Develop DIY Algorithms—Safely

[volpunter]

Ok, fair example: by the way where is your stops? What if the market keeps moving against you?

Regarding ADL you may want to make sure this platform can in fact handle your latency requirements. A fast moving market may choke TT'S auto trading engine. I would thoroughly test myself rather than relying on some glossy marketing hype. For example TT claims they have a "sophisticated" simulated matching engine which is an entire rubbish statement. Their fill simulation is absolutely trivial and could nit be further away from being sophisticated. The fill simulation matching engine does not even build a book in a standard way. Further, I heard TT'S auto trader cannot handle partial fills properly and the call backs on partial fills get messed up. What about ADL's inability to handle custom algorithms for signal generation. You described but the simplest trading strategy that only relies on one bid and one ask price. Any strategy with custom algorithms tgat generate trading signals and you are forced with ADL to resort to another API. In the end you end up with two mediocre implementations that are much harder to maintain than one single robust trading architecture.

I'll start with something simple. I'm not a developer so this may be a little sloppy. Suppose I want to bid and offer on an exchange traded spread in an attempt to avoid paying the spread and perhaps capture a tick. Based on past experience I know that I will only get filled if the market runs past me by a tick or two.
So I fire up ADL and set up a simple algo to:

Bid/offer two ticks under/above the market.
If filled on bid, offer two ticks above market.
If filled on ask, bid two ticks below market.

Some issues I can think of:
Waiting for confirmation of fill before sending of order to exit position.
Order to fill ratio. Each CME product has a different order to fill ratio and ADL has to somehow account for the variation.

 

[Gambit]

Ok, fair example: by the way where is your stops? What if the market keeps moving against you?

Regarding ADL you may want to make sure this platform can in fact handle your latency requirements. A fast moving market may choke TT'S auto trading engine. I would thoroughly test myself rather than relying on some glossy marketing hype. For example TT claims they have a "sophisticated" simulated matching engine which is an entire rubbish statement. Their fill simulation is absolutely trivial and could nit be further away from being sophisticated. The fill simulation matching engine does not even build a book in a standard way. Further, I heard TT'S auto trader cannot handle partial fills properly and the call backs on partial fills get messed up. What about ADL's inability to handle custom algorithms for signal generation. You described but the simplest trading strategy that only relies on one bid and one ask price. Any strategy with custom algorithms tgat generate trading signals and you are forced with ADL to resort to another API. In the end you end up with two mediocre implementations that are much harder to maintain than one single robust trading architecture.

I assumed that ADL would have to be implemented in a greybox style. As you stated, the actual trade logic would have to be run in another system (excel? ) and then routed to ADL or the trader would have to initiate the algo manually. Integrating the logic and execution would be far from seamless.
The partial fills issue is another huge potential problem. I'll PM some traders who use ADL and ask about their experience. Thanks for your input.

 

[volpunter]

That's not what I said. To my knowledge the full trade and execution logic can run in TT'S auto trader. What I did say was that ADL does not offer a sophisticated enough scripting environment to properly handle even medium grade systematized strategies.

I assumed that ADL would have to be implemented in a greybox style. As you stated, the actual trade logic would have to be run in another system (excel? ) and then routed to ADL or the trader would have to initiate the algo manually. Integrating the logic and execution would be far from seamless.
The partial fills issue is another huge potential problem. I'll PM some traders who use ADL and ask about their experience. Thanks for your input.

 

[Gambit]

That's not what I said. To my knowledge the full trade and execution logic can run in TT'S auto trader. What I did say was that ADL does not offer a sophisticated enough scripting environment to properly handle even medium grade systematized strategies.

Got it. Maybe if TT added a C# editor, ADL would have more utility.

 

[volpunter]

...which would again bring you back to square one, what does TT then have to offer that some other firms that have already specialized for over 10 years in systematized trading architecture do not offer, and some of the off-the-shelf firms offer their products at a fraction of the cost of what TT charges. In case it is unclear, TT offers its ADL just in order to bind its customers to the actual core platform for which it charges outrageous amounts (in exchange for what the perceived value), either outright or built into huge commission charges on trade execution.

https://www.tradingtechnologies.com/products/pricing/

What they charge in exchange for what they offer is simply outrageous. In effect their functionality is about 1/20th of what Interactive Broker's TWS platform offers. TWS is free of charge, Xtrader pro costs 1200 USD per month. about 60-70% of a full fledged Bloomberg terminal. For what?

Got it. Maybe if TT added a C# editor, ADL would have more utility.

 

[Gambit]

You make a good point. If a user has to learn C# and utilize a built-in editor, he might as well code to the API.

 

[Andrew Renalds]

ADL is used by hundreds of professional traders every day to create, deploy, and launch algos. If all of the negative comments posted here were true, this wouldn't be the case. For further information about ADL, see here.

We are always adapting the design and features of our products to meet our customer's needs. If you would like to discuss specific enhancements to ADL, feel free to reach out to me directly.

Andrew Renalds, Product Manager of Algorithmic Tools and APIs

 

[Gambit]

ADL is used by hundreds of professional traders every day to create, deploy, and launch algos. If all of the negative comments posted here were true, this wouldn't be the case. For further information about ADL, see here.

We are always adapting the design and features of our products to meet our customer's needs. If you would like to discuss specific enhancements to ADL, feel free to reach out to me directly.

Andrew Renalds, Product Manager of Algorithmic Tools and APIs

Andrew, your response is disappointing. Volpunter is a respected (but not always liked) member of this community. He has extensive experience in algo trading and he offered a blunt but insightful critique of ADL.
Perhaps instead of characterizing all previous comments as "negative", you can peruse them and glean some valuable insight into traders' needs. All the comments you've read have some value but they are delivered in the tactless, incisive style that many ET members utilize. I personally have learned a lot from the comments in this thread.
Since you are responding to comments, I do have some questions about ADL. Does ADL have cointegration or correlation studies coded into a block? Can cointegration be used as a trigger to fire off orders? Thank you for following up on this thread. It is nice to see a trading software company so engaged with its userbase.

 

[ArbTdr]

ADL is used by hundreds of professional traders every day to create, deploy, and launch algos. If all of the negative comments posted here were true, this wouldn't be the case. For further information about ADL, see here.

We are always adapting the design and features of our products to meet our customer's needs. If you would like to discuss specific enhancements to ADL, feel free to reach out to me directly.

Andrew Renalds, Product Manager of Algorithmic Tools and APIs

Andrew,

I am an existing user and need assistance with an issue posted in the forum.

https://forums.tradingtechnologies.com/showthread.php?3500-OCO-Using-Trigger-Stops&p=10894#post10894

Same issue was posted by another user last year
https://forums.tradingtechnologies.com/showthread.php?2835-ADL-Stop-Limit-Order-trigger-by-quantity

Can this be achieved with ADL?

thanks,

 

[volpunter]

I would have loved to add more details, however, unfortunately it seems TradingTechnologies did not appreciate my critical comments and requested ET to prevent me from further participation in this thread for a week or longer until last night. Interesting way to deal with someone not in agreement with them.

Andrew, your response is disappointing. Volpunter is a respected (but not always liked) member of this community. He has extensive experience in algo trading and he offered a blunt but insightful critique of ADL.
Perhaps instead of characterizing all previous comments as "negative", you can peruse them and glean some valuable insight into traders' needs. All the comments you've read have some value but they are delivered in the tactless, incisive style that many ET members utilize. I personally have learned a lot from the comments in this thread.
Since you are responding to comments, I do have some questions about ADL. Does ADL have cointegration or correlation studies coded into a block? Can cointegration be used as a trigger to fire off orders? Thank you for following up on this thread. It is nice to see a trading software company so engaged with its userbase.