Super fast trading - all automatic

[nitro]

Quote from bro59:

Not really. He is the king of the 1 word reply.

Computerized trading like this, done properly, takes substantially different resources than most here possess. As good as off-the-shelf products are becoming, this is no job for Tradestation and a new P4 single-processor package. There are not only hardware issues, but connectivity, and the proper multi-threaded custom software requirements which all conspire to make it difficult. If you can afford all that then your trading capital is a non-issue, as it takes a fair bit of that too.

Oh yeah, then you have to afford lawyers to fight the exchanges as they inevitably get pissed when you take a piece of their pie too easily.

bro,

While what metoo is doing is using lots of technology to derive an edge, it is not in the same spirit of what is being described by the thread starter.

I know of three groups personally that are doing what is being talked about here, and there are no beowulfs required. What is required are (at least 1) very low latency connections, commissions that you and I would die for (which in itself requires resources that 99% of the people on ET do not have, e.g., _at_least_ 1 IMM or IOM seat and in most cases they do not even go thru a broker but have special connections directly to the exchange(s) ) and LOTS of programming talent and effort. Then, repeat the miniscule edge thousands of times a day picking up the smallest scalps imaginable.

These people usually work in teams/partnerships of two or more, as the resources required and the risk taken are usually too much for one person to deal with. If you have _at_least_ $25K a month to spend to get started, and all of the above, you could give it a shot.

This is _way_ beyond the typical ET reader...

nitro

 

[nitro]

Quote from rwk:

Very interesting . . I was thinking about looking at that.

Have you done any analysis of the tape (i.e. number of trades going off at the bid vs. ask), or intermarket analysis (i.e. ES vs. DAX)?

[Richard]

Yes...but I cannot say more...

nitro

 

[prophet]

Quote from nitro:
…What is required are (at least 1) very low latency connections, commissions that you and I would die for (which in itself requires resources that 99% of the people on ET do not have, e.g., _at_least_ 1 IMM or IOM seat and in most cases they do not even go thru a broker but have special connections directly to the exchange(s) ) and LOTS of programming talent and effort.

It is easy to get low latency data from IB TWS, Esignal or Realtick, provided you don’t request too many simultaneous symbols than your network connection or software can handle. IB TWS may not send every tick, but their updates have consistent latencies. I use dedicated servers for data collection which costs only $100/month/server from serverbeach.com. Reliable, low latency networks make a huge difference in data quality.

If commissions are too high, then could restrict your trading to only the larger scalps, and demonstrate the smaller scalps to a third party willing to give you cheaper commissions and a share of profits in exchange for licensing the system.

… These people usually work in teams/partnerships of two or more, as the resources required and the risk taken are usually too much for one person to deal with. If you have _at_least_ $25K a month to spend to get started, and all of the above, you could give it a shot.

This is _way_ beyond the typical ET reader...

It depends on volume. If you must do 1000 trades per day, then you are up against many challenges (commissions, order queue, spreads), and you will need 3rd party support or a lot of money. If you target around 10 trades/day/market, as I have, the challenges are far easier to surmount. I have been more successful at developing and diversifying 2 to 10 trade/day systems on a couple markets (ES, NQ, 6E, YM, ZB, ZN) than develop a single system to do 100/trades day on any market. There are other advantages too, depending on design. Identical systems on correlated markets such as ES and NQ can often produce uncorrelated returns.

 

[nitro]

Quote from prophet:

It is easy to get low latency data from IB TWS, Esignal or Realtick, provided you don’t request too many simultaneous symbols than your network connection or software can handle. IB TWS may not send every tick, but their updates have consistent latencies. I use dedicated servers for data collection which costs only $100/month/server from serverbeach.com. Reliable, low latency networks make a huge difference in data quality.

The provider of the data is only half of the equation. I was referring to getting PTP T1's. Colocating a server is not a bad idea, but for the people that do this, the extra $1500/M per needed PTP T1 to have the machines on site is not even an afterthought.

Also, I am not aware of anyone that has a computer take thousands of rountrips a day without having a human being in front of the machine and be able to react quickly to problems, anticipated or otherwise...So colocating would not really work. You need the trading server(s) under your watchful eye every second of the trading day...

If commissions are too high, then could restrict your trading to only the larger scalps, and demonstrate the smaller scalps to a third party willing to give you cheaper commissions and a share of profits in exchange for licensing the system.

Well, then you would be trying to solve a different problem. The title of this thread is on "superfast trading all automatic," not sitting at home looking at IB, entering and exiting positions by hand, and trying to compete with these guys ten times a day at $4.80 a rountrip or even $1.00 a roundtrip.

It depends on volume. If you must do 1000 trades per day, then you are up against many challenges (commissions, order queue, spreads), and you will need 3rd party support or a lot of money.

Yes.

If you target around 10 trades/day/market, as I have, the challenges are far easier to surmount. I have been more successful at developing and diversifying 2 to 10 trade/day systems on a couple markets (ES, NQ, 6E, YM, ZB, ZN) than develop a single system to do 100/trades day on any market. There are other advantages too, depending on design. Identical systems on correlated markets such as ES and NQ can often produce uncorrelated returns.

Congratulations...No easy task...

nitro

 

[Aaron]

Quote from prophet:

I use dedicated servers for data collection which costs only $100/month/server from serverbeach.com.

How do you install software on a remote dedicated server? Can you install software from your local CD-rom drive?

Can you connect to a server and run applications on the server and "see" the server's desktop? Kind of like you can "see" the desktop of another computer using PCAnywhere?

Is Windows 2003 for servers much different from Windows XP?

If I had an automated trading program, I'd imagine it would be better to run it from one of these server farms than locally over a DSL or cable modem line. Please pardon my newbie questions.

 

[Gordon Gekko]

Quote from Aaron:

How do you install software on a remote dedicated server? Can you install software from your local CD-rom drive?

Can you connect to a server and run applications on the server and "see" the server's desktop? Kind of like you can "see" the desktop of another computer using PCAnywhere?

Is Windows 2003 for servers much different from Windows XP?

If I had an automated trading program, I'd imagine it would be better to run it from one of these server farms than locally over a DSL or cable modem line. Please pardon my newbie questions.

i use a free program called VNC to access old networked computers running SETI@home. these computers have no keyboards, mice, or monitors. i can access them from my main computer and i see pretty much what would be on screen as if i was using the other computer with its own monitor. the computers load VNC during windows startup.

 

[Aaron]

Quote from Gordon Gekko:

i use a free program called VNC to access old networked computers...

Nice! Thanks, Gordon. I hadn't heard of VNC before. Now if I could install software on a remote server from my local CDrom drive, I'd be able to set up automatic trading on a server. With the 99.9% advertised uptime for these server farms, this would be a lot more robust than over DSL or cable.

 

[prophet]

Quote from nitro:

The provider of the data is only half of the equation. I was referring to getting PTP T1's. Colocating a server is not a bad idea, but for the people that do this, the extra $1500/M per needed PTP T1 to have the machines on site is not even an afterthought.

I believe the network reliability and low latencies with collocation can match or outperform PTP T1s, at a fraction of the price. You can also achieve multi-site redundancy without adding extra offices and T1s.

Also, I am not aware of anyone that has a computer take thousands of rountrips a day without having a human being in front of the machine and be able to react quickly to problems, anticipated or otherwise...So colocating would not really work. You need the trading server(s) under your watchful eye every second of the trading day...

When I’m connected to my remote servers using Microsoft remote desktop (formerly MS terminal sever), it’s every bit as fast as being there. If my local Comcast network dies, I can dial in, and within 30 seconds MS RD has rerouted it’s connection. MS RD is surprisingly fast over 56K dialup… about as fast as VNC is over broadband!

These serverbeach servers are rock solid, in terms of uptime and quality of the received IB data. I have much more piece of mind knowing my systems are on that kind of network, with a password-protected, IP-limited access, than running something in an office.

Well, then you would be trying to solve a different problem. The title of this thread is on "superfast trading all automatic," not sitting at home looking at IB, entering and exiting positions by hand, and trying to compete with these guys ten times a day at $4.80 a rountrip or even $1.00 a roundtrip.

The point was to walk before running, especially when it’s so expensive to experiment. Either prioritize and only trade the high expectancy scalps, or design a system that is able to pay the spread which can then be more mechanical because you don’t have to worry about the order queue. Yes, it is a different and easier problem, but one that might lead to a solution for the harder problem. Otherwise it’s a big and costly risk to plunge into a system that tries to do 1000 trades/day.

 

[prophet]

Quote from Aaron:
How do you install software on a remote dedicated server? Can you install software from your local CD-rom drive?

Can you connect to a server and run applications on the server and "see" the server's desktop? Kind of like you can "see" the desktop of another computer using PCAnywhere?

I put software in a rar or zip archive. Then upload and install it.

Yes, it’s just like being there. I find it faster to switch between my local desktop, and multiple virtual desktops than to turn to a different keyboard and monitor. I have a PC for number crunching that has no monitor.

 

[Aaron]

Quote from prophet:

When I’m connected to my remote servers using Microsoft remote desktop (formerly MS terminal sever), it’s every bit as fast as being there. If my local Comcast network dies, I can dial in, and within 30 seconds MS RD has rerouted it’s connection. MS RD is surprisingly fast over 56K dialup… about as fast as VNC is over broadband!

Thanks, Prophet. The Microsoft website says MS RD is built into Windows XP Pro and ServerBeach offers Windows 2000, Windows 2003, and Windows 2003 Web Edition. Which version of Windows do you have on your servers? Does that version include MS RD?

Is it possible to get MS RD separately (without XP Pro)?