Tag Archives: limitations

The sad reality of serious limitations of open source programming languages like R or Python? Boom failed project! Hello DoTNET FSharp

The sad reality of serious limitations of open source programming languages like R or Python? Boom failed project! Hello DoTNET FSharp

This is why I stick with my project but this is a real world tech issue some PHD students face on their research.  They are also NOT FUTURE PROOF! Just saying..
Sorry Bryan but my issues with R extension class utility with my code has remained unresolved with current R Core Team Developers.   Whats’ more I probably will have to use this code for part of my revamped focus in my graduate studies…

BTW
If you’re looking for some exposure to more algorithm
ic traders there’s quite a bit of these in California’s Bay Area Meetup groups, and most likely some would-be quant developers as well.

 

 

Thanks for the tip. I find this challenege you sad. I am not sure if you would have the same problem within .NET like F#. I don’t know but good luck. Also, you can embed R scripts into F# via a project called RProivider. Thanks for the tip.

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Tradestation offers no binary options and other limitations to your retail trading platform

Tradestation offers no binary options and other limitations to your retail trading platform

This came in as a comment from one my of members

Bryan:

TradeStation 9.1, and their brokerage for futures, equities, and forex.
I once had several brokers, too much hassles with paperwork, so I consolidated with the “trader’s digest”.

I do little trading, mostly use it for writing and testing strategies for a few other people who do trade and do no want to fight with computer hassles. Really, I think trading and computers so not mix very well when one person tries to wear both a quant hat and a trader hat at the same time. Sometimes I trade a small size real time just to get a feel for what p’s off traders using a balky computer. Research is a much more laid back endeavor than trading.

TS has no binary options data, is not really HFT capable, but does have a good historical data cache. Can record quotes bid and offer, level 2 in real time into files, but cannot download historical quotes or level2. Now TS and Multicharts have 1 second time stamps, and with NIST utility you can set computer clock within tens of milliseconds. Still not good enough for HFT, but you need better than 1 second intervals under control even to simulate trades in low leverage swing trading or day trading styles.
Try the NIST widget to get a feel for using a synced computer.
http://time.gov/widget.html
Resetting your computer clock every few minutes enables you to count better time resolution than every second, and estimate those times when data comes in several milliseconds, seconds, or minutes late….bad time to use a market order. If the data comes in late, your order will arrive much later; you need to use anticipatory limit orders and non-anticipatory market orders at only the right times… I also use a radio tuned to WWV in background to know the time.
Other feeds with both quotes and trades data…Historical downloadable.
IQfeed, Nanex, tickdatamarket.

 

https://quantlabs.net/blog/2014/01/is-this-quant-trading-advanced-algo-from-a-goldman-sachs-and-stanford-phd-legit/c

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90 min Video limitations reveals limitation of your retail trading platform

The replay of some killer strategy talk is now posted:

General Intro Q and A 90 minute video replay on Automated Trading Systems for better community – See more at: https://quantlabs.net/blog/2014/01/general-intro-q-and-a-90-minute-video-replay-on-automated-trading-systems-for-better-community/#sthash.8dzY2Xh7.dpuf
As usual, people ask about the limitation of retail trading platforms (i.e. Tradestation, Metatrader, Ninja, etc) but this video contains a very real world description from a  trader/researcher with his limitations of Think or Swim.
Next Pow Wow webinar is scheduled this Weds:
Last Jan Pow Wow online webinar to learn quant and HFT automated trading systems – See more at: https://quantlabs.net/blog/2014/01/last-jan-pow-wow-online-webinar-to-learn-quant-and-hft-automated-trading-systems/#sthash.BxdFGFVR.dpuf
The next one is tentatively schedule for Feb 5.
Now onto some exciting technical development, I got the source code from that last book (C# in Financial Applications) which should have a HUGE impact on my trading strategy development starting this week:
Excel and DotNet source code examples acquired for C# in Financial Applications book – See more at: https://quantlabs.net/blog/2014/01/excel-and-dotnet-source-code-examples-acquired-for-c-in-financial-applications-book/#sthash.iIuCR0Ln.dpuf
From this you will you see all the components I have in my custom trading platform course with source code examples. This weekend will be the last chance as I will beincreasing the course price by $200 on Monday. It is set at the lowest price you will ever see from me as I am moving everything up the food chain.
Also, be on the lookout for my ‘Elite’ membership which is targeting professional traders which will include ALL of courses from my QuantLabs.net. I hope this has a massive impact on those who take their trading seriously.
Have good weekend Bryan
P.S. Let me know what you think of how we move forward

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Yes Matlab Code generation to C or C++ beats R hands down but still has limitations

Yes Matlab Code generation to C or C++ beats R hands down but still has limitations

From a visitor:

Have you been able to code generate for the Johansen test in matlab?

 

Matlab is a great product (superior to R IMHO) but it has its limitations too, not everything can be code generated into C++.

 

My response:

Yes it is very limited as Matlab Coder does not support many of the financial or quant math related toolbox functions. That can be a real pain but Mathworks keeps adding more functions to be supported by Matlab Coder.

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Does Tradelink trading platform have limitations? Oracle CEP solution? Open source C++ alternatives?

Does Tradelink trading platform have limitations? Oracle CEP solution?  Open source

This was a comment posted about my Tradelink video:

 

 

 

Tradelink has a lot of limitations. It doesn’t have CEP. If you want to incorporate data other than price data, such as fundamental/event/news data, you need a CEP system.

I know you said that Deltix is too expensive, and that esper/algo-trader/open-source has horrible documentation, but there may be another way.

Have you looked into Oracle Event Processing? It competes with Streambase, Sybase and Apama CEP.

http://www.oracle.com/technetwork/middleware/complex-event-processing/overview/index.html

It should be free for developer/academic and non-professional usage. The Documentation is pretty decent.

It can communicate with SQL and Java. So, you can set-up MYSQL to import IQfeed data, then create matlab java functions using the JA/ Builder Tool and then execute using the TWS Java API or Quickfix/J.

You said that the production server for matlab was prohibitively expensive, right, and the adapter that tradelink has for matlab/r/ is proprietary, so, maybe this is a possible solution?

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First, CEP is more of a fad than anything. I would easily go with a Big Data solution with Hadoop and other sexy trends technologies. For me, I could easily develop this equivalent in Matlab’s Simulink with Stateflow for event based coding. I see no other need if I want it. You could easily find other .NET libraries that maybe integrated into this. Either way, I like my Stateflow/Simulink option. I have no trust in Oracle with their butchered updates from the Java world.

A decent open source CEP solution would be

http://triceps.sourceforge.net/

 

 

 

 

 

 

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Limitations of Open source trading platform Tradelink? More coding and limitations but ….

 Limitations of Open source trading platform Tradelink? More coding and limitations but ….

I do know about limiations of this platform. A message from an ex user of Tradelink via Youtube. My responses are followed by –>

Hey Bryan,

It’s good to see that you’ve finally moved on from ‘retail’ multicharts.

Just wanted to give you a heads up on the specific limitations of tradelink.

In the following link a member by the name of amazingIndustry debates the project maintainer of tradelink (whose handle is also tradelink) with regards to the specific limitation of the platform. Apparently the IB API is not stable? There are other interesting details revealed through the following exchange. The project maintainer sort of strikes me as a shady ‘promise everything to make the sale’ sales guy.

http://www.elitetrader.com/vb/printthread.php?threadid=245828

From the first post:

“Couple things why I personally stay away and coded up my own platform years ago:

1) Binary format they store ticks in is not very efficient, reading quotes back from file is very slow, nowhere close to the 5million ticks I process per second on historical data (and that includes the binary random access reads (can specify any start/end dates in between), deserialization, merging of several symbols to create a true market simulated feet (the stream is truly time sorted not first symbol then time when loading multi symbols). I have not seen even the capability in Tradelink to merge multi symbol data into one stream.

 

–> Source code helps here. Maybe MongoDB or Redis NOSQL for storage?

2) The profiling and backtest platform is different from the live trading one, which I personally really dislike. I can turn a switch to change from my historical data feed to real-time data and the quote streams flow through the architecture in the exactly same way (I use TPL Dataflow to link different dataflow blocks in a purely concurrent framework).

 

–> Great! More coding to slow me down.I want trade today not next century

3) They over advertise, they say they have a lot of adapters and interfaces to brokers but when really looking into those they severely lack. Its easy to say “hey we offer some sort of fix connectivity to IB” but when you look closely its nowhere close to even be usable for testing purpose let alone for trading purposes.

 

–> Yes FIX is no good but why do you think Fix8 exists for? Be part of the online Meetup for that.

4) Gui? No gui, no charts, no data grids, at least not what I would call it as such. So, if you get to run a backtest after all the hard work to get it up and running how do you profile the results? You still end up writing pretty much everything on your own.

 

–> So use a open source trading package like AIOTrade?Connect into the Interactive Brokers data feed. Also, I am not sure what you are expecting out of a GUI

For me the the time it would take to understand all the coding nuances and profitably peruse does not justify to mix and match it with the necessary extensions and code I would need to come up with to even get it up and running.

 

–> I never had a problems picking it up compared to Multicharts.net. Tradelinks QUickstart video guides are quite useful. Their community seems to help out as well.

Its only my 2cents, but to be honest I do not see the product taking off (have been following it for more than 1.5 years now) for the precise reasons above. I got the impression its used by those who actually developed it and maybe by some who paid to get all the wheels fixed to the car because they do not have in-house coders. The biggest problem I see with Tradelink is that the documentation and code is too opaque, it would take even experienced coders a life time to really easily integrate and continue where Tradelink hits the limits.

 

–> I don’t think 25000 user installs is to shake a stick at. For open source, that is pretty good.

My suggestion would be to look for a product (or submit the suggestion to Tradelink) to provide a ROCK SOLID basic platform (a way to stream historical and real time ticks at high throughputs into a strategy development container/framework) with some basic but solid way to output results to some sort of dashboard.) That is something that attracts people to continue adding their own bells and whistles (and would ultimately make people pay for it as well). ”

 

–> Matlab and Simulink could be that container in the future. Tradelink is just the starting point compare to the other open source trading platform I looked at.

Going back to comparing the other various platforms, if you run into problems with tradelink…

As far as broker connectivity goes:
Marketcetera supports quite a few brokers including BOA/Merrill Lynch, Currenex, IB, etc, however the cost is apparently 1k a month for the IB connectivity module….

 

–> I have seen it but there is no community, no updates, and $1800/month is not open source.

Algotrader supports IB, proper FIX support is still in development, though. There is also no gui. Also, to use it, effectively you would need to learn Esper EPL.

–> I play with it. Se my videos on Agotrader,
An exchange regarding Algotrader:
http://community.trading-gurus.com/threads/135-The-Pros-and-Cons-of-AlgoTrader

Another contender is the relatively new cyanspring ats:
http://www.cyanspring.com/index.php

Here’s an exchange regarding that platform:
http://www.cyanspring.com/forums/smf/index.php?topic=2973.0

 

–> Yet another Java open source trading platform. Maybe but I like mature platforms like Tradelink as well what gets me up and running quickly. Yes I hope Tradelink lives up to the task but I got the source code. Also, I  can no longer support Java unless you don’t know about the latest security Java 7 breaches.

Cyan Spring supports IB and FIX.

Regards

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Youtube video on Hit limitations of multicharts.net framework and pinvoke in Microsoft .NET DLLs

Youtube video on Hit limitations of multicharts.net framework and pinvoke in Microsoft .NET DLLs

This link sums up everything in the video:

https://quantlabs.net/blog/2013/02/2-reasons-for-quant-membership-with-limitation-of-multichart-net-framwork-and-microsoft-net-pinvoke-dll-imports/

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CEP – very much a buzz term at the moment. We hear a lot about the benefits but what are the limitations?

CEP – very much a buzz term at the moment. We hear a lot about the benefits but what are the limitations?

—-

I thought CEP was a buzz term five or six years ago and there were a lot of companies entering the market. Has something changed recently?

 

. From our perspective we’ve seeing lots recently about CEP in conjunction with trading technology and the ubiquitous ‘big data’. From a trade data standpoint the past few years has seen high frequency/low latency become the norm, with systems that execute hundreds of trades per micro-second. Our company tests these systems, and we’re exploring CEP as a means of providing real time analysis. Appreciate there are alternative technologies, would be interested in your thoughts here.

—–

CEP is great at capturing high volume and high speed streams of events. It is then used for stream transformation, pattern matching, monitoring etc.
It is not great at handling large stores of historical data – that is better done in a database, ideally a column-based database. It will also not provide you with any kind of audit trail, which the database will provide. Many of the successful implementations that we have seen have implemented a two-tier (CEP and Dbase, sometimes in memory) or a three tier – CEP, in-memory DB and column-based VLDB. If you are involved in using this kind of technology in capital markets, you might want to read throughhttp://response.sybase.com/forms/CAPMKTS_Guides. It has a good collection of articles from analysts and customers as well as some product information.

——

My point is that CEP is a mainstream, including (and mostly) trading. AFAIU the term itself was introduced back in 2002. Here is a brief history of CEP:

http://complexevents.com/wp-content/uploads/2008/07/2-final-a-short-history-of-cep-part-2.pdf

nice overview of limitations – short time windows and lack of audit.

 

 

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