HFT OMS/EMS for Easy Language on Tradestation
Is there one out there? I have an HFT strategy for ES, but there’s possible way it can execute in TradeStation. Thoughts?
==
Which latency does your strategy stand?
—
Difficult to say at this point, but I think 250 milliseconds is sufficient… possibly more.
—
If you enter with market orders then it’s (theoretically) possible. Get a trial copy of Multicharts, rent a dedicated server at Equinix or similar data centre and try. However there are a lot of nuances, at least my experience was not positive at all right from the start.
—
High Frequency and TradeStation don’t belong in the same discussion. You will never be able to trade that quick reliably in TradeStation.
==
assuming that 250 ms latency it’s possible with MC — at least in terms of speed.
==
Right… I understand that TradeStation and should never be in the same sentence. That’s why I’m asking if anyone knows of an OMS that reads EL. Sorry if I wasn’t clear on that.
==
Multicharts… hmm… I will look into that.
==
I am not affiliated with them, but if you have difficult questions feel free to ask.
==
you are not taking into account all of the factors involved as well as saying that 250ms latency is okay. Where is that latency okay, on the client, at the brokerage, all together? You are most likely looking at 20-50ms latency on the internet, along with the fact that Easy Language is interpreted and depending on what the strategy is it can be slow as well. The brokerage is the real issue depending on where you trade. If 250 is the target, 50 is blown on the internet and communications, you have data latency and then execution instruction latency back to the brokerage to account for. The brokerage itself has latency and can be well over 200ms depending on order type and routes taken.
As I said, it is not even a discussion if you need something that fast..
==
I have a server at the CME… and I use Rithmic (which has less than 1ms) so I’m getting less than a millisecond response times for the ack. I just need an OMS that can read EL and execute the orders.
In otherwords, I’ve already solved the easy problems… now onto the hard ones.
==
Maybe I should qualify this a bit more. Easy Language was designed originally for back testing a strategy and showing signals on a chart. The trading was added as an afterthought and it was never designed to be a HFT signal generating system. It doesn’t really matter if you use multi-charts or tradestation, it will have issues with this kind of trading.
I was the development manager at TradeStation in the order execution for a couple of years and so I am pretty familiar with the inner workings on this.
==
just for clarification: Multicharts has a great advantage that it compiles EL and executes complex code blazing fast. Besides that, it has support for true parallel computing, thus each symbol can be traded as a separate thread (process) run on a separate core (processor). The latency of 20 ms can be normal even for low-cost retails servers, for example one of my VPS’s has a latency of 11 ms to Zen-Fire. The latency of the trading platform depends mostly on the risk management, but 10-100 ms is a very realistic estimate. At least according to my measurements, 250 ms roundtrip is not something outstanding. Moreover, it’s not HFT in general sense. However I don’t want to argue much as I am by no means a subject matter expert, and I only describe my own experience.
==
be careful with orders, EL is not very expressive in this sense, and a lot of manual work is required to correctly process what you have in mind.
==
what OMS/language would you recommend then? I have the ‘proof of concept’ working in EL, and that really all I need in my mind to continue pursuing this idea.
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!
