Open Source for Auto/Algo?
First Published in Automated Trader Magazine Issue 10 Q3 2008
Open source software has made huge strides in terms of credibility in recent years. So is now the time to consider it for auto/algo trading? Graham Miller, CEO of Marketcetera, definitely thinks so.
By Graham Miller, CEO of Marketcetera
Picture this: you want to build an automated trading system to take advantage of ongoing price discrepancies in US listed equity options. This system will allow you to scale up the strategy to a significant portion of your P&L, so clearly you will code this in-house with your most trusted software developers. Open source software is probably the furthest thing from your mind. However, as the project gets underway, you are surprised to find that much of the code that will ultimately make up your trading system is not proprietary, and may even be available as open source software.
The reality
Actually, not so surprising at all; a quiet move towards open source is occurring in financial services, initially at the infrastructure layer and progressively, even in finance-specific functions like FIX connectivity and basic risk-analysis. Increasingly, software adopted from open source projects can provide the flexibility of in-house code, while providing time-to-market advantages of proprietary third-party software. For example, JP Morgan based OneBench - their internal application development environment - on the open source Eclipse application framework, because it provided the efficiency, lower cost and co...
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