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Algorithmic Trading Forum
1  General Category / General Board / Don't be intimidated by AI, seize the opportunity
 on: 04/11/18 at 14:00:18 
Started by Algo Designer | Post by Algo Designer
Imagine an intricate network of elastic compute clouds, data centres, rows of quiet office desktop computers running algorithms that communicate with one another engaged in fierce competition or active collaboration. The whole purpose of their existence is to grow stronger, become more resilient and survive in a turbulent, chaotic and at times rather hostile environment. They seem to carry out some distinctly different functions: many of them are workers, warriors, some seem to be silent guardians that protect their environment. Their level of intelligence reminds us of the wonderful animal kingdom that thrives on our beautiful planet. They are of different material, they are a product of higher intelligence but their nature seems to be in harmony with that of the living word. They live, they breed, and they die. Their end is an agent of change and their survival features are passed from one generation to another. Their actions are not prescribed or contained by a single overarching script as they become more complex, graceful and smart in the flux that surrounds them.

Those bubbly algorithms are intelligent agents and their communications are lighting fast resembling firings in a synaptic network. They do not sleep. They protect you and your investors' wealth. They relentlessly search for those tiny inefficiencies in various markets, sectors, securities and their derivatives to extract the precious alpha and improve your quality of returns. Some of them trade, some of them conduct the research for their masters and peers, others enforce the order and contain the risk by retiring the agents that exhibit abnormal behaviour or violate the rules.

They conduct and participate in large scale simulations, they learn to deal better with boom and bust cycles, slow and fast markets...

Read the full article here:

2  General Category / General Board / Re: AlgoTrader Introduces Automated Bitcoin Trading
 on: 01/24/18 at 09:20:52 
Started by Andy Flury | Post by EfrenTe
Great stuff by the looks of it. Are you continually developing this tool?

3  General Category / General Board / INTRODUCING ALGOTRADER 4.0 – PACKED WITH POWERFUL
 on: 07/18/17 at 17:23:41 
Started by Andy Flury | Post by Andy Flury
AlgoTrader 4.0 is the most comprehensive and integrated version so far, packed with innovative new features to help take quantitative trading to a new level. With AlgoTrader 4.0, any quantitative trading strategy can be fully automated, minimizing workloads, reducing trading costs and cutting strategy development times.

Automated Bitcoin Trading
AlgoTrader is the world’s first professional algorithmic trading solution to support automated Bitcoin trading. With the integration of Coinigy, AlgoTrader now connects to over 45 of the world’s most popular cryptocurrency exchanges, allowing users to trade hundreds of cryptocurrencies.

Historical Data Storage using InfluxDB
AlgoTrader now uses for storage of live and historical market data. As the world’s top-ranked time series database, InfluxDB specializes in handling time-series data with high availability and performance requirements.

Strategy-Specific User Interface Extensions
With AlgoTrader 4.0 it’s now possible to extend the HTML5 user interface with strategy specific custom widgets. This allows users to visualize strategy-specific data or interact with strategy-specific functionality (e.g. modify parameters or change the state of a strategy).

New Adapters
AlgoTrader now supports a total of 15 interfaces and adapters, including the following new additions:

  • Coinigy – for trading Bitcoin and other Cryptocurrencies
  • QuantHouse – based on the ultra-low-latency market data feed QuantFEED
  • Quandl – A popular source for financial, economic, and alternative datasets
  • Nexus Prime – A MetaTrader MT4 Server - FIX interface provided by IS Risk Analytics

For more information, please visit the AlgoTrader 4.0 announcement.

4  General Category / General Board / AlgoTrader Introduces Automated Bitcoin Trading
 on: 05/13/17 at 11:49:15 
Started by Andy Flury | Post by Andy Flury
AlgoTrader is the world’s first professional algorithmic trading solution to support automated Bitcoin trading.

Blockchain and cryptocurrencies are this year’s hottest trading topic. Many banks are already establishing blockchain-based services and using cryptocurrencies for interbank settlement. The first blockchain / cryptocurrency-based hedge funds have also appeared.

The only thing missing was an institutional-grade algorithmic trading software that allows trading of cryptocurrencies on a fully automated quantitative basis.

But that’s about to change!

The upcoming AlgoTrader release 4.0 integrates Coinigy, an all-in-one digital currency platform. Coinigy offers connectivity to over 45 of the world’s most popular cryptocurrency exchanges, allowing you to trade hundreds of different cryptocurrencies.

Benefits of the new Coinigy integration include:

  • Connectivity to 45+ cryptocurrency exchanges including Poloniex, Bitfinex, Kraken, BTC-e, Bitstamp, OKCoin and more
  • Support for hundreds of cryptocurrencies including Bitcoin, Ethereum, Ripple, Litecoin, Dash and more
  • Processing of live market data from any of the supported cryptocurrency exchanges
  • Trading of cryptocurrencies based on automated trading rules such as technical indicators or statistical arbitrage
  • Automated download of Coinigy accounts, exchanges and currency pairs into AlgoTrader
  • Simultaneous trading of currency pairs on multiple exchanges
  • Cryptocurrency market making
  • Trading of cryptocurrencies against fiat currencies through forex brokers such as FXCM, LMAX and Currenex

The AlgoTrader Coinigy integration which allows Automated Bitcoin Trading will be made available to all AlgoTrader users when version 4.0 is released later this spring.

5  General Category / General Board / AlgoTrader 3.1 integrates InfluxDB
 on: 01/20/17 at 17:21:32 
Started by Andy Flury | Post by Andy Flury
We’re pleased to announce that AlgoTrader release 3.1 will use InfluxDB for storage of live and historical market data.

InfluxDB is an open source database specialized in handling time series data with high availability and high performance requirements. It’s the world’s top ranked time series database, according to the DB-Engines Ranking of Time Series DBMS.

Benefits of InfluxDB include:

  • Easy installation with zero dependencies, yet highly extensible
  • Store up to one million values per second
  • Time-centric functions with a simple SQL-like query language
  • Supports data tagging for flexible queries
  • Highly efficient compression to reduce storage footprint
  • Supports a range of high-availability and clustering schemes

Market data is the foundation upon which quantitative trading strategies are built. It’s often necessary to store and process vast amounts of historical data to back test and run strategies. InfluxDB simplifies this process and enables AlgoTrader to deliver the following new features:

  • Record live tick data (one million ticks per second)
  • Storage of downloaded historical data
  • Automatically store end-of-day market data
  • Speed up back tests by up to 200%
  • Store fundamental data
  • Real-time aggregation of tick data into bar data
  • Replay historical data for back testing

During our benchmark testing, InfluxDB easily handled the storage of 100 billion ticks on a simple laptop.

InfluxDB is available for Windows, Mac and Linux. On production servers, InfluxDB can also be installed via Docker.

The AlgoTrader InfluxDB integration will be made available to all AlgoTrader users when version 3.1 is released later this spring.

6  Trading Strategies / Research / Optimal Trade Execution
 on: 09/19/16 at 22:11:20 
Started by Andy44 | Post by Andy44
Hi All,

Looking to build some algos for optimal trade execution. Any good resources, a good starting point and perhaps some guidance?

So far I have got a few research papers on the subject. I have a bit of a bias towards evolutionary approaches / genetic algorithms.

Have also heard quite a lot about Agent-based modelling to simulate market impact and essentially test one's algos.

Is this the way to go?


7  General Category / General Board / Introducing AlgoTrader 3.0
 on: 04/08/16 at 14:22:51 
Started by Andy Flury | Post by Andy Flury
The latest version of AlgoTrader has finally arrived.

New AlgoTrader HTML5 Frontend

Our HTML5 frontend presents a compact real-time view of your trading strategies.

Features include live Market Data, current Orders, Market Data Subscriptions, Positions, and Transactions, an interactive order placement form with full text search, configurable tiles, support for multiple currencies with automatic currency conversion, and display of alarms and notifications.

The new interface also comes with the highly interactive TradingView chart library, which contains different chart types, and over one hundred pre-built indicators. You can display multiple instruments at the same time, and you can even draw on the chart yourself.

One-Click Deployment with Docker

Docker is an open-source platform for building, shipping and running distributed applications. AlgoTrader 3.0 now uses Docker to streamline our own installation and deployment process.

With Docker, you can install all components with a single command, reducing the deployment time to a few minutes.

Three New Execution Algorithms

We refactored the entire ecosystem around Execution Algorithms. Creating algorithms is now simpler and more flexible. We also added these three new Execution Algorithms: VWAP, Target Position & Trailing Limit

Excel-based Back-test Report

At the end of each back-test, we now produce a concise one-page back-test report with key performance metrics and charts. The report is based on Excel, so you can make changes and apply your own formatting.

Write Trading Strategies in Any Language

Along with the development of the HTML5 frontend, we also added a standard RESTful interface using Jetty HTTP server, and a websocket/STOMP interface using ActiveMQ.

For example, you can write a trading strategy using C#, Python, Javascript/Node.js and even MatLab or R.

8  General Category / General Board / cyanspring CTWS questions and request for replies
 on: 03/28/16 at 16:46:25 
Started by pmcd | Post by pmcd
hello, Im Philmcdavid@yahoo.com, and with help from partner/coder, we have our online algotradersedge.com, and are working on debugging it. A few basics? We have used cyanspring.com's CTWS, does it require first have Eclipse both installed and running before attempting to open the CTWS work trading station? There may be problems with my Eclipse install, it would seem likely cause, but another question please, with the CTWS Eclipse logo "start" button, just clicking it should have the client GUI app open directly on my home computer, and have it connect with our host main server, yes? I must clearly check entire host functionality is clear, but would think just opening CTWS should only require Eclipse be up and running on my home computer. Thanks in advance all help. Smiley

9  General Category / General Board / AlgoTrader One-Click Installation – by Docker
 on: 03/15/16 at 16:37:12 
Started by Andy Flury | Post by Andy Flury
Docker is an open-source platform for building, shipping and running distributed applications. It’s the next big thing in IT server management.

And now we’re pleased to announce that AlgoTrader 3.0 will use Docker to streamline our own installation and deployment process.

In the past, deploying AlgoTrader on a production server was a tedious task. You had to individually install Java, MySQL Database, ActiveMQ, Maven, Flyway, and IB Gateway, as well as the AlgoTrader server and trading strategies. These steps consumed up to an hour, and were prone to error.

But now with Docker, you can install all these components with one single command. This simplifies the process immensely, and the entire installation takes just a few minutes.

Docker builds AlgoTrader components into lightweight containers that are platform independent, so you don’t need to worry about whether they will run on your system.

Docker is available for Windows, Mac and Linux, and the AlgoTrader Docker installation procedure is identical under each operating systems. This means you can be certain that a trading strategy developed on Windows will behave in exactly the same manner when deployed on a Linux server.

And to simplify things even further Docker recently introduced Docker Cloud, a hosted service for Docker container management. Docker Cloud makes it easy for new Docker users to manage and deploy Docker applications like AlgoTrader. Using Docker Cloud, trading strategies can be deployed to cloud servers with a single click. With Docker Cloud it’s even possible to setup a new Cloud Server including AlgoTrader without touching the server itself.

Docker simplifies and streamlines the AlgoTrader installation process, while making trading automated strategies m

10  General Category / General Board / Check Out  The New AlgoTrader HTML5 Frontend!
 on: 02/11/16 at 11:29:27 
Started by Andy Flury | Post by Andy Flury
We’re pleased to announce the new frontend for AlgoTrader is now available!

Check out the demo at http://html5.algotrader.ch

Please note that this is an early preview. It might still have a few bugs and we might restart the server every once in a while. Please use a Google Chrome browser on your desktop or laptop as other browsers and mobile devices are not fully supported yet.

For more details on the new HTML5 frontend please visit our web page

The release of our new HTML5 frontend represents a big step for AlgoTrader, and we are very excited to share it with you. We are very interested in your feedback and would love to hear what you think:

  • How do you like our new frontend?
  • Are there any features that you think are missing?
  • Is there something we should change in the layout or style?

Don’t hesitate to email your comments or suggestions to info@algotrader.ch