Automated Trading???

[Goof]

First post, so go easy on me

This is a great website, I've read a lot of posts (some seriously brilliant dudes on here) and have some basic questions on building an automated trading system. I'm rather new at it, and don't really understand where to start (custom vs. using an off the shelf programmable platform). I'm suffering from information overload and difficulty deciphering all the different opinions I've read...too much information, I'm not sure where to start.

What is the better language to automate? C++, C#, Matlab? - I read Chan's book, makes the argument for Matlab (because it's array based - quicker computations?). Does the language matter so much anymore? Please give examples of size vs programming language - i.e. is C++ overkill for a retail investor automated platform? What is the difference in speed for Script vs interpreted vs compiled, etc. i.e. I think most proprietary systems use some sort of script for speed? Some make an argument C# is faster than C++ on newer based computers with at least a core 2 quad processor since it can take advantage of parallel processing.

Doesn't seem to be a lot of books on the subject. Most of what I've learned I've scrapped together from a few books and lots of websites. Mostly, is there anywhere to go for actually nuts and bolts of setting it all up, I need just a general guide (i.e. database design optimized for trading, programming indicators / volatility / statistics, speed requirements per system, displaying technical indicators after quantitative analysis).

I'm not an expert programmer just yet, know a little basic, fortran, javascript, C, C#. I'm in the middle of learning C++, not really what I would deem proficient in any of these.

I hear a lot of talk about all the benefits of quantitative trading over technical anaylsis (old school), but doesn't quantitative trading in some ways incorporate technical analysis for the forecast of future spreads?

Would you guys please give some suggestions on the general steps of setting this all up?

 

[joel_b]

There is no step-by-step guide. Matlab is easier to hit the ground running, and has extensions that lnk up to trading platforms, but you pay, lots.

C++ or C# provides more flexibility and speed, you have much more work to do to build your system, but it's free. I can't really contrast the two of them myself.

Tons of algorithmic trading strategies use technical analysis, so you're way off there.

 

[clydewallace]

I am part of a trading group. We used third party applications for a long time. We always tried to work around their limitations, and wasted a lot of time on technical limitations.

One day, we bit-the-bullet and started from scratch with Visual Studio. It was a pain finding the Technical Analysis and statistical sdk's, and coding our own trading object, but in the end, it was worth it.

Now I can quickly code and test new algorithms in a flash using my own objects. And if there is a function I need, I can just code it up.

But the big plus is in technical flexibility. ie. We just negotiated a deal with a new bank. No problem, we just changed our execution objects to match their new FIX idiosyncrasies, and we were up and running.

Keep in mind, that we literally trade hundreds of algorithms at the same time, with dynamic analysis in real time. There was nothing off the shelf that would even come close.

Need another server? No problem, split off some algos into another module, and put it on another server. Need another type of execution type, no problem. Got a deep analysis that's taking too long to run, no problem, throw a blade server online, and adapt the code to share the work.

I can't tell you the benefit of having your own code, and your own bugs. There is nothing like a bug in someone else's program, then begging them to fix it.

If you want something to just get going with, then use an off the shelf application, but if you are in it for the long haul -- build your own.

Good luck! I've enjoyed every bit of it, still do.

 

[Goof]

Thanks for the info, really appreciate. Mostly just trying to figure out what language to use now, probably going with C++ or C#.....C++ seems better for handling data, C# more for the GUI aspect?

Does the class inheritance and internal properties in VS hinder the speed? You guys code VS in C++, VB, or C#? I can see a lot of advantages structuring in OOP, C# seems easier to implement, but most of the brokerages I use offer C++ interfaces. Why are so many banks interested in C#, is it better for neural networks or SVM's?