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Am I still planning on implementing an HFT system? Yout bet! With open source trading and institutional FIX if need be

(Last Updated On: February 18, 2013)

Am I still planning on implementing an HFT system? Yout bet! With open source trading and institutional FIX if need be

A response frommy Youtube user but I follow up with –>

Re:Retail Multicharts for HFT? Other Options….
Are you still planning on implementing an HFT system?

Apparently, the lower latency limit on the IB TWS API is 250ms, while the lower latency limit on Matlab is 60ms.

Given that the tradelink system is incompatible with the fix protocol, one can only assume that it uses the IB API, and that means it will also be limited to 250ms….

Marketcetera=fix support, but no ib support
algotrader,tradelink=ib support, but no fix support
CyanSpring ATS= ib support and fix support

 

–> My open source can do this with FIX support somewhat. I am hoping FIX8 will be replace the broken FIXconnector. Watch the Meetup presentation this Thurs on it.

One interesting thing to keep in mind is that the matlab datafeed toolbox supports iqfeed, so that means in theory you’ll be able to use the matlab compiler to create access to your datafeed for your ats in that way. And, for professionals, they’ll be able to use bloomberg b-pipe data since bloomberg data is supported by matlab as well.

 

–> The Matlab compilter will not support the function in the Datafeed toolbox. The Builder NE or JA tollboxes are too slow so you will need a native solution in whatever language you are working with.

Also, have you seen this post regarding deltix:
http://www.elitetrader.com/vb/printthread.php?threadid=240396

“Well i don’t really see how using a product suite like deltix is much different than what i said. They have pretty much just gone and pre-packaged and assembled all of the components that i mentioned. Then they charge pretty insane prices for it.

You might be more familiar than i am with Deltix, so correct me if i make any errors. As i understand it, you still subscribe to market data from your typical source like bloomberg. Deltix has then assembled its own database for aggregation and retrieval. I don’t see how it could be any better than SQL server. Then they have provided full MatLab integration with a fairly extensive analisis toolkit. But a MatLab web search turns up a hugely extensive analysis library. Then they have a trading automation platform with C# integration for building your own indicators and trade parameters. Platforms like X-trader and CQG and others already provide this including colocation for execution.

 

–> A lot of truths about Deltix here for sure but it is just a quick sure shot way of getting to HFT if money was no object. $120k is the price for the full suite. X-Trader is kind of buggy and limiting from what I have seen. You may be abl e to execute out of Matlab if you want. You can also parallelize Matlab if you can afford the worker licenses.

If you read the FAQs you’ll notice that they explicitly state that the user will still need to be proficient in C# or C++ to utilize the product suite and fully implement a trading system.

I’ve not gotten a quote yet, but I’ve heard numbers around $100k annual. The package I suggested might cost about $20k on the high end. What are they providing for the extra $80k? The point is that you still can’t just use their drop-down list of chart studies and end up with a good system. You have to do all the custom analysis and API development. They’ve just assembled a “product suite” out of essentially the same list that I provided.”

 

–> As said, Deltix pricing is very steep but what is that if you have a potential multi million dollar fund behind you. You also get professional support to.

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!

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