Sunday, January 13, 2008

New version of Wealth Lab

Got the new version of Wealth lab through fidelity yesterday. Haven't had much of a chance to play with it yet, but first impressions are very positive. I was able to run 3 years of 1-minute data in a matter of seconds. Looks like it will be my backtesting environment for at least the next few months. Unfortunatly I have read that order execution won't be until later this year.

Saturday, January 05, 2008

Pieces

This a list of several different open source pieces that can be used to create your own homegrown back-testing, analysis or Automated Trading System.

Charting. While not a necessary component, it is a nice to have. I looked at
Swordfish charts which was a nice piece of code to do charting using WPF, however I ran into performance issues trying to put up too many plots with indicators on the screen. I also played with Nplot before deciding to go with Zedgraph. Zedgraph by far was the most complete, easy to use, with a rich set of features of the graphing software I played with.

Indicators: TicTacTec. 150 Technical indicators in code for free! This library is quite well down.
Some might also find Quantlib to be of use.

Feeds: OpenTick

Order Execution. All of the follow could be useful:
Maretcetera Platform
Quick Fix Engine
QuickfixJ Java implementation of Quick Fix.