[R-SIG-Finance] Live Algo Trading

Sat Dec 26 04:22:29 CET 2009

Hi,

I am delighted to read these positive vibes about aq, as i found it in 2002 (under the name ccapi).

Mind the new and much easier to use aqp2 from us at http://aqp2.activequant.org .

The idea u describe is very much what we intend over at aq.org as well, for this reason we have migrated last year to something like r-forge, u can call it aq-forge, based on redmine. I offer the servives of aq.org to host all code, svn,wiki, bug tracker etc. Of course there r also the big places like sf.net and google code, but i appell on the smartness of people to not support these big ones, but rather stay close to us and work with aq.org. 
On the aq mailing lists we have many good and motivated people. i recommend to setup a project there and use all the discussion facilities from there. As we host everything ourselve, an automated backtesting is very easy to setup. Of course only the best of the best should join theae efforts, i fully agree that a thorough skillset is required.

Regarding licensing i don't see a problem as long as it stays gpl.

Let's stay in touch.

Sorry for "abusing" this list a bit, on friendly neighbourship,
Ulrich

-- Urspr. Mitt. --
Betreff: Re: [R-SIG-Finance] Live Algo Trading
Von: tradetree <stock at ancientsaturn.com>
Datum: 25.12.2009 22:50

To Nick and others looking for a working algo platform.  

I am looking to find a group of committed people who will work on a system
that can auto-trade.  It is hard to know where to post this question because
you need to know the answer before you ask it! ;-)  If R + quantmod work,
then the R list is the right one, but if you don't know that where do you
post?  So I'd recommend anyone with a committed interest in figuring out a
working system send me a private email.  I am in discussion with other
developers off-list.  Keep in mind that this is an incubation project
effort, so you need to be able to develop code either in R, R-quantmod, or
AQ.  I believe all three will be used, so the R and quantmod related
questions are appropriate to this list.  I think AQ may also be used, and if
that is the case we will use the AQ list on Nabble.  My hope is that a new
derivative database of a working algo trading system could emerge.

I wonder what the GPL license allows for integrating several GPL projects to
form another system?  I wonder what list is the right one to ask such a
question?

Nick Torenvliet wrote:
> 
> 
> Yeah, that was a good overview...  Does anyone here have experience with
> activequant?  I checked it out a while ago and was discrourage by the
> seeming lack of docs... but I'd be interested to know more. 
> 
> Happy Holidays all!
> 
>> Date: Wed, 23 Dec 2009 22:25:31 -0800
>> From: stock at ancientsaturn.com
>> To: r-sig-finance at stat.math.ethz.ch
>> Subject: Re: [R-SIG-Finance] Live Algo Trading
>> 
>> 
>> 
>> That was a great overview and exactly what I needed to find out.  I saw
>> very
>> quickly that R was powerful and could perform my tasks, but I also know
>> how
>> interpretive and scripted platforms perform when in production.  I will
>> stick to AQ and keep control of the internals implementation.  I am just
>> realizing how much work it will be!...
>> 
>> 
>> Jeff Ryan wrote:
>> > 
>> > Using R as a live trading platform is really on a case by case basis.
>> > 
>> > For 1 minute bar trading, with limited computational overhead, R is a
>> > perfectly workable solution.  Inside of that time-frame, things may
>> > get difficult.
>> > 
>> > A multitude of factors should be considered.  First and foremost would
>> > be R proficiency.  quantmod isn't up to the plug and play task of
>> > automated trading (yet?!).  So you'd need to do quite a bit of work to
>> > get things up to speed.  It is doable, but you'll either be writing a
>> > lot of code yourself to fill in some infrastructure bits, hiring
>> > someone to do it for you, or most likely a combination of the two.
>> > And it will take time.  All worthwhile things do.
>> > 
>> > The IBrokers package is a decent example of what you can do.  Run
>> > across multiple sessions on a multicore platform, you can manage to
>> > process as much data as IB will let you.  You'll not be able to take a
>> > raw feed from a real data source of course (think millions of messages
>> > a second).  Preprocessed (limited symbols, aggregation, many cores,
>> > capture-engine intermediary, etc), and you are getting closer to
>> > 'real-time' reality.
>> > 
>> > The advantage to myself and those I know who *do use* the above
>> > approach, is that you can think in "R".  If you are doing backtesting,
>> > post-analysis, etc in R, it is a quasi-natural fit to move the
>> > execution into R.
>> > 
>> > Another approach taken is to keep the execution stuff outside of R
>> > (C++ or Java for example), and simply make calls to R when needed.  Of
>> > course if your logic relies on the R code, you are still imposing the
>> > same potential limit on the total process.
>> > 
>> > Simple take away: it is possible, but not easy.  You gain an
>> > incredible amount of flexibility and speed of development (if R-versed
>> > already), but the trade-off is in raw processing capacity.  A strategy
>> > relying on ticks or orderbook data with only R would likely be
>> > suicide.  15s to end-of-day style, very doable.
>> > 
>> > Best,
>> > Jeff
>> > 
>> > 
>> > On Wed, Dec 23, 2009 at 10:55 PM, tradetree <stock at ancientsaturn.com>
>> > wrote:
>> >>
>> >> I wanted to see if there are people using R and quantmod to trade
>> live,
>> >> or
>> >> only as an off-line tool for algorithm development?  I am evaluating
>> >> ActiveQuant and R to decide what to use for a live trading platform. 
>> I
>> >> am
>> >> coming from Tradestation and right now considering AQ and the IB
>> >> interface.
>> >>
>> >> It is very hard to find an overview of approaches and pros/cons for
>> >> automated trading.  Some people use AQ for the trading engine but do
>> algo
>> >> development in R and quantmod.  Is this a recommended direction?
>> >>
>> >>
>> >> --
>> >> View this message in context:
>> >> http://n4.nabble.com/Live-Algo-Trading-tp978300p978300.html
>> >> Sent from the Rmetrics mailing list archive at Nabble.com.
>> >>
>> >> _______________________________________________
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>> > 
>> > 
>> > 
>> > -- 
>> > Jeffrey Ryan
>> > jeffrey.ryan at insightalgo.com
>> > 
>> > ia: insight algorithmics
>> > www.insightalgo.com
>> > 
>> > _______________________________________________
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>> > 
>> 
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