Develop DIY Algorithms—Safely

Gambit said:
Volpunter has asked some pointed questions. I'm curious to see if Andrew and his colleague will respond.
I do hope TT will continue this discourse because it is enlightening to the ET community. Since Andrew has asked about requested features, I'll throw out some requests:
1) Stats functions such as cointegration, correlation. I understand that these features will be rolled out sometime in Q1 (?) 2016.
2) Kalman filter, realtime and integrated into the spreader. Or perhaps kalman filter as a standard block.
3) I'm not sure how TT handles its infrastructure but perhaps offering a standard configuration where the ADL algos are hosted on the same server as the TT gateway (not sure I stated this correctly). Users shouldn't have to pay a small fortune to outsource TT configuration in order to achieve competitive latencies.
4) Scanning functionality. Scanning for changes in cointegration in realtime, tick by tick so that traders can react quickly.
5) Perhaps integrated stats functions such as this one. This is a statistical calculation used to predict where the next bid ask is going which supposedly allows smarter limit order placement.

Volpunter is a skilled developer so his background definitely colors his opinion. As a "quantitatively challenged" home gamer, I'm obviously more interested in ADL. Perhaps there is a middle ground where both markets can be served.

One last question:
Since TT is obviously able to create standard code blocks and release them to their users, perhaps you could allow end users to utilize that same functionality. That way the community can grow a codebase that benefits multiple users. ISVs such as optionscity have implemented such features with some success.

I look forward to your responses Andrew and MReilly. And please don't request ET to ban members or limit members from commenting on your threads. The more you try to suppress criticism, the virulent it becomes.
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Sorry for the delay. Been a pretty busy week.

As for #1, #2, #4, and #5, a colleague of mine is going to respond as this is in his area. As for #3, some FCMs offer this already for the 7x platform. The new platform is an ASP model and will offer the ability to do what you describe. We are working on the designs now and will likely offer this in 2016.

We are also having discussions about an App Store where users can buy / sell algo components as well. Stay tuned for more information...
 
Gambit said:
And please don't request ET to ban members or limit members from commenting on your threads.
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They're a sponsor. Why shouldn't they keep the thread on-topic and of interest to prospective paying customers by cutting back on trolling and other white noise?
 
debitspread said:
They're a sponsor. Why shouldn't they keep the thread on-topic and of interest to prospective paying customers by cutting back on trolling and other white noise?
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What's the point of posting on a trading forum and engaging potential users? If they simply wanted to disseminate propaganda, there are plenty of venues to do that. As long as comments aren't abusive, I think it is best to accept both the positive and the negative responses.
Look at it a different way. What if a restaurant got some negative feedback on yelp and instead of addressing them, they requested yelp to prune the brand damaging review? I would respect the restaurant more if they addressed the negative review directly and corrected any faults.
Customers aren't always right but they should rarely be ignored.
 
Andrew Renalds said:
Sorry for the delay. Been a pretty busy week.

As for #1, #2, #4, and #5, a colleague of mine is going to respond as this is in his area. As for #3, some FCMs offer this already for the 7x platform. The new platform is an ASP model and will offer the ability to do what you describe. We are working on the designs now and will likely offer this in 2016.

We are also having discussions about an App Store where users can buy / sell algo components as well. Stay tuned for more information...
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That's quite a response. Thanks for taking the time to answer. I look forward to the improvements in Q2016.
 
Gambit, I'd like to give a response to a couple of your questions.

For #2:

I'll start with the second part first. We're very actively working on building out all the blocks in ADL in our new platform and once we have the Analytics block in place, you'll be able to use Kalman filters inside ADL (either as a built in analytic or as a custom analytic, we haven't made that decision yet). As far as using Kalman filters, or other analytics, to drive autospreader quoting, it's not currently available directly, but is something we're investigating. When I say it's not available directly, I mean you can't hook the output of an analysis directly into Autospreader. What you can do is program/override Autospreader's quoting logic based on the results of your analysis. See my next response to #5 for a little more detail.

For #5:

We have introduced the ability to override the default Autospreader quoting logic, which we're calling Pre-Quote Rules. In this context, you're able to analyze the depth on both the bid and ask side of the market, so you can incorporate this info into the Autospreader quoting logic. Once you do your statistical analysis about the impact of market depth on future direction, you can incorporate this knowledge directly into Autospreader's quoting logic.

Further, as was mentioned in the video you referenced, sometimes the last traded price can invalidate your view of the book, and using Autospreader pre-quote rule, you can build logic to be more intelligent about how you're quoting to avoid picks offs in this situation.

Thank you for the questions.
 
volpunter said:
And what do you reckon why someone would want to consider your product over a pure oop language
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Volpunter, I have used ADL for many years, and came from a software background. For someone used to an event driven environment, with easy use of data structures, ADL takes a bit of adjustment. It helps to realize that ADL is by default, and state machine, and it's strength is in execution logic. Now, you can do event driven development, and you can build collections, but those take some extra effort. So while something like maintaining a collection of the last X bars of data is not a strength of ADL, it is possible. Where ADL is very, very effective is in rapidly building execution logic to turn trade ideas into production ready algorithms very rapidly. I went back and forth many times, trying to decide between using an API or using ADL, and found that the whole environment of strategy creation, execution and monitoring provided by ADL allowed me to be much more efficient. So, I cannot speak for others, but when I myself tell other people that ADL allows for rapid development, this is generally what I would have in mind.

I'm very happy to discuss my experience further if you'd like. PM or reply here, either works for me.
 
J.P. said:
Tell us why
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J.P. the short answer is that we are for the most part still ramping up support from brokers and FCMs. There are a handful that would allow you to access the new platform, and more are coming very soon. I would be happy to speak offline with you about who your broker is, and when/if the new platform will be available through them.

In the mean time, you can actually get set up with a free month demo at trade.tt. If you'd like to get your feet wet, I'd be happy to answer any questions that arise during the demo. Feel free to PM here, and we could set up a time to speak further.
 
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