Trade automation platform (Java)

Post date: Jun 25, 2018

This was built back in 2008/2009. It still runs and collects real time tick data:

  • AEX futures and option series as traded and quoted by TOM,
  • 10 AEX stocks,
  • currency FX-rates: EUR, USD, GBP, CHF, JPY

To my taste, it is

  1. reliable (1 lost execution order out of 50000)
  2. expandable by number of securities within portfolio and
  3. by number of simultaneous strategies
  4. It is also flexible in terms of strategy implementation. Basically, it can implement any type of strategy I am aware of

However, it has three major limitations:

  • At this moment it comes with link to only Interactive Brokers (IB) who "does God Knows what" with their data feed. I have made a possibility to interface other data feeds, e.g. executing at IB and feeding prices from MorningStar. Execution layer can be interfaced to any other system
  • It feeds via "plain vanilla" Internet, which by my experience has random delays (20-500 ms) with respect to execution time. No DMA experience
  • It can trade only one block of orders on the market. For example, it can keep order on the market at both sides, bid and ask, but it cannot keep two ask orders simultaneously

At this moment, it does only data collection.

Open for proposals and questions/comments.

Code can be found in: