仅供参考 29 Nov 08 Automated Systems: Comparison of platforms http://onlinetradeblog.com/ I have evaluated and used several platforms for automated trading including TradeStation, NinjaTrader, MetaTrader, and RightEdge Systems. I’d like to share my opinion regarding these. Probably the most popular out there is TradeStation. I primarily used TradeStation to automate my Forex strategies. I also used it to trade the S&P E-mini, but that system wasn’t automated. Writing programming code to automate a system on TradeStation is much easier than other platforms. TradeStation uses a language called EasyLanguage. I used to program in Pascal years ago, and the syntax is very similar. TradeStation does a good job by trying to make things as easy as possible for development and backtesting. One huge advantage of this platform is that you can actually call and get live help. If you post on their Tech Support Forums, you’re likely to get quick results. Most likely your question has already been asked, so you can just search. The disadvantage to TradeStation is that it costs more than the other systems that I used. Although you can usually find a special deal to get a month or two free, it was costing me $100 a month to use it afterwards. Plus, you have to pay for your data feeds with the exception of Forex. With Forex, not only do they charge you the spread, but they also charge you a commission. Most brokers charge the spread only. NinjaTrader will allow you to use their platform for free to develop and test your strategies as long as you’d like. However, once you want to go live, you have to pay. At the time, it’s about half the monthly cost of TradeStation. NinjaTrader is slightly more difficult to program in since it uses C#. However, they do have a GUI that will allow you develop your strategies without any coding. Unfortunately, not everything can be done through their GUI - but quite a bit can. NinjaTrader also has a support Forum with very quick replies to questions. However, there is no tech support line that you can call for questions. I guess this is how they keep their costs down. I’ve also used the NinjaTrader platform to trade discreationary systems. The platform is worth checking out. Unlike TradeStation and NinjaTrader, MetaTrader is used for Forex only, and it is 100% free for development and for live trades. It is a very popular platform for Forex users and you can find quite a few Expert Advisors and Indicators for free on the Internet. You can of course program your own, but the language is a little more difficult than TradeStation - MetaTrader is basically C++. I currently use MetaTrader for automating Forex systems. RightEdge Systems is similar to NinjaTrader and is also around the same cost. It is definitely worth checking out. If you want to get started with automation, you can find online help for TradeStation, NinjaTrader, and MetaTrader for free. There’s quite a bit out there. I will post some links in a future post.
My firm did an extensive investigation of several ATS, including RightEdge, OpenQuant, NinjaTrader, TradeStation, MultiCharts, and others. In the end we chose RightEdge for a combination of factors but primarily: 1) It is oriented to serious programmers and traders. I find that most things that try and make a program "simple" end up limiting its usefulness, that is not the case with RE 2) It is completely open and unaffiliated with any market data or execution venue. As such we have found it very easy to use their plug-ins to develop connections to anything we would like. 3) The program is developing rapidly. In the last few months alone we have seen progress that other firms cannot do in years. So while RE may be considered 6-8 months back, that was probably written 6 months ago, and no longer relevant. 4) The support from the developers is fantastic. http://www.rightedgesystems.com/forums/Topic5507-7-1.aspx
I'm trying to investigate a few scalping strategy ideas and if they work, automate them. I've spent some time with NinjaTrader, OpenQuant and RightEdge to see which could meet my goals. Here's what I've found. General Requirements/Criteria: - support tick-based trading and backtesting - would be nice to have custom graphical indicators (useful during development & debugging) - eventually nice to support multiple strategies - support running strategy on multiple symbols simultaneously NinjaTrader Pros: - free for development, well priced for going live - fully supports custom indicators and strategies can easily add graphics to charts - fairly mature: bug-free, stable, used by many existing customers - excellent support Cons: - tick-level backtesting is extremely limited, available only as a "Market Replay". Tests cannot run at the same time as a market record and there's no way to use historical tick data. The backtest only runs at the speed of the replay and whenever a change is made to the strategy you need to remove the strategies and re-add them. Stats aren't integrated and there's no option for optimizing. - development environment feels piecemeal, dated, awkward and poorly designed especially in comparison to its competitors. - running strategies requires adding a new line for each instrument every day, a time-consuming, tedious and error-prone task (may develop strategies which have hard-coded lists of instruments, but this has its own problems) RightEdge Pros: - nice development environment which supports debugging in VisualStudio - good support - can add custom indicators and graphical elements to charts for debugging and development - supports command-line options for running strategies making going live a breeze, the best of the lot Cons: - plans to add tick-level backtesting but this feature is not available yet - rapid changes means documentation and samples are out-of-date - in my tests, RE has been extremely CPU intensive and a real memory hog - problems importing data and limited feedback. Feels unpolished and immature. May be solid in 6mo or a year but is rough right now OpenQuant Pros: - nice development environment with a friendly IDE - smooth and polished, mature feature set - claims to support tick-based backtesting - claims to support multiple strategies and multiple instruments (I recall this was alright but could be better) Cons: - lease only available for minimum of 6 months (some song & dance about blaming their credit card company clearing fees. Ever hear of PayPal?) and my trial membership expired over a year ago when I first played with it so have to rely on memory - no custom indicators, no means of making annotations on the chart making debugging and development difficult especially when trying to implement pattern-recognition - quirky/unreliable/slow/unresponsive support - has development stopped? Last version was released in January and nothing has happened since (releases used to be monthly, now nothing). Because of OpenQuant's status as a scaled-down version of SmartQuant, this makes me uncomfortable about its future - will it become abandonware? RightEdge sounds good but the high CPU & RAM usage and its unwillingness to recognize imported data make me shy away from it has potential to becomes something good when they can put in a few months to clean up the loose ends they've ignored in the push to release new features. NinjaTrader has many good things going for it but the backtesting is clumsy enough for bar-based strategies. To go through the hoops to test with the Market Replay is just painful. NT is reliable and has many good features but they really need some good UI folk to come in and smooth out the workflow and improve the usability. OpenQuant seems to be my choice but because I haven't been able to spend any time kicking the tires and testing its tick-level backtesting and other features (like IQFeed support, something that looks very dodgy) I'm reluctant to pay $300 to try, especially when both RE and NT _sounded_ good only to let me down. Does anyone have any recommendations for a tick-level backtester? What do people think of OpenQuant or the other choices? http://www.elitetrader.com/vb/showthread.php?s=&threadid=143990&perpage=6&pagenumber=1
RightEdge vs. QuantDeveloper :http://www.elitetrader.com/vb/showthread.php?s=&threadid=78330&highlight=rightedge
继续灌水: I was a heavy user of Wealth-lab, but found it to be somewhat limiting in certain areas. The pro's of wealth lab are that they have a large user community, with numerous trading strategies already coded in there scripting language. I've taken many of these scripts modified them to my own needs. The big con to Wealth-lab is that if your a US citizen you are required to use Fidelity as your broker to use the software (plus they put trading limits on users to maintain the license, so you must trade 120+ times a year at 8 dolalrs a trade... not so good). I also would add that the wealth-lab script is a bit confusing to me, and doesn't make for the most readable code. Rightedge apparently integrates well with IB, so I am in the process of converting some scripts to there platform. It doesn't have all the bells and whistles that a more mature product has, but all of the core stuff is there in the beta! The fact that it is a open platform is a big plus. It looks like it could be a trustworthy application for automating some of my trades. That brings me to OpenQuant. I would love to hear others opinions on this software? At this point I would like to take a look at there platform and see what the pro/cons are but lack the time. Is anyone actually using it to submit orders to there broker (particularly IB)? source:et.
Review of AmiBroker Firstly, I must say that it is a good product developed by a few people over the years. Actually, it looks like a single developer has developed it, as on researching, realized that the developer and the products’ company are from the same place. 1. It could do most of the things offered by other products at a lower cost. However, it requires a lot more programming skill; especially if you wish to do anything more than just back-testing. Their language being unique to them thus, the learning curve is steep (tough to learn). Although, you could use C# as reference, but that requires programming in .NET. However, I agree that like most products; you just can not use any existing Easy Language code without totally rewriting the same. However, the language is not easy to use for solving complex problems. 2. Though, the custom back-tester is a powerful concept but not for the faint-hearted programmers. 3. Their charts are not as good as the ones of TradeStation or Metastock charts. They are just on par with Trading Blox Charts except for the built-in indicators and some drawing tools. Besides this, they are of the same general quality. 4. It is the same case with their Reports which are not complete or encompassing as the Trading Blox reports’ capabilities. 5. The interface does look a little disorganized like the features we need to add without making changes to the interface which would have made it clearer. 6. The Support feature is a disappointing issue as there is no phone number to call for support or help. I do admit that I stay overseas, but this point might be of importance to some of you out there at Elite Trader Forum. Maybe, it is a small company so it is not possible for them to arrange live support. Moreover, their Yahoo Groups support response seems to be slow for only a few questions, were replied and had to seek the Elite Trader forums (please have a look at this Questions about Amibroker). Moreover, their replies are not very satisfactory, explanatory enough. Even their knowledgebase, is incomplete. 7. Even, as an end-of-day trader, you need to own more than just AmiBroker to do your analysis. As an example, you shall need TradeStation and AmiBroker because of the charting just like that of Trading Blox. Thus, it is not a complete solution for your needs. 8. It has been observed that the people already using this product basically use it due to the interest in the free data show. It seems to address the dream of the trading audience and is not for the actual real traders. 9. It seems to have a number of issues regarding usage of data with the charting software (Open E Cry data feed) or using data from different sources simultaneously (IB and MetaStock), or plug-ins (opentick) among others. 10. Some problems which I could not get resolved from both the Yahoo Groups and the Elite Trader Forum are the following: • Regarding the futures, the product is basically designed for the Stock Traders, but it can also trade futures. Although, I was unable to figure as to how to set the minimum move, and minimum move value to trade futures, and also where to set the margins. • I am unable to get a new High-New Low data into AmiBroker using AmiQuote or any other free source. The answer is No as far as Yahoo is concerned. Although, it seems that you can develop your own using the complete US-Stocks database (Hemscott). Hence, this is a problem of a data issue dealing with free data. • Regarding its Trading Features, it has been suggested to use the help of coders to automate the system up to IB. However, it is not recommended as the coding has not been satisfactory or successful. 11. It does not seem to be a trading program software for serious trading; as have noticed that many people try it out for back-testing purposes, to practice or refine their skills for handling and programming these programs. However, a point to note that if it was priced at $1000.00, I would not have gone for Trading Blox which is priced at $3000.00. However, it is the low price just $249.00 that makes it a worth-while purchase. It is an inexpensive product for people who wish to learn about back-testing and trading. However, it is tough for the same people to reach a more advanced level as to program the more complex things in the language of AmiBroker is real tough and complex. Moreover, the charts offered not as good as the usual charts they where using, so they still require the old charting program along with AMIBroker Thus, as a conclusion, its price is attractive enough to get people to start trading with it but it restricts the progress. ============ Review of Trading Blox I had downloaded and tried out the demo version of Trading Blox. Firstly, it is a top flight back-testing package wherein you can either test a single system on one market or a portfolio of markets. Moreover, you can test a portfolio of systems also. The graphic programming interface “Bloxs” is a useful concept for the programmers. However, there was a drawback (a big one), is that there is not any large libraries of public domain code for this product like you see with “Wealth Labs” had earlier before Fedility purchased the product or TradeStation. The backtesting capabilities and control over the backtesting is well designed and though out. These features are top shelf. One drawback is that the product is somewhat slow, and the speed of both the demo and the real-time version is the same (as confirmed by Trading Blox support staff). Another issue is that you need to run the orders for tomorrow and back-test the result separately. This is for your kind information only as you might forget to do it. Regarding their reports, they are one big HTML like page! Although, you can disable and enable what you wish to see in the reports, it is a big page and to scroll through it is inconvenient. Moreover, they are not organized in a workbook or in different windows, which makes the navigation and reading inconvenient and time-consuming. Moreover, their charting does not seem to be up to the standard and seems to be behind the present times and requirements. It is there to just show you the trading arrows. Although, you can plot indicators but they need to be coded within the system. The same is true for some of the other products selected for the test of suitable back-test software. Moreover, I have found out that only the TradeStation and TradersStudio have separate indicators which can be added to the charts. Moreover, the charts have no drawing tools, special features like the Paintbars, Showme and expert commentary present in TradeStation. Another thing was that I was unable to figure as to how to create the charts and indicators without having a system. It is in my humble view, that for a product selling at $3000.00, they should have at least had the charting like the TradeStation, even if not that good. Their charting does not seem to match the good performance of the other functionalities provided by the Trading Blox. If you are interested in just back-testing, this product is good choice, a top flight product, although it can not replace TradeStation or other platform that provides good charts. This product is good to have, but not a one-stop product as there are some issues as mentioned above. However, if you can afford to spend $3000.00 for just a back-testing tool, then it is okay. The question remains, “Are there any other products available that offer similar features and the complete solution like back-testing such as Trading Blox, but at a lower price?” Now, the next step is to test out the products “AmiBroker” and “TradersStudio” (which are at a much lower price) and compare their features to Trading Blox. Additional Comments Regarding the manuals of Trading Blox, it is an intriguing point is that a software of this complexity and price ($3000.00), does not provide any printed documentation (manuals) for easier reference. Although, there are online manuals besides the forum, however, having a printed one is not a bad idea. Moreover, have been informed by Mr. Murray, that they supply the printed documentation (manuals) at one-fifth of the price. Thus, as per the statements of Mr. Murray, TradersStudio provides over 300 pages of printed documentation (manuals). http://elitetrader.com/vb/showthread.php?threadid=108534&perpage=6&pagenumber=1
code46: RE进步非常快，如果不考虑QD的存在，在RE和OQ二选一的话，我一定将时间投到RE上。原因并不是技术上的， 一、进步快，有希望，至少在这个阶段，OQ开发者明显少很多(大概=1) 二、愿意听用户意见，比较open，用户建议的特性如果合理往往很快被采纳；而OQ恰恰相反，开发者对用户态度冷淡，不过开发者自身经验和水平确实比较高，他尊重自己的判断胜过用户的判断。 三、服务和社区。RE客服的口碑很好，而OQ极差。RE的社区人气和帖子数量远胜RE。我个人认为这是最关键的——不是决定一个产品是否"伟大"的关键，而是决定一个产品是否会"成功"的关键。 四、RE和OQ定位重合。尽管OQ的口号是让个人用户 trading like hedge fund，但OQ和QuantHouse有协议，某些功能他们不能做，所以它和RE的定位和市场大部分是重合的。尽管RE在某些方面可能暂时还做不到OQ 的一些功能，但以他们的速度，很快就可以赶上，而且还没有什么功能不许做的限制。 技术上，OQ和RE在实现上也有诸多不同，我个人更喜欢SmartQuant系的总体设计。但是以OQ和RE目前的定位——会一些编程的个人用户，这并不会导致什么本质的差别，SmartQuant的一些设计或许使一些强大功能的实现成为可能，尤其是被Hedge Fund用来定制自用的系统的高度灵活性，但在OQ这个层面，这些优势很难体现。 从学习的角度讲，熟悉一个产品的总体设计和API使用，要花不少时间，这同样是一种投资：SmartQuant的逻辑是，如果你熟悉了OQ，很满意那自然很好，但如果将来你希望有更强大的功能，你可以升级到QD，这样在学习上省了不少事。说得不错，可惜这是个假命题，我不知道有多少个人用户可以承受QD的价格。假设我们可以肯定今后也永远不会花这样的价钱去购买QD，那么OQ的前景与RE相比又有什么优势呢？ source:http://www.hylt.net/vb/showthread.php?p=106082#post106082