Cloud-based Optimization of Trading Strategies with AlgoTrader & Amazon EMR

[andyflury]

AlgoTrader is a Java-based algorithmic trading platform that enables trading firms to rapidly develop, simulate, deploy and automate quantitative trading strategies.

The upcoming release 2.1, which will include an embedded-in-memory H2 database.

The H2 database reduces the duration of back-test runs by 30%-50% and allows multiple parallel simulations on the same machine –without needing to installing a physical database, such as MySql, Oracle or MS SQL.

This alone makes AlgoTrader-based simulations considerably easier and faster.

However, by combining AlgoTrader 2.1 with the Amazon Elastic Map Reduce (EMR) trading strategies can be configured to run many simulations in parallel, distributed across the Amazon EMR cluster.

You will be able to test your algorithmic trading strategies in minutes rather than weeks. You will be able to profit from emerging trading opportunities before anyone else.

Read my blog post for an example FX trading strategy utilizing AlgoTrader and Amazon EMR to reduce simulation time from 1 month to 1 hour.

Sincerely,

Andy Flury,
CEO & Lead Architect, AlgoTrader

 

[Solas0077]

What are the security risks in working with the cloud? Of course, one could do the same with several PCs.

 

[andyflury]

The Amazon AWS services are very well designed in terms of security. Have a look at the following link regarding the Amazon EMR service: http://aws.amazon.com/elasticmapreduce/faqs/#security-1

Yes, you can definitely do the same with a number of PC's. However few of us have a medium to large number of PCs available at hand. In addition you would have to install the Map Reduce infrastructure from scratch. With the Amazon EMR service everything is already installed and you pay only for the hours you use the system.

Andy

 

[Solas0077]

The Amazon AWS services are very well designed in terms of security. Have a look at the following link regarding the Amazon EMR service: http://aws.amazon.com/elasticmapreduce/faqs/#security-1

Yes, you can definitely do the same with a number of PC's. However few of us have a medium to large number of PCs available at hand. In addition you would have to install the Map Reduce infrastructure from scratch. With the Amazon EMR service everything is already installed and you pay only for the hours you use the system.

Andy

Thanks. How much it will cost you to launch 100 instances of a program for let us say 24 hours? Does the user pay you or Amazon? Do you get a cut from Amazon?

 

[andyflury]

You would have to purchase a regular license of AlgoTrader: http://www.algotrader.ch/algotrader/pricing/

Then you would sign up for the 100 instances with Amazon an pay them directly, we do not get a cut from them, see: http://aws.amazon.com/ec2/#pricing

Based on the current pricing of Amazon EMR for m1.small instances of USD 0.075 per hour, 100 instances for 24 hours would cost you USD 180.