Let's collaborate - components of a good ATS

6

65Matt

Let's talk about some components of a good ATS. I think we can each contribute something without divulging our edge. Im not trying to sell anything, just trying to share and learn.

Well, here goes my contributions. Based on my lmited experience, I think a good ATS should:

- Be stable (software, power supply, internet connection, connection to broker's API, all relatively bug free)
- Be fast as necessary for your trading style (this may involve running it on a server)
- Record and store market data
- Be thoroughly backtested, without peeking into the future, and on a constant position size (increasing position size over time could be misleading)
- Have good risk control (how much capital is at risk for each trade)
- Have good money management (pyramiding, stops, position sizing)
-Manage orders without losing them (during normal trading, heavy trading, and loss of connection)
- Have blackout periods tied to specific times (scheduled news events, periods of low volume and lquidity, etc.)
- Have multiple exit strategies (I am finding that stop, limit, and exit signal all working together works well)
- Have a maximum daily loss that shuts everything down in case of a market crash or black swan event
- Pauses program during loss of feed and resumes when feed begins again
- Reconnect to broker if feed/connection is lost
- Limited capital in account being traded (hold the rest of capital in another account not subject to risk)
- Have emergency plans (hotkey for cancelling and closing all orders in case something goes wrong, brokers phone number & account number handy)
- Multiple brokers?

I'm sure Im only scratching the surface. What else?
 
I'd suggest some hardware items:

UPS
backup computer that will come online if the primary computer fails
2 data feeds, a primary and backup
2 Internet accesses, say cable and dsl with auto switching

And, a set routine to test all of the above so that when they are needed, they will work.


DS
 
Forward testing is as important as back testing, if not more important.

If it doesn't forward test in line with back tests, you probably missed something.

Runningbear
 
Are you serious? Any ATS worth it is going to run in a data center on some serious hardware and not rely on some slow/flaky residential connection(s).

Quote from dougcs:

I'd suggest some hardware items:

UPS
backup computer that will come online if the primary computer fails
2 data feeds, a primary and backup
2 Internet accesses, say cable and dsl with auto switching

And, a set routine to test all of the above so that when they are needed, they will work.


DS
More...
 
Quote from stephencrowley:

Are you serious? Any ATS worth it is going to run in a data center on some serious hardware and not rely on some slow/flaky residential connection(s).
More...

I think you are filled with hubris.

I autotrade from home with good success. You seem to think that is not possible. My flaky net connection is very stable and it has been a couple years since I had to go on backup.

At this point, I have not figured out how to switch automatically from my primary computer to the backup.

DS
 
That's what my company has. It is making money constistently on high-frequency arbitrage using custom developed trading system with the most critical part of it a high-efficiency market depth processor that provides marked depth info with latency less than a millisecond (actually 1/10 of ms). It conforms to posted ATS "spec" and the funniest thing - it is running on abunch of cheap PCs under Windows :)
 
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