NinjaTrader vs OpenQuant for automated trading
- Thread starter gaiusparx
- Start date
What i would look at is the following: can the program in question recover gracefully from a temporary disconnect (be it connectivity loss, local computer reboot, broker outage, etc.).?
After a reconnect the system should be aware of its pending orders and which positions (if any) 'belong' to it. It should also be able to decide if an action needs to be taken due to changed price situation.
This is a problem with most consumer-level ATS software, and the problem often is in the details. I have yet to come across a software that can handle this reliably. It also makes unattended autotrading impossible.
After a reconnect the system should be aware of its pending orders and which positions (if any) 'belong' to it. It should also be able to decide if an action needs to be taken due to changed price situation.
This is a problem with most consumer-level ATS software, and the problem often is in the details. I have yet to come across a software that can handle this reliably. It also makes unattended autotrading impossible.
If the software just provided access to everything available from TWS for example then all the status info required would be available to your script, no? Most of the packages assume that you are not going to want to get much from the broker software for no good reason I have EVER been able to deduce, they require you to monitor things for "out of sync" conditions... i never could fathom that. If you can get a list of all your orders and their status, your connection status, etc. you could run some code on reconnect and hit the ground running after a disconnect... old dynaorder software that interfaced TS2000 to IB had all that but they went belly up as a business and their software died. After that Tradestation became a brokerage and their software does not have that capability, the developers at Openquant just seem to be catching on to the idea currently and somebody posted that tradebullet had expanded that capability, Multicharts doesn't have that capability at all seemingly.... I had a hard time making the guys at Openquant understand that I would like to be able to check orders and positions when a strategy started up!! That was just a way to approach the idea of access to all the stuff that TWS knows.. why the hell would I not want all that? I may actually resurrect TS2k and try tradebullet if it gives full access to what TWS knows, I could run a zillion scripts on a zillion instruments, unattended, in concert with manual trading, if my scripts could just get the info that is available from TWS running on my own machine! Do I seem a little frustrated in this regard? It's because I'm frustrated in this regard and have been for a long time.......
Is there any "none consumer-Level ATS software" that can handle the above
1. Both are based upon C# extensions
2. NT is better documented and more widely used
3. NT suffers from a $0.10 penalty for infringing on TT patents. Doh!
4. OpenQuant is a shoe-in for SmartQuant
5. SmartQuant has Quantfeed. Which means receiving data in well under 6 milliseconds. This is a MUST-HAVE for automated strategies that have too-high efficiency issues
6. Quantfeed costs over $100k/year. DOH!
7. NT ain't that bad after all
It really depends on where you're heading and the type of strategy you intend on executing.
2. NT is better documented and more widely used
3. NT suffers from a $0.10 penalty for infringing on TT patents. Doh!
4. OpenQuant is a shoe-in for SmartQuant
5. SmartQuant has Quantfeed. Which means receiving data in well under 6 milliseconds. This is a MUST-HAVE for automated strategies that have too-high efficiency issues
6. Quantfeed costs over $100k/year. DOH!
7. NT ain't that bad after all
It really depends on where you're heading and the type of strategy you intend on executing.
Open Quant has always been the best product for automated trading systems. Clearly!
NinjaTrader has come a long way and is a great product comparable to that of openquant.
However, when it comes down to it OpenQuant is just more powerful, it is much more customizable, offeres slightly more features, and I love how OpenQuant looks like Visual Studio, in fact you can even program in visual studio if you like.
with openquant you have the ability to create a plugin for your own data source or broker.
But the main thing. Coding in Openquant is MUCH cleaner that NinjaTrader.
Bottom line is I love OpenQuant. I still use it to this day, and have had no problems
NinjaTrader has come a long way and is a great product comparable to that of openquant.
However, when it comes down to it OpenQuant is just more powerful, it is much more customizable, offeres slightly more features, and I love how OpenQuant looks like Visual Studio, in fact you can even program in visual studio if you like.
with openquant you have the ability to create a plugin for your own data source or broker.
But the main thing. Coding in Openquant is MUCH cleaner that NinjaTrader.
Bottom line is I love OpenQuant. I still use it to this day, and have had no problems
NinjaTrader_Ray
ET Sponsor
NinjaTrader offers this as a choice to theh user. Users can choose to use our non TT licensed SuperDOM for discretionary trading that does not incur a $0.10 fee.