‘Software Review’ Algorithmic Trading Articles & Financial Insight
- MTS BondsPro API: Opening New Doors
MTS Markets International Inc. is the US subsidiary of the MTS Group. In the US corporate bond space they manage an ATS called BondsPro (formerly known as Bonds.com). While a screen-based version of MTS BondsPro has been available for some time, a more recent innovation has been the introduction of an API. Aly Kassam, CEO of Quantitative Support Services, and Andy Webb, founder of Automated Trader magazine, took it for a spin.
- High Frequency Trading, Done Quickly
SUBSCRIBERS ONLYThe Agora trading software libraries, by Energeia Associates Ltd, promise to bridge the gaps across low-level data, brokerage APIs and high-level modelling tools. If successful, this would spare higher-frequency traders the labour of dealing with data processing, order management and logging, freeing them up to focus on strategy and model performance instead. Andy Webb, Automated Trader's Founder, and the Wrecking Crew took a look at an alpha version of Agora to check if it does what it says on the tin.
- Utopian Quantopian?
SUBSCRIBERS ONLYQuantitative strategy building and backtesting platform? Using an accessible, popular yet powerful programming language? Paper trading, plus (in due course) live deployment of strategies? Free!?! Automated Trader's founder, Andy Webb, and the Wrecking Crew check out whether Quantopian really is all it seems.
- All the data
SUBSCRIBERS ONLYOne of the certainties when building automated or algorithmic models is that you'll be needing historical data, probably lots of it. So in this issue Automated Trader's Founder, Andy Webb, and the Wrecking Crew take a look at one possible source - Thomson Reuters Tick History.
- Cointegration: Assume Nothing, Check Everything
SUBSCRIBERS ONLYThis issue, in a departure from our usual review format, we take a look at something that the Wrecking Crew frequently encounters when reviewing stat arb software - cointegration testing. Used appropriately, cointegration tests can add value, but misapply them and the only reversion you'll see is your trading equity in the direction of zero. Crew members Aly Kassam and Michael Weidman of Quantitative Support Services explain how really understanding what you are doing and appreciating the limitations of cointegration tests is critical to their successful deployment.
- Software Review: ILNumerics - faster numbers
SUBSCRIBERS ONLYFor the majority of Automated Trader readers, faster code is implicitly better code. When conducting research, anything that reduces the execution time of the often vast simulations or optimisations being undertaken is a 'good thing'. Even for those not at the cutting edge of HFT, the same applies to the execution time of code in live trading. Which is why in this issue's software review we're taking a quick look at the ILNumerics maths library.
- Spreadsheet Shortcut
SUBSCRIBERS ONLYConnecting spreadsheets to other applications in real time is an area where things have improved dramatically in recent years. Nevertheless, it's still a task that diverts time and resources from developing the trading strategies that actually capture alpha. Which is a masterly understatement that prompted us to take a look at KaiTrade's K2RTDKit...
- RTD Tango QUANT: Straight to Market
SUBSCRIBERS ONLYIn our last issue, the Wrecking Crew tried to make life complicated by plugging various separate applications together to create a model development and trading environment. In this issue, they make a complete U-turn by taking a look at RTS's RTD Tango QUANT application, which delivers that same environment in a single application.
SUBSCRIBERS ONLYWell yes OK, we know we're rather stretching the definition of "mashup" here, but it has rather more punch as a title than "we attempt to cobble together some random bits of software into a trading application/model doing a spot of (re)reviewing along the way". Though that's probably a more accurate description of what the Wrecking Crew and Automated Trader's Founder, Andy Webb, have actually been up to for the last month or two.
- Tick Data: Crunchable Numbers
SUBSCRIBERS ONLYA regular conversation piece with our readers is data. Not just the usual "faster, faster" topic, but also how to minimise the management overhead of historical data used for analysis and model building. Which led Automated Trader's Founder, Andy Webb, and our friends in the Wrecking Crew to take a look at Tick Data's data service and its TickWrite application.
- The Virtue of Simplicity
SUBSCRIBERS ONLYAs we keep pointing out, automated/algorithmic trading does not automatically imply ultra high frequency trading. Plenty of Automated Trader traders we talk to seem to do just fine deploying automated models that hold positions for periods ranging from seconds to days. At the same time, rather a lot of them appear to use MATLAB and more than a few use Interactive Brokers. All of which rather inevitably led the Wrecking Crew and Automated Trader’s Founder, Andy Webb, to take a look at IB-MATLAB...
- APIs: Real World Modelling
SUBSCRIBERS ONLYSomething of a change in this issue’s software review, with a former Automated Trader First Person (see page 5 of the Q3 2010 issue) and previously anonymous Wrecking Crew member taking centre stage. Yang Wang uses multiple APIs for programming trading models and tools both for in house use at Chiron Investment LLP and for distribution to the clients of Financial Software Engineering Ltd, where he is currently Head of R & D. As a result, he is ideally placed to give his views from the sharp ends of the eSignal, CQG and STS APIs.
- Deltix QuantOffice: Low Latency Productivity
SUBSCRIBERS ONLYIf we’ve heard it once from readers, we’ve heard it a hundred times. “How do I develop and deploy my bigger/better/smarter/sophisticated trading models quickly and efficiently?” Andy Webb, Automated Trader’s Founder, takes a look at one possibility - Deltix QuantOffice.
- DMZ AlgoEngine: One step to heaven
SUBSCRIBERS ONLYOne of the problems with reviewing software in a market as rapidly evolving as auto/algo trading is that by the time the review is published in Automated Trader a new version of the product has often already been released. As a result, the Editor’s technology mailbag has of late been filling up with readers’ letters clamouring for us to peep over the technology horizon and take a look at a product before it is actually released. So we thought we better had. Therefore, in a change from Automated Trader’s usual practice of reviewing a piece of production software, in this issue we give a “preview review” of a pending new release of DMZ Trading Solution’s existing AlgoEngine product. As Automated Trader’s Founder, Andy Webb, and the Wrecking Crew quickly discovered simplicity and functionality are not mutually exclusive.
- Instant Gratification. Bloomberg Tradebook API
SUBSCRIBERS ONLYIn view of the title of this magazine, it’s probably safe to assume that a decent percentage of our readers are already exponents of API trading; it therefore seemed sense for us to take a trading API for a spin. So we have; Andy Webb, Automated Trader’s Founder, and the Wrecking Crew practise their handbrake turns on the Bloomberg Tradebook API.
- Synergic Trading
SUBSCRIBERS ONLYWe last looked at RTS’s RTD Tango in our Q1 2007 issue in its Tango Client guise. Since then, RTS have made a number of changes to Tango, with one of the most significant being the integration of the Tango Client’s automated trading capabilities with its new Tango Trader product. Automated Trader’s Founder, Andy Webb, and his team of trusty tyre-kickers take this hybrid muscle car for a spin round the block.
- MATLABís Racing Jacket
SUBSCRIBERS ONLYFor those conducting intensive calculations on large data sets, recent advances in GPU computing have been little short of a revelation; no more waiting days for results, or having to invest in your own giant cluster or supercomputer. On that basis, GPU computing seems a natural fit with quants’ favourite MATLAB, which probably explains why the people at Accelereyes dreamt up their Jacket application for GPU-enabling MATLAB. Andy Webb takes it for a gallop round the Automated Trader track.