modify an exising automated trading package or build a new one ?
- Thread starter ecoscien
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I did not like the bloat in Tradestation and Easylanguage and I wanted a 'fast' charting application with my own automated 'exit strategy' based on a database. So over the past 2 years I developed a MFC C++ application using InteractiveBrokers' API. I make sure that every MFC build also runs under Linux WINE so that I can open my database while running Windows2K or under Linux. In the beginning all I wanted was a simple app as a backup and a means of capturing market data. Now it is my primary trading application and Tradestation is my backup.
Data is available to me when backtesting under Linux or when trading (Windows) during the day.
So far no problems. In the future I will adopt an IB API that is Microsoft independent so that I can trade under Linux. Not a major priority for me as I will probably always have a Windows machine up and running.
VisualStudio and WINE give me easy debugging tools, fast UI development, easy database integration, and runs on any recent version of Linux or Windows.
Good luck!
slacker -- another option to consider is using VMWare -- then you can have multiple OS's on the same machine 
Yes, VMWare is ok. I used VMWare clients with both Linux and Windows as the host os several years ago. It was almost fast enough to trade.Quote from SideShowBob:
slacker -- another option to consider is using VMWare -- then you can have multiple OS's on the same machine
Several VMWare clients running on a single host during a fast market will slow down everything....
VMWare is expensive, in my opinion, and does not address hardware failures. With multiple monitor video cards, KVM switches, and cheap CPUs there is little motivation for me to use VMWare. I like what they are doing, but it doesn't help me...
Good luck!
Thank you, mrtwo, you have been really helpful. I am learning wonderful stuff here.
Combined with your earlier advice of making good, educated use of threads, I guess the best practice would be putting a lot of thoughts into coming up with a simple and effective design?
I think you are right, I should just stick to the good old Unix. Does any body know any good GUI sulotion for Unix development? Of course, one can always give up the luxury of GUI.
Craig, do you know any links to IDE for Unix or Java?
But..
Ooch.
It certainly is very helpful.
I am thinking of implementing the first very simple trading algo---just a trailing stop to watch over positions while I am away. Would Tradestation suffice for that? I read that TS can only input data to the hour? that wouldn't help real-time risk management too much.
Would anyone care to share their experience using auto algo to risk manage exit points, limit versus market orders? To what extent can you leave it to auto algo to 'position watch' so that you can be away for a few days?
Thanks for all the helpful information that you guys are contributing, I really appreciate it.
Thanks. I am not there yet but I will remember this advice.
Combined with your earlier advice of making good, educated use of threads, I guess the best practice would be putting a lot of thoughts into coming up with a simple and effective design?
I think you are right, I should just stick to the good old Unix. Does any body know any good GUI sulotion for Unix development? Of course, one can always give up the luxury of GUI.
Craig, do you know any links to IDE for Unix or Java?
Sounds like that will require deep understanding of all the OS, not having that I thought coding in Java would be a good substitute, with the potential benefit of even porting to Mac OS 64 bit in the future...I would pick a platform, either one of the two and just stick to it. Cross platform development adds more risk to your project than it makes it 'safer'. As a rule, you only code with more than one platform in mind when you are required to.
Yes, that is the theory. When you are aware which OS features are safe to use on both platforms, you can code a "OS abstraction layer" to hide the specific implementations from your aplication - this way, when the time comes, you will only replace this abstraction layer and your code should, hopefully, work on a different platform
But..
Ooch.
I hope that helps
Peace,
MrTwo
It certainly is very helpful.
I am thinking of implementing the first very simple trading algo---just a trailing stop to watch over positions while I am away. Would Tradestation suffice for that? I read that TS can only input data to the hour? that wouldn't help real-time risk management too much.
Would anyone care to share their experience using auto algo to risk manage exit points, limit versus market orders? To what extent can you leave it to auto algo to 'position watch' so that you can be away for a few days?
Thanks for all the helpful information that you guys are contributing, I really appreciate it.
I just saw this... Are you saying that you can use Visual Studio on Linux as well, how about Unix? What is MFC? It looks like that is how I should program a simple exit auto algo. It shouldn't take 2 years just for that part? Thanks.
So obviously your exit algo is working, so it lets you slack off?
MRTWO,
I really liked your comments, I don't know if it's because I'm a micrososft biased programmer. But I really would like to know where future is, even if I have to relearn all again !!
I have many year of development under windows using VISUAL STUDIO C++ and also some years of C# (almost since the beginning) .... and I have only been developing in trading desk environment (+-10 years)... I also have founded a well performed hedge fund (top 1) in the past in a emerging market country. So i "consider" my self as not to be a amateur in computing and also in trading.
But, now and then I hear people speaking of linux as a dream OS.... so I rendered myself and installed linux, but I felt it was a nice OS but not good for electronic trading.
I will continue to "give a try" to this OS (as a hobby), but I think it is a promising land.... I will only shift when a good "visual studio" equivalent is in place. Until that I will stick with my good "old" Visual Studio.... very flexible, nice, pratical... and CHEAP for OUR business (if you consider the benefits that it provides for electronic trading).
Now my question for YOU:
Why there are SOME people "selling" linux as a good OS for financial development ?
* I want to be a platform independent programmer, but in the near future... I can only see Visual Studio as an alternative. If there is a LINUX afficcionado out there and mad at me at the moment... please help me find a good "Visual Studio replacement" under linux , so I can change my mind.
* Not to mention what the combination Excel + Visual Studio can do !
here is a very nice forum !
Best Regards to all and good trading for everybody !!
FDS
I really liked your comments, I don't know if it's because I'm a micrososft biased programmer. But I really would like to know where future is, even if I have to relearn all again !!
I have many year of development under windows using VISUAL STUDIO C++ and also some years of C# (almost since the beginning) .... and I have only been developing in trading desk environment (+-10 years)... I also have founded a well performed hedge fund (top 1) in the past in a emerging market country. So i "consider" my self as not to be a amateur in computing and also in trading.
But, now and then I hear people speaking of linux as a dream OS.... so I rendered myself and installed linux, but I felt it was a nice OS but not good for electronic trading.
I will continue to "give a try" to this OS (as a hobby), but I think it is a promising land.... I will only shift when a good "visual studio" equivalent is in place. Until that I will stick with my good "old" Visual Studio.... very flexible, nice, pratical... and CHEAP for OUR business (if you consider the benefits that it provides for electronic trading).
Now my question for YOU:
Why there are SOME people "selling" linux as a good OS for financial development ?
* I want to be a platform independent programmer, but in the near future... I can only see Visual Studio as an alternative. If there is a LINUX afficcionado out there and mad at me at the moment... please help me find a good "Visual Studio replacement" under linux , so I can change my mind.
* Not to mention what the combination Excel + Visual Studio can do !
here is a very nice forum !
Best Regards to all and good trading for everybody !!
FDS
VisualStudio does not work on Linux. I program with VisualStudio under windows, and have a trading program built with Studio that can run on both Linux, Solaris and Windows.
I started 2 years ago but only program when I want to add something. Usually nights and weekends. In the last six months I have written very few 'new features' as I am very satisfied with what I have today.
WINE is an environment that allows windows apps to run under Linux.
http://www.winehq.com/
Codeweavers is a commercialization of WINE
http://www.codeweavers.com/
My approach lets me program a single app with VisualStudio (under Windows) and run it on several different OSs.
However, if you are new to programming it is impossible to say how long anything will take to develop, other than to say, 'more time than expected'!
Good luck