The trading-systems tag has no wiki summary.
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 ...
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 ...
12
votes
2answers
974 views
Is there an open source alternative to Reuters Kondor+?
Basically, I'm looking for a system which have trading(in a demo account), book keeping, profit/loss and risk calculation capability across different asset classes such as bond, repo, equity, foreign ...
11
votes
3answers
740 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 ...
10
votes
7answers
664 views
Keeping a track record honest
I want to start a blog/newsletter and maintain a track record of
trades I recommend. I have a never-expiring demo account for this
purpose.
How do I keep this track record "honest"? Three months ...
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 ...
9
votes
1answer
311 views
How does one measure the effect of latency on potential returns?
I am looking to evaluate the hypothetical advantage one trading system has over another in terms of the possible returns given their latency.
Irene Aldridge wrote a piece (How Profitable Are ...
8
votes
1answer
745 views
What is the Sugihara Trading System?
I recently heard the term Sugihara Trading System. I guess it might be some trading strategy or a special model to predict trends in market data, but I couldn't find out anything about it. Does anyone ...
7
votes
2answers
411 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 ...
5
votes
2answers
531 views
System Development / Optimization
I have been testing a trend following strategy. The results shows massive drawdowns which makes the equity curve very unstable. I just wanted to know what are some ways in which I can reduce the ...
5
votes
3answers
262 views
Maximum friction-free trades
I have a trading system I would like to test for the S&P 500, or another very similar instrument. I'm looking to make approximately 10-15 trades per month. I know if you have a Vanguard account, ...
5
votes
1answer
660 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
969 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 ...
2
votes
2answers
319 views
Does Interactive Brokers (IB) have a Web friendly API?
The requirement I am given is to implement a web ppplication which utilizes Interactive Brokers's API to fetch data. I went through the IB API web page and came across two viable methods: TWS and IB ...
2
votes
1answer
186 views
Running a simple alpha estimation test for statistical significance of a signal
I'm looking for some direction on testing whether a simple entry signal has statistical significance.
Let's say this is my simple entry signal:
Buy when some indicator has a positive slope and is ...
2
votes
2answers
340 views
One bar look-ahead backtesting
Suppose you backtest the EUR/USD (or GBP/USD) forex pair with this system on the 1min timeframe:
1) Enter the market at any time n: go long if the "future" bar n+1 has a higher close as the close ...
2
votes
0answers
666 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
2answers
950 views
On my way to becoming a Quant [closed]
I'm currently studying for my undergrad in CS, and considering to do a grad in both CS and Math. I would like to see what you guys would recommend to prepare myself for a field as a Quant. I am ...
1
vote
1answer
222 views
Testing a simple stock market trading hypothesis? [closed]
I have a simple stock market trading hypothesis ...
Something along these lines:
Based on a certain deviation from a stock market index over a 30-day
period, 5 certain stocks tend to drift ...
0
votes
3answers
720 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
3answers
1k views
What are the common trading systems for hedge fund automated trading?
Is there any common trading system that is implemented by hedge fund, especially for equity or forex automated trading? I know some big names like Sungard and Bloomberg. Is there any other choices ...
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 ...
0
votes
0answers
419 views
Quant Finance Education, Certification resources [closed]
I would like to pursue a career in the finance industry. Specifically looking to work in the technology side with regards to algorithmic trading and developing software based on quantitative ...
0
votes
0answers
283 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.)
