What trading simulator for C++ Trading Systems

Discussions about custom-built testing platforms written in C, C++, or Java.
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davidgareau
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What trading simulator for C++ Trading Systems

Post by davidgareau » Fri Jul 22, 2005 8:32 am

I have learned enough C++ to make some systems to backtest, but I don't want to wait till I know enough to make a full-fledged backtesting program. I have heard of:

C-traders Toolkit
TradingApp 2.0

1. Are there any other options available?
2. What are your opinions of these two products?
3. What do you use?
4. I have used Tradestation 2000i and 8, I know they offer a C++ DLL extension thing, has anyone used that, is it good for C++ trading systems or only for TS Plugin Development?

thanks!
david

tobbe
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Trading Simulator

Post by tobbe » Fri Jul 22, 2005 4:19 pm

Have a look at the thread C-Traders Toolkit. I would not recommend it as a base for your own simulation platform.

If you are determined to roll your own platform, or build it on an existing toolkit, make sure to check outthis thread, especially the posts by Bernd and Kevin (ksberg), before you begin.

cheers,
tobbe

davidgareau
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Post by davidgareau » Sat Jul 23, 2005 5:31 am

hey thanks for the info, I have read the c-toolkit thread, and I do NOT want to make my own testing software, I just want to make my own systems in C++ because of the increase in speed vs. something like EasyLanguage. What testing software (trade simulator) do you recommend for C++ trading systems?

tobbe
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Post by tobbe » Sat Jul 23, 2005 4:25 pm

I'm sorry that I misunderstood your inital questions.

If what you want to do is express your system(s) in C++ code (for performance reasons) and then have some other platform/toolkit execute this (compiled) code for you, you have to consider the speed of this other software because that's where most processing will be done. It is not the evaluation of system rules that eats most processing time, it's the other stuff behind the scenes (all the logic needed to handle your system(s), collect statistics etc). Unless you do it all yourself, you have little influence on such performance statistics. So a simulator like TBB (which is coded in C/C++) that parse systems written in a proprietary scripting language can still be extremely fast, since very little time is actually spent parsing the scripts (I'm guessing here, I haven't seen any TBB code :) ).

Maybe someone else on this forum can recommend the kind of software you're looking for.

c.f. once wrote that they would have a DLL extension mechanism in VT 2.0 (now TBB), I don't know if that still is so. That would allow you to code in C++ for TBB.

cheers,
tobbe

davidgareau
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thanks for the info, any more would be appreciated.

Post by davidgareau » Sat Jul 23, 2005 10:49 pm

Hey, thanks for the info about Veritrader, after looking at the website, it looks pretty much like Metastock,. I don't think 1.6 offers anything that I could use, maybe later versions.

If anyone knows about a similar system (or how to do it in Tradestation) that could use my C++ coded trading systems I would greatly appreciate it, I'm into coding, but I'm not going to bite off more than I can chew by trying to figure out how to make a whole trading simulator package. Thanks.
david

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