NinjaTrader vs. OpenQuant for ATS

C

coolraz

Hello,

I have some strategies running on custom C# code directly with TWS Api. I am looking to rewrite them for a more robust trading/backtesting platform such as OpenQuant or NinjaTrader.

I downloaded both and am playing around with them but since OQ only offers 30 day trial, I wanted some feedback from people about their experiences with NT vs OQ longterm?

How stable are the platforms? What features does each have that you think you couldn't live without (I am looking for features relating to ATS specifically)?

Thanks!
 
Hi,

What decision have you come to between NT and OQ? I am in the process of evaluating both as well. I am planning on doing some work with both this upcoming week so I am also interested if anyone has any feedback.

I am interested in using one of these products with IB in order to have access to real-time charts with my strategy that currently runs on MS PRO. It seems that this should be doable and would be a big savings not paying separate fees for each exchange on MetaStock Pro if I already receive real-time data through my broker. I currently pay for real-time fees through MetaStock and it seems like a waste of money if I can use one of these tools and get the data directly from IB and trade through their API.
 
I ended up eliminating NT. It's good software and certainly useful for discretionary traders but it's limited

(for example, there's no tickdata backtesting allowed, even though they provide a sort of "hack" to backtest on 1 min timeframe that was not sufficient for me)

Openquant is much more interesting for me, great interface. Although you need to be familiar with C# to use it effectivley (I am not a programmer but I know how C# works so OQ was easy for me).

The only problem with OQ for now (I have not tested it live on a paper account btw), is that when I test my strategy in backtest over anythign more than 2 months, it gives an "out of memory" exception ... I am in the process of trying to get this figured out with their support, but my hunch is this might an OQ limitation.

By the way, what I am actually using right now is TradeLink. I might actually end up staying with that if OQ doesn't work out....
 
Cool, thanks for the feedback. The folks over at the OQ message board should probably be able to help. They are pretty good at getting back to you and they seem to update the product frequently. I have done more testing so far with OQ and very limited with NinjaTrader. I don't really have a programmer background so there has been a learning curve with C#.
 
Quote from coolraz:

I ended up eliminating NT. It's good software and certainly useful for discretionary traders but it's limited

(for example, there's no tickdata backtesting allowed, even though they provide a sort of "hack" to backtest on 1 min timeframe that was not sufficient for me)

Openquant is much more interesting for me, great interface. Although you need to be familiar with C# to use it effectivley (I am not a programmer but I know how C# works so OQ was easy for me).

The only problem with OQ for now (I have not tested it live on a paper account btw), is that when I test my strategy in backtest over anythign more than 2 months, it gives an "out of memory" exception ... I am in the process of trying to get this figured out with their support, but my hunch is this might an OQ limitation.

By the way, what I am actually using right now is TradeLink. I might actually end up staying with that if OQ doesn't work out....
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Have you looked at TickZOOM yet? Just curious.

Your dead on with NT as far as tick and auto trading.

How fast was OQ? People have asked me to compare to TickZOOM but I never tried it yet.

TickZOOM has a Speed Test Video (5 mins) that shows how fast it is at tick data.

I'm curious your comparison to TradeLink? I see defect report on TradeLink about tick performance.

TickZOOM is at www.tickzoom.org

Please advise.

Wayne
 
I was going to wait until TickZoom gained some traction to check it out : )

but i might do it sooner.

OQ is fast enough for me, Honestly when I backtest like 3 month daytrading strategies I take a walk away from my computer : )

Tradelink is probably a little faster than OQ (but I haven't actually compared)

backtesting speed is not my main concern so thats not something I was really looking at.
 
Quote from coolraz:

I was going to wait until TickZoom gained some traction to check it out : )

but i might do it sooner.

OQ is fast enough for me, Honestly when I backtest like 3 month daytrading strategies I take a walk away from my computer : )

Tradelink is probably a little faster than OQ (but I haven't actually compared)

backtesting speed is not my main concern so thats not something I was really looking at.
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Interesting. Thanks for the quick reply.

What is your "main" concern?

When I run a 3 month test on TickZOOM it finishes in 10 seconds. So I see the result, fix it and do another test. Makes me 100 X more productive with my limited time.

Wayne
 
Plus, it seems strategies work more reliably when tested on 5 years of tick data. (which should only take less than a minute with current CPU power.)
 
Quote from greaterreturn:

Have you looked at TickZOOM yet? Just curious....

Wayne
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No offence as I've been following your threads closely, but I haven't seen any download links yet to actually try it out. Did I miss that? Until then I guess we've got to use what we can get our hands on.
 
Quote from damon_achey:

No offence as I've been following your threads closely, but I haven't seen any download links yet to actually try it out. Did I miss that? Until then I guess we've got to use what we can get our hands on.
More...

Agreed. Use what you can. TickZOOM will be released by end of this year.

I was mainly caught by the title of this thread comparing to OpenQuant.

Is it fast enough for tick back testers. Unclear.

Does it transition custom trading rules easily to a black box trading server?

I hear mixed stuff on OpenQuant and would like clear answers.

Maybe I just have to take time to try it out myself. You never know, I'll probably learn something.

Wayne
 
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