If you don't need to reconnect to your brocker to switch accounts, then the answer is yes. For IB we support both basic account and FA.
3) You can run only one instance on the same machine. Each instance can trade on multiple accounts.
4), 5) With the OpenQuant 2.0 Beta, which final release is coming soon, you can run 10 systems within one instance, it requires 1 license. All 10 systems can use the same account. There is no way to synchronize with a brocker after reconnect/restart automatically.
6) Yes
7) Yes
8) No, you don't need to restart OpenQuant.
9) I am not sure that I understand what you mean. Could please provide more details of your question?
10) You can always get current porfolio value, open position list and other statistics. If you need to filter out some signals you should do it in your strategy logic, we don't have a build-in mechanism.
11) We support Market, Limit, Stop, StopLimit and TrailingStop orders. Though it is possible to set a reminder and send a limit order for example at market open (and cancel it if it doesn't get filled after a few seconds)
12) Yes.
13) Yes.
14) No. There is no such a feature in the current version.
15) It is possible to react on connection lost in your strategy by overriding OnError handler. So, it is possible to disable any action of a strategy after X seconds after disconnect in your strategy logic.
16) Support is usually available from 7:00 to 17:00 GMT time. Unfortunately phone support is not available.
17) Yes, in theory. Since you can use any .Net dlls in a strategy code, you can subscribe to your custom signals source and create/send orders as soon as you receive a signal.
Regards,
Sergey.
----- Original Message -----
From: Richard Denning
To: openquant@smartquant.com
Sent: Monday, December 24, 2007 3:34 AM
Subject: Questions re features of your newly released product
I am currently using Tradestation for my system automation and I have learned that there are many limitations. I reviewed your list of features and I have eliminated from my question list the features that I found listed for your software. Could you please answer the remaining questions below with some detail and caveats where appropriate. I will also start a 30 day trial shortly. My main broker is IB and I see that you support IB.
Thank you - Richard Denning
--------------------------------------------------------------------------------
1) Can SmartQuant (SQ) handle end of day system automation (EODSA) as well as intraday? Since I have multiple systems with a wide variety of time frames, I need to be able to manage not only intraday automation but also multi-day systems. Tradestation has a problem whenever there is a disconnect-it doesn't know what to do with open positions when it reconnects it also doesn't know what to do with existing open orders. This should be a feature that can be turned on and would automatically take care of this situation. Tradestation has a problem and must be closed and reopened once per day as does the IB TWS. Since IB TWS must be shut down once per day then reopened, if SQ supports EODSA, can it deal with this disconnect/reconnect that must happen once per day without a lot of manual intervention?
2) Can SQ handle trading multiple accounts from one instance of the automation software? Can the signals from one system be sent to multiple accounts each with a different position size?
3) Can SQ trade multiple accounts from multiple instances of the automation software on one or more computers. Can the software have multiple instances running on the same computer?
4) Does the SQ license allow running the software on more than one computer at the same time? If so how many? How many licenses would I need to automate 10 systems? On the same computer? If only one instance of the software can run on one computer, would I need 10 computers and 10 licenses to automate 10 different systems?
5) Can SQ trade multiple systems from one instance of software on one computer into one account? To do this, the software must tag positions so that it can identify which positions belong to which systems. Also with the tag in place, it could deal with disconnects, re-connects and be able to handle all automatically. If this is not possible then there would have to be a brokerage account opened for each system that is automated. Is this the way it would have to be done?
6) Can trades be tracked by system for historical performance review? It should retain all trades into a database for comparison to simulation and for further analysis.
7) Can SQ use one data feed for real time data, such as e-signal, but place trades at IB where the data subscription has been turned off?
8) For 24 hour Forex trading, does the software need to be restarted once per day? Can this process be automated?
9) Can SQ handle differences between strategy filled orders and unfilled real orders automatically? Or as with Tradestation, does this need to be done manually?
10) In simulation & real mode, is portfolio level testing/trading possible? Can a system applied to multiple markets that generates more positions than desired be limited by various means such as maximum risk for the portfolio or capital that has been allocated to the system? Tradestation does not support portfolio level testing/trading or capital limitations for a portfolio as charts cannot communicate between themselves. If so does this apply to all time frames? If 10 trades are all generated at the same time for 10 different markets on the same system but only 2 can be taken due to capital or other limitations, can a sort algorithm be applied to the signals to then choose the top two and only the top two?
11) For end of day systems, trades for next day market on open, limit on open, stop limit, etc. should be able to be placed before the market opens or at any time specified in the code. Can SQ send these type of orders to IB? Tradestation cannot place market on open orders or even limit on open, only plain limit orders or stop orders via automated code. Can SQ handle OCO & OSO orders? Can it handle sending a new order if limit on open order not filled?
12) Can SQ manage GTC orders or at least continuously place new day orders each day for EOD systems.
13) Can SQ manage the option of trading during off hours with different order types than regular trading hours?
14) Can SQ support basket trading and basket orders by calling a basket name which would send a group of buy/sell orders? IB has special features for this.
15) Is the technology used to maintain the connection to the broker and the data feed reliable and able to automatically handle internet disconnects? Short term ones that last a few seconds should be handled automatically and long term disconnect should set off all kinds of alarms.
16) What is the support for the product, hours available? Is phone support available?
17) Can software take signals from Tradestation or other software and send them to IB or other brokers?
Hi Richard,
1) It is not possible to reconnect to IB TWS automatically when IB TWS restarts, so EODSA is not possible.
2) If you don't need to reconnect to your brocker to switch accounts, then the answer is yes. For IB we support both basic account and FA.
3) You can run only one instance on the same machine. Each instance can trade on multiple accounts.
4), 5) With the OpenQuant 2.0 Beta, which final release is coming soon, you can run 10 systems within one instance, it requires 1 license. All 10 systems can use the same account. There is no way to synchronize with a brocker after reconnect/restart automatically.
6) Yes
7) Yes
8) No, you don't need to restart OpenQuant.
9) I am not sure that I understand what you mean. Could please provide more details of your question?
10) You can always get current porfolio value, open position list and other statistics. If you need to filter out some signals you should do it in your strategy logic, we don't have a build-in mechanism.
11) We support Market, Limit, Stop, StopLimit and TrailingStop orders. Though it is possible to set a reminder and send a limit order for example at market open (and cancel it if it doesn't get filled after a few seconds)
12) Yes.
13) Yes.
14) No. There is no such a feature in the current version.
15) It is possible to react on connection lost in your strategy by overriding OnError handler. So, it is possible to disable any action of a strategy after X seconds after disconnect in your strategy logic.
16) Support is usually available from 7:00 to 17:00 GMT time. Unfortunately phone support is not available.
17) Yes, in theory. Since you can use any .Net dlls in a strategy code, you can subscribe to your custom signals source and create/send orders as soon as you receive a signal.
Regards,
Sergey.
----- Original Message -----
From: Richard Denning
To: openquant@smartquant.com
Sent: Monday, December 24, 2007 3:34 AM
Subject: Questions re features of your newly released product
I am currently using Tradestation for my system automation and I have learned that there are many limitations. I reviewed your list of features and I have eliminated from my question list the features that I found listed for your software. Could you please answer the remaining questions below with some detail and caveats where appropriate. I will also start a 30 day trial shortly. My main broker is IB and I see that you support IB.
Thank you - Richard Denning
--------------------------------------------------------------------------------
1) Can SmartQuant (SQ) handle end of day system automation (EODSA) as well as intraday? Since I have multiple systems with a wide variety of time frames, I need to be able to manage not only intraday automation but also multi-day systems. Tradestation has a problem whenever there is a disconnect-it doesn't know what to do with open positions when it reconnects it also doesn't know what to do with existing open orders. This should be a feature that can be turned on and would automatically take care of this situation. Tradestation has a problem and must be closed and reopened once per day as does the IB TWS. Since IB TWS must be shut down once per day then reopened, if SQ supports EODSA, can it deal with this disconnect/reconnect that must happen once per day without a lot of manual intervention?
2) Can SQ handle trading multiple accounts from one instance of the automation software? Can the signals from one system be sent to multiple accounts each with a different position size?
3) Can SQ trade multiple accounts from multiple instances of the automation software on one or more computers. Can the software have multiple instances running on the same computer?
4) Does the SQ license allow running the software on more than one computer at the same time? If so how many? How many licenses would I need to automate 10 systems? On the same computer? If only one instance of the software can run on one computer, would I need 10 computers and 10 licenses to automate 10 different systems?
5) Can SQ trade multiple systems from one instance of software on one computer into one account? To do this, the software must tag positions so that it can identify which positions belong to which systems. Also with the tag in place, it could deal with disconnects, re-connects and be able to handle all automatically. If this is not possible then there would have to be a brokerage account opened for each system that is automated. Is this the way it would have to be done?
6) Can trades be tracked by system for historical performance review? It should retain all trades into a database for comparison to simulation and for further analysis.
7) Can SQ use one data feed for real time data, such as e-signal, but place trades at IB where the data subscription has been turned off?
8) For 24 hour Forex trading, does the software need to be restarted once per day? Can this process be automated?
9) Can SQ handle differences between strategy filled orders and unfilled real orders automatically? Or as with Tradestation, does this need to be done manually?
10) In simulation & real mode, is portfolio level testing/trading possible? Can a system applied to multiple markets that generates more positions than desired be limited by various means such as maximum risk for the portfolio or capital that has been allocated to the system? Tradestation does not support portfolio level testing/trading or capital limitations for a portfolio as charts cannot communicate between themselves. If so does this apply to all time frames? If 10 trades are all generated at the same time for 10 different markets on the same system but only 2 can be taken due to capital or other limitations, can a sort algorithm be applied to the signals to then choose the top two and only the top two?
11) For end of day systems, trades for next day market on open, limit on open, stop limit, etc. should be able to be placed before the market opens or at any time specified in the code. Can SQ send these type of orders to IB? Tradestation cannot place market on open orders or even limit on open, only plain limit orders or stop orders via automated code. Can SQ handle OCO & OSO orders? Can it handle sending a new order if limit on open order not filled?
12) Can SQ manage GTC orders or at least continuously place new day orders each day for EOD systems.
13) Can SQ manage the option of trading during off hours with different order types than regular trading hours?
14) Can SQ support basket trading and basket orders by calling a basket name which would send a group of buy/sell orders? IB has special features for this.
15) Is the technology used to maintain the connection to the broker and the data feed reliable and able to automatically handle internet disconnects? Short term ones that last a few seconds should be handled automatically and long term disconnect should set off all kinds of alarms.
16) What is the support for the product, hours available? Is phone support available?
17) Can software take signals from Tradestation or other software and send them to IB or other brokers?
rdencpa,
thanks for the attachment.
I understand that NT tries to auto reconnect for short term connection losses Is this the case with OQ?
After connection reestablishment, do OQ and NT auto synchronize positions/orders/strategy
These are both very important features for automated trading.
Does anyone know of a platform which has these two features?
tks
thanks for the attachment.
I understand that NT tries to auto reconnect for short term connection losses Is this the case with OQ?
After connection reestablishment, do OQ and NT auto synchronize positions/orders/strategy
These are both very important features for automated trading.
Does anyone know of a platform which has these two features?
tks
I actually have a lifetime membership @ NT, and a lifetime membership at OQ. I also have bought a 3 month pass at tradebullet, I've tried strategy runner, NeoTicker, and probably some others.
All my models are coded up Open Quant. As to choosing which ATS is better truefully I believe Open Quant. Like an earlier poster suggested I think you guys should compare the list of classes, another with the properties and methods included in each.
As you dig into it, you'll surely find out that the OpenQuant API has more classes, more methods, and hands down is a much more complete set. Off hand I can't think of everything NT is lacking compared to OQ as it has been about 6 months since I have used NT. I have written a lot about these 2 platforms in the automated trading section, you should do a search.
NT is a great platform, however in terms of a more complete API there really isn't anything comparable to OQ. I'm very glad a made the switch.
All my models are coded up Open Quant. As to choosing which ATS is better truefully I believe Open Quant. Like an earlier poster suggested I think you guys should compare the list of classes, another with the properties and methods included in each.
As you dig into it, you'll surely find out that the OpenQuant API has more classes, more methods, and hands down is a much more complete set. Off hand I can't think of everything NT is lacking compared to OQ as it has been about 6 months since I have used NT. I have written a lot about these 2 platforms in the automated trading section, you should do a search.
NT is a great platform, however in terms of a more complete API there really isn't anything comparable to OQ. I'm very glad a made the switch.
Today I ended up looking at the Ninja Trader list of functions.
ATS's have triggers that are caused by certain events, like a new bar coming (onBar) or a new quote being issued (onQuote) or a new Trade being issued, or a change in the OrderBook(onOrderBookChanged) being issued. All of these are Key things you need in order to put together a "profitable strategy", of course if your intention is to just use bar and do some moving averages, RSI, candlesticks then yes having a strategy that only uses bars is fine to program your non profitable / barely profitable strategy, however if you have progressed towards a certain level you realize your ATS will have to utilize the following classes / member functions / properties or ain't gonna be easy to pay the bills each month
(1) there is a trade.printed
(2) there is a new quote printed
(3) a change in the order book is printed
As far as I know... I could be wrong but NT does not have event handlers that are triggered by the following TRADE, QUOTE, CHANGE IN ORDER BOOK, and an appropriate list of memeber functions / properties that would go with each class
IMO these are absolute MUSTS for any ATS, that is why I use OQ, now I do must say that current the support is very slow at getting back. Normally emails / posts on the forum are answered in ~ 2-8 hrs, but for the past 2-3 week I must say it seems like someone has not been doing there job. I sincerely hope that they change as this is the Best ATS out there at the retail level.
ATS's have triggers that are caused by certain events, like a new bar coming (onBar) or a new quote being issued (onQuote) or a new Trade being issued, or a change in the OrderBook(onOrderBookChanged) being issued. All of these are Key things you need in order to put together a "profitable strategy", of course if your intention is to just use bar and do some moving averages, RSI, candlesticks then yes having a strategy that only uses bars is fine to program your non profitable / barely profitable strategy, however if you have progressed towards a certain level you realize your ATS will have to utilize the following classes / member functions / properties or ain't gonna be easy to pay the bills each month
(1) there is a trade.printed
(2) there is a new quote printed
(3) a change in the order book is printed
As far as I know... I could be wrong but NT does not have event handlers that are triggered by the following TRADE, QUOTE, CHANGE IN ORDER BOOK, and an appropriate list of memeber functions / properties that would go with each class
IMO these are absolute MUSTS for any ATS, that is why I use OQ, now I do must say that current the support is very slow at getting back. Normally emails / posts on the forum are answered in ~ 2-8 hrs, but for the past 2-3 week I must say it seems like someone has not been doing there job. I sincerely hope that they change as this is the Best ATS out there at the retail level.
NinjaTrader_Dierk
ET Sponsor
Quote from Sky123987:
...
As far as I know... I could be wrong but NT does not have event handlers that are triggered by the following TRADE, QUOTE, CHANGE IN ORDER BOOK, and an appropriate list of memeber functions / properties that would go with each class
...
You might consider checking out new NT6.5 (available as beta on the NT forum) which has the events you are looking for.