Best Thread Algorithmic trading experiences

[oildaytrader]

Does your system automate the placing of orders? If so have you found a UK broker that will accept electronic orders (FIX? over Http?) for UK stocks? I can't seem to find a way of programatically placing orders and receiving fills, surely can't be that hard?

Also can anyone recomend a UK stock data provider, with perhaps a .Net or C++ API.

Cheers

Budgie

Try GNI/Mann for CFDS

http://www.gnitouch.com/

 

[Mcbonio]

Hi Robster and Oildaytrader,
I've been following your posts on coding an algorythim for trading, great stuff!. How is it all coming along? How are the tests coming along? Will you guys be giving this for free?

Some info please guys, I'm sure there are folks (like me) how are waiting to see what happens.! I've seen a lot of forex robots, Fapturbo, no loss robot ect.. But I can't help but think they are just scams.

It's great to see real users knock their heads together and create their own. Well done guys.!

-Mcbonio

 

[windsurfing_stew]

GFT and IB in the UK both offer APIs which you can program against in a language of your choice.

 

[simplebeans]

Rob brilliant thread just wondered where are you this? I am thinking of trying out a automated trading program but i want to be scalping with lots of fast trades. Thats the idea!

 

[TWI]

I have not been on this board for a while but ended up on ths thread and having spent time running an automated trading program thought I would offer my take. One of the easiest things to find is a system that looks convincing, displaying parameters which suggest survivable drawdown and volatility, efficient use of funds, a smooth equity curve and a nice looking growth chart, even better when you add the money management multiplier. Often things get a little different when you go live and see what is actually happening to your money. I concluded many times that running discretionary trading programs are much easier on the mind than the automated ones. People often comment that it is great to remove human induced bias from the equation by letting a system make decisions but even with a system there is human intervention. This intervention is most pronounced after a run of losers. Money has suddenly been eaten up and you have to decide if the next trade is one you want the system to take or if you want to switch it off. The edge in systematic trading is small and execution is key, slippage can eat you alive and fundamental economic events can create volatility you did not see in your historical test. If you see what the results of the large algo funds have been like during QE they have suffered horribly, I know because I am invested in a few that historically were making 15-30% consistently year on year. I am not saying this is not a very valid way to make return, it certainly can be, but when you create it and run it every day it is no easier life than a discretionary portfolio. Indeed if you have a good knowledge of fundamentals of any market and are in touch with the trade flow in that market, discretionary returns will always be much better. Agree or not, this is just what I have observed through over 20 years of working on trading floors. I remain very much engrosed in both approaches.

 

[AuthenticFX]

I have not been on this board for a while but ended up on ths thread and having spent time running an automated trading program thought I would offer my take. One of the easiest things to find is a system that looks convincing, displaying parameters which suggest survivable drawdown and volatility, efficient use of funds, a smooth equity curve and a nice looking growth chart, even better when you add the money management multiplier. Often things get a little different when you go live and see what is actually happening to your money. I concluded many times that running discretionary trading programs are much easier on the mind than the automated ones. People often comment that it is great to remove human induced bias from the equation by letting a system make decisions but even with a system there is human intervention. This intervention is most pronounced after a run of losers. Money has suddenly been eaten up and you have to decide if the next trade is one you want the system to take or if you want to switch it off. The edge in systematic trading is small and execution is key, slippage can eat you alive and fundamental economic events can create volatility you did not see in your historical test. If you see what the results of the large algo funds have been like during QE they have suffered horribly, I know because I am invested in a few that historically were making 15-30% consistently year on year. I am not saying this is not a very valid way to make return, it certainly can be, but when you create it and run it every day it is no easier life than a discretionary portfolio. Indeed if you have a good knowledge of fundamentals of any market and are in touch with the trade flow in that market, discretionary returns will always be much better. Agree or not, this is just what I have observed through over 20 years of working on trading floors. I remain very much engrosed in both approaches.

I agree that it is much harder to achieve consistent profits in auto trading. I suppose the attraction is having to spend less chart time, whereas manual trading is much more time-consuming. My struggle over the past few years has also been to find a nice balance between the two.