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Is the following possible?

Roland

09 Jun, 2010 07:06 PM via web

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Hi:

I am very new to AlgoDeal, so I apologize in advance if the following questions are stupid.

Currently, I am implementing a stock trading strategy. Through AlgoDeal, I am hoping to set up a virtual account that allows me to trade virtual money by placing global stock trades automatically from a C++ program running on my machine.

Please tell me if each of the following is possible:
1. I want to run my program on my machine. I don't think it's feasible to run my program on AlgoDeal. The program needs to repeatedly access proprietary databases not available through AlgoDeal.
2. I want to trade virtual money. I would need to set up an account with X virtual dollars, where X >= 1,000,000 USD.
3. The program trades stocks in the Russell Global Index, so I would need access to not only the NYSE, NASDAQ, and AMEX but also other international exchanges.
4. Through AlgoDeal, the program would need to be able to request both historical and current stock prices and execute buy and sell market orders and sell trailing stop orders.
5. I want to write the program entirely in C++. I don't want to write any of it in JAVA. I want to write even the interface with AlgoDeal in C++. Ideally, I would like to interface with AlgoDeal via URL connections using the C library libcurl.

Also, how up-to-date are your current stock prices? With many virtual exchanges, there is a 20 min delay.

Also, how granular are your historical stock prices? Is it daily with the open, high, low, close, and volume? Do you have tick-by-tick?

Thanks.

1. Support Staff 2 Posted by Mathieu on 10 Jun, 2010 07:52 AM

   

   Hi Roland,

   1. We do provide that kind of possibility, but for testing only, on a limited subset of data. The main objective at Algodeal is proving strategies are able to run on our production environment, which involves running in house.
      
   2. The business model at Algodeal is design / backtest / cash. To achieve this, we do actually provide a variable size real cash allocation to strategies based on performance. It's a model that doesn't fit with fixed size strategies. However, once you have run a backtest (or paper trading), the various metrics are computed relative to a virtual allocation, which is also given to you.
      
   3. We currently only provide 80 futures contracts, but we plan on providing much more instruments in the future. We have partnerships to get access to many markets worldwide.
      
   4. We currently have the full history down to tick size for all of our instruments, back to 1996. We provide market, stop and limit orders.
      
   5. Currently, Algodeal is built to run strategie in Java only. We do not provide interface to Algodeal, because the strategy is placed at the center of the system. As I said before, this is to ensure we can take a strategy and have it run directly on our production infrastructure.
      
   6. We do not provide stocks currently. However, on the contracts we trade, you can expect a microsecond market access latency.
      
   7. Currently, we provide OHLC bars from daily down to one minute. They also include open interest, volume, and settlement price. We are working on trades and quotes. Expect them in the mid term.

   In hope this answers your questions,

   Mathieu

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2. Eric closed this discussion on 15 Jun, 2010 08:01 AM.

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