NinjaTrader vs OpenQuant for automated trading

Quote from RedEyeFly:

Looking at Ninja Trader 7 (64Bit) vs OpenQuant software as a platform to develop and later run short term automated trading (no not high freq.) using the C# language.
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Is OpenQuant still alive? Seriously I haven't heard anyone mention it in over a year, until I got a notification that this thread was updated.

I've programmed Ninja v6.5 and ran automated strategies for about a year. No major problems. Now I trade manually with NT7 but it's rock solid.

Anyway, the reason I reply is just to say that NT's support is excellent. I usually get a reply on their forum within a few minutes. Even on weekends. Truly amazing. They bend over backwards to help you. So for this alone I highly recommend it. Not to mention that it's free until you run live with real money, which would probably be months away.
 
Yes, that's true. NT only allows connections to certain brokers and data feeds. With the brokers I'm pretty sure that's how NT gets paid.

NT seems to be very diligent about fixing bugs. Every new release lists the bug fixes that have been made. NT7 is somewhat different than NT6.5. There are some code breaking changes. But, it wasn't anything that I wasn't able to adapt to within an hour or 2 since NT specified where the code breaks were.
 
@cunparis

I totally agree. I thought OQ was dead. Almost no activity on the forum. They had me sign an NDA to test a new product a few months ago but they never followed through.

For the price you really cant beat NT's support. If you really get stuck they'll even arrange a call and login to your PC. They've done this 2x for me. It's not sthg they do often but if they think it could be a bug in their platform they'll go out of their way to help. In my particular case, however, they weren't able to help and I ended up finding the solution on my own. But, at least they put forth the effort.
 
Quote from bluelou:

3) If you're not working w/tick data (at least for backtesting on NT) and don't need to extend the platform then I think it's a reliable platform for autotrading.

It's still nearly worthless when backtesting with tick bars.

However, I'm pretty sure almost all of the other retail platforms load backtesting data the same way. The exception is OpenQuant, which allows you to store bars objects to be called in testing as needed. All of the other providers should be handling this the way OQ does. Having said that, I wouldn't use OQ even if they gave me my $800 back. Unreliable support makes OQ a much riskier bet than most platforms. Maybe OQ has changed since then?

Good luck,
Lou

P.S. I'm probably switching to an institutional platform. I'll know for sure in the next few weeks. The main reasons are the painfully slow backtesting speeds w/tick data in NT and the inability to create inhomogeneous time series (b/t the data provider and NT). [/B]
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Lou,

Thank you for the reply. I am backtesting and loading charts using tick data. Could you offer in more detail where the problem comes in using tick data. I'm on NT 7 and so far everything seems to be working properly. I'm backtesting and loading tick data and classifying it on the bid. I plan to move to bid/ask data set shortly and would like to stem off any issues for this at the bud.

I would be interested to hear what institutional platform you're investigating. The only real barrier for most of these platforms is the programming prowess required to properly operate them (and the initial outlay cost is usually more substantial.)

Thanks Lou,
Red
 
Red,
Perhaps if your strategy is simple enough then you won't have any problems w/tick data and NT7. My code contains several loops and maybe this is part of the problem. All I know is that when I run it on time bars the strategy tests quickly but it does not w/tick bar data.

For me, a single test run on 18 months of tick bars can take 10 minutes. Also, the memory seems to bloat over several consecutive test runs (not horribly, but I've noticed it over 10+ iterations). To me, this is no way to do an optimization. I'm looking to test 5 years worth of tick bar data with < 1 minute per test.

Regardless, I'm glad it's working out for you.

-Lou
 
Quote from bluelou:

Red,
Perhaps if your strategy is simple enough then you won't have any problems w/tick data and NT7. My code contains several loops and maybe this is part of the problem. All I know is that when I run it on time bars the strategy tests quickly but it does not w/tick bar data.

For me, a single test run on 18 months of tick bars can take 10 minutes. Also, the memory seems to bloat over several consecutive test runs (not horribly, but I've noticed it over 10+ iterations). To me, this is no way to do an optimization. I'm looking to test 5 years worth of tick bar data with < 1 minute per test.

Regardless, I'm glad it's working out for you.

-Lou
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Lou -- what platform are you using that can test 5-years of tick data in less than 1-minute?

Thanks much in advance.

PS: Regarding OQ vs NT, I echo what others have already said -- NT has a much more active community of supporters.
 
I can agree with Lou in some part. There are times when the entire system slows for no apparent reason. My code is complex so I expect some processing time, but I'm also running a 970 i7 Chip which is fairly speedy.
 
One great feature of Ninjatrader is market replay. I'm currently working on some complex order book analysis and this can't be backtested. But I use market replay at 500x and I can run through an entire session in 5-10 minutes or so. This has been very valuable for me to test & tweak my algorithms.

I'm not a fan of backtesting especially optimization, but if you have to one can always use market replay.
 
@cunparis,
How do you use Market Replay and trade on the same PC?

I haven't tried it since NT 6.5. It looks like an interesting feature but I'd need to collect quite bit of historical data w/o outages. It seemed that running the data collection for Market Replay slows the platform somewhat.

Also, I do my trading and development on separate PCs so I guess I'd have to export the Market Replay file to my development PC. Can this be done?
 
Quote from bluelou:

@cunparis,
How do you use Market Replay and trade on the same PC?

I haven't tried it since NT 6.5. It looks like an interesting feature but I'd need to collect quite bit of historical data w/o outages. It seemed that running the data collection for Market Replay slows the platform somewhat.

Also, I do my trading and development on separate PCs so I guess I'd have to export the Market Replay file to my development PC. Can this be done?
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I collect data for market replay all the time, I haven't noticed any performance impact. I have a quad-core with 8 gigs ram. If I miss a day I can download it from the ninjatrader server. They are files so you can copy them to another pc, back them up, etc. People used to trade market replay files but now they're available for download (recent ones at least).

You cannot replay the data while connected to a live feed, so i only do that outside my trading hours. One could use another pc for that.
 
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