Sunday, January 29, 2012

Elements of Systematic Trading System

According to Irene Aldridge (High Frequency Trading)

the ideal HFT system in production should include the following steps in run-time:
  1. Receive and archive real time data
  2. Create buy and sell signals
  3. Keep track of open positions and P&L
  4. Manage risk positions
and these two task in post-execution time:
  1. Evaluate performance
  2. Cost estimation

In my Juant system, post-execution tasks are not currently present (at least in an explicit way). But, in my opinion, Irene has missed a backtesting module: without it, strategies cannot be tested in a similar environment to runtime.

In the other way, the Signal Generation module is, with Risk Management one, the ideal candidate to have links with Matlab, R and other external mathematical tools...

No comments:

Post a Comment