programming language designed for trading?

Quote from Capablanca:

I'm not a programmer so I'd easily get lost in a true programming language. My familiarity with programming is actually in large part based on my familiarity with trading platform specific "languages". Here's a brief outline of what I've heard and my impressions.

Metastock formula language is basically composed of quick shorthand instructions. It sacrifices flexibility, power, and presentation for ease of use. Looping is not elegantly accomplished if at all and referencing the occurence of a specific event in the past can be a chore.

Amibroker formula language is basically the Metastock formula language combined with C extensions from what I've heard. More flexible and more powerful. EasyLanguage I presume has similar characteristics.

Neither of the above are very daunting for the programming uninitiated.

The following however looked like Greek to me when I first started out and have largely remained that way:

Wealth-Lab language I hear is based on Pascal.

MetaQuotes formula language is based on C.
More...

TradersStudio basic is a cross between EasyLanguage and classic basic. We can also translate EasyLanguage into our language and run existing EasyLanguage code.

If you not into programming TradersStudio 2.5.X comes with a programming wizard which allows you to develop systems, indicators, money management strategies, even macro's that control the program using drag and drop. No programming required. Just fill in the boxes for the components you are combining into a visual tree.
 
Quote from psytrade:

I know that Open, So your saying your software works with FIX? That seems unique for a retail product.
More...

We have a built in QuickFIX engine, and we can connect to TT FIX out of the box, though I was not talking about FIX connectivity here, but about FIX business object model. We have developed our core API having FIX model in mind, so that our Instrument class is in fact FIX Instrument block, our Order class is FIX OrderSingle, etc.

Regards,
Anton
 
Quote from Corey:

Jane Street Capital uses O'Caml. Using the functional family of languages -- especially those known for speed (O'Caml) or those known for multiprogramming (Erlang, Alice), can be extremely beneficial because compilation guarantees that type errors will not exist. This sort of thing is VERY important when you are talking about a high frequency system with extremely rigid constraints and requirements.
More...

This is the worst sort of Elitetrader gibberish. I wonder if the poster knows anything about OCaml (sic; not "O'Caml"), Erlang, et al -- or if he could even understand the Jane St presentations http://osp2007.janestcapital.com/ he references. Maybe he could post a few lines of original code he's written in these various languages. Or maybe not, given that he can't even spell the names correctly.
 
Quote from psytrade:

Anyone here usng Python?
More...

i use python with scipy and rpy. i cant think of anything better or quicker to develop in. speed has never been an issue and where it has there is swig or boost.python to extend it. as for FIX, quickfix has a python interface but usually companies connect to exchange via c++ and then broadcast using a more compressed(in house) version of FIX.

I like Ocaml too (maybe because its different) but for practical purposes its barely used anywhere. The lexer seems quite easy though; so a specialized language for trading written in Ocaml might be a cool project.
 
Quote from rosy2:

i use python with scipy and rpy. i cant think of anything better or quicker to develop in. speed has never been an issue and where it has there is swig or boost.python to extend it.
More...

Bravo. This is succinct, correct and useful.
 
The programming language required for any trading system should fulfill the following:

  • The inputs and outputs should be clear and easy to understand
  • Provision for good charting systems (graphs) should be there, wherein you can visualize the data ups and downs
  • Moreover, calculations need to be accurate and reflect the actual market standings
  • There should be way to view previous data (historical data) for analysis. Therefore, some sort of backups is required wherein you can restore your data if the need so arises.
  • Moreover, it should be one that can do the automated tasks for you without your intervention, whether you are present or not. It should be able to run and save all the results.

The last point is of significance and needs to be elaborated upon through an example.

Supposing, you wish to optimize 5 different systems and save all the results, each optimization takes around 2 hrs. Therefore, this shall take up 10 hours. Moreover, you require all these results to be printed (so another few hours). Thus, around 15 hours taken, which means the entire day is almost gone and tied up with.

However, you could write a macro, which runs each test and prints also for each of the system; without your intervention (even while sleeping!). Hence, the usefulness of such a system can be further noted down wherein you can decide to reun different test based on the performance of similar ones (for example, testing different markets to minimize drawdown which is the difference of Maximum profit and Current Profit (Maximum profit - Current Profit).
 
Hello Have you tried Visual´s Chart, vba module.

code example.

If .GetMarketPosition(0) = 0 And .Close > .GetIndicatorValue(BollingerBandsData, 0, 2) Then
.Buy AtMarket, ContractsNumber
End If
If .GetMarketPosition(0) = 0 And .Close < .GetIndicatorValue(BollingerBandsData, 0, 3) Then
.Sell AtMarket, ContractsNumber
End If
If .GetMarketPosition(0) = 1 And .Close < .GetIndicatorValue(BollingerBandsData) Then
.ExitLong AtClose, ContractsNumber
End If
If .GetMarketPosition(0) = -1 And .Close > .GetIndicatorValue(BollingerBandsData) Then
.ExitShort AtClose, ContractsNumber

If you want more information I could provide you some.

Mikel
 
I've never had to spend more than 20-60 minutes on an optimization and that was while testing 5000 stocks at a time while using Amibroker.
 
You must log in or register to reply here.
Back
Top