My definition of HFT is rather simple, any strategy that depends on 1 cent execution is HFT and usually any strategy that is based on bars is not
ofcourse others might have different definitions
Creating own trading system
- Thread starter j2ee
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My definition of HFT is rather simple, any strategy that depends on 1 cent execution is HFT and usually any strategy that is based on bars is not
ofcourse others might have different definitions
not everyone is trading at the rate other peoples are.. if your developing a swing trade.. and using options to exploit it.. or looking for areas of compression and breakout.. on larger time frames.. you can become profitable with NT or any other ... not every is even trying to trade intraday... looking for statistical significance doesn't mean you have to run in the same techology race that the HFTs are.. frankly i think its stupid to try to compete there unless you are very well experienced and educated about the micro structure of the market..
Well said, except you make total bullshit out of it in the start.
Can you please tell me how you would backtest a swing trade using options in ninja?
You are right on the HFT side - it is a race I stay away from due to the fact that I personally do not have the deep pockets it takes to get profitable there, no experience with FPGA's and in generally try to make "brain" the edge, not "fastest hardwar"
I still colocate in Chicago, but that is because I am based in europe - I dont like to have the high delay to the US and IF I colocate in the US, I can as well do it in the same city.
Quote from NetTecture:
Well said, except you make total bullshit out of it in the start.
Can you please tell me how you would backtest a swing trade using options in ninja?
You are right on the HFT side - it is a race I stay away from due to the fact that I personally do not have the deep pockets it takes to get profitable there, no experience with FPGA's and in generally try to make "brain" the edge, not "fastest hardwar"
I still colocate in Chicago, but that is because I am based in europe - I dont like to have the high delay to the US and IF I colocate in the US, I can as well do it in the same city.
haha.. i don't use ninja.. but .. "swing trade" was a bad way to put it..
The problem is more the option part. IIRC both Ninja and Multicharts do not handle option chains. Most end user feeds have no way to deal properly with them - i use nanex, they deliver me all symbols of the CME. That totally rules out any testing of any option related strategy.
My own comment re paying up (a multiple of what normal retail platforms cost) or building your own was not aimed only at those who want to trade higher frequencies.
Here is why and not all points apply to each retail platform equally, some may apply some not, but I would say that at least one point applies to most all such platforms (Amibroker, MultiCharts, TS, Ninja, RightEdge, Quant House (the retail platform) and a host of others):
* when you run a back test and each time get different results, no matter with what time compression or over ticks, how much confidence you have in your strategy? Verdict: The platform is useless for career systematized trading.
* when you connect to a broker platform and there are disconnects (nobody can avoid that) and your platform cannot recover each and EVERY single time from such disconnect then your platform is useless for career systematized trading.
* when your platform cannot be easily extended, meaning you cannot plug in a different database, log different events, build a new broker interface and hook it up because you want to trade through a different broker that is not supported then your platform is useless for career systematized trading.
* when you look to chart or analyze any of your strategy or trading results (anything, for example the latency of your fills) and your platform does not allow you to do that internally or you cannot easily export the data for later analysis in R or so then your platform is useless for career systematized trading.
* when you look to trade baskets, statistical arbitrage, many different strategies and want to run them in one book with one global risk management variable set and your platform does not allow for that then it is useless for career systematized trading.
* when you look to trade higher frequency and your platform cannot let you easily back test tick based data , or forces you to store tick based data in a proprietary format that is hard to convert to and disallows you to use the data in any other platform then your platform is useless for career systematized trading.
* and finally for total starters: A platform that only allows you to connect to retail data feeds that are full of missing data, erroneous ticks, unstable in terms of connection, if your platform cannot support a high quality data feed then your platform is useless for career systematized trading.
Of course you may want to get into this game for the sake of the excitement and not because you are serious about beating other market players who spent hundreds of thousands of dollars in hard and software and development. Then I strongly advise you to throw and gamble away your money elsewhere because this is EXACTLY what it is if you are not dead serious about it. Anyone who thinks they pay 500-1000 dollars for a full fledged systematized trading engine and then compete with the rest in the market are obviously insane or delusional.
Here is why and not all points apply to each retail platform equally, some may apply some not, but I would say that at least one point applies to most all such platforms (Amibroker, MultiCharts, TS, Ninja, RightEdge, Quant House (the retail platform) and a host of others):
* when you run a back test and each time get different results, no matter with what time compression or over ticks, how much confidence you have in your strategy? Verdict: The platform is useless for career systematized trading.
* when you connect to a broker platform and there are disconnects (nobody can avoid that) and your platform cannot recover each and EVERY single time from such disconnect then your platform is useless for career systematized trading.
* when your platform cannot be easily extended, meaning you cannot plug in a different database, log different events, build a new broker interface and hook it up because you want to trade through a different broker that is not supported then your platform is useless for career systematized trading.
* when you look to chart or analyze any of your strategy or trading results (anything, for example the latency of your fills) and your platform does not allow you to do that internally or you cannot easily export the data for later analysis in R or so then your platform is useless for career systematized trading.
* when you look to trade baskets, statistical arbitrage, many different strategies and want to run them in one book with one global risk management variable set and your platform does not allow for that then it is useless for career systematized trading.
* when you look to trade higher frequency and your platform cannot let you easily back test tick based data , or forces you to store tick based data in a proprietary format that is hard to convert to and disallows you to use the data in any other platform then your platform is useless for career systematized trading.
* and finally for total starters: A platform that only allows you to connect to retail data feeds that are full of missing data, erroneous ticks, unstable in terms of connection, if your platform cannot support a high quality data feed then your platform is useless for career systematized trading.
Of course you may want to get into this game for the sake of the excitement and not because you are serious about beating other market players who spent hundreds of thousands of dollars in hard and software and development. Then I strongly advise you to throw and gamble away your money elsewhere because this is EXACTLY what it is if you are not dead serious about it. Anyone who thinks they pay 500-1000 dollars for a full fledged systematized trading engine and then compete with the rest in the market are obviously insane or delusional.
Well, I've been using AB for quite a few years and it passes all seven points and after each new run the new result is the same as the previous one if it's the same code/data/TF/settings being used.
I agree that using open source program like Tradelink to have your own trading system requires full-time job level of programming skill, but it is still much easier than build a total new trading system from nothing.
Very likely building a profitable system would require pretty complicated back-test, stats, math, and strategy. All of these would be so hard or impossible with normal level commercial trading system. It would be hard to find out how to do/having serious problem like every back test has different result or testing is different from real trading.
Then at the end, an individual trader very likely needs to have pretty good programming skill to implement all necessary.
Very likely building a profitable system would require pretty complicated back-test, stats, math, and strategy. All of these would be so hard or impossible with normal level commercial trading system. It would be hard to find out how to do/having serious problem like every back test has different result or testing is different from real trading.
Then at the end, an individual trader very likely needs to have pretty good programming skill to implement all necessary.