QUANTLABS.NET

(Last Updated On: September 12, 2011)

Hi all, Is there any Open Source API for trading algorithms? Also what is the best way the get in to it [ Algorithms Trading] if you do not work in the financial industry. book? Examples? tutorial?

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May I ask you why you specifically need Open Source? You can find several APIs (even for demo accounts) out there; you can use them for free (at least in simulation and testing), but will not have access to the source code.

Then, trying to answer your other questions: I guess the best way to get into algorithms trading is to experiment yourself with an API. A good book about algorithmic trading is Johnsons’ “Algorithmic Trading & DMA”, Myeloma Press. If you want pieces of code to start with, you can use code examples on the net.

Personally I like Dukascopy’s JForex API (Java based); even if you will end up not using it (also because they are limited to FX market and I do not know what market you are looking at), I think their wiki and tutorials may give you some ideas.

Also, Algodeal provides you with a good API for backtesting. I remember Interactive Brokers offers API for C++ and Java; I am not sure whether you can use them for testing without having an account with them.

Hope to have provided you with some useful suggestions.

Good luck with your algorithmic trading experience,

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Some brokers providing free API (associated with free demo accounts) I have in mind:
– Interactive Broker
– LMAX
– Dukascopy

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I would take a look at MetaTrader if you are interested in FX markets. The software is free and comes with a set of pre-coded tech indicators + online library of user community donated code. Demo accounts are free and let you backtest strategies. Also, check out Wealth-Lab.

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Have you looked at AlgoTrader (http://code.google.com/p/algo-trader)?

It is an open Source Algorithmic Trading System based on Esper, Spring, and InteractiveBrokers.

AlgoTrader is an automated trading system (ATS) that can trade any type of security on any market available through InteractiveBrokers All aspects of trading like getting market data, analyzing prices, taking trade decisions, placing orders & tracking executions can be automated. The system is based on Java SE 6.0, Spring, Esper and a Model Driven Architecture.

Features of the system:
* Automate Trading Strategies based on Trading Rules (using Esper EQL)

* Automated Execution via different Broker Interfaces

* Backtest und simulate strategies based on Historical Data

* Portfolio Tracking & Performance Measurement

A FIX interface is also currently being developed.

Have a look!

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thought ur question was interesting , in a way i think there cannot be genric open source algo trading frameworks since every company would use their own strategy and models.

but I cannot override the fact many of the internals of these frameworks might be the same.

Did a little googling for you.. the following looked relevant

http://www.elitetrader.com/vb/showthread.php?threadid=85659http://www.selectorweb.com/algorithmic_trading.htmlhttp://blog.marketcetera.com/2007/03/03/open-source-trading-software-are-we-insane/

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If you are comfortable with C# below are links to free open source:

Tradelink : http://code.google.com/p/tradelink/

OpenForex: http://www.openforexplatform.com/

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Considering that IB is obviously #1 broker:
http://www.elitetrader.com/br/
<br/>
http://www.elitetrader.com/br/?action=view&R_FirmID=43

IB API are probably the best:
http://www.interactivebrokers.com/en/p.php?f=programInterface

You can develop without any account and use them on TWS or Gateway (Demo account). Access to any market and any instrument. All free.

If you open an account, you can use them in paper trading or real money trading.

Can be used with all main languages, including c#, vb.net. c++ and java (there is even an the excel version). Pretty powerful and complete.

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!