AlgoTrader 5.2 Release – Your AlgoTrader Trading Experience Just Got Better

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We are pleased to announce the release of AlgoTrader 5.2. This release further improves your trading and execution experience. 

Generic Events

  • In addition to market data events (i.e. Ticks and Bars), AlgoTrader now offers full support for general purpose Generic Events that can contain any type of time stamped information (e.g. corporate actions, external signals, alternative data and even news / social media sentiment data).
  • A strategy can subscribe to these events and use them for analysis and signal generation.  It is even possible for two (or more) strategies to communicate with each other through Generic Events by exchanging arbitrary data.  For example, strategy A) could provide a general long term bullish or bearish macro signal to strategy B) which would then cause strategy B) to open either long positions or short positions only.  All generic events can now be persisted in InfluxDB. Persisted generic events may now also be used during back tests.

OTC RFQ functionality

  • The platform now has full support for RFQ (request for quote) processes supported by many OTC market makers and brokers. Through this new functionality quotes can be requested from one or multiple counterparties with a click of a button. Quotes returned from the trading partner can then be intuitively selected through the UI or by your strategy whereby corresponding orders are automatically generated and routed through the appropriate adapter.
  • The first two OTC adapters available are for B2C2 and Tilde / Grasshopper. These adapters support both RFQ as well as regular limit orders. B2C2 and Tilde are just the beginning. In the next release, additional RFQ adapters will become available.

Adapters

  • In addition to the generic event functionality, AlgoTrader now offers an interface to Intrinio for the retrieval of dividend data.
  • The Binance adapter now has full support for both stop orders and margin trading.

User Interface

  • The TradingView chart now displays your orders and executions right on the chart.
  • The entire RFQ process mentioned above is now also available through the UI. Users can send a request for quote to multiple counterparties and then select the most favored quote through the UI and automatically place an order referencing the quote.
  • Positions can now be transfer from one strategy to another straight through the UI. This is particularly useful for clients trading many strategies or a portfolio at the same time.

Historical Data

  • In addition to Ticks and Bars, AlgoTrader can now also persist Trade and Quote events into InfluxDB. These events are then available for further processing or for use when back testing strategies.

Example Strategies

  • Spread trading has become very popular in equity, FX and especially crypto currency markets. The new Spreader example strategy is a pair trading strategy that seeks to either buy or sell the spread between two instruments when the value of the spread between the price of both instruments breaches a certain threshold. Open positions are then tracked with both a profit target and stop loss in place.

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