Switching from discretionary to automated trading

Harkell · Post by **Harkell** » Tue Apr 26, 2016 9:58 pm

Hi everyone,

I have been trading futures for a couple of years now, having been a discretionary trader I have used CQG Qtrader.

I am now taking steps to convert into a fully automated strategy. The question I have for those experienced in algo trading is:

How should I go about setting up the automated trade execution? I have considered using a platform like Multicharts.NET, although it seems a little "retail" and I plan on taking my trading to a prop firm in the near future. I have also considered using CQG API, although it can be quite expensive this way.

What are you guys using?

HankScorpio · Post by **HankScorpio** » Tue Apr 26, 2016 11:56 pm

If you've considered the CQG API, does that mean that you're OK with rolling your own, so to speak?

If so, then you could use the Interactive Brokers or XTrader APIs, although the IB solution would be the cheapest. Of course, there's the issue of data where CQG is very good.

Harkell · Post by **Harkell** » Wed Apr 27, 2016 1:18 am

Hi Hank, thanks for the response. I will look into Interactive Brokers now - I had wrote them off as being too much of a retail/hobby trading broker. The CQG data is great and that was my attraction to Multicharts.NET - I can use the CQG data through their platform. I get the impression that Multicharts isn't taken very seriously, though, and may leave me constrained as my strategies develop in complexity.

I have a programming background (Ruby) and I am going to pick up a compiled language, likely C#. I learn fast so I can potentially deal with any language.

At the moment I am just looking for the best way to handle the trade execution side of things. I am planning on taking my trading to a prop firm in the next few years, and as my strategies develop I need a setup that can facilitate more complex algorithms. My pursuit of this is a professional one as opposed to a side income/hobby, so time and complexity is a secondary factor.

Reading through the forum, it seems a few users are trading professionally. I am hoping to find out how many of these people are going about order-execution - as this will give me some more options to explore.

HankScorpio · Post by **HankScorpio** » Wed Apr 27, 2016 12:38 pm

Hi Harkell, no worries.

There's nothing wrong with IB. In fact, I can recall at least a couple of NPers who are managing OPM trading through IB. But I do understand where you're coming from (IB is almost the default broker for everyone on message boards/phorums such as ET).

It might be worth your while to check out www.advantagefutures.com and www.dormantrading.com

Cheers, Hank.

victorin · Post by **victorin** » Wed Apr 27, 2016 6:10 pm

As a trading system developer myself, I found out that the hardest part is to manage the executions.

Plenty of unexpected situations can happen and they potentially can cost money, so in my opinion creating your own software infrastructure using 3d party broker APIs it doesn't worth the effort.

Besides, seems quite difficult to me that a prop firm will rely on your "home-made" black-box solution.

Years ago I've joined a company that offers hosted execution of trading systems (actually we work with the two IBs mentioned in this thread) as a software developer, and ended up creating a .NET library to make automatic strategies development a piece of cake. So far this API only support bar based strategies, the fastest 1 min bar,but it could be a good solution for you.

I don't mean to spam here, ping me if you are interested and I'll tell you more