OpenQuant + AmiBroker: my recipe for building robust Automated Trading Systems

I want to echo what dareminator has said - I'm a relatively new user of Amibroker and a long time user of Tradersstudio. I find, for creating systems, that Amibroker is just much, much faster for development, but it lacks the reporting and multisystem support that comes with TS. But Amibroker is an incredible product for it's speed of backtesting, and the quickness with which I can create new systems. I can just think of a system and then quickly, in a matter of minutes, create it in Amibroker.

Quote from dareminator:

I find OpenQuant to be an excellent Automated Trading System (ATS) development and execution platform. Very clean, comprehensive, and well thought out class and event architecture. The online help file is somewhat weak; however there is a good Getting Started guide and lots of sample code to get you going. Reasonable support forum assistance.

However, OpenQuant does not lend itself well to rapid interactive exploration and experimentation. For that I use Amibroker. I use Amibroker as my discovery tool, kind of like Excel, to test tens of ideas, and to run thousands of backtests (AmiBroker backtest is roughly 150 times faster than OpenQuant, and 1 to 2 orders of magnitude faster than any other tool I have tested). Good documentation, large user base, and fanatical customer loyalty (== good support forum assistance).

After I create and refine a trading strategy with AmiBroker, I use OpenQuant as my development platform, for easily and rapidly developing and deploying robust unattended automated trading code.

After many years of trying out almost every platform and tool out there, and writing my own custom Automated Trading Systems applications (first in C++, then C#), I settled on this combination. It works well for me. My copy of OpenQuant currently trades 11 automated & unattended (except for a morning restart) strategies in live mode with real money. So far I am generating a decent return (which makes me happy).

I am posting this message as an extremely satisfied customer of both OpenQuant and Amibroker. I have no relationship with either company (other than having paid for their software). I hope this might save people who are building Automated Trading Systems some time in their search for software tools.
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Thanks dareminator!
I hope to pay it forward soon.

Again, I'm surprised that Ami is not discussed much more on ET. But that may be because Ami users are busy making money! :)

Your wife's learning mech trading?! Well, that should help discover some uncorrelated strats, too! :p

K, off I go to the library.

Quote from dareminator:

TigerBalm, ...

I found "Beyond Technical Analysis: ...

Good trading.
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Openquant is so good that users can finally prove to themselves that auto traded systems really are krappy. With the other software you could still hold out hope because you were never sure what the hell you had after you spent a month coding something up. With OQ you can know what you have and then you are free to finally disprove every theory about autotrading in the universe..... yessssssss!!!!!!!
 
My partner and I use Ami for R and D and testing and execute with Ninja/zenfire , the ATS side and the combo is very solid. Best over all solution that we could find with our spending 100K to get the same custom solution.

The outside programmer that has to code our stuff into C # after Ami tests the system and is ready to deploy is also very happy there is no one full solution for a testing and execution software package,
 
as far as i know Amibroker can't handel tick data base or to use bid/ask data as a reasone to get into position
or am i wrong?
 
It does it very well with ability to do custom data points and anything you can do in a custom database.

We use tick data from tickdata.com as a monthly upload.
 
i need both trade and quote
tickdata told me they offer just trades

how Amibroker is dealing with the amount of quote data? can i make my own market delta (as in www.marketdelta.com) and to check if the trade was on the ask price etc.?
 
Quote from dareminator:


However, OpenQuant does not lend itself well to rapid interactive exploration and experimentation. For that I use Amibroker. I use Amibroker as my discovery tool, kind of like Excel, to test tens of ideas, and to run thousands of backtests (AmiBroker backtest is roughly 150 times faster than OpenQuant, and 1 to 2 orders of magnitude faster than any other tool I have tested).
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I would say that great care must be taken with any dotnet solution regarding performance in a realtime, autotrading environment. With C/C++ you can be sloppy and it won't hurt much.
The good news is that the processors are getting faster.
The bad news is no one is really taking advantage of multiple cores....yet.
 
Excellent post Dareminator.

I was reading your similar post on the OpenQuant forum yesterday. It got me looking at AmiBroker for the first time (having played around with NinjaTrader, OpenQuant and RightEdge). Thanks for that.

One issue I've been having... is data. I think I've come to the conclusion that you're better off separating data for the puposes of historical back testing vs live trading.

What I mean is, of course it would be nice to have one provider of both historical & live data... but in reality it seems to me a far better solution to use someone like www.tickdata.com for historicals (backtesting) and another provider for live trading (be that eSignal, Zen Fire, IB etc..etc..).

Although it's imperfect in that it requires a little data management, I do think in the end you get a better solution.

Can I ask who your data providers are and how you use them...? It would be of value to hear from someone who is live trading with real money on this most critical issue... Data!!!

Thanks
 
Quote from Siddhartha:

Can I ask who your data providers are and how you use them...? It would be of value to hear from someone who is live trading with real money on this most critical issue... Data!!!

Thanks
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Siddhartha, I came to the same conclusion :
- I use IQFeed ( http://www.iqfeed.net/Amibroker ) Basic Service for my 1-minute historical data. I only use data for futures & equities, but I've been told that the options data is good too. Very wide selection of symbols, reliable system, and good data for a reasonable fee ($55/month -- plus real-time fees if you need it). AmiBroker has a native plug-in for IQFeed and there is a discount for AmiBroker users.

- I use IB's real-time data for trading within OpenQuant. I only keep enough historical data in OpenQuant for development & debugging -- I don't to backtests there.

- I used to compare the IB/OpenQuant 1-min bars I receive and the IqFeed historical 1-min bars I download at the end of the day. They are very close but not exactly the same. To 'Big Game Hunter's post in this thread, a few seconds here and there change the shape of the bars. After observing and obsessing about this for some time, I realized that the results don't change much for my current strategies. So I've let it go and don't look at this discrepancy any more.
 
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