An Integrated Evolution Environs For High Frequency Strategies

I bring come upward across many software platforms that allow traders to outset specify too backtest a strategy too then, alongside the force of a button, plough the backtest strategy into a alive trading programme that tin automatically submit orders to their favorite broker. (See all my articles on this topic here.)  I called these platforms "Integrated Development Environment" (IDE) inwards my new book, too they arrive at from the familiar too retail-oriented (e.g. MetaTrader, NinjaTrader, TradeStation), to the professional person but skills-demanding (e.g. ActiveQuant, Marketcetera, TradeLink),  and lastly to the comprehensive too industrial-strength (e.g. Deltix, Progress Apama, QuantHouse, RTD Tango). Some of these ask no programming skills at all, allowing you lot to build strategies yesteryear dragging-and-dropping, others run some uncomplicated scripting languages similar Python, too yet others need full-blown programming abilities inwards Java, C#, or C++. But which of these allow us to backtest too execute high frequency strategies?

To land the obvious: backtesting HFstrategies is quite hard. The mass of information is i issue. But inwards addition, the execution details are really of import to such strategies: details such as the exact exchange/venue to which nosotros are routing our orders, the precise land of the companionship mass that triggers our orders, the companionship types nosotros are using, too lastly the probability of getting filled if nosotros run non-marketable orders. Messing upward i of these details too the backtest volition live far from realistic. I oftentimes say people that it is easier to newspaper merchandise a HF strategy than to backtest one. While many of the platforms I reported to a higher house create allow backtesting using tick data, I don't know that they enable backtesting using the amount companionship mass too selection of execution venue. With this background, I am happy to study I bring lately come upward across but such a platform called Lime Strategy Studio.

First, the bad news. LimeTrader is useful alone to traders who merchandise alongside Lime Brokerage, equally it is configured to post alive orders to Lime only. [UPDATE: I bring since learned that at that spot are adapters available for third political party brokers.] However, if you lot are going to merchandise HF stocks too futures strategies, why non acquire alongside Lime, since they supply you lot alongside a comprehensive API, straight ultra-low latency feeds from the exchanges, too allow (nay, insist on) colocation either at the exchanges or at their information center at a reasonable fee? (Full Disclosure: I bring no electrical flow invoice alongside Lime, though I was a customer.) Another slice of bad news: the specification of the strategy must live inwards C++.

But i time you lot acquire over these two hurdles, the benefits are manifold. Every special that you lot tin specify for a alive trading strategy tin live specified for the backtest too newspaper trading. As I said, these details may include companionship type, trading venue, land of companionship book, too fifty-fifty statistics of the companionship book, non to advert primal information such equally earnings, corporate actions, too other user-provided information such equally news. Influenza A virus subtype H5N1 fill upward simulator is included for your non-marketable orders. As alongside other IDEs, i time you lot backtested a strategy inwards its every special too are satisfied alongside the surgical operation metrics, you lot tin acquire alive (either for newspaper or production trading) alongside the force of a button.

If whatever reader know of other IDEs that bring similar features too useful for backtesting HF strategies, delight allow us know!

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Speaking of HF strategies, traders oftentimes lament the ultra-high secrecy some them too the difficulty of gathering noesis inwards this field. Influenza A virus subtype H5N1 friend (hat tip: Dave) referred me to this paper yesteryear Prof. Dragos Bozdog et. al. that gives a flavour of what assort of modeling may live involved. I abide by it really readable too thought-provoking.

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There are nevertheless 2 slots available inwards my online Mean Reversion Strategies workshop scheduled for May.