Most of the retail-class products are only suitable for longer-term trading. Scalping (seeking to capitalize on the smallest fluctuations on price of an instrument) is generally considered foolish by novice traders due to the fact that they have only access to the retail-class products and the transaction costs can appear quite high when dealing with most brokers. Institutional traders know otherwise: they step in and out of the market dozens if not hundreds of times every day. They have the algorithms and fast and cheap execution to help them do so. Many of them generate profits almost every day due to the sheer number of trades they are able to execute per day. Institutional traders have one weakness though: they must execute a huge volume which can make every losing trade relatively much more expensive (due to the increased slippage). A retail trader is most likely not going to trade with such a huge volume so this risk is much smaller for them. With good tools retail trader should be able to make very good results scalping a few ticks out of the market on daily basis.
Some good discussion about scalping can be found here:
youtube.com/watch?v=EYMIPmgRb_M
Please bear in mind that the tools we will create are way better than the ones this person is using.
I have made the connections with the right parties and started to develop a suite of tools that will make it possible for retail-traders to scalp effectively without using $5000+ per month for the tools (in fact about $100-200 per month will do, to cover the API/colocation fees). After several months worth of hard work I realized this project is quite challenging to cope with alone so I'm looking for some other people with C++ programming experience who would also like to see something like this done. With a small group of dedicated people I'm sure we will make this endeavor very profitable for all of us. Project can be developed as closed-source where all the developers have copyright to the sourcecode. We can also make this as an open-source project if it seems like a better idea.
The project is hosted on a private Github repository and I'm willing to share the source code to the potential partners. I'm willing to depart all the information I have gathered so far (including insight of the effective algorithms) to help us proceed quicker to reach the goal. I believe it's very important for the team to be able to openly discuss about all the ideas without hiding any information from each other.
I already have plenty of ideas for grey-box algos for optimal execution but haven't had the chance to try them in real life yet. I would be excited to discuss about these with anyone interested.
Some features of the trading software:
Looking for personnel:
Please let me know if this seems interesting to you...
PS. I have tried at least CQG IC, CQG Trader, TT X-Trader, CTS T4, Ninjatrader, Multicharts and Interactive Brokers TWS. None of those software can satisfy the needs of a serious scalper in my opinion (TT-Trader is the best candidate and costs around a few thousand dollars a month). That's why there is clearly a need for more affordable, better software for algorithmic execution.
Some good discussion about scalping can be found here:
youtube.com/watch?v=EYMIPmgRb_M
Please bear in mind that the tools we will create are way better than the ones this person is using.
I have made the connections with the right parties and started to develop a suite of tools that will make it possible for retail-traders to scalp effectively without using $5000+ per month for the tools (in fact about $100-200 per month will do, to cover the API/colocation fees). After several months worth of hard work I realized this project is quite challenging to cope with alone so I'm looking for some other people with C++ programming experience who would also like to see something like this done. With a small group of dedicated people I'm sure we will make this endeavor very profitable for all of us. Project can be developed as closed-source where all the developers have copyright to the sourcecode. We can also make this as an open-source project if it seems like a better idea.
The project is hosted on a private Github repository and I'm willing to share the source code to the potential partners. I'm willing to depart all the information I have gathered so far (including insight of the effective algorithms) to help us proceed quicker to reach the goal. I believe it's very important for the team to be able to openly discuss about all the ideas without hiding any information from each other.
I already have plenty of ideas for grey-box algos for optimal execution but haven't had the chance to try them in real life yet. I would be excited to discuss about these with anyone interested.
Some features of the trading software:
- -Uses C++/Qt/Boost for the GUI (front-end) and the back-ends (back-ends are mostly plain C or C++ though, to maximize speed).
- -GUI will be available for Windows/Linux/MacOS, backend is ran on a unix-server colocated as near to the Rithmic trading engine as possible. Rithmic API's trading server is located in the Aurora Center next to the CME order engine.
- -Will use backends like the one coded for R | API for fast and affordable execution (Colocation in Chicago). Order round-trip times will be sub millisecond (sometimes more depending on the circumstances). Orders can be pre-risk checked for faster execution. CEO of Rithmic API has flashed the possibility of adjusting the API for the specific needs of this software if there is enough volume generated by it. Those adjustments should make it possible to send orders in about 100 microseconds (0.1 ms). This is not as fast as some of the tools big institutional traders have at their disposal but it's fast enough to make a very big difference when trading. Consider scalping for 4-5 ticks per trade, this kind of execution will make a huge difference in the bottom line (possibly making a break-even trader a big winner). Faster (~10 microsecond in some cases) execution speeds can be achieved but that requires modification of the Rithmic's FIX API code which will cost a lot of money so that will most likely not be available to us.
- -Will have a DOM-trader interface for order placement and manipulation.
The interface will be greatly modifiable and contain some advanced metrics/graphics (if turned on). - -Order modification will be as simple as possible and chances of user making mistakes (i.e. missclicks) have to be reduced as much as possible. Everyone who has tried scalping will know how much badly designed interface can cost for the trader.
- -Will have a charting tool for easier order-flow reading (Beta-version already developed).
- -Ability to save historical data for future playback.
- -Saved historical data can be viewed with the same tools as the realtime data (slowed down so that it's possible to think of an algorithm that can best abuse the microstructure of the market)
Looking for personnel:
- -Experienced C++ programmers (knowledge of Boost and Qt is a big plus)
Please let me know if this seems interesting to you...
PS. I have tried at least CQG IC, CQG Trader, TT X-Trader, CTS T4, Ninjatrader, Multicharts and Interactive Brokers TWS. None of those software can satisfy the needs of a serious scalper in my opinion (TT-Trader is the best candidate and costs around a few thousand dollars a month). That's why there is clearly a need for more affordable, better software for algorithmic execution.
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