Serving the Quantitative Finance Community

 
User avatar
jtl2145
Topic Author
Posts: 2
Joined: February 4th, 2011, 3:14 pm

Brokers/services for personal algorithmic trading

February 8th, 2011, 11:15 am

I'm wondering if anyone here has built their own algorithmic trading program from scratch and uses it to trade in their own account. I trying to do exactly this. One problem I have run into is that I use Inveteractive Brokers and their data is not very reliable. It often returns errors. Their customer service is not very good either and has not been able to help me with this problem. I am curious to know how people have dealt with this situation. In other words, what are some other brokers or services people use to build their own trading system?
 
User avatar
tradelink
Posts: 55
Joined: March 9th, 2010, 9:55 pm

Brokers/services for personal algorithmic trading

February 8th, 2011, 3:27 pm

http://tradelink.googlecode.com * open source LGPL * supports 15 brokers and data feeds (including IB) * backtesting and live trading * 300,000+ ticks/second portfolio-realistic backtesting (level 1 or 2) * 50microsecond latency live trading * 3+ years in developement * 12,000 downloads * 200 member community list
 
User avatar
tagoma
Posts: 18685
Joined: February 21st, 2010, 12:58 pm

Brokers/services for personal algorithmic trading

February 8th, 2011, 7:02 pm

QuoteOriginally posted by: tradelinkhttp://tradelink.googlecode.com * open source LGPL * supports 15 brokers and data feeds (including IB) * backtesting and live trading * 300,000+ ticks/second portfolio-realistic backtesting (level 1 or 2) * 50microsecond latency live trading * 3+ years in developement * 12,000 downloads * 200 member community listi have heard many times about tradelink.any return of experience of actually trading with tradelink ??
Last edited by tagoma on February 7th, 2011, 11:00 pm, edited 1 time in total.
 
User avatar
Marine
Posts: 395
Joined: July 17th, 2003, 7:56 am

Brokers/services for personal algorithmic trading

February 8th, 2011, 8:12 pm

IB is a tool meant to be used for execution not historical data.If you need to keep the costs down then use google or yahoo if possible bt I dont know what freq. you need.I have created a platform from scratch but I use Bloomberg for hitorical data but execute through IB. i would never use IBs historical data.$.02
 
User avatar
tradelink
Posts: 55
Joined: March 9th, 2010, 9:55 pm

Brokers/services for personal algorithmic trading

February 8th, 2011, 10:30 pm

We do not track non-commercial users of tradelink.The commercial users (same platform) combined represent over a half billion in assets and use tradelink daily.
 
User avatar
jtl2145
Topic Author
Posts: 2
Joined: February 4th, 2011, 3:14 pm

Brokers/services for personal algorithmic trading

February 11th, 2011, 10:48 pm

Thanks. I'll take a look at tradelink. I only need end of day closes, so hopefully not too hard to find, but I would like it automated so I don't have to enter in anything manually.
 
User avatar
marcoaaguiar
Posts: 10
Joined: February 4th, 2011, 4:03 pm

Brokers/services for personal algorithmic trading

February 13th, 2011, 7:17 pm

if u want day closes you could use yahoo data. there is a lot of lib to get their data
 
User avatar
tradelink
Posts: 55
Joined: March 9th, 2010, 9:55 pm

Brokers/services for personal algorithmic trading

February 14th, 2011, 3:00 pm

you can get end-of-day closes in the out-of-the-box tradelink from : * google * yahoo * euronextYou get this using the TikConverter tool after installing tradelink, then choose your data source and click go. Enter a list of symbols (or ISIN for euronext).
 
User avatar
cjforex
Posts: 5
Joined: March 19th, 2011, 1:04 am

Brokers/services for personal algorithmic trading

March 21st, 2011, 3:27 am

I built my own system from scratch. I did it mostly to handle the very large number of strategies I run simultaneously (literally hundreds), and the portfolio management system that watches over them, and constantly rebalances position sizing.I built it using multiple FIX API connections directly to the banks where I trade using Visual Studio and SQL Server mostly. It's also reasonably cheap to run a bank of servers to handle it all. Was much more expensive before. Now with cloud computing, it's actually dirt cheap.Some of the feeds offer back data. Once you have your basic connections up, straight away build an application that saves all tick data to databases for future use. Then you know you have clean data from that point forward. After that, begin the process of collecting and cleaning your back data. There were lots of gaps that had to be filled using alternate sources. Once you have your database of historic tick data, it's worth gold and makes your analysis so much easier when you don't have to worry about spurious results infecting your testing. The collection process is slow and tedious, so I would make that the first priority.It was a serious endeavor, but in the end worth it since I now have complete control over every aspect, and my bugs are my own : - )The other advantage is that I was able to build in redundancy, and self-healing mechanisms that affords me significant freedom. The system is able to monitor itself, and self-heal nearly all contingencies, letting me focus more on strategy development and position sizing methodologies.If there was an off-the-shelf system that would do what I needed, I would have paid for it in a heartbeat. But there wasn't. So it really boils down to exactly what you want to do, and if there is something that will do it. If your approach is unique, then you are trapped building it yourself.I wish you the best of luck, and I have to say, as painful as it was, it was rewarding. If you have any questions, go ahead and msg me, I'd be happy to help any way I can.-cjforex-