The Gateway to Algorithmic and Automated Trading

High Frequency Trading, Done Quickly

Published in Automated Trader Magazine Issue 33 Q2 2014

The 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.

There are so many end-to-end trading solutions in the marketplace today that at first glance it's far from obvious why the world needs another one. For day traders, systems such as NinjaTrader and TradeStation and SmartQuant all offer powerful out of the box options. For high frequency traders, companies like QuantHouse and Deltix offer low latency feeds and trading options, as well as a framework with which to build bespoke solutions.

However, all these systems still require a significant amount of time, effort and coding to build a fully operational system that can:

• Make use of the latest statistical and machine learning techniques to build state-of-the-art trading models, whilst also...

• ...managing the logistics of complex spread and basket trades in an intelligent manner.

All systematic trading teams learn the hard way that building the infrastructure to handle data feeds, model development and the complex business of order management and execution always takes a huge development effort, regardless of the tools being used.

In an ideal world one would combine the easy to use, high level numerical libraries of a language such as MATLAB or Python, with a low level, low latency data feed, and plug the whole thing into a smart order execution system that plugs directly into a broker. No time/effort expended on the plumbing, maximum time available for the smart stuff.

This ideal is exactly the model that Agora claims to deliver. It combines an electronic broker (currently Trading Technologies or Interactive Brokers, but extensible to others) with fully multithreaded .NET libraries for feed handling and order execution, and a direct API link into MATLAB or .NET.

This should result in a system that offers higher-level access to data, order management, trade execution, and logging designed specifically with higher-frequency futures trading in mind. As a result, traders would be able to concentrate on the business logic of their trading models, without having to build all the infrastructure first.

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