The trading-systems tag has no wiki summary.
10
votes
5answers
2k views
References for developing an automated trading system?
I am looking for references on the architecture of automated trading systems and the trading algorithms behind them. I am more interested in system development than analysis. A couple of books I ...
12
votes
6answers
5k views
Is Scala used in trading systems
I'm curious about high performance computing and consider algo/program trading as an interesting source of information about what are performant technologies that are used to trade the markets.
Is ...
15
votes
3answers
2k views
Main backtesting & trading solutions: QuantFactory, Deltix, etc.
What are the most used/mature/promising commercial solutions today which handle backtesting/ automated trading needs?
I'm talking about vertical product suites like QuantFactory or Deltix which ...
11
votes
3answers
739 views
How do strategies deal with corporate actions?
There are many corporate actions that will affect the stock price, like dividend, stock split and rights.
Given a large series of historical price data, how do we adjust the data to filter out the ...
5
votes
1answer
655 views
A generic limit order book: What are the most important queries it should be able to answer?
Assume a class LimitOrderBook which represents a limit order book in a trading system.
To be able to represent the limit order book a data handler reads a feed ...
2
votes
2answers
968 views
How much capital do I need to create a competitive automated trading strategy?
I'm a relatively small investor, and I'm interested in building my own fully-automated quantitative trading strategy. I also read about dark pools, and how difficult it is to get good prices on ...
7
votes
2answers
410 views
What is a reasonable upper bound on the performance of a daily trading strategy?
I am backtesting an equity trading strategy which trades only once per day. Is there a general rule of thumb for the reasonable upper bound on the rate of return of such a strategy? For example, a ...
2
votes
0answers
665 views
Which CEP platform is most popular for trading systems? [closed]
I heard that trading firms employ CEP platforms such as StreamBase, Marketcetera, JBoss Drools, and etc., to implement trading systems. I wonder which one is most popular and the recent trend of ...
1
vote
0answers
282 views
Trade station and infrastructure [closed]
I'm very curious to hear about the infrastructure and trading station behind the traders who trade professionally. (i.e., workstation, monitors, operating system, software for trading, etc.)
0
votes
3answers
715 views
Appropriate method for calculating negative returns on a trading strategy?
I have a cumulative profit/loss time series below for a trading strategy, what is the appropriate way to calculate the returns in percentage for such a series?
My issue is the appropriate ...
0
votes
0answers
87 views
What is the difference between a trade and a cross - particularly regarding TSX crossing facilities?
There are four interesting crossing facilities in TSX: http://www.tmx.com/en/trading/products_services/cross_facilities.html
These seem to be different ways to execute a trade (and in terms of market ...
