I need to stress that this part of building any custom high speed automated trading platform. The first topic is a 30+ minute demo showing how the trading model can communicate with my new order position module to process against Interactive Brokers through their TWS client. This is a big deal which will save you a lot of development time. Even the London Quant was part of team of 20 at large commodity trader to handle this. This is how complex it is but I got mine working within a few hours!
4. Important link to understand how the London Quant does C# interfaces for his high speed automated trading platform
All stateless objects and classes are key to making your trading system be ultra fast which is what gives you the edge to enter/exit market orders very quickly on the tick level.This is no different how high frequency trading works.
As you can tell, these are important elements which will make you successful in automated trading and even HFT if you choose to go down that path. I call these my trade secrets or also known as golden nuggets. I announced a while back time is ticking where I will be removing the access to public forever. This will happen sooner than you think.
If you want to be successful with topics as mentioned above, you might want to:
Do you believe this forex trader successful interview videos and strategy ideas?
I have posted 3 interesting videos on Forex trading randomly. I have not watched them in whole but they could be really good or could be just pitchmen.
Order Flow & Fading Key Levels
Forex Trader Interview
Forex Trading Strategies – 3 Basic Strategies For Beginners
So these are retail traders. Now imagine if you could automate all their ideas.
Many newbies come to me asking about how to get in to quant, developing trading strategies, or even complex high frequency trading (HFT) platform. I can tell this is not an easy journey but if you stick with it, you can make a massive amounts of profit if everything proves to be profitable. I am on that journey. So why not join the most affordable way to get there? -> JOIN MY QUANTLABS.NET PREMIUM MEMBRSHIP TO SEE MY WEEKLY UPDATES <-
Here are some examples of that and what I have achieved of over the last few years with this site called QuantLabs.net
1. Bryan, congratulations! You have one of the top 1% most viewed LinkedIn profiles for 2012!
Well you get the idea. I look for the best in breed and absolute shortest path to success. As being a regular Joe, I feel I could be onto the right path with my development stack of powerful Matlab and a very popular open source trading platform.
Why trading strategy fails but is successful in historical backtesting? No walk forward theory or exchange simulator testing
A great question from visitor:
> Hello Bryan,
> I was on the demo yesterday and had a couple of questions: Have you
> ever traded a live account using HFT models on the sub minute interval
> and how successful was that experience? If so, do you have a strategy
> for quantifying limit order fills or achieving fills that are reliable
> enough to use in your model? I’ve found that it’s pretty easy to
> create an very rosy equity curve in theory but in reality you get
> filled much more often on the losing trades than on the winning trades
> and the model is nearly useless at predicting which ones you will
> actually get filled since that is an unknown variable. I’ve tried
> using assumptions such as X trades at price, time at price but the the
> only one that is reliable is if the price trades above or below your
> price which will destroy the equity curve.
–> I have not done the live trading YET but doing lots of paper trading. As you know backtesting gives something that has totally different results. I am reading the book from Robert Pardo about walk forward testing to minimize what you mention. I have other theories that may work including running strategies in simulated exchanges which can be done with the tools I have at my disposal. It comes down to a time thing but these items will be considered well before trading with live money.
> Curious to know your thoughts about this as this seems to be the main
> hurdle in my opinion and this is where the big boys probably have is
> beat since they have much more data processing power, faster
> connections, better relationships with the exchanges, and can front
> run the winning trades before we can get in.
–> See above but it seems many forget to do walk forward testing or even running a strategy through an exchange simulator. As said, I got tools that do this but it just unfortunately on the back burner right now.