www.algotrader.ch
How to Transform Your Businessinto a Fully Automated Trading CompanyAndy Flury (AlgoTrader GmbH)
www.algotrader.ch
Andy Flury
• Enterprise-level Software Systems
• Projects for various major banks and insurance
companies
• Projects for the Swiss Intelligence Agency
• Head of Algorithmic Trading at Linard Capital AG
• Started AlgoTrader Ltd. In 2013
• Masters Industrial Management (ETH Zurich)
• Executive MBA (University St. Gallen)
Founder & CEO AlgoTrader Ltd.
www.algotrader.ch
AlgoTrader Product
• Automation of complex, quantitative trading strategies
• Provides everything a typical trading company needs to run a fully automated operation
Professional Services
• Automation and migration of existing strategies
• Improving and optimizing
existing strategies
• Prototyping and back-testing of
new strategies
• Developing customized
functionality
• Coaching & Training
AlgoTrader Ltd.
www.algotrader.ch
Development & Backtesting
• Complex Excel Sheets
• Macros and/or Visual Basic code
• Combined with MatLab and/or R for back testing
• Historical Data from Bloomberg stored in Files or Database
• Reference Data manually managed
• Spread, Slippage and Commissions?
• No code versioning
Live Trading
• Strategy Logic in C#, Python, Java, etc.
• Hand written interface for historical and live data
• Hand written interface(s) for trading (e.g. Fix or Bloomberg EMSX)
• Hand written reconciliation & P&L calculation
• Manual handling of holidays
• Manual reporting
• Future/Options rolling logic?
Excel, MatLab and Bloomberg
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Benefits / Features
• Same Code for Development / Back Testing and Live Trading
• Interfaces for Historical Data, Live Data and Trading
• Integrated Storage of Market Data
• Integrated Reporting & Reconciliation
• Integrated Monitoring and Valuation
• Integrated Handling of Holidays and Trading Hours
• Automated Hedging
Available Products• AlgoTrader
• Apama
• Deltix
• FlexTrade
• MarketCetera
• MetaTrader
• NinjaTrader
• ProTrader
• QuantHouse
• RightEdge
• Streambase
• TradeStation
Alternative Approach?Integrated Trading Software Solution
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• Design the trading models (in-house)
• Develop the trading models (external)
• Use a 3rd party execution system
Outsourced
• Design the trading models (in-house)
• Develop the trading models (in-house)
• Use a 3rd party execution system
PartiallyOutsourced
• Design the trading models (in-house)
• Develop the trading models (in-house)
• Develop an execution system (in-house)
Required Skills
• Quantitative Knowledge
• Trading Knowledge
• Market Knowledge
• Programming Languages
• Connectivity (API, FIX, etc.)
• Databases
• IT & Hardware
In-houseSolution
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External Development Partner
• Fee Structure
• Required Competence
(Trading and Software Development)
• Intellectual Property
• Service Level Agreement
• Support
• Geographic Presence
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Choosing the Right Broker and Market Data Provider
• Commissions
• Supported Exchanges / Instruments
• API Interfaces (fix, native etc.)
• Redundancy
• Round-trip Latency
• Quality of Data
• Reporting and Reconciliation
• Support
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Decision Drivers
• Number of Market Data Subscriptions
• Number of Orders per Day
• Complexity of Trading Logic
• Specific Latency Requirements
• Hosting Preferences
• IT Knowhow
Hardware and Performance Requirements
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Hardware and Performance Requirements
• Runs once a day
• 0 - 100 subscriptions
• 50 – 1000 trades / day
• Continuously running
• 100 – 1000 subscriptions
• 1k – 10k trades / day
• Continuously running
• 1k – 10k L2 subscriptions
• > 10k trades / day
• In-house or cloud hosted
• Ram: 2 - 4 GB
• CPU: 1 - 2 Cores
• Low network throughput
• Latency: low
millisecond
• In-house or cloud hosted
• Ram: 16 – 32GB
• CPU: 10 – 20 Cores
• Med. network throughput
• Latency: low
millisecond
• Co-located
Ram: > 32GB
• CPU: > 20 Cores
• High network throughput
• Latency: low
microsecond
EOD TradingLow Frequency
Intraday Trading
High Frequency
Trading
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On-Premise
• Privacy
• Security
• Cost
• Flexibility
• Latency
• Availability
Cloud Hosting
• Cost
• Availability
• Scalability
• Flexibility
• Privacy
• Latency
Co-Location
• Latency
• Cost
• Availability
• Flexibility
Hosting
Pro
sC
on
s
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Challenges
• Storage of historical data for
back testing and traceability
• Record historical data
• Purchase historical data
• Historical data providers
Storage Options
• Flat Files / Compressed Files
• Relational Databases
– Size Limitations
• Time Series Databases
– KDB
– OneTick
– Open TSDB
on Apache HBase
Historical Data Management
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Best Practices
• Coding Standards & Development Process
• Test Driven Development (Unit & Integration Tests)
• Make Extensive Use of Logging
• Use a Source Code Management (e.g. Git)
• Deploy New Features in Small Chunks
• Prepare a User Manual and give Training to Users
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Lessons Learned
• Test and production environments must be as similar as possible
• Expect issues with brokers and data providers
• Be prepared to handle all use-cases, especially the unlikely ones
• Proper user training and user manual documentation
• Treat the paper trading phase as real money trading
• Have email alerts in place
• Handle partial fills, limited liquidity, slippage, etc. appropriately
• Expect misunderstandings between traders, quants and developers
• Expect budget overflows
• Expect bugs that only show up in live trading
• Start simple and add complexity only if needed
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Benefits
• Automated – Any quantitative trading strategy can be fully automated
• Customizable – Open-source architecture can be customized for user-specific requirements
• Reliable – Built on the robust architecture and state-of-the-art technology
• Fully-Supported – Guidance available for installation and customization. Onsite and remote training and consulting available
Features
• Multiple broker interfaces and market data providers
• Support for forex, options, futures, stocks, ETFs, Commodities etc.
• Write trading strategies in C#, Python, JavaScript, MatLab or R
• Excel based back test report
• Several built-in execution algorithms
• Support for synthetic instruments and custom derivative spreads
• Options Pricing Engine
• Automated Hedging
AlgoTrader
www.algotrader.ch
THANK YOUFOR YOUR ATTENTION
AlgoTrader GmbH | Aeschstrasse 6 | 8834 Schindellegi | Switzerland
Phone: +41 44 291 14 85Email: [email protected]
www.algotrader.ch