HOWTO: Automated Trading

R

realnewbie

As somebody new to trading, I am curious as to how you can construct and test fully automated trading models, first on a training set (historical data) and then on streaming real-time data. I am a computer programmer experienced in the analysis of large data sets and think that statistical modeling of tick-by-tick market data (coupled with companies' financial data) should yield useful information about how to trade profitably in the future.

Is there any way to gain access to market data and analytical software with a limited initial investment? I am unwilling to put any significant amount of money up until after I have had an adequate opportunity to develop, test, and simulate various trading models.

Also, out of curiosity, how many of you actually sit in front of a computer all day and manually create and execute orders? Do any of you work for hedge funds that employ fully automated trading strategies or has LTCM scared away any likely players in this space? Would you consider yourselves momentum/day traders or hedge fund analysts?
 
Ideas:

1. For EOD data and research: TC2000 ~ $30/month
Alternative is free EOD Yahoo data and other free web stock tools

2. Open IB account. Then you can trade 100 shrs or less for $1. Use the IB API to interface for RT data and trading. Use the IB Demo account. http://www.interactivebrokers.com/html/webhelp/webhelp.htm

3. "Borrow" Visual Studios (older copies work fine), VB, C++, C#, .NET, or whatever from work and program your own backtesting and auto-trading systems. Excel is also very powerful for analysis and testing and maybe there is an older copy laying around too.

4. Can you eventually make decent money from this stuff? Yes.

good luck
 
Quote from realnewbie:

As somebody new to trading, I am curious as to how you can construct and test fully automated trading models, first on a training set (historical data) and then on streaming real-time data. I am a computer programmer experienced in the analysis of large data sets and think that statistical modeling of tick-by-tick market data (coupled with companies' financial data) should yield useful information about how to trade profitably in the future.

Is there any way to gain access to market data and analytical software with a limited initial investment? I am unwilling to put any significant amount of money up until after I have had an adequate opportunity to develop, test, and simulate various trading models.

Also, out of curiosity, how many of you actually sit in front of a computer all day and manually create and execute orders? Do any of you work for hedge funds that employ fully automated trading strategies or has LTCM scared away any likely players in this space? Would you consider yourselves momentum/day traders or hedge fund analysts?
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Dear realnewbie:

Any automated trading must start with a well defined strategy. There are tools to do that such as Trade Station or Wealth Lab.
Once you pass this step the automation will become self evident to you.
Cheers,
 
A good number of automated traders are using a combination of E-Signal (for real-time data), Wealth-Lab (an automation & backtesting engine), and Interactive Brokers for a set-up.

There are multiple sources where one can purchase historical intraday data for stocks / futures for system development and backtesting. Wealth-Lab is an excellent platform for both back-testing, and as a real-time automation/trading engine.
See http://www.wealth-lab.com

- Greg
 
For historical data use TC2000. They have a SDK that allows you to read the historical data into your own program, where you can program any test scenario you want. Integrating that with real time APIs like IB, Cybertrader, etc, you can develop your automated trading model/decision system and auto execute live orders in real time.
 
Quote from echo33029:

For historical data use TC2000. They have a SDK that allows you to read the historical data into your own program, where you can program any test scenario you want. Integrating that with real time APIs like IB, Cybertrader, etc, you can develop your automated trading model/decision system and auto execute live orders in real time.
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Is there any pre-existing software that allows you to auto execute simulated orders in real-time? Once a model is built using the historical data as a training set, it would be nice to be able to test it against live data without putting capital at risk. What would the start-up cost of the software and data packages described in this thread be (i.e. Wealthlab+eSignal+IB+one of the historical data archives)?

Thanks again.
 
Quote from realnewbie:

Is there any pre-existing software that allows you to auto execute simulated orders in real-time? Once a model is built using the historical data as a training set, it would be nice to be able to test it against live data without putting capital at risk. What would the start-up cost of the software and data packages described in this thread be (i.e. Wealthlab+eSignal+IB+one of the historical data archives)?

Thanks again.
More...

if you are programmer-it not going to take long to write your own application for order execution using IB's API for example. write down into file your order price unstead placing real order.
again-it depends on style your choose. if you planning to trade 1-5 days swings with few signals a week-why do you need all this stuff? get free scottrade demo,connect it to free QuoteTracker, put alerts-and if they pop up-pretend you got fill.
if you planning to scalp-that a different story, but i'm sure such apps does exist.
 
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