How to build an Automated Trading System

Quote from TSGannGalt:

Whenever I read a discretionary guy who says "They have a friend who programs" or "Have a friend works in the industry" with this type of enquiry. It tells me that the dude is a not a profitable trader who's hopes that his problems with trading is a "psychological one" and thinks that un-emotional trading will make him profitable.

Seriously...

Get a life.
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At the end of the day you still have not offered this guy any help. There is no way of knowing 100% for sure that this guys is a fool............but it takes a few secs to offer a couple lines of advice.


Look at metatrader software, they also have a helpful forum (http://forum.mql4.com/) where traders will answer your questions. They also have templates of strategies that u can download and install for free. Then there is a free book on the website that teaches u how to program and about the free software.

You have been already told about Ninjatrader which is very good. My advice is that you need to learn programming ( pref. C) no matter what, this will help u especially if somehow u SO LUCKY to end up managing $1bil!!
 
Quote from travis:

Open an account with IB, and automate everything through excel. I've done it that way, at no cost, without being a programmer, but it took me a few years, because I had to teach myself VBA.
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Travis, thanks for the reply. I have an IB account already, currently using it mostly for long term swing trades, rather than day-trading. Of course your point is interesting, but will i need to learn VBA to use excel automated orders?
 
Thanks darnelds, ronedawg, Nashequilibrium for the replies, i will take some time and check all recommendations.
Obviously wont waste time replying to posts like TSGannGalt's, completely unnecessary.

Just for the story, i am a profitable trader, but need an extra hand to apply my strategies to multiple symbols, so i think automation is the only way, unless i had 2-3 very experienced partners to help me out. I think a gray box would do it, but don't have the knowledge to set one up. I have fellow traders who have hired programmers to automate their strategies, that's why i started this thread, to find out how to start off myself with a programmer.
Of course, i will check out the above recommendations to see what i can get done myself.

Thanks for the help, keep it coming, i will provide feedback asap
 
Quote from travis:

Open an account with IB, and automate everything through excel. I've done it that way, at no cost, without being a programmer, but it took me a few years, because I had to teach myself VBA.
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You may think it was done at "no cost" but if you value your time, the few years it took you is quite expensive.

At the end of the day though, you now have total control and no external dependencies for your programming which may be a price worth paying.
 
Quote from Nashequilibrium:

At the end of the day you still have not offered this guy any help. There is no way of knowing 100% for sure that this guys is a fool............but it takes a few secs to offer a couple lines of advice.
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+1

To the OP, do you have any platform constraints? Broker constraints?

If you're in this for the long term, you may want to invest in learning to program yourself - that is if you have the aptitude to do so (not everybody does).

For the short term though, I don't see anything wrong with hiring a programmer though many people have objections to doing so.

The are many factors that may determine which way to go. You could go with a pre-built off the shelf automated trading platform that can connect to multiple brokers e.g. NinjaTrader, RightEdge, OpenQuant, TradeLink (open source .net on Google Code) etc.

Each of those platforms will have their own language or API or way of writing "strategies" to automate.

You then end up being tied to the platform you've chosen and all of the things that implies.

Alternatively, you can program to your broker's API which means you end up being tied to your broker.

There are middle grounds where you program to an industry standard API such as FIX or you program to a broker "gateway" that can connect and communicate with multiple brokers.

The same applies for data feeds.

It's always going to be a series of trade-offs and is determined largely by your specific requirements.

If you can share the kinds of strategies, markets, brokers you need to employ then more specific suggestions can be made.

Also, have a search through these forums, there's a wealth of knowledge on this topic previously posted.

Good luck.

BMe.
 
Quote from noone3:

Travis, thanks for the reply. I have an IB account already, currently using it mostly for long term swing trades, rather than day-trading. Of course your point is interesting, but will i need to learn VBA to use excel automated orders?
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IB offers a sample sheet, as you may have found out by now, but in order to customize it, you definitely need to learn some vba. But you can learn it as you need it. You don't need to read a 1000 pages manual from start to end. One year of work, if you are a non-programmer like me. If you are smarter and more focused, you could do it in 3 months.

But let's also say that a regular person, a non-programmer, could never get anything done in this field. Regular people are just not driven enough, nor orderly enough to get anything done in this field. Of course, the majority of people doesn't even think that automated trading can be achieved.
 
Well, there is no doubt that the optimal solution would be for one (me in this case) to be a good trader, and have good strategies that are more worthwhile to be automated, AND know how to program them as well.

However, not only do i not know how to program anything, but also i regret to admit that i am not very motivated to learn the programming world at this stage. Perhaps in the future, when i will have more time, i might invest some into this.

Furthermore, regarding the time to learn, i believe that considering my lack of motivation, it would be more worthwhile to invest my time trading, while someone works on the program, so that i can decrease the ETA as much as possible.

Finally, the programmer is eager to get into the trading world as a whole. Of course, the drop-out rate is huge, but i think that the worst case scenario would be a program for automated trades, while the best would be a program+a new trader to operate it.

Ultimately i plan to open a small office with some traders (either pure old-school, or gray-box), so i gotta start somehow
 
Quote from byteme:

To the OP, do you have any platform constraints? Broker constraints?



If you can share the kinds of strategies, markets, brokers you need to employ then more specific suggestions can be made.


BMe. [/B]
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I believe no constraints. I know for a fact that other traders in my firm have automated much of their trading. I also have an API guide from the software company.

Maybe we can discuss some of the strategies in PM
 
Cyborgtrading website doesn't show the cost. Any idea?

Quote from ronedawg:

Check out www.cyborgtrading.com Its a new grey box software app. It will let you design automated strategies. Very customizable and you dont have to know anything about programming. If you have day trading strategies you want to test out they also have a sim that uses real time mkt data so you can forward test them then flip a switch and go live.
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