Launched High Frequency Automated Trading Blackbox

Quote from rcfran:

What is the point of this thread??
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This is a trading website.

A member has recently deployed a fully automated trading strategy.

He has posted about it in the 'Automated Trading' forum.

Others are here discussing the topic, asking questions which are relevant to them or answering when they can.

What is the point of your question?

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2c, congrats and good luck. Let us know how things go.
 
Quote from arealpissedgoy:

Congrats on the launch.

Did you code it yourself?

How does one begin the process of creating an automated HF trading system from scratch?
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only parts of it... had to contract a top nerd mate of mine to get the whole thing off the ground, and i have a pretty strong IT, AI, Telecoms background as well although a bit dated... coding-wise, it took us twice as much effort to go from a backtest ready "system" to launch, than to go from scratch to a backtest ready "system"... there are loads of things... the fine-tuning of the auto-reconcile auto-restart on line / session failures i'll remember fondly notably...

how does one begin?: you need to have a clear rules-based system in place first, that passes manual backtesting etc at a minimum. ideally you'd want to modelize its behaviour (mathematically) and test its behaviour in extreme conditions etc so as to refine size of initial and incremental positions etc etc... otherwise your just building another time bomb... and if you have all that, then you have to take a gamble... loads of time & effort no guarantees... but so is life ;-)
 
Quote from dcraig:

if you are not a programmer to start with, I think you will just find it too difficult. Start with a basic course in programming. I'd recommend Java not because it's the best language for teaching but because you can use it both for learning to program and later for implementing a system. I can well believe that it took the OP a year. Make no mistake about the amount of work involved.

I reckon a background in real time systems of some sort (eg data comms) or systems programming is an asset.
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i won't disclose what we are using but yes, the choice of languages and the development environment etc is extremely important...

another hurdle in my case (spot currencies) was to find free / affordable & clean multi-year tick data for proper backtesting... i wasted weeks on that, had to do the clean-up etc as well... nightmare job even with the semi-automated routines etc... but no regrets...
 
Quote from TSGannGalt:

In terms of programming language, I learned Python and C# first. I've decided to take C# because I working under a Windows environment.

Now, I'm dealing with UNIX/Solaris/Windows environment and I'm turning around to learn Java. When I first did some research on which programming to learn, people mentioned about Java being slow. But I am satisfied with the recent surge in performance for Java.
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way to go, TS ;-)
 
I'm confused. As I know, in Forex you always buy at ask and sell at bid. Doing 100 trades a day means losing 200-300 pips right away, which is more than average daily range in most currency pairs.

Looks impossible to win in such setup.
 
Congrats on the launch.

btw, does anyone have any feedback for me on the best resource, tutorials, etc for learning C# for trading purposes?

I am messing around with "Ninja" and it seems their wizards are very basic, I'll need much more in-depth knowledge of C# to convert my systems to their platform.
 
Quote from 2cents:

... was like climbing mountains without map nor compass in an unknown land... fortunately, i'd done that before!
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You mean you went mountaineering without a map/compass? Why? That kind of risktaking doen't sound like a good prerequiste for a trader. :D

Anyways, good luck with the ATS, very kind of you to share here, thanks,

Ursa..
 
Quote from DonKee:

Congrats on the launch.

btw, does anyone have any feedback for me on the best resource, tutorials, etc for learning C# for trading purposes?

I am messing around with "Ninja" and it seems their wizards are very basic, I'll need much more in-depth knowledge of C# to convert my systems to their platform.
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The wizards set up your environment and give you a framework for your code. I thought that was about as much as a wizard could do really, given the complexities of what has to be coded after that.

I'm learning C# and basically, after a week or two I can get things done better and faster then I ever could with "Easy Language". The guy on the forums says there are differences between C++ and C# enough that he did not think my Sam's book on C++ was a good idea, so far, I'm fine with it all just referring to the Sam's book, Googling, looking at the coded stuff that comes with Ninja, etc...

Congrats 2C!! Enjoy
 
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