Creating own trading system

[j2ee]

Quote from hftvol:

maybe you should have been more specific in your previous post. What you describe here makes sense to at least make available through a web interface. But your previous post strongly hinted at your implementing a core trading engine (hft or not does not matter) on a web engine and that makes simply no sense. Populating performance results does make sense. What people often do is they implement a scheduler to periodically push content onto the web interface (if you use silverlight then you can easily bind to the data source that is updated through the scheduler). The Binding takes care of grid and chart population. I do something very similar. I also store all performance results and trade analytics in a database that is bound to controls on my web interface. WPF and Silverlight is very advanced and a pleasure to work with in this regard.

make much more sense

 

[j2ee]

Quote from hftvol:

I do not know why you are so married to this application but please keep both your feet on the ground. AFL cannot handle the "most complicated algorithms". You need reasonable work-arounds and maybe you show us how AFL handles a matrix inversion (it could not as of 2008, and as mentioned I have not evaluated any subsequent versions) without having to link up to external libraries. Also, how to implement multithreaded paradigms? How do you handle database access to those dbs that are not supported out of the box? How do you connect to unsupported broker APIs? Right, you need to code an interface in a compiled language!!! And how do you implement a simple Kalman or Particle filter? AFL is what it is, a scripting language in order to avoid having to learn a programming language and as it is based on C++ (well the whole engine is) there are components and ideas that look familiar to someone who knows C++. That is all to it. It comes with all the limitations that most other scripting languages suffer from as well. But again how it is implemented is extremely smart and sleek.

For an individual own trading with programming knowledge, other than building my own system, tradelink is the best choice? Seem like even many years later I get to more advanced level with crazy many data to test, I can still modify tradelink to handle it.

 

[hftvol]

I developed everyone on my own over the years (and through the help of paid programmers). Tradelink should get your started though. The call is yours.

Quote from j2ee:

For an individual own trading with programming knowledge, other than building my own system, tradelink is the best choice? Seem like even many years later I get to more advanced level with crazy many data to test, I can still modify tradelink to handle it.

 

[j2ee]

Quote from hftvol:

I developed everyone on my own over the years (and through the help of paid programmers). Tradelink should get your started though. The call is yours.

Did you work as a quant trader in big financial institution before so you have a very good strategy and confidence?

 

[colion]

Quote from j2ee:

Alright then a simple exercise: Implement the whole set rules of turtle trading. How to do this part with AFL?

The difficult part for programming:
for 20 days break thought, when the last signal was a win, you don't buy in this signal but you need to store the result just like this signal is traded. This "virtual trade" would also have increments like normal and cut lose/exit like normal. Then when the next signal comes, need to check this "virtual trade" result to tell if it was a win or lose to decide to trade or not. If the 20 days break thought was a win then once break through 55 days need to buy. You can see a better description in the free document online, just google original turtle.

The Turtle Trading System has been done. As I said, if you want to try to stump the AFL crowd you will have to go into their den and challenge them. Then you will either confirm or deny your belief about AFL. It is a waste of time to repeat over and over on Elite that AFL does not hold up. But if that's your thing enjoy.

 

[j2ee]

Quote from colion:

The Turtle Trading System has been done. As I said, if you want to try to stump the AFL crowd you will have to go into their den and challenge them. Then you will either confirm or deny your belief about AFL. It is a waste of time to repeat over and over on Elite that AFL does not hold up. But if that's your thing enjoy.

Where is your code? Have bee done in your dream?

 

[hftvol]

I did but before that I worked for years as discretionary prop trader which is where I learned and studied market dynamics. I was lucky to have had a great mentor. Designing, writing and creating the whole system architecture is 100% self-taught. I spend about 4-5 hours alone each day on programming related work to improve or solve issues with the trading architecture, so it is hard to avoid learning new stuff. Confidence? That comes from me being an arrogant bastard.

Quote from j2ee:

Did you work as a quant trader in big financial institution before so you have a very good strategy and confidence?

 

[hftvol]

funny you could not respond to a single of my cited shortcomings of AFL. But it was a single post, I will not get again into language discussions. I made my point clear. But just in case here my praise because I am not an all-around pessimistic type of guy, AFL is a concise highly optimized script language that plays along very well with vectors and arrays. But it is does not solve all problems as you claimed.

Quote from colion:

The Turtle Trading System has been done. As I said, if you want to try to stump the AFL crowd you will have to go into their den and challenge them. Then you will either confirm or deny your belief about AFL. It is a waste of time to repeat over and over on Elite that AFL does not hold up. But if that's your thing enjoy.

 

[gmst]

Quote from hftvol:

AFL is a concise highly optimized script language that plays along very well with vectors and arrays. But it is does not solve all problems as you claimed.

You should comment on the MATLAB, R, Python Trilogy thread. You are welcome there to share your experience and knowledge.

 

[hftvol]

troll alert flashing a bright red one. On ignore. Bye pal.

Quote from gmst:

You should comment on the MATLAB, R, Python Trilogy thread. You are welcome there to share your experience and knowledge.