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I want to simulate real time trading strategies. For simplicity, let's say I only want to simulate a long-only portfolio on S&P500.

I have a couple of questions:

  1. Is there a place online where you can simulate strategies programmatically?

  2. Suppose that I want to build a simulator on my own machine. With historical data, what sort of frequency should I look at for collecting this data. Should I be looking at minute-by-minute data? On the second? Subsecond? Also, is there a standard place to acquire this old S&P Data?

Disclaimer: Yes, I realize this is a broad question, and I appreciate helpful answers. I'm new to this.

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Is there a place online where you can simulate strategies programmatically?

Your best choice is most likely a service such as Quantopian or QuantConnect. Quantopian provides equity and futures data and allows you to program trading strategies in Python, run risk management analysis and backtests. The latter option, QuantConnect, has support for Python as well as C# and F# in case you're more comfortable in either of those languages. QuantConnect also has higher resolution data for several more asset classes.

I do not use either platforms as I prefer to be using a proprietary setup, plus most of what I do is in C++ and there aren't any online services for that regardless. I will not go into setting up a local environment for developing trading algorithms as you specifically asked for "a place online" and it's a loaded question.

Regarding data resolution: QuantConnect allows you to specify what resolution of data you wish to use in your strategy. Daily, hour, minute and second data is provided by QuantConnect (as well as fundamental data). Same case for Quantopian but there the smallest resolution you will have access to is minute data.

Regarding research frequency: This question is a bit broad but I'll try to cover what you're asking. It depends completely on what you are looking for. There are things you cannot find from daily data that you can find by looking at tick data and vice versa.

As far as old S&P data goes, as stated above both Quantopian and QuantConnect provide data for researching purposes. (The research environments are effectively a Jupyter Notebook, and the language used for that is Python).

This question was a bit broad but I hope I answered what you were looking for.

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    $\begingroup$ Thank you, this was incredibly helpful. I've added a disclaimer to my question acknowledging the breadth of this question. $\endgroup$ – Drew Brady Aug 18 '18 at 5:01
  • $\begingroup$ Cool, glad to help. Not to seem as if I'm doing this just for reputation however it is helpful for the community to mark it as accepted so others know that I covered what you were looking for. $\endgroup$ – ofey73 Aug 18 '18 at 5:03
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    $\begingroup$ Of course, I'll mark it as accepted in a few hours. I'll wait to see if I get other responses, given the breadth of the question. $\endgroup$ – Drew Brady Aug 18 '18 at 5:05
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    $\begingroup$ Yep, sounds good. Asking questions on a new StackExchange site is always tricky as you don't know how that specific community is going to react. And often it's with sarcasm / snark / people being condescending assholes. Here I think the quant finance SE is in the middle: people are very willing to help others with little knowledge and willing to learn but you find the occasional snark. If you want, this can be continued in the chat, bit less formal: chat.stackexchange.com/rooms/250/quant $\endgroup$ – ofey73 Aug 18 '18 at 5:10

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