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riskaverse305

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i've been a day-trader for 2 years now, and i've used a lot of quantitative analysis over the years, but its always seemed to me that writing automated programs to implement my strategies would be much more profitable. unfortunately, i don't really know where to begin. do you guys have any suggestions for what languages work best for financial applications? and how does one integrate a program into your existing trading platform?

any help would be much appreciated

thanks
 
For automated programming you cannot sacrifice performance for the use of simplicity (using C#). You have to use C++ if you want an automated system that is operating in real-time. C# would not be the way forward for an automated system.

C++ and nothing else my friend.
 
Hmm, what about managed c++ in .net ? You can use it if you want to speed up any critical part of the framework. Also, you can call unmanaged code (be it assembler or plain c) under .net. Any problems here?

Vasilii
 
It is true that you can use managed C++ extensions to call C++, but that means that you have to segregate all the time critical logic into the C++ layer, and use managed C++ to wrap around it and then use C# for a user interface. But still, it cannot be compared to writing a pure C++ application, as .net is just purely not fast enough.

I have seen QuickFix as I have connected to CME, so have used the C++ version of the QuickFix engine with subtle changes for performance gains. And I must say that it is an excellent open source project, and may the guys developing/mainting QuickFix continue to do such fine work.

Thanks.
 
Quote from riskaverse305:

i've been a day-trader for 2 years now, and i've used a lot of quantitative analysis over the years, but its always seemed to me that writing automated programs to implement my strategies would be much more profitable. unfortunately, i don't really know where to begin. do you guys have any suggestions for what languages work best for financial applications? and how does one integrate a program into your existing trading platform?

any help would be much appreciated

thanks
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depending upon your background and training the .Net/VB/C# route could be an answer. On the other hand if you will eventually need to scale up a commercial system then you probably will not want to base it upon .Net for a variety of risk, cost, and technical reasons. However if you are just starting programming then $soft can be a quick and dirty way to get something up and running.
 
Quote from kid:

....

I have seen QuickFix as I have connected to CME, so have used the C++ version of the QuickFix engine with subtle changes for performance gains. And I must say that it is an excellent open source project, and may the guys developing/mainting QuickFix continue to do such fine work.

Thanks.
More...

Seconded. QuickFIX is an excellent starting point for any type of FIX work. We useit with excellent results.
 
Well, the question was rather about ATS, thus I assume this gentleman is not going to write a low level engine like QuickFIX, which is indeed an excellent piece of code, but rather a high level automated trading system, right?
 
Quote from riskaverse305:

i've been a day-trader for 2 years now, and i've used a lot of quantitative analysis over the years, but its always seemed to me that writing automated programs to implement my strategies would be much more profitable. unfortunately, i don't really know where to begin. do you guys have any suggestions for what languages work best for financial applications? and how does one integrate a program into your existing trading platform?

any help would be much appreciated

thanks
More...
It depends on API you're going to use. I wrote mine in C++. May be we should join forces and write common ATS library :)
 
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