Friday, September 30, 2011

Other systematic trading systems

My master (Sergio) told me about another systematic trading system: www.opengamma.com.

It lacks of several functionallity, specially related to simplify
and unify strategists work, and it's primary oriented to options
and valuation in real time.

We're thinking about a system in which training and production environments are the same from the point of view of strategies, and oriented to trade with every kind of instruments.

But, you're adviced: I'm not going to tell you the underlying reasons, the intents and the full capacities of MetaOS, since we're going to trade with it.

This is THE difference with other systems like OpenGamma: open gamma is
fully documented to be used by YOU; MetaOS will be used by US, to make money. (Or at least we're going to try).

Sunday, September 25, 2011

Architecture for the ideal systematic trading platform

My mentor and I were thinking about the architecture of the ideal systematic trading platform.

It should look like this:
1.- A Risk Module to control positions and let open or close them.
2.- A Signaling module
3.- A Trading module, where orders will be received and routed to Direct Market Access
4.- A Data Management module

Since we're working on data management are (the only solution that fits our requirements is KDB+, but it's too expensive and the effort to master KDB-language is almost the same as doing the ideal solution), here we have the schema of interfaces:


Remember that everything it's being implemented under MetaOS project, hosted at GoogleCode.com (http://metaos.googlecode.com)

Thursday, September 22, 2011

One month designing the ideal systematic trading system

After all, here I am!

I'm investigating for 20 hours/week (continuing with my 42 hours/week job as software manager) at the Delta One Trading dept., how to create the systems to support market making systematic trading.

The system is based on our MetaOS (https://metaos.googlecode.com/) project applied in the short term to:
  • Forecast daily volume profile, to improve VWAP trading algorithms (no, no, I'm not programming those trading algorithms; they're provided by SunGard platform)
  • Create a system to deal with huge volumes of CSV files (tick data, you know) without using a traditional (slow) SQL database
  • Calculate proxies to improve hedging, thus "remembering that we're working in the sell side, why are we hedging an index with the whole set of instruments in the index if we can do it with other highly correlated and cheaper instruments?"
Ok, I have no time to live, but the project is lasting only six months, so I have to work hard...