Joined: Jan 4, 2019
Posted: Aug 18, 2019 03:45 AM
Msg. 1 of 2
Hoping to ask for some advice on an automated trading system setup please. I’m using iqfeed already and now trying to decide whether to use an off the shelf backtesting and live trading service (such as Ninja Trader) vs a mix of open source systems (such as PyAlgoTrade and IBridgePy) and was hoping for some advice from more practiced hands.
Short version of the question: I’m a little confused as to how flexible some of the off the shelf systems are at using external/custom metrics and trading (interval) frequency. After having a less than amazing experience with a developer trying to build a custom solution I’m looking at off the shelf software. Is anyone aware of a backtesting and live trading software system that is: standalone software that can be hosted on AWS (or a VPS), can live trade with interactive brokers, make live trading decisions based on DTN Iqfeed data (rather than IB feed data), backtest rules (event) based on DTN Iqfeed data, incorporate custom metrics within backtest & live rules, and operate on a 1 sec ‘heartbeat’?
Longer version of the question: Some considerations and requirements for the setup I’m looking for:
1. I’m not a developer by trade. I’m learning Python but I don’t want to wait 6-18months to become adept enough to put live a trading system that I can trust enough with real money. From a systems perspective, whether it’s an off the shelf or open source system, I’m going to need to hire a developer to help configure a system that I can live trade with for the first time (and then evolve the rules myself). From this perspective I’m leaning towards an off the shelf system as I won’t need to worry about bugs as much, and upgrades are presumably easier to manage than iterating open source versions.
2. From a rules perspective, I’m confident in being able to write my own trading logic that runs in a system (when to buy, when to sell etc).
3. I’m a Product Manager & Business Analyst by trade. I can write system design documents and requirements, and have hired developers via upwork in the past (so open source powered systems are feasible).
4. I want to (must Requirement) keep my rules private and only use standalone software that I can host on AWS (which I’m very familiar with). This rules out cloud based systems like quantconnect
5. I’ve already hired a developer who has helped automate the retrieval of 1 sec & 1 min OHLCV data for 500 US Equity Stock symbols from DTN Iqfeed, and created some custom metrics that I want to be able to use within a trading rule. An example metric would be ‘count of stocks that closed the interval higher than it opened’ (which would be used in conjunction with other rules such as moving average crossover). I’ve been using jupyter notebooks, pandas and matplotlib to run analysis and hypothesize some rules that I now want to backtest and hopefully put live.
6. I’d prefer to (should Requirement) continue using DTN Iqfeed for making live trading decisions as the data quality is good and I’ve read it’s better quality than most broker feeds like interactive brokers.
7. I want to (Must Requirement) use interactive brokers as my style of trading needs low transaction fees and I eventually want to expand to more markets.
8. Back testing must be event based so I can easily flip from backtesting to live trading (or ideally paper trading before live trading but not essential)
9. I’d prefer (should Requirement) any software to use Python as the rule coding logic as it’s more transferable (rather than being locked in to a language that only works on one system).
As a next step (if no joy from this forum) I was intending on emailing various trading software providers to ask if they can satisfy the above requirements, but as I’m sure many will say they are the best, I was hoping to either learn from this trading community or be educated on my requirements if they are too restrictive.
Thanks in advance
Edited by ChainsawDR on Aug 18, 2019 at 03:57 AM