Need tips on developing my own ATS to trade FX

[const451]

Quote from Davdse:

http://www.lmaxtrader.co.uk/apply-for-an-account

"Please note we are unable to accept applications from US residents."

That's a shame...

Another option is Dukascopy, with a $1000 minimum opening balance. However, their API is a Java one: http://www.dukascopy.com/swiss/english/forex/jforex/library/

Another option is to use MBTrading's FIX interface (as one of the few retail brokers, TCP/IP based) - http://www.mbtrading.com/developersMbtFixGateway.aspx . However, it's unclear if it can be used for trading FX. Also see http://fixprotocol.org .

And unfortunately, that's basically it, in retail land... Of course there's MetaTrader (http://www.metatrader5.com/ or -4.com), but it's not really as "custom" as you want it.

Thanks a lot. I am currently emailing with MB Trading. They do not have any specific info on the website. They provide FIX for orders only including FX, they have API Quote for data streaming, it's also language and platform agnostic; they also have MBT SDK which is Microsoft only COM interface which also includes historical data besides ordering and data streaming. Min account $400. Looks good except I'll have to use at least two APIs.

 

[const451]

Quote from rosy2:

what would a messaging mechanism provide for this? I do use a messaging but its not needed for order handling

You place an order #1 it does not come back immediately, then you place order #2, then order #1 comes back filled out... don't you need to use messaging for that?

 

[rosy2]

Quote from const451:

You place an order #1 it does not come back immediately, then you place order #2, then order #1 comes back filled out... don't you need to use messaging for that?

you place an order 1 and update your OrderManager class.
you place an order 2 and update your OrderManager class.
order 1 comes back and you update your OrderManager and Position classes.

where is messaging required in your scenario?

 

[RockMachine]

Quote from mcgene4xpro:

I like to discuss only the bad scenario. so, if all correlated " I agree 100% this will happen, and maybe the first hour you trade ". Do you think that starting small is the major defense? if not, how will you deal with?

I keep it small 0.02%-1% max risk per strategy. Correlation is a moving target, often youll notice pairs are correlated on 15 min and uncorrelated hourly, daily etc. For me I try to be profitable
every month (Which I am not). But I can track each strategy
backtested and realtime on a monthly basis to see over many trades if my correlations are low.

 

[mcgene4xpro]

Quote from RockMachine:

I keep it small 0.02%-1% max risk per strategy. Correlation is a moving target, often youll notice pairs are correlated on 15 min and uncorrelated hourly, daily etc. For me I try to be profitable
every month (Which I am not). But I can track each strategy
backtested and realtime on a monthly basis to see over many trades if my correlations are low.

Diversification is a real choice in trading. However, up to 1% risk per strategy but for how many !! strategies.

Using different time frames with different strategies is also a smart choice. but Down correlation will still happen.

I hope your testing will reveal a profitable setup. Keep informing us the results.

Thanks

 

[RockMachine]

6 strategies on 5 pairs. It's rare but if all strats had a position simultaneously my total risk entry-stoploss would be 4.4%.
Test and Live results are attached.

 

[mcgene4xpro]

Quote from RockMachine:

6 strategies on 5 pairs. It's rare but if all strats had a position simultaneously my total risk entry-stoploss would be 4.4%.
Test and Live results are attached. [/QUOTES

I expect your sharpe is good. However, how many trades over the tested year?

 

[const451]

Quote from rosy2:

you place an order 1 and update your OrderManager class.
you place an order 2 and update your OrderManager class.
order 1 comes back and you update your OrderManager and Position classes.

where is messaging required in your scenario?

I do not know yet I am learning THX

 

[RockMachine]

Quote from mcgene4xpro:

Quote from RockMachine:

6 strategies on 5 pairs. It's rare but if all strats had a position simultaneously my total risk entry-stoploss would be 4.4%.
Test and Live results are attached. [/QUOTES

I expect your sharpe is good. However, how many trades over the tested year?

1,700..tested trades. As far as Sharpe Ratio, I have yet to come to a solid calculation as to accurately measure that ratio. For instance is the true RFR a 90 day tbill when comparing a program that holds from minutes to days?

 

[bpcnabe]

Quote from const451:

I thought IB requires 10K for non-Pattern Day Traders, and 25K o.w.

10K is still a bit too much, I was thinking to start with 2K. - thanks.

You need 10k to open an account with IB unless you are a student or some other criteria. Once deposited and open, you can turn around and take out 8k if you want. IB needs on deposit 2k in order to margin trade. If you drop below that, they may restrict you (not sure, never had to test that theory).

The PDT thing you keep obsessing over is for equity and equity option trading. Please google it and educate yourself.