This is my first post where I want to introduce my self and a upcoming blog post series. This blog is about Algo-Trading and about my hobby project. In this project I develop a Trading Platform with strong focus on autonomous trading. I’m not a professional software developer so there is no claim to have the best practice on everything.
Around 2010, I was become infected by the idea to develop a completely autonomous trading system, which earn money during my day job or when sleep. This sound to good – right? But from my day job I was used to analyze time series and got the feeling it should be possible to apply many of my known methodologies to financial field. After studying different trading platforms and gain experience in using them, I reached the point where they don’t satisfying my need of flexibility.
So I was feeling it would be the best to have my own trading platform with full source code and all the flexibility. This sounds to good too – right? – But how to do and where to start?
From my day job I has a good base line in programming with Matlab and Simulink and had done some basic stuff with C and Fortran in scientific computing. So, it would be obvious to think about to doing it with these tools or similar one.
After thinking about it, I realized that this are not the tools to choose if you want to build a 24/6 or 7 running trading platform.
- So I was starting a general technologies screening to find the best tools for a fast development, good performance and time to market.
- Than, after choosing the platforms and tool-chain for development, there was a lot to learn about architectural design of trading software. This was a fascinating journey with may ups and downs, steep learning curves, sleepless nights and end up with the feeling I just did some scratches in the surface…
- After the general architectural sketch, there was a painful process of mastering programming languages and concepts like object oriented thinking.
- Around 18 month later, with basic OOP skills and a better understanding how to design a trading platform, I started the project and programming a trading platform. From beginning the design was service oriented.
- Target was to have a simple server and client, establish the communication and extend both parts step by step to get a versatile and stable trading platform.
This Blog is about reflecting this almost 6 years to give other people insides into a really fascinating world of fully autonomous trading software. I want to cover many aspects, starting from technologies screening to come to a simple server <=> client app with messaging/protocol stuff, databases, charting, backtesting, parameter optimization, machine learning …
All this will be from my own experience and personal point of view. But I don’t want just another bla bla Blog. I will provide code examples to each topic and explain all my thoughts in this examples.
I’m not a professional programmer and so I don’t claim to provide the best way to do! But I hope there will be inspiring discussions!