Trading System Setup

[dr_trader]

I am an experienced software engineer looking to commit some time and money (£500-700) into Trading Technology so I can do the following

1. Run back-testing scripts against historical data.
2. Run automated trading rules to execute trades.
3. Run very small trades at first once I start trading until I have found my feet.

I want to run these systems , to start with, against FTSE100 and SP500 indices because I feel these markets will respond best to the systems I want to set up.

So far I have looked at the following software:
· Tsim+
· TradeStation
· Wealth Lab
· Ninja Trader

I am a little confused about which brokers / spread betting company will support this sort of system:
· Interactive Brokers I know has great API for automated executions but I’m not sure whether it will support small trades against the FTSE100 and SP500 without exorbitant futures contract charges.
· Do any of the spread betting first support automated execution command sent by Tradestation or any of the other products?


- thanks for any help you can offer.

 

[JTrader]

I
· Do any of the spread betting first support automated execution command sent by Tradestation or any of the other products?


- thanks for any help you can offer.

Only one i know of is futuresbetting.com/twowayfutures, who offer exchange based only spreadbet products.

 

[dr_trader]

Only one i know of is futuresbetting.com/twowayfutures, who offer exchange based only spreadbet products.

Thanks for your reply.

Yes - I've had a look at them but their pricing structure seems alot like IB's because their products are tied directly to the futures market. With twowayfutures and IB wouldn't I be forced to make a 'minimum trade' on the index?

 

[dcraig1]

I am an experienced software engineer looking to commit some time and money (£500-700) into Trading Technology so I can do the following

1. Run back-testing scripts against historical data.
2. Run automated trading rules to execute trades.
3. Run very small trades at first once I start trading until I have found my feet.

I want to run these systems , to start with, against FTSE100 and SP500 indices because I feel these markets will respond best to the systems I want to set up.

So far I have looked at the following software:
· Tsim+
· TradeStation
· Wealth Lab
· Ninja Trader

I am a little confused about which brokers / spread betting company will support this sort of system:
· Interactive Brokers I know has great API for automated executions but I’m not sure whether it will support small trades against the FTSE100 and SP500 without exorbitant futures contract charges.
· Do any of the spread betting first support automated execution command sent by Tradestation or any of the other products?


- thanks for any help you can offer.

At the end of the day, you will probably find all of them deficient in one way or another. I am (still) writing my own in Java and it can and will do stuff that is really out of the question with most of them except perhaps Quant Developer.

You might like to have a look at this

http://www.elitetrader.com/vb/showthread.php?threadid=93630

which seems to be getting a good reception and perhaps join the project. I havn't looked at it yet mostly because I am so far down the track with my own stuff. I really do think that having the source code is a huge plus. If you find show stopping problems or deficiencies you can fix them or enhance the product.

I don't know what you mean by exorbitant futures charges. IB is massively cheaper than any spread bet company. Of course you cannot trade anything smaller than one contract so it very much depends on the particular contract, varying from say $5 per point on the YM to something like the Dax which is a pretty big contract at 25 Euros per point - and it can move fast.

IB also have quite a good paper trading facility which s a decent simulation of the real thing with full real time data which can be used for testing manual or automated systems against. You need an account with IB to use this. It should not be confused with the publicly available demo account with is useless for testing anything against. You can develop your system without risking anything.

If you are going to be serious about this you need direct market access which means flicking the spread bet companies.

 

[dr_trader]

You might like to have a look at this

http://www.elitetrader.com/vb/showthread.php?threadid=93630

- this looks interesting, yes. I also noticed the post by OpenQuant - their system looks very good and reasonably priced (500 dollars) - have you tried it at all?

I don't know what you mean by exorbitant futures charges. IB is massively cheaper than any spread bet company. Of course you cannot trade anything smaller than one contract so it very much depends on the particular contract, varying from say $5 per point on the YM to something like the Dax which is a pretty big contract at 25 Euros per point - and it can move fast.

If you are going to be serious about this you need direct market access which means flicking the spread bet companies.

Sorry for my ignorance but what's YM?

I'll have a look at the figures for IB from what I can see, each futures contract will cost me:

£3.40 on each turnaround on FTSE100 (this is from Here)

but I can't find what the minimum contract is, the best I can do is this page.

 

[dcraig1]

YM is the Dow emini futures contract.

From this page, it seems that the intraday initial margin requirement for one FTSE contract is 1313 pounds.

http://www.interactivebrokers.com/en/trading/marginRequirements/margin_amer.

You need to understand how margins work. IB does not issue margin calls like spread bet companies. They just close sufficient of your positions to bring you inside margin requirements. This is a good thing, as it protects you and provides good protection for the broker which is important.

Having never looked at the FTSE contract, I'm hardly an expert, but from the contract details page, it seems that the multiplier is 1000. This means that one full point move in the contract value is 1000 x 1 pounds. If you look at the DAX contract details, for example, you will find that the multiplier is 25 so each full point move is 1 x 25 Euros.

Again from the contract details page, the tick size is 0.005, so a one tick move in the contract is 5 pounds. Somebody who trades Z might correct this if I have it wrong.

 

[dcraig1]

No, I havn't looked at OpenQuant. I have an aversion to anything tied specifically to Windows. I did try the predecessor several years ago when it was open source - I think it was called SmartQuant - and I thought it had a lot of potential, but it was absolutely riddled with bugs, some of them real screamers. I'm not in any way suggesting that this is true of OpenQuant.

OpenQuant has only been available at a reasonable price fairly recently.