S***t
发帖数: 42 | 1 哪个API比较好？如果用C++的话？
实时data feed从哪里来？ |
r*m
发帖数: 16380 | |
S*****y
发帖数: 567 | 3 why huokeng?
【在 r*m 的大作中提到】
: 别往火坑里跳
|
g********5
发帖数: 10335 | 4 表扬一下
你上周贴的那个short list 堪称经典！
你一战成名了
【在 r*m 的大作中提到】
: 别往火坑里跳
|
s**********l
发帖数: 8966 | 5 yahoo
【在 S***t 的大作中提到】
: 哪个API比较好？如果用C++的话？
: 实时data feed从哪里来？
|
S***t
发帖数: 42 | 6
好像google有个：
http://code.google.com/apis/finance/
但是那上面说：
The Google Finance API has been officially deprecated as of May 26, 2011 to
reflect that it's no longer undergoing active development and
experimentation, which is the hallmark of APIs in the Code Labs program.
【在 s**********l 的大作中提到】
: yahoo
|
S***t
发帖数: 42 | 7
这怎么成火坑了？这不是高盛核心竞争力之一来着？
【在 r*m 的大作中提到】
: 别往火坑里跳
|
c**t
发帖数: 9197 | 8 This is the key.
You are competing with GS who has 1B times more resource invested than you
do.
Although I believe in system, I do not see auto trading can be done easily.
【在 S***t 的大作中提到】
:
: 这怎么成火坑了？这不是高盛核心竞争力之一来着？
|
|
B********n
发帖数: 384 | 9 如果你有1B的资金再谈和高盛竞争吧,小资金的话我看机会还是很多的.
【在 c**t 的大作中提到】
: This is the key.
: You are competing with GS who has 1B times more resource invested than you
: do.
: Although I believe in system, I do not see auto trading can be done easily.
|
c**t
发帖数: 9197 | 10 I thought they still require TOFEL these days. |
|
|
B********n
发帖数: 384 | 11 IB API可以试一下,C++/Java都可以. 只要有IB帐号就可以了.
Google数据经常出错,用多了还会让你输验证码.
【在 S***t 的大作中提到】
: 哪个API比较好？如果用C++的话？
: 实时data feed从哪里来？
|
S***t
发帖数: 42 | 12
谢谢回复！goole了 IB API,貌似可以一试啊！这个要额外交费吗？
【在 B********n 的大作中提到】
: IB API可以试一下,C++/Java都可以. 只要有IB帐号就可以了.
: Google数据经常出错,用多了还会让你输验证码.
|
s*****e
发帖数: 353 | 13 牛人啊，前排占坐
【在 S***t 的大作中提到】
: 哪个API比较好？如果用C++的话？
: 实时data feed从哪里来？
|
B********n
发帖数: 384 | 14 你有IB帐号和实时数据的话数据要$10 per month,好像每个月交易费达到$30可以免掉.
用API不用额外交费.
【在 S***t 的大作中提到】
:
: 谢谢回复！goole了 IB API,貌似可以一试啊！这个要额外交费吗？
|
S***t
发帖数: 42 | 15 多谢，还没有IB账号，看来值得开个啊。
掉.
【在 B********n 的大作中提到】
: 你有IB帐号和实时数据的话数据要$10 per month,好像每个月交易费达到$30可以免掉.
: 用API不用额外交费.
|
S***t
发帖数: 42 | 16
别，这个领域俺是幼儿园水平...
【在 s*****e 的大作中提到】
: 牛人啊，前排占坐
|
c****t
发帖数: 5452 | 17 auto trading和 hft 两回事啊
【在 S***t 的大作中提到】
:
: 别，这个领域俺是幼儿园水平...
|
S***t
发帖数: 42 | 18
好像说 algorithm trading 更合适？
【在 c****t 的大作中提到】
: auto trading和 hft 两回事啊
|
m********0
发帖数: 2717 | 19 C++ api of IB is not that easy.
Jave API is much easy to begin.
Nevertheless, I am using it's POSIX C++ API now.
http://www.maxdama.com/?p=347
Based on IB, the test program is sync.
if( m_pClient->fd() >= 0 ) {
FD_ZERO( &readSet);
errorSet = writeSet = readSet;
FD_SET( m_pClient->fd(), &readSet);
if( !m_pClient->isOutBufferEmpty())
FD_SET( m_pClient->fd(), &writeSet);
FD_CLR( m_pClient->fd(), &errorSet);
int ret = select( m_pClient->fd() + 1, &readSet, &writeSet, &
errorSet, &tval);
if( ret == 0) { // timeout
return;
}
if( ret < 0) { // error
disconnect();
return;
}
if( m_pClient->fd() < 0)
return;
if( FD_ISSET( m_pClient->fd(), &errorSet)) {
// error on socket
m_pClient->onError();
}
if( m_pClient->fd() < 0)
return;
if( FD_ISSET( m_pClient->fd(), &writeSet)) {
// socket is ready for writing
m_pClient->onSend();
}
if( m_pClient->fd() < 0)
return;
if( FD_ISSET( m_pClient->fd(), &readSet)) {
// socket is ready for reading
m_pClient->onReceive();
}
}
I use ibpy too, takes 1/5 time to develop an automatic system for me.
But multithreading is pain for Python.
I might post a scalping system on github when I think it's proper.
【在 S***t 的大作中提到】
: 哪个API比较好？如果用C++的话？
: 实时data feed从哪里来？
|
m********0
发帖数: 2717 | 20 auto != systematic != algorithmic
algorithmic ~= execution optimization, quite a lot of fun stuff.
systematic ~= non-discretionary, strategies based
auto ~= just no human interference, of course tuning all the time
until deplete it and move to another one.
【在 S***t 的大作中提到】
:
: 好像说 algorithm trading 更合适？
|
|
|
S***t
发帖数: 42 | 21
WOW, this seems to be some real stuff!
【在 m********0 的大作中提到】
: C++ api of IB is not that easy.
: Jave API is much easy to begin.
: Nevertheless, I am using it's POSIX C++ API now.
: http://www.maxdama.com/?p=347
: Based on IB, the test program is sync.
: if( m_pClient->fd() >= 0 ) {
: FD_ZERO( &readSet);
: errorSet = writeSet = readSet;
: FD_SET( m_pClient->fd(), &readSet);
: if( !m_pClient->isOutBufferEmpty())
|
S***t
发帖数: 42 | 22
多谢回复，赞专业！！！
【在 m********0 的大作中提到】
: auto != systematic != algorithmic
: algorithmic ~= execution optimization, quite a lot of fun stuff.
: systematic ~= non-discretionary, strategies based
: auto ~= just no human interference, of course tuning all the time
: until deplete it and move to another one.
|
S***t
发帖数: 42 | 23 POSIX C++ API 好像是在 Linux 系统上的？
这方面用Linux有啥特别的好处吗?
【在 m********0 的大作中提到】
: C++ api of IB is not that easy.
: Jave API is much easy to begin.
: Nevertheless, I am using it's POSIX C++ API now.
: http://www.maxdama.com/?p=347
: Based on IB, the test program is sync.
: if( m_pClient->fd() >= 0 ) {
: FD_ZERO( &readSet);
: errorSet = writeSet = readSet;
: FD_SET( m_pClient->fd(), &readSet);
: if( !m_pClient->isOutBufferEmpty())
|
m********0
发帖数: 2717 | 24 Most top funds hires real tech geeks to implement ATS.
and these guys are mostly using Linux,
besides, you are able to tune Linux kernel to boost your performance.
Windows does not have such flexibility.
Especially for ppl doing HFEMM, their algorithms are built in
programmable circuit
【在 S***t 的大作中提到】
: POSIX C++ API 好像是在 Linux 系统上的？
: 这方面用Linux有啥特别的好处吗?
|
V********n
发帖数: 3061 | 25 很多broker有API：
IB, Ninja, Genesis Laser,Lime,Speedlight....
入门用IB的API比较好，不过他们的C++ API是基于MFC的，如果你用微软的managed C++
，会碰到很多麻烦，如果你用C++编程，建议用他们的C版的API。
股票的实时数据，那些API都可以获取到，你也可以用YAHOO的数据，一般是delay 15分钟的，如果你
每个月付10$，就是实时的。
【在 S***t 的大作中提到】
: 哪个API比较好？如果用C++的话？
: 实时data feed从哪里来？
|
c****i
发帖数: 399 | 26 anyone start to use asic to do the algorithms?
【在 m********0 的大作中提到】
: Most top funds hires real tech geeks to implement ATS.
: and these guys are mostly using Linux,
: besides, you are able to tune Linux kernel to boost your performance.
: Windows does not have such flexibility.
: Especially for ppl doing HFEMM, their algorithms are built in
: programmable circuit
|
S***t
发帖数: 42 | 27
赞专业级答复！
IB API sample code seems to be for windows platform. I'm ok with Linux but
using Linux would cost me much more time to get started... After all HFEMM
might be too big a task for an individual developer. Currently I'm thinking
to focus on the strategy part and only go toward high frequency if there's a
big team or institution...
【在 m********0 的大作中提到】
: Most top funds hires real tech geeks to implement ATS.
: and these guys are mostly using Linux,
: besides, you are able to tune Linux kernel to boost your performance.
: Windows does not have such flexibility.
: Especially for ppl doing HFEMM, their algorithms are built in
: programmable circuit
|
m********0
发帖数: 2717 | 28 SOME GIANTS ON electronic market making side.
It used to be very very very profitable.
Heard story from recruiters like small group made 500M a year
doing market making.
【在 c****i 的大作中提到】
: anyone start to use asic to do the algorithms?
|
S*****y
发帖数: 567 | 29 ppl are using fpga
【在 c****i 的大作中提到】
: anyone start to use asic to do the algorithms?
|
S*****y
发帖数: 567 | 30 what is HFEMM?
【在 m********0 的大作中提到】
: Most top funds hires real tech geeks to implement ATS.
: and these guys are mostly using Linux,
: besides, you are able to tune Linux kernel to boost your performance.
: Windows does not have such flexibility.
: Especially for ppl doing HFEMM, their algorithms are built in
: programmable circuit
|
|
|
S***t
发帖数: 42 | 31
asic = Application-specific integrated circuit?
That's sounds too pro...
【在 c****i 的大作中提到】
: anyone start to use asic to do the algorithms?
|
m********0
发帖数: 2717 | 32 I am not suggesting anything high frequency.
with all these brokers, you don't have any chance to do high frequency.
You will need co-location to these servers, most of them in NJ.
at least direct connection to the exchange.
For me windows platform has longer learning curves.
I think linux POSIX is clearer, much more room to go.
As stated above, many brokers has C++ API, and IB is far from the
best of them in terms of API. But it's improving.
My primary reason for an ATS is: I am not as self-disciplined as I
thought. I have risk control problems mentally.
And discretionary trading distracts me from daily work. I knew a
guy indirectly wrote an ATS, made 3M out of 200K in a year individually.
I was told by my manager, this is not typical "top four bbs famous ppl".
but
HFEMM
thinking
there's
a
【在 S***t 的大作中提到】
:
: asic = Application-specific integrated circuit?
: That's sounds too pro...
|
m********0
发帖数: 2717 | 33 hmmm, I forgot the word.
【在 S*****y 的大作中提到】
: ppl are using fpga
|
S***t
发帖数: 42 | 34
++
分钟的，如果你
是说IB API 不是 .net friendly?
【在 V********n 的大作中提到】
: 很多broker有API：
: IB, Ninja, Genesis Laser,Lime,Speedlight....
: 入门用IB的API比较好，不过他们的C++ API是基于MFC的，如果你用微软的managed C++
: ，会碰到很多麻烦，如果你用C++编程，建议用他们的C版的API。
: 股票的实时数据，那些API都可以获取到，你也可以用YAHOO的数据，一般是delay 15分钟的，如果你
: 每个月付10$，就是实时的。
|
c**t
发帖数: 9197 | 35 try to solve the problem, not change it.
【在 m********0 的大作中提到】
: hmmm, I forgot the word.
|
m********0
发帖数: 2717 | 36 I think my alternate is suitable for my situation.
Based on my observation of myself, I think it takes years
or conquer it and life is short.
There are ppl who are able to handle it from
the every beginning, I am not born that way.
Writing automatic trading system is not an obstacle for me.
and I have stated a second reason. And it's fun for me.
【在 c**t 的大作中提到】
: try to solve the problem, not change it.
|
S***t
发帖数: 42 | 37
Thanks for the detailed post!
Linux does have some advantage like open-source, less virus, totally free,
no reboot needs, no blue-screen system lock-down etc. ...
Emotion detached is one of ATS's advantage it seems:p
【在 m********0 的大作中提到】
: I am not suggesting anything high frequency.
: with all these brokers, you don't have any chance to do high frequency.
: You will need co-location to these servers, most of them in NJ.
: at least direct connection to the exchange.
: For me windows platform has longer learning curves.
: I think linux POSIX is clearer, much more room to go.
: As stated above, many brokers has C++ API, and IB is far from the
: best of them in terms of API. But it's improving.
: My primary reason for an ATS is: I am not as self-disciplined as I
: thought. I have risk control problems mentally.
|
c****i
发帖数: 399 | 38 could imagine fpga
hehe. if someone doing asic, it will be too fast
【在 S*****y 的大作中提到】
: ppl are using fpga
|
c**t
发帖数: 9197 | 39 OK, maybe you are a better programmer.
but I found a lot of market conditions are too hard to code.
and it keep changing as well.
The setup is simple, but using the same setup and consistently making money
is a different story.
【在 m********0 的大作中提到】
: I think my alternate is suitable for my situation.
: Based on my observation of myself, I think it takes years
: or conquer it and life is short.
: There are ppl who are able to handle it from
: the every beginning, I am not born that way.
: Writing automatic trading system is not an obstacle for me.
: and I have stated a second reason. And it's fun for me.
|
V********n
发帖数: 3061 | 40 No, not at all! They don't even have a C# API for their customer. You will
have to go for the third-part wrapped API: dinosaur C# API, if you prefer
the .net environment, check the link pls:
http://www.dinosaurtech.com/utilities/
【在 S***t 的大作中提到】
:
: Thanks for the detailed post!
: Linux does have some advantage like open-source, less virus, totally free,
: no reboot needs, no blue-screen system lock-down etc. ...
: Emotion detached is one of ATS's advantage it seems:p
|
|
|
V********n
发帖数: 3061 | 41 This is really COOL!
【在 m********0 的大作中提到】
: I think my alternate is suitable for my situation.
: Based on my observation of myself, I think it takes years
: or conquer it and life is short.
: There are ppl who are able to handle it from
: the every beginning, I am not born that way.
: Writing automatic trading system is not an obstacle for me.
: and I have stated a second reason. And it's fun for me.
|
g********5
发帖数: 10335 | 42 股神mm今天修脚阿？
【在 m********0 的大作中提到】
: C++ api of IB is not that easy.
: Jave API is much easy to begin.
: Nevertheless, I am using it's POSIX C++ API now.
: http://www.maxdama.com/?p=347
: Based on IB, the test program is sync.
: if( m_pClient->fd() >= 0 ) {
: FD_ZERO( &readSet);
: errorSet = writeSet = readSet;
: FD_SET( m_pClient->fd(), &readSet);
: if( !m_pClient->isOutBufferEmpty())
|
c****t
发帖数: 5452 | 43 you can use the activeX control included for VB.net directly in C#, pretty
straightforward
【在 V********n 的大作中提到】
: No, not at all! They don't even have a C# API for their customer. You will
: have to go for the third-part wrapped API: dinosaur C# API, if you prefer
: the .net environment, check the link pls:
: http://www.dinosaurtech.com/utilities/
|
V********n
发帖数: 3061 | 44 Thx, this is really informative, although I don't use C#.
【在 c****t 的大作中提到】
: you can use the activeX control included for VB.net directly in C#, pretty
: straightforward
|
S***t
发帖数: 42 | 45
赞大牛风范！
#1 reason for me to try to build a ATS is to learn sth
If it turns out to be profitable all the better:p
【在 m********0 的大作中提到】
: I think my alternate is suitable for my situation.
: Based on my observation of myself, I think it takes years
: or conquer it and life is short.
: There are ppl who are able to handle it from
: the every beginning, I am not born that way.
: Writing automatic trading system is not an obstacle for me.
: and I have stated a second reason. And it's fun for me.
|
S******t
发帖数: 8388 | 46 要是不用写程序，有类似菜单的ATS就好了。
比如说10ma>20ma时就启动买单什么的。
我想将来会有的吧？
【在 m********0 的大作中提到】
: I am not suggesting anything high frequency.
: with all these brokers, you don't have any chance to do high frequency.
: You will need co-location to these servers, most of them in NJ.
: at least direct connection to the exchange.
: For me windows platform has longer learning curves.
: I think linux POSIX is clearer, much more room to go.
: As stated above, many brokers has C++ API, and IB is far from the
: best of them in terms of API. But it's improving.
: My primary reason for an ATS is: I am not as self-disciplined as I
: thought. I have risk control problems mentally.
|
c****t
发帖数: 5452 | 47 这个从你说的这种超简单的到更复杂的一堆一堆的，ameritrade, tradestation都有，
third party更多了，ameritrade就几个菜单选一选就行了，不过超简单的这些帮你设
设stop还行，真用来trade就找k了
【在 S******t 的大作中提到】
: 要是不用写程序，有类似菜单的ATS就好了。
: 比如说10ma>20ma时就启动买单什么的。
: 我想将来会有的吧？
|
m*******y
发帖数: 904 | 48 trading API不是太难，关键是你有trading的strategy么？strategies是systematic
trading真正值钱的部分.
【在 S***t 的大作中提到】
: 哪个API比较好？如果用C++的话？
: 实时data feed从哪里来？
|
S******t
发帖数: 8388 | 49 为什么呢？
如果用在交易量大的股票上是不是挥毫写？
【在 c****t 的大作中提到】
: 这个从你说的这种超简单的到更复杂的一堆一堆的，ameritrade, tradestation都有，
: third party更多了，ameritrade就几个菜单选一选就行了，不过超简单的这些帮你设
: 设stop还行，真用来trade就找k了
|
c****t
发帖数: 5452 | 50 你可以用你那个ma的例子，找个大股票的图验证一下
【在 S******t 的大作中提到】
: 为什么呢？
: 如果用在交易量大的股票上是不是挥毫写？
|
|
|
S******t
发帖数: 8388 | 51 我的问题是，还没有固定的系统。
：-（
对了，你推荐一个产品我试试。
【在 c****t 的大作中提到】
: 你可以用你那个ma的例子，找个大股票的图验证一下
|
c****t
发帖数: 5452 | 52 broker自己的系统我都是看两眼，没有研究，不知道哪个好，还是自己编顺心一些.不
过tradestation的easy language口碑不错。ameritrade的就是那个strategydesk
【在 S******t 的大作中提到】
: 我的问题是，还没有固定的系统。
: ：-（
: 对了，你推荐一个产品我试试。
|
S******t
发帖数: 8388 | 53 xiexie
【在 c****t 的大作中提到】
: broker自己的系统我都是看两眼，没有研究，不知道哪个好，还是自己编顺心一些.不
: 过tradestation的easy language口碑不错。ameritrade的就是那个strategydesk
|
B********n
发帖数: 384 | 54 系统后面肯定需要offline pipeline作数据分析.rule based系统是比较难,因为市场会
慢慢的改变和自我学习,用众所周知的信号一般不行.也可以试试用机器学习来adapt市
场的变化.
money
【在 c**t 的大作中提到】
: OK, maybe you are a better programmer.
: but I found a lot of market conditions are too hard to code.
: and it keep changing as well.
: The setup is simple, but using the same setup and consistently making money
: is a different story.
|
S***t
发帖数: 42 | 55
机器学习现在有实际应用在stock/option market上的了吗？
【在 B********n 的大作中提到】
: 系统后面肯定需要offline pipeline作数据分析.rule based系统是比较难,因为市场会
: 慢慢的改变和自我学习,用众所周知的信号一般不行.也可以试试用机器学习来adapt市
: 场的变化.
:
: money
|
c****t
发帖数: 5452 | 56 应用了没有几十也有十几年了，呵呵
【在 S***t 的大作中提到】
:
: 机器学习现在有实际应用在stock/option market上的了吗？
|
