I’m looking for software that is robust enough facilitate multi-algo automated trading across the entire US stock market. Does anybody know of a software that can intake live market data, generate signals from multiple algos, and send orders to brokers for execution? Here is a visual of what I’m looking for:
We are currently using Tradestation to automate our strategies. However, our more institutional needs are well beyond its more retail limits. We can only automate one algo on 1,000 stocks and even then we’re experiencing minor drag at the high volume close. If we want to run multiple algos across the entire US stock market (nearly 10,000 stocks) then we’d have to use many machines, build connections between those machines, etc. It’s not efficient.
We’d like to run all our algos across all stocks from one single machine. Likely a powerful AWS instance. This is likely doable by creating a custom Python/C# app to act as the signal engine that houses all our algos and sends signals to brokers for execution via APIs. However, before going down that route I’d like to know if something already exists out there for more institutional users.
@parisk, unfortunately, I have no answer for you, but, if you have not yet done it, I suggest you read this thread:
Many of the issues discussed, IMHO, are to be considered independently of the final solution you'll choose, and probably reading it will give you some ideas to re-evaluate some parts of the project.
I'm not sure that this is appropriate to post (if so, moderators please advise and I'll remove the post!) but I've been working on a similar issue for some time and found a reasonable solution, and decided to make information available about the process. Feel free to reach out to me directly to discuss (how to automate AmiBroker (or other signals) more easily using multi-strategy and multi-symbol/portfolio approaches).
Hi Dave - Apologies for bumping up an old thread. I would love to learn more about your reasonable solution if you are still open to making that information available. What is the best way to reach you directly?
@reds it looked to be a product Dave was selling. Probably why the post got pulled.
That being said,
I could see all of this being done with AMI as the driver. Simply send your signal + desired destination to a python script and do your trade execution there.
Any way you look at it, managing multiple brokers, signals, and tons of data is going to be a lot of work.
I don't seem able to send you a PM. You can send me a message at amibrokercanada at gmail dot com or check the forums there, I did a presentation recently to the AmiBroker Canada UG on how I automate my trading.
In one of your posts you refer to MT4 as "trash". I do not use MT4 but have looked at it recently. Why do you think it is trash? Given the widespread acceptance outside the US I would have to think the software must be vetted & stable.
Python would likely be a great solution but outside if my abilities,
MT4/5 are only popular because of their widespread integration with probably hundreds of forex brokers. They also allowed for automated trading. These two factors made them popular, but that doesn't mean they are good.
List of reasons why it's trash:
You are locked to certain timeframes. 1,5,10,15,1h,1d I believe it was.
They are slow.
Incomplete backtesting information.
Walk forward testing is a nightmare + sooo slow
Coding is cumbersome and convoluted. If python is outside of your abilities, MT4/5... Yikes.
The only thing it makes "easy" is getting a lot of data, and the auto trading is a little more foolproof than AMI. Our auto trading here is very low level, which is good, but can be dangerous if you venture too far from the provided examples.
I did not mean to infer I was thinking about MT4 for backtesting (inclusive of walk forward) as I see no reason to use MT4 when we have AmiBroker for backtesting and WF analysis. I was referring to MT4 solely for the auto trading.
While I primarily code in R for back testing and simulation, I am hesitant to code for auto trading as errors will cost hard dollars, not simulated dollars. A proven platform like MT4 or even TS for autotrading has appeal in that they are in widespread use. TS as a backtesting platform does not compare to TS and why I moved from TS to WealthLab (acquired by Fidelity) and now to AmiBroker. Amibroker is superior in every way for back testing and simulation thanks to Tomasz and people like you, beppe, fxshrat, portfoliobuilder, mradtke and the rest of the contributors to this forum.
Ah, I see. I was just giving my complete list on MT4
Trade Station scared me because their support was very very bad. No way to get in contact with someone over the phone. Email responses were canned, I pulled my money out of that broker a soon after it was funded. I don't remember what their coding language was like.
Widespread use in my opinion is not a good indicator. With a higher level trading api you will not be able to do fancy things, as this thread entails. AMI+IB will absolutely give you the most amount of freedom, order types, etc.
quantconnect or some solution like that might be interesting to you, but like the others, coding will not be fun.
