Wanted: high frequency tradingsystem

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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therainmaker
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Wanted: high frequency tradingsystem

Post by therainmaker » Mon Dec 12, 2005 5:08 am

Hi All,

I am looking to collaborate with professional third party systemdevelopers who have a proven trackrecord in building profitable high frequency tradingsystems either for hedgefunds, proprietary trading firms or CTA's.

My client is a proprietary trading firm that can trade any market and any size and has very low execution costs. The only requirements are that the system trades on a frequent basis (at least once a day and preferably much more) and that is has a demonstrable trackrecord of at least one year

If anyone knows such a person or system, then please let me know.

Cheers,
Tom
Last edited by therainmaker on Tue Dec 13, 2005 4:46 am, edited 5 times in total.

Austrian
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Post by Austrian » Mon Dec 12, 2005 7:13 am

Tom,

I am wondering what a high frequency trading system is (markets - futures, stocks, forex; intraday -EOD; capital requirements etc.). I recommend being more specific.
Rdgs, Helmut

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Post by therainmaker » Mon Dec 12, 2005 7:22 am

Hi Autralian,

Thanks for your e-mail. I've updated my message.

Regards,
Tom
Austrian wrote:Tom,

I am wondering what a high frequency trading system is (markets - futures, stocks, forex; intraday -EOD; capital requirements etc.). I recommend being more specific.
Rdgs, Helmut

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Post by Austrian » Mon Dec 12, 2005 8:21 am

Again what is frequent. 1 trade per day or 1000 trades per day?
Rdgs, Helmut

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Post by therainmaker » Mon Dec 12, 2005 8:29 am

Hi Helmut,

That depends. If a system trades once a day then that's fine. If it trades 300 times per day, that's also fine. The tradingcosts are extremely low, because it is for an institutional party.

The reason that I want the system to trade on a regular basis, is that it makes real-time testing more represntative within a shorter timeframe. If a system has a long track record then it might even trade once every two days, but in general I prefer system that trade often, because it's statistical more reliable.

Cheers,
Tom
Austrian wrote:Again what is frequent. 1 trade per day or 1000 trades per day?
Rdgs, Helmut

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Post by sluggo » Mon Dec 12, 2005 9:00 am

This might be a misunderstanding that began with terminology. The expression
  • "High Frequency Trading"
means, to many people, fully automated "black box" algorithmic trading (usually in Forex and/or equities). A high bandwidth live datafeed, tick by tick, goes into a fast server computer running trading software. The software makes fully automated, no-humans-involved, trading decisions. Often the goal is to capture mispricings within ten milliseconds -- before they disappear.

http://www.aima.org/uploads/Omega64.pdf
http://www.benchmarksimulation.com/
http://www.prnewswire.co.uk/cgi/news/release?id=137252
link to Google search for High Frequency Trading

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Take a look at www.pmkingtrading.com

Post by Paul King » Mon Dec 12, 2005 9:36 am

Tom,

Please take a look at www.pmkingtrading.com. I have a intra-day futures trading system called ModeX in the Strategies section.

This system is a TradeStation system (but could be adapted to other platforms) and can be applied to any futures contract that has 1 minute bars, so you can tailor which contracts it is applied to in order to achieve the desired trade frequency.

There is a test ELD which takes historical trades, a user guide, and an Excel performance report for the ES contract.

I'm not sure if this is exactly what you are looking for, but I can also help you develop a trading system that specifically meets you objectives if you like.

Let me know if you have any further questions.

Paul King

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Re: Take a look at www.pmkingtrading.com

Post by therainmaker » Mon Dec 12, 2005 11:13 am

Thanks Paul,

Do your systems have a trackrcord?

Cheers,
Tom
Paul King wrote:Tom,

Please take a look at www.pmkingtrading.com. I have a intra-day futures trading system called ModeX in the Strategies section.

This system is a TradeStation system (but could be adapted to other platforms) and can be applied to any futures contract that has 1 minute bars, so you can tailor which contracts it is applied to in order to achieve the desired trade frequency.

There is a test ELD which takes historical trades, a user guide, and an Excel performance report for the ES contract.

I'm not sure if this is exactly what you are looking for, but I can also help you develop a trading system that specifically meets you objectives if you like.

Let me know if you have any further questions.

Paul King

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Track record

Post by Paul King » Mon Dec 12, 2005 11:23 am

I will email to discuss.

Paul

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Re: Take a look at www.pmkingtrading.com

Post by edward kim » Mon Dec 12, 2005 11:24 am

therainmaker wrote:Thanks Paul,

Do your systems have a trackrcord?

Cheers,
Tom
Paul King wrote:Tom,

Please take a look at www.pmkingtrading.com. I have a intra-day futures trading system called ModeX in the Strategies section.

This system is a TradeStation system (but could be adapted to other platforms) and can be applied to any futures contract that has 1 minute bars, so you can tailor which contracts it is applied to in order to achieve the desired trade frequency.

There is a test ELD which takes historical trades, a user guide, and an Excel performance report for the ES contract.

I'm not sure if this is exactly what you are looking for, but I can also help you develop a trading system that specifically meets you objectives if you like.

Let me know if you have any further questions.

Paul King
Hi Paul,

Your system results in the ModeX Excel sheet do not include slippage and commissions. Do you have one that does include both?

Thanks,

Edward

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Commission and slippage

Post by Paul King » Mon Dec 12, 2005 11:34 am

Edward,

Because ModeX can be applied to any liquid futures contract (that has 1 minute bars) has user-defined account size and percentage risks per trade it is difficult for me to estimate the commission and slippage for the contracts and size you would want to trade.

I suggest you download and install the historical test version of ModeX, apply it to TradeStation 8.1 and your chosen contracts, and set commission and slippage to whatever you like to see how it would have performed (you can also set account size and percent risk per position).

If you have a specific contract and settings you would like me to test, let me know and I can do a historical simulation for you and email the results.

We can discuss this further if you email me public@pmkingtrading.com or use the 'Contact' section of my web site.

Paul

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