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Algorithmic Trading - Institutional Level

  • #1
  • First Post: Edited 12:23pm May 16, 2010 12:09pm | Edited 12:23pm
Hello,

I've developed a pretty sucessful algorythm which averages a 3:1 Win/Loss Ratio and a 38% Winrate over 1000 Trades on a single Pair. It's not in the "High Frequencey" League nor does it scalp for miniscule amounts of pips (25-150 rather). But I don't want to run into any execution problems or requotes or slipage with MT4 so I'm looking for the best automated trading enviroment (speed and liquidity).

I already had a look on LCGs website but all the diffrent APIs and Platforms confused me quite a bit. Does anyone have any experience in this field?
  • #2
  • May 16, 2010 12:38pm May 16, 2010 12:38pm
Quoting TJPLD
Hello,

I've developed a pretty sucessful algorythm which averages a 3:1 Win/Loss Ratio and a 38% Winrate over 1000 Trades on a single Pair. It's not in the "High Frequencey" League nor does it scalp for miniscule amounts of pips (25-150 rather). But I don't want to run into any execution problems or requotes or slipage with MT4 so I'm looking for the best automated trading enviroment (speed and liquidity).

I already had a look on...
Why do you care about speed/slippage if you make at least 25 on the trade? I was never slipped more than 1 point.
  • #3
  • May 16, 2010 12:51pm May 16, 2010 12:51pm
Quoting Adal
Why do you care about speed/slippage if you make at least 25 on the trade? I was never slipped more than 1 point.
Because that 1 point adds up if you have alot of trades (12 per Day on average) If a trade should be closed at Break Even I don't want to lose a single pip.
  • #4
  • May 16, 2010 2:25pm May 16, 2010 2:25pm
These people are excellent: http://www.limebrokerage.com/offerin...etaccess.shtml
  • #5
  • May 16, 2010 2:45pm May 16, 2010 2:45pm
I'd say that Strategy Runner is the platform of choice. Server based, so connection glitches and latency minimised. See

http://www.strategyrunner.com/new/Co...automation.php

Liquidity depends on liquidity provider rather than automation platform. One good London based liquidity provider is London Capital Group, see

http://www.londoncapitalgroup.co.uk/...solutions.html

Hope that helps.
  • #6
  • May 16, 2010 2:59pm May 16, 2010 2:59pm
To get to the institutional level, you have to be an institution (a company) and have a prime broker. If you want to try out your system on a real market, you can try Interactive Brokers, and use their forex feed, or (preferably) IMM futures. Their API access is a minefield, and you can NEVER leave trading unattended even for a second, as they are notorious for changing their API code without any warning, but it will always be better than trading with a bucket shop. London Capital Group is a mom and dad business, and I would avoid them as they are not big enough to give you serious support - when I visited them they offered no API access to FX. Marex will be better, hoping they offer the API's now, but it is always an expensive solution, as you would have to pay them for the PB services as well as for platform access. The simplest thing to do, is to find a first rate futures broker in the US, and trade on IMM to test your stuff - if it really delivers the goods, set up a company and think big.
  • #7
  • May 16, 2010 3:36pm May 16, 2010 3:36pm
You're going to have a hard time eliminating slippage given that the speed of light is not infinite.
The breaking of a wave cannot explain the whole sea.
  • #8
  • May 16, 2010 4:43pm May 16, 2010 4:43pm
Quoting Adal
These people are excellent: http://www.limebrokerage.com/offerin...etaccess.shtml
Do you have first hand experience with Lime? For what I know they don't seem to be big on otc fx - but I might have gotten it wrong.

Quoting takef586
If you want to try out your system on a real market, you can try Interactive Brokers, and use their forex feed, or (preferably) IMM futures. Their API access is a minefield, and you can NEVER leave trading unattended even for a second, as they are notorious for changing their API code without any warning,
Which is why you should use their FIX connection...
  • #9
  • May 16, 2010 5:03pm May 16, 2010 5:03pm
I have also heard good things about strategy runner if you're not apt to developing your own software and connecting to FIX API.
  • #10
  • May 16, 2010 7:42pm May 16, 2010 7:42pm
Quoting BlackMage
Do you have first hand experience with Lime? For what I know they don't seem to be big on otc fx - but I might have gotten it wrong.
No, I just heard a lot of good stuff about them. I was under the impression that they also do forex, but there's almost no mention of that on theirs site. I also browse various equity/futures forums/blogs, I might have heard of them in that context Sorry
  • #11
  • May 16, 2010 8:19pm May 16, 2010 8:19pm
Just recently I got interested in this kind of stuff.
What about ECN platform so far?
The more experience the closer to the reality
  • #12
  • May 16, 2010 9:47pm May 16, 2010 9:47pm
Quoting TJPLD
Hello,

I've developed a pretty sucessful algorythm which averages a 3:1 Win/Loss Ratio and a 38% Winrate over 1000 Trades on a single Pair. It's not in the "High Frequencey" League nor does it scalp for miniscule amounts of pips (25-150 rather). But I don't want to run into any execution problems or requotes or slipage with MT4 so I'm looking for the best automated trading enviroment (speed and liquidity).

I already had a look on...

I have set up several customers on HFT networks and have dealt with the entire project lifecycle. You will want to go with an ECN for least slipage, and you will want to skip the API and use FIX directly.

my experience is that you will have the best success with that combo.
  • #13
  • Mar 29, 2011 5:28am Mar 29, 2011 5:28am
is this useful for you?

Alpari UK
Broco
Buru
CMS
Dukascopy
Forex.com
FXCM
FXDD
FXOpen
FXPro
GoMarkets
Instaforex
IBFX
MB Trading
MIG
NordMarkets
One Financial
Tadawul

Why bother, if there already automated trading systems?
  • #14
  • Jul 4, 2011 9:20am Jul 4, 2011 9:20am
Quoting gbart
is this useful for you?

Alpari UK
Broco
Buru
CMS
Dukascopy
Forex.com
FXCM
FXDD
FXOpen
FXPro
GoMarkets
Instaforex
IBFX
MB Trading
MIG
NordMarkets
One Financial
Tadawul

Why bother, if there already automated trading systems?
Because they ALL suck something trumendously. In fact, this is almost certainly known by the people selling this punchbowl full of turds to unsuspecting victims. TJPLD probably knows that. A profit driven organisation has NO justification in actually selling the code for a functioning EA for less then a wheelbarrow full of neatly stacked currency. The crappiest EA that makes a tinsy winsy little bit of steady profit is worth billions. Its financial suicide to sell something that can be copied with a maintained function a trillion times.

I would almost bet good euros that you will find more profit in free EAs then the once you pay for.
My signature is: "Classified".
  • #15
  • Jul 4, 2011 11:04am Jul 4, 2011 11:04am
Quoting yaed
Because they ALL suck something trumendously. In fact, this is almost certainly known by the people selling this punchbowl full of turds to unsuspecting victims. TJPLD probably knows that. A profit driven organisation has NO justification in actually selling the code for a functioning EA for less then a wheelbarrow full of neatly stacked currency. The crappiest EA that makes a tinsy winsy little bit of steady profit is worth billions. Its financial suicide to sell something that can be copied with a maintained function a trillion times.

I would...
What would you recommend?
  • #16
  • Jul 4, 2011 2:25pm Jul 4, 2011 2:25pm
Quoting yaed
I would almost bet good euros that you will find more profit in free EAs then the once you pay for.
interesting....
Searching for a cure...:nerd:
  • #17
  • Edited 5:19am Jul 5, 2011 12:56am | Edited 5:19am
Quoting 6pack
What would you recommend?
Well i like fruit...?

Coffee is pretty good too

Well seriously i have no recommendation.
My signature is: "Classified".
  • #18
  • Last Post: Jul 5, 2011 1:52am Jul 5, 2011 1:52am
Honestly, I would think using the autotrader on xtrader with excel to do your logic will be the best bet for ease and speed.
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