Seeking Open source backtesting engine ??

E

Elite_Master

Hi,
I started building a backtesting engine in C++ to use with IB market data, but now I'm thinking not to reinvest the wheel.
Are there any robust open source solutions? Please comment if you have used one. Thanks
 
I can recommend tradelink... it works with IB as-is, as well as 12 other brokers. It's open source under LGPL and totally free :

Regarding backtesting :
* the tradelink simulator provides full tick-level simulation including l2/depth if available...
* very fast it plays back ticks between 200,000-800,000 ticks/second.
* It will do realistic portfolio playbacks, so it's easy to test basket or arbitrage strategies in addition to single symbol setups
* backtester execution engine supports limit/market/stop orders for fills out of the box
* There are three different off the shelf playback programs included in the package, and if you don't like those you can build you own GUI/app around the HistoricalSimulator component which provides the features above

http://tradelink.googlecode.com
 
Hi tradelink,

I was looking at your work and it is a major development, you probably spent thousants of hours of hard work towards that. Why are you giving it away for free? Why didn't you develop a commercial product to sell? Another question. Since it is open source, can commercial companies take your code and develop their own products? What do you get out of that? Just a few questions.
 
if you are a hedge fund trading OPM, you need to have full control and transparency that comes with source code. I originally built tradelink because I came from one of the largest commodity funds and when I left I wanted the same power I had at this fund, but I felt it was stupid that everybody was reinventing the wheel and I couldn't find open source finance solutions of the same caliber as open source products in the academic/IT space. so I opened sourced the commodity elements of my platform and called it tradelink. that was 2.5 years ago and tradelink has evolved a lot since.

we do happen to sell commercial products built ontop of tradelink. we don't talk about them on elite trade because we honor their no spam/no commercial posting request.

glad you like the product.
 
Thanks. I guess the fund you worked for allowed you to take the source code with you. That is unusual though. Anyway, do you have a commercial website?
 
Quote from tradelink:

no. no fund would ever allow their code to be taken outside.

tradelink is an original creation and open source.

http://tradelink.googlecode.com
More...

Tradelink, just out of curiocity, do you make a commission each time your open source software connects to a broker and places a trade? I mean, is it essentially acting as an introducing broker?
 
it should yes although you may have to modify the pathnames.

if somebody with a mac/linux figures it out we'll incorporate it into the release.

note that not all the brokers' software will run on windows (although if you have a windows machine you can run broker software there and run tradelink on other machines).
 
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