Introducing AlgoTrader 3.0 – The Most Powerful AlgoTrader Yet

3.0

The latest version of AlgoTrader has finally arrived.

And when you install AlgoTrader 3.0, you’ll realize just how far we’ve come in the past three years.

This release is a revolutionary milestone in our history, bringing our product to an entirely new level.

Let’s review some of the key additions and enhancements.

New AlgoTrader HTML5 Frontend

Our HTML5 frontend presents a compact real-time view of your trading strategies.

Features include live Market Data, current Orders, Market Data Subscriptions, Positions, and Transactions, an interactive order placement form with full text search, configurable tiles, support for multiple currencies with automatic currency conversion, and display of alarms and notifications.

The new interface also comes with the highly interactive TradingView chart library, which contains different chart types, and over one hundred pre-built indicators. You can display multiple instruments at the same time, and you can even draw on the chart yourself.

For further details, please see our HTML5 announcement.

One-Click Deployment with Docker

Docker is an open-source platform for building, shipping and running distributed applications. AlgoTrader 3.0 now uses Docker to streamline our own installation and deployment process.

In the past, deploying the AlgoTrader components on a production server was a tedious error-prone task that consumed about an hour. With Docker, you can install all components with a single command, reducing the deployment time to a few minutes.

And to simplify things even further Docker recently introduced Docker Cloud, a hosted service for Docker container management. Using Docker Cloud, trading strategies can be deployed to cloud servers with a single click.

Docker simplifies and streamlines the AlgoTrader installation process, while making trading automated strategies more stable, secure and reliable.
For further details, please see our AlgoTrader Docker announcement.

Three New Execution Algorithms

We refactored the entire ecosystem around Execution Algorithms. Creating algorithms is now simpler and more flexible. We also added these three new Execution Algorithms:

  • VWAP: This algorithm determines the Volume-Weighted Average Price, which is a trading benchmark used by many institutional investors.
  • Target Position: This algorithm automatically manages orders to reach the specified target quantity. If there’s no existing position, an order is placed for the full target quantity. If there is a position, an order is placed for the difference between the target quantity and the current quantity. The Target Position Algorithm automatically handles any pending partially filled orders.
  • Trailing Limit: This algorithm submits an order directly to the exchange, with a limit price set a fixed distance from the current market price. The limit price is adjusted relative to the market price when the market moves in favor of the order.

For further details, please see this detailed description of all our Execution Algorithms.

Excel-based Back-test Report

Our high-speed back-test is powered by Esper and can process up to 500,000 events per second.

At the end of each back-test, we now produce a concise one-page back-test report with key performance metrics and charts. The report is based on Excel, so you can make changes and apply your own formatting.

Write Trading Strategies in Any Language

Along with the development of the HTML5 frontend, we also added a standard RESTful interface using Jetty HTTP server, and a websocket/STOMP interface using ActiveMQ.

These new interfaces allow arbitrary clients to communicate both synchronously and asynchronously with AlgoTrader using standard JSON messages.

For example, you can write a trading strategy using C#, Python, Javascript/Node.js and even MatLab or R.

More Features

We also added the following new features and enhancements:

  • Prices between multiple market data providers are now normalized. This is useful when one provider quotes in cents and another quotes in dollars.
  • We added a drop copy interface for TT & LMAX which allows AlgoTrader to track orders placed outside our platform.
  • We added an embedded ActiveMQ message broker, so installation of a separate ActiveMQ is no longer needed.
  • We completely overhauled all database sample data.

For further details on these recent updates, and a complete list of features, please view the Release Notes.

 

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