kaiynne

What is your point exactly?

after doing more research i have pretty much come to the conclusion that a server side solution is just not going to be able to compete with a client side solution. The sheer amount of data involved just makes it prohibitive. It was simple naivete on my part that allowed me to even think it would be possible. However at some point we will need to switch from back testing to real time testing at which point we will have to scale back somewhat. The only issue now seems to be finding the data at a reasonable price.

I have been looking into trying to just get the raw tick by tick data. It seems to me that by doing that you would eliminate the need to communicate with a server. The method i plan to employ in back testing is going to be highly data intensive. I am looking at running thousands of instances of each strategy simultaneously. At this point i would imagine that bandwidth becomes the bottleneck. I feel like if i build a small server farm say 5-10 machines with direct access to the database of quotes that this will blow away any over the counter solution that is currently available. So the only issue is getting the data. I found one place HISTORICAL TICK DATA ? Historical tick data for stocks, equities, futures, options, indexes and indicators! and it looks like you can get 5 years of back data for 6 symbols for around a grand which could possibly work for what we are doing. Anyone else know of a vendor that sells data directly?

Absolutely brilliant thank you. So now the question is how many strategies can be processed at once through trade station? If you can only run one instance at a time this will be severely limiting.

Thanks for clearing that up, I am not sure why it seemed to not be the case, I will have to go back and take a look at their commission structure again.

The system we are planning on developing is going to need constant feedback from itself via backtesting. So porting the EL scripts to c++ for example would then require tweaking in c++ and then porting back into EL for testing? This would seem to be an unwieldy method. I guess the question i have is is can the backtesting data in TS be exported or at least directly accessed by a program written in C++?

The requirements would be the ability to feed real time data to our program, which i assume it has and possibly being able to feed backtesting data into the program. When i initially looked at IB it seemed like they had a different commission schedule for orders executed through the API which seems weird to me. can anyone comment on that or was i reading their site wrong? The other place i have looked into is TradeStation, but i am concerned about whether we could design our software to interact with their platform. I think they want everyone to write code in their proprietary language. We could get around this by wrapping their order calls etc. within out code and passing them on at the appropriate time to the TradeStation Software, but this seems unwieldy. Thanks for the input.

I wanted to get some feedback on which broker/brokers people would recommend using if i wanted to write my own program to generate market orders. A friend and i are planning on writing some custom software to generate buy and sell orders based on custom strategies that we are working on. Obviously we need to be able to feed live market data into the software and be able to generate buy and sell orders from our software. Backtesting would be a bonus. Thanks in advance. -Kain