Help a newbie with automated trading API programming

OK so here is the joke...

I'm relatively new to programming and new to trading. I work for a company that won't let me trade at work and am hoping to eventually develop an ATS that will run intraday strategies for me while I'm at work.

I figure that I can pop my development cherry over the next year or two developing the basic components that I will need (database and various pieces of software for pricing securities and options and manage risk).

Just curious if anyone had any recommendations on:
* open source database
* best language(s) to implement.
* Like the idea of Java doing memory management but not sure of pros/cons.

I run a linux box at home and am fairly confident I can get the "basics" of a system up in about a year or 2 and continue to tweak it as time goes on. I would like to develop a skillset where I could partner up with someone who is a better trader than I and work with him/her to automate strategies.
 
I have several profitable strategies that use options, stocks, currencies and index futures. 70% intraday trading and 30% short term daily.

I've looked at ET threads on automated programming and it seems many prefer C or C#. I settled for Excel with VBA because my strategies are robust enough to handle some latency and looks easier to learn than C or C#.


Amibroker for rapid prototyping/testing strategies and trade signal generation.

Excel with VBA for money management and order placement via IB TWS for each system.

third party data provider such as DTN.IQ for historical tick data for the Amibroker testing and realtime data feed.

There is enough material online to set up a self paced learning program. The key part is sourcing the correct material to learn efficiently. PM me if you're interested to collab in putting together a self paced learning and implementation program.
 
Quote from ezbentley:

Well, I am trying to write ATS with Genesis Laser and there is no code examples from the broker. [/B]
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The Laser .NET api is pretty easy and comes with sample code
 
Quote from ezbentley:

Background:
I self-taught C++ in high school and majored in computer engineering in undergrad, so I am not totally ignorant of programming. However, I have never written any code to implement an automated trading system with APIs.

Question:
I am looking for any learning resource that can help me get started with writing an ATS, preferably in C++. If there is any simple "example code" out there, that would be ideal since I think it's the fastest and easiest way to learn.

From browsing this forum, it seems like APIs are just an interface to connect to a platform(Laser, Sterling Pro, Anvil...). So do people just use C++ or VB to write their own program to make function calls to the API? Does that mean you can just use any general purpose IDE for your preferred language?

There are some commercial software(NT, OQ, RE) that can do automation. If you write your own ATS in C++ or VB, are you essentially writing your own software package that does what those commercial ones do with more customization? If that's the case, it would seem like a huge project. Can anyone provide an estimate of the time required to implement an ATS from scratch for a reasonable programmer?

I am new to this so some of my question may not make sense. Feel free to correct me and any help/advice is highly appreciated.
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Don't re-invent the wheel. Just go to tradestation if you're positive you want to continue in C++. Whatever you can possibly think of is in TS, but also in wealth-lab, only in perl.
 
Thanks for everyone's help.

The reason I don't use TS is because its functionality is quite limited. Also you are stuck with their brokerage.

Some brokers do provide good examples and documentation for their API, but some don't.

I think I might have found the API example in Laser, but they hide it in one of the folders and didn't make it clear that it's an example.
 
If I was going to build an ATS, I think I would use Open Quant as a testing environment.

Once I had a strategy, I would build a dedicated trading app in C++ or C# to process trade data and deliver trade signals to my broker api as quickly as possible.

I would have this app set up to write the trades back to the charting app, so I could watch them in real time. Neoticker allows for third party app integration, so that may be an option also for this purpose. I'm a visual person so I like to watch trades evolve as part of the refinement process. This may not be important to some people but it is important to me.

If I'm doing futures, my API or choice would be the X trader platform. I don't do shares so I can't recommend an option in this area.

Runningbear.
 
why would you use 3rd party software... they aren't going to have all the feature that the raw API is going to have.


Just use the damn brokers API, C++
 
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