Critical process/components for building bullet-proof high speed trading systems

mizhael · Jan 19, 2011

Hi all,

My friends and I have been working on building a robust automated high speed (but not super high frequency) trading system/platform.

In our production test trades, we were able to buy but we couldn't sell... obviously this was a bug and although we fixed it timely we still lost money in the test trades.

Therefore my question is how do we build a robust bullet-proof high speed trading system.

Any thoughts/pointers on those formal procedures/components/processes that we must establish before doing anything large-scale using real-money?

Thanks a lot!

Bob111 · Jan 19, 2011

first of all-you need this connected directly to exchange

mizhael · Jan 19, 2011

Quote from Bob111:

first of all-you need this connected directly to exchange

Of course we have that. And we wanted to focus on project-management/processes/critical components about building a bullet-proof system.

Any pointers?

Thanks a lot!

promagma · Jan 19, 2011

Be prepared for a long period of trial and error. Even when the obvious bugs are ironed out, and things are 90% working, it is the 10% that will get you.

Also I would advise to have all trades pass through a layer of sanity check logic before being sent to the exchange. Check the order size, and check the sequence of trades that you aren't buying at ask and selling at bid 10,000 times in a row.

mizhael · Jan 19, 2011

Quote from promagma:

Be prepared for a long period of trial and error. Even when the obvious bugs are ironed out, and things are 90% working, it is the 10% that will get you.

Also I would advise to have all trades pass through a layer of sanity check logic before being sent to the exchange. Check the order size, and check the sequence of trades that you aren't buying at ask and selling at bid 10,000 times in a row.

Thanks for the good point!

We are thinking of more detailed processes/procedures, such as time-shifts for human monitoring, etc.

Any thoughts/

MGB · Jan 19, 2011

Quote from mizhael:

Hi all,

My friends and I have been working on building a robust automated high speed (but not super high frequency) trading system/platform.

In our production test trades, we were able to buy but we couldn't sell... obviously this was a bug and although we fixed it timely we still lost money in the test trades.

Therefore my question is how do we build a robust bullet-proof high speed trading system.

Any thoughts/pointers on those formal procedures/components/processes that we must establish before doing anything large-scale using real-money?

Thanks a lot!

Why reinvent the wheel? Why not build on top of Marketcetera or NinjaTrader, etc?

mizhael · Jan 19, 2011

Quote from MGB:

Why reinvent the wheel? Why not build on top of Marketcetera or NinjaTrader, etc?

If something goes wrong, you call those people? We of course need an in-house solution...

MGB · Jan 19, 2011

Quote from mizhael:

If something goes wrong, you call those people? We of course need an in-house solution...

Markectera is open-source. Why not leverage the work they've already done and apply your own solution on top of it?

mizhael · Jan 19, 2011

Quote from MGB:

Markectera is open-source. Why not leverage the work they've already done and apply your own solution on top of it?

Okay, we had previously already something in existence...
so we went our own route.
Lets not dwell on which platform to use, etc.
Lets focus more on process/procedures/controls, etc.

WinstonTJ · Jan 19, 2011

Quote from mizhael:

Okay, we had previously already something in existence...
so we went our own route.
Lets not dwell on which platform to use, etc.
Lets focus more on process/procedures/controls, etc.

The platform is a huge part of the system. Not dwelling on it is sort of like worrying about what type of brakes & tires you are going to buy without taking the type of car into account.

Also, I doubt you are directly connected to an exchange unless you have access from a current employer. The feeds and lines alone for that are very expensive and most people don't turn that stuff on until they have a working system ready to trade.

A prop firm telling you they are "directly connected to the exchange" is most probably a lie.