OpenQuant + AmiBroker: my recipe for building robust Automated Trading Systems
- Thread starter dareminator
- Start date
The free IB demo provides manufactured quotes (uses data from different time periods for each instrument). You can use it to test the mechanics of your OQ system -- but don't rely on it to verify the edge (money making ability) of your system.
Using OpenQuant and AmiBroker seems interesting. Before diving into 2 new languages, I'm curious about a couple things:
1. Are there limitations to what you can program in AFL vs C#? If one is to rewrite code from one to the other, this would be good to know.
2. Can the same strategy coded in a C++ dll be executed on both platforms?
Thanks for your help,
Gabe (newbie)
1. Are there limitations to what you can program in AFL vs C#? If one is to rewrite code from one to the other, this would be good to know.
2. Can the same strategy coded in a C++ dll be executed on both platforms?
Thanks for your help,
Gabe (newbie)
Terrific thread.
I too am in the process of automating some of my work.
I also have Amibroker, but instead of OpenQuant I have NinjaTrader. So far, I'm focusing mostly on NT as I'm a Java programmer (among other things) and NT's language is similar.
What Tomasz has built with Amibroker is simply amazing and I will always support him via upgrades or anything else he puts out. My beef with all of the trading software packages is that they all use a different language. You need to learn a new API, etc. Very very frustrating and time consuming. I've never understood why a language as simple as Python, or some other similar language has not become the industry standard. If I were a trading software vendor, sure, maybe I would have my own language. I've read Tomasz's reasons, BUT I would also have some method for supporting another language's access to my application.
By the way, is there something that OpenQuant can do that NT can't? So far the only problem I have with NT is that it is a resource hog and it monopolizes all other windows when starting and when first connecting to any data source. To me monopolizing all other windows is a huge programming blunder. In addition, I've noticed problems with replay. Enough to make me question the value of having collected close to a thousand days worth of replay.
I too am in the process of automating some of my work.
I also have Amibroker, but instead of OpenQuant I have NinjaTrader. So far, I'm focusing mostly on NT as I'm a Java programmer (among other things) and NT's language is similar.
What Tomasz has built with Amibroker is simply amazing and I will always support him via upgrades or anything else he puts out. My beef with all of the trading software packages is that they all use a different language. You need to learn a new API, etc. Very very frustrating and time consuming. I've never understood why a language as simple as Python, or some other similar language has not become the industry standard. If I were a trading software vendor, sure, maybe I would have my own language. I've read Tomasz's reasons, BUT I would also have some method for supporting another language's access to my application.
By the way, is there something that OpenQuant can do that NT can't? So far the only problem I have with NT is that it is a resource hog and it monopolizes all other windows when starting and when first connecting to any data source. To me monopolizing all other windows is a huge programming blunder. In addition, I've noticed problems with replay. Enough to make me question the value of having collected close to a thousand days worth of replay.
Great post! I have developed an automated trading system based on AB, for our market the only source to get quotes for intrday is to use another application which populate the data in Metastock format then you need to configure AB to read the meatstock data with autorefresh. Not a great setup but that what I was able to do.
We also don't have system in our market to do order management (sell, buy, cancel, etc) so I developed my own component to handle this with the bank directly, awkward isnât? So I'm handle the quotas and orders myself what I need from AB or any other systems is the technical analysis for buy, sell signals ... is there any library APIs out there that handle technical analysis (indicators) only....I'm looking for a lightweight API to implement it in my ATS...
We also don't have system in our market to do order management (sell, buy, cancel, etc) so I developed my own component to handle this with the bank directly, awkward isnât? So I'm handle the quotas and orders myself what I need from AB or any other systems is the technical analysis for buy, sell signals ... is there any library APIs out there that handle technical analysis (indicators) only....I'm looking for a lightweight API to implement it in my ATS...
Great thread 
I've started playing with Ami and I'm loving it.
Noob question related to AmiBroker. How can I keep my AmiBroker database updated? I'm only concerned about EoD data so my datasource is yahoo finance.
Say I created a database of S&P500 stocks and downloaded EoD from yahoo last Friday (so that everything was loaded up to 01/29/2007). If I start AmiBroker tomorrow (02/02), the latest data (02/01) will be missing from the database. Is there a smart way to update the database or the only option is to rebuilt it from Yahoo again?
Thanks,
I've started playing with Ami and I'm loving it.Noob question related to AmiBroker. How can I keep my AmiBroker database updated? I'm only concerned about EoD data so my datasource is yahoo finance.
Say I created a database of S&P500 stocks and downloaded EoD from yahoo last Friday (so that everything was loaded up to 01/29/2007). If I start AmiBroker tomorrow (02/02), the latest data (02/01) will be missing from the database. Is there a smart way to update the database or the only option is to rebuilt it from Yahoo again?
Thanks,
Quote from TraderSU:
Great thread
Noob question related to AmiBroker. How can I keep my AmiBroker database updated? I'm only concerned about EoD data so my datasource is yahoo finance.
Say I created a database of S&P500 stocks and downloaded EoD from yahoo last Friday (so that everything was loaded up to 01/29/2007). If I start AmiBroker tomorrow (02/02), the latest data (02/01) will be missing from the database. Is there a smart way to update the database or the only option is to rebuilt it from Yahoo again?
Thanks,
If you are using Amiquote (which I recommend), you can just update the database and it will only update the missing info.