Thx for that. I didn't know that you could get MktReplay files from the NT server. It's unlikely that I'll have a chance to use it but at least I know it's feasible. W/o a way to fill in missing data and w/NT6.5 it didn't make much sense at the time but it seems like a better proposition now.
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NinjaTrader vs OpenQuant for automated trading
- Thread starter gaiusparx
- Start date
It looks like OQ has a new product in beta called visual quant.
Here's the link:
http://www.smartquant.com/visualquant/
Here's the link:
http://www.smartquant.com/visualquant/
Quote from bluelou:
It looks like OQ has a new product in beta called visual quant.
All the acronyms they use in the description makes me really suspicious of the rest:
CEP (Complex Event Processing), RAD (Rapid Application Development), event-driven algorithmic trading, Microsoft .NET, Visual Language, Workflow (WF) and Presentation (WPF) Foundations development
Pretty funny really.
Maybe they are using all of those things to great effect. But, it's brought to you by the same team that could have dominated C# trading system development for both retail and institutional but botched it big time. Perhaps they'll just end up educating their competitors like they did the last go around.
I've just been trialling OpenQuant and have decided to give up on it. I was porting an automated strategy from MetaTrader because I want to trade through Currenex.
My strategy is mainly contained in a DLL so the MetaTrader code is just a simple wrapper that interfaces with the MT framework to send orders, cancel orders, and get the account equity for calculating position sizing etc so should be an easy candidate to port.
With OQ, I had several problems :-
1. I couldn't import my DLL into OQ regardless of how I built it in VS2010. In the end, I ended up using the .net interoperability library to call the DLL directly from C# - no clues on the OQ forum or documentation on how to do this.
2. I couldn't connect the Currenex FIX adapter to my broker. Asked on the support forum and no help. It turns out that the broker uses SSL (as you'd expect) but the OQ adapter doesn't support SSL. Eventually I overcame this problem by running stunnel
3. Memory leaks - OQ slowly grows in size for a couple of days and then crashes. Solution: restart periodically - and lose historic data capture.
4. Can't get stops to work - sort of fundamental but no sample code and I've tried everything obvious from the API.
5. Historic data - OQ doesn't manage historic data for you. It will build bars based on quotes or trades and send them to your strategy code but it doesn't store them in it's historic database. You have to do this yourself by adding code to your strategy but it doesn't commit them until you exit so if it crashes and it does frequently you lose all of your bars captured in that session. Guess what it doesn't try to request historic data to fill the missing bars either. So this means that all of your TA indicators are out.
6. Charts only update when a new bar comes in (once an hour in my case) - would have been nice to have them continuously updated on quotes like every other platform does.
7. Can't backtest and run live at the same time unless you have two machines.
8. Getting account balance from broker can't be done - messages aren't implemented in the FIX adapter.
9. Backtesting is incredibly slow - takes around 60 seconds to backtest my strategies on 10 years worth of hourly bars and it does nothing to try and simulate quotes within those bars so you can't test stops or anything else that happens intra-bar. As a comparison, my C code does a 100 backtests / second with the same data and strategy.
At this point, I thought I might as well just wrap my DLL around Quickfix. I really wanted to like OQ as it looks nice and the 'event driven' framework looks well thought out but in reality it's just a simple object model around FIX - I'm sure you write the same in a couple of days.
It's probably a better experience if you are using IB rather than FIX but for me it feels half complete, buggy, poorly documented and poorly supported.
My strategy is mainly contained in a DLL so the MetaTrader code is just a simple wrapper that interfaces with the MT framework to send orders, cancel orders, and get the account equity for calculating position sizing etc so should be an easy candidate to port.
With OQ, I had several problems :-
1. I couldn't import my DLL into OQ regardless of how I built it in VS2010. In the end, I ended up using the .net interoperability library to call the DLL directly from C# - no clues on the OQ forum or documentation on how to do this.
2. I couldn't connect the Currenex FIX adapter to my broker. Asked on the support forum and no help. It turns out that the broker uses SSL (as you'd expect) but the OQ adapter doesn't support SSL. Eventually I overcame this problem by running stunnel
3. Memory leaks - OQ slowly grows in size for a couple of days and then crashes. Solution: restart periodically - and lose historic data capture.
4. Can't get stops to work - sort of fundamental but no sample code and I've tried everything obvious from the API.
5. Historic data - OQ doesn't manage historic data for you. It will build bars based on quotes or trades and send them to your strategy code but it doesn't store them in it's historic database. You have to do this yourself by adding code to your strategy but it doesn't commit them until you exit so if it crashes and it does frequently you lose all of your bars captured in that session. Guess what it doesn't try to request historic data to fill the missing bars either. So this means that all of your TA indicators are out.
6. Charts only update when a new bar comes in (once an hour in my case) - would have been nice to have them continuously updated on quotes like every other platform does.
7. Can't backtest and run live at the same time unless you have two machines.
8. Getting account balance from broker can't be done - messages aren't implemented in the FIX adapter.
9. Backtesting is incredibly slow - takes around 60 seconds to backtest my strategies on 10 years worth of hourly bars and it does nothing to try and simulate quotes within those bars so you can't test stops or anything else that happens intra-bar. As a comparison, my C code does a 100 backtests / second with the same data and strategy.
At this point, I thought I might as well just wrap my DLL around Quickfix. I really wanted to like OQ as it looks nice and the 'event driven' framework looks well thought out but in reality it's just a simple object model around FIX - I'm sure you write the same in a couple of days.
It's probably a better experience if you are using IB rather than FIX but for me it feels half complete, buggy, poorly documented and poorly supported.
Quote from Swarm:
I've just been trialling OpenQuant and have decided to give up on it.
Thanks for the excellent review of your experience with OQ.
I'm curious if you've looked Ninjatrader so that you could give a comparison? Ninja may have a few of those limitations as well (such as not having the account balance) but I think most of those are possible with Ninja.
The Ninja app & API are so intuitive I bet you could pick it up really fast.
Quote from bluelou:
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]
Hi Lou,
Just out of curiosity, what do you mean by institutional platform? Could you give me the names of some of the platforms you're investigating? I'd be interested in researching this to see if it is more useful to me than Ninjatrader. Currently I use Ninjatrader 6.5, but the fact that I have to run it off my own hardware always makes me nervous. There has been a couple of times where I lost my internet connection for several hours in the middle of a trade (while trading the DAX at 3am), and things like how NT stores OCO orders locally really made me sweat until I was able to get connected using a 3G card.
Quote from jedwards:
Hi Lou,
Just out of curiosity, what do you mean by institutional platform? Could you give me the names of some of the platforms you're investigating? I'd be interested in researching this to see if it is more useful to me than Ninjatrader. Currently I use Ninjatrader 6.5, but the fact that I have to run it off my own hardware always makes me nervous. There has been a couple of times where I lost my internet connection for several hours in the middle of a trade (while trading the DAX at 3am), and things like how NT stores OCO orders locally really made me sweat until I was able to get connected using a 3G card.
Have you looked at hosting your apps on a dedicated server? You can get virtual dedicated windows servers for around $50/month.