Marketcetera

[bluelou]

Marketcetera is a fairly new open-source trading platform. My post here is not a recommendation. I just thought I might be able to save people some time since the capabilities of the s/w aren't clear from the website.

At this point there isn't really much to this platform though I suspect this will change overtime. Right now, it's more of an amalgam of other resources such as QuickFix, Esper, QuantLib, etc.

Currently, only equities and FX can be traded on the platform.

Aside from running your Java or Ruby strategy and using QuickFIX connectivity there doesn't appear to be much to the platform yet.

There's no strategy development module. There is no way to work with tick or volume bars unless you write this application yourself.

If you want anything more than what I mentioned above then you have to pay them and it isn't cheap. A price list can be found on their website.

I'm not saying that Marketcetera is good or bad. My first read is that there just isn't much "platform" there yet. But my hopes are high for these guys.

-bluelou

 

[ATLien]

I've found it to be quite nice and have picked up a few things browsing the source. I definitely think they're heading in the right direction to create a nice open source platform to work off of, but it will never be a off the shelf retail type product.

 

[bluelou]

AT,
Maybe you could share some wisdom here. What do you see as the advantage of Marketcetera versus using a broker's API? (other than not being limited to one broker)

I'm about done with the retail products (using NinjaTrader currently) and I'm looking for a scalable solution w/o astronomical monthly user fees.

 

[chaostheory]

Quote from bluelou:

I'm about done with the retail products (using NinjaTrader currently) and I'm looking for a scalable solution w/o astronomical monthly user fees.

Scalable in what way? Number of trades? Number of instruments? Number of servers? Hmm.

 

[bluelou]

# of instruments or # of strategies (if you run more than one strategy per instrument).

Ninja users know that it's a pig w.r.t. memory, especially when it comes to working w/tick data.

 

[chaostheory]

Quote from bluelou:

# of instruments or # of strategies (if you run more than one strategy per instrument).

Ninja users know that it's a pig w.r.t. memory, especially when it comes to working w/tick data.

Oh. For real. I tried it. you're right. But it's awesome for discretionary stuff.

If you really care about speed, I tried one system that almost made me pee on myself. It ran through over 100 million ticks in under 5 minutes and never used more than about 80 meg of CPU.

It even actually shows the whole history of the trades on a chart and is instantaneous at zoom, scroll, etc.

It ...

It ..

well it has other problems. But speed and efficiency. Oh my god.

 

[chaostheory]

Quote from chaostheory:

well it has other problems. But speed and efficiency. Oh my god.

Oh, you mentioned multiple instruments. That's one limitation of the one I mention. It doesn't have multiple symbol support yet.

You can't seem to win for losing with systems. Although, it does have portfolio support but only on one instrument. Go figure.

 

[bluelou]

chaostheory,
I was just reading through some of your old posts. I saw a reference to TickZOOM and TradeLink - can't recall if you were the one who mentioned these two. At any rate, have you tried either of these? Are there any other platforms you would suggest.

Here are my 2 biggest concerns with Ninja that I need to resolve very soon:

1) I can only auto-trade a few instruments with Ninja b/f I max out the memory. I'm working w/tick data - which Ninja doesn't seem to handle very well.

2) Backtesting w/tick data in Ninja is painfully slow - again, b/c Ninja doesn't handle tick data efficiently.

So, those are the problems that I'd like to resolve w/another platform. Or, I'd even use 2 platforms if necessary: one for trading and one for testing. I'm open to your suggestions.

-Lou

 

[chaostheory]

Quote from bluelou:

1) I can only auto-trade a few instruments with Ninja b/f I max out the memory. I'm working w/tick data - which Ninja doesn't seem to handle very well.

2) Backtesting w/tick data in Ninja is painfully slow - again, b/c Ninja doesn't handle tick data efficiently.

1) tickzoom only handles one symbol so far even though it has decent (and fast) portfolio trading. All the strategies run in the same instrument for now. They say multi-symbol is coming next month.

FYI The writer of TZ has old posts on here at first say it would be open source and free. That keeps changing. Now it costs money. Next they're starting to restrict access.

2) TradeLink is a different animal which focuses on being a general interface to many different brokers. But it has some tools for testing. It seems it can work but you may have to write more code to get your strategy working than on a systems like NT or TZ.

Of course, both keep releasing new features and fixes constantly. Some are waiting for TZ to have multiple symbol support if we can still afford the price then.

It's like there's no really perfect solution.

 

[bluelou]

I'd like to give TickZOOM a try. It looks like they're working on improving it pretty aggressively. It shouldn't be too difficult to port my C# on Ninja to C# on TickZOOM.

Thanks for your help,
Lou