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Trading Strategies >> Development >> Robo Trader Simulator.
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Message started by GregK on 07/18/09 at 20:59:29

Title: Robo Trader Simulator.
Post by GregK on 07/18/09 at 20:59:29

Hi
I'm putting together a robo trader that will work on live (+15 minutes) feed security data. I'll be pulling in this data from various places on the internet where it's free.
My intention is to focus on arbitrage only. However, the program will be monitoring many arbitrage opportunities. It will buy and sell based on a decision strategy within the program and it will pay a fee from it's capital for these simulated transactions to properly simulate arbitrage.
I intend putting a front end that allows live monitoring of the simulators activities. When I have a working version together I will be putting it on the internet.
To start with it is going to be very basic but I've got a framework together already which contains plug in strategies for any trading algorthims used. So once I get the whole thing together I'll be working on trading strategies and I'll simply do a new xyzTradingStrategy() and add it to a polymorphic pointer, kick off a new thread and off it goes concurrently along with the other strategies.
I have all my pricing algorithms done (at least the ones I need for the moment) I will be looking for arbitrage based on given prices of instruments and parallel to this I will be calculating the price of these instruments too to determine if they are mispriced.

My background is in programming instrument pricing and basic strategies like value at risk, optimisiation etc. I do all my pricing in C++ and the front end using Java (JBoss/Hibernate/DAO/Servlets etc). I'm doing this alone for my own enjoyment. Bernard Madoff has seen to it that I have time for a while to persue this ;).

Anyway. I have a few (nieve) questions.
How would one connect up to an/multiple exchange(s)? I mean getting live data and being able to trade electronically. What kind of money is involved in this?
What kind of money does someone like Goldman Sachs pay in trasaction charges for their robo trading application charges?
No space left....

Title: Re: Robo Trader Simulator.
Post by Lawrence on 11/20/10 at 03:51:46

One could use the API provided by Interactive Brokers
(http://www.interactivebrokers.com/en/pagemap/pagemap_APISolutions.php) and write your own order routing algorithm.

If one provides liquidity most exchanges will waive transaction costs. No charge for buying or selling -- essentially you would be a market maker.

One could trade providing liquidity using Interactive Brokers and have no transaction fees.

Title: Re: Robo Trader Simulator.
Post by guru on 12/23/10 at 19:46:49

I have been working along the same lines. I am using python as a language of choice. Have you had any success so far?

Yes, Interactive Brokers API is the best way to do this. They have a couple of pricing plans that are pretty good. Free EOD data is available at Yahoo and Google. Yahoo data is better. You will need to make adjustments(http://blog.kilotrader.com/2010/11/adjusting-yahoo-data.html) to this data to make is useful.

I would be VERY INTERESTED in collaborating, if such an opportunity exists

Title: Re: Robo Trader Simulator.
Post by FXvan on 06/08/11 at 05:12:35

Hi Guys,

I have been in cfd trading for many years now and have created my own methodology and now at a stage of looking for a algorithm programmer to program my formula. I have meet a few programmers that have talked the talk but couldn't do what I ask them for.

I work on the 1, 2, 3 and 5 min time frames of FX and need to program my methodlogy so it brings up buy singals when all are doing the same. i also need the program to scan the markets 24 hours a day looking for opportunities.

Could someone please let me know if they have the skills to do this and happy to catch up for a coffee to discuss the potential.

I was an investment banker for many years privately and understand the landscape of investments.

Thankyou for taking the time to read this and hope you can help me.

Cheers
P

Title: Re: Robo Trader Simulator.
Post by Richad on 06/21/11 at 18:35:11

Hi,

I just read your post and I will be happy to discuss your requirements,
obviously if you are still looking for a skilled programmer.

Regards

R.

Title: Re: Robo Trader Simulator.
Post by 人工智能 on 05/20/12 at 15:19:52

hi,
the same way as me.....i did the same line.
which language? i use cpp
best regards