Algorithmic Trading Software

289 Pages·2017·4.32 MB·English

Reference Guide
AlgoTrader
Version 4.5
by Andy Flury, Oleg Kalnichevski, Ricardo Ribeiro, Robert Kolar, Marek
Zganiacz, Jakub Chodorowicz, Rubén Fanjul, and Roger Langen
CONFIDENTIAL
Table of Contents
Preface ............................................................................................................................................... xii
1. Document Conventions ........................................................................................................... xii
1.1. Typographic Conventions .............................................................................................. xii
1.2. Pull-quote Conventions ................................................................................................ xiii
1.3. Notes and Warnings .................................................................................................... xiv
1. Introduction .................................................................................................................................... 1
2. Installation and Deployment ........................................................................................................... 2
2.1. Development Environment Installation .................................................................................... 2
2.1.1. Prerequisites ............................................................................................................... 2
2.1.2. AlgoTrader Eclipse IDE Installation .............................................................................. 8
2.1.3. AlgoTrader Server Code Installation ............................................................................. 9
2.1.4. Next Steps ............................................................................................................... 12
2.2. Server Environment Installation ............................................................................................ 12
2.2.1. Docker based Installation .......................................................................................... 12
2.2.2. Docker Containers .................................................................................................... 13
2.2.3. Docker Compose ...................................................................................................... 19
2.2.4. Docker Management ................................................................................................. 22
2.3. VM Arguments ..................................................................................................................... 23
3. Starting AlgoTrader ...................................................................................................................... 24
3.1. Simulation Mode .................................................................................................................. 26
3.2. Live Trading Mode ............................................................................................................... 27
3.2.1. Embedded Mode ....................................................................................................... 27
3.2.2. Distributed Mode ....................................................................................................... 28
3.3. Server Environment ............................................................................................................. 29
3.3.1. Embedded Mode ....................................................................................................... 29
3.3.2. Distributed Mode ....................................................................................................... 31
4. Strategy Development .................................................................................................................. 33
4.1. Creating a Trading Strategy ................................................................................................. 33
4.1.1. AlgoTrader Strategy Wizard ....................................................................................... 33
4.1.2. AlgoTrader Maven Archetype ..................................................................................... 35
4.1.3. Generated Artifacts Java Archetype ........................................................................... 36
4.1.4. Generated Artifacts Esper Archetype .......................................................................... 38
4.2. Building a Trading Strategy .................................................................................................. 44
4.3. Hints for Strategy Development ............................................................................................ 44
4.3.1. Java based Strategies ............................................................................................... 45
4.3.2. Esper based Strategies ............................................................................................. 53
4.4. Strategy life-cycle events ..................................................................................................... 61
4.5. Strategy Groups .................................................................................................................. 62
5. Strategy Backtesting .................................................................................................................... 65
5.1. Exchange Simulator ............................................................................................................. 65
5.2. Simulation Process .............................................................................................................. 67
5.3. Single Run Simulation .......................................................................................................... 68
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5.4. Automated Parameter Optimization ....................................................................................... 68
5.5. Performance Statistics ......................................................................................................... 70
5.6. In-Process Exchange Simulator ............................................................................................ 73
5.7. Multi Security Simulations .................................................................................................... 73
6. Architecture .................................................................................................................................. 75
7. Domain Model ............................................................................................................................... 77
7.1. Entities ................................................................................................................................ 77
7.1.1. Strategy .................................................................................................................... 79
7.1.2. Security .................................................................................................................... 81
7.1.3. Market Data Events .................................................................................................. 84
7.1.4. Order ........................................................................................................................ 85
7.1.5. Account .................................................................................................................... 87
7.1.6. Transaction ............................................................................................................... 88
7.1.7. Position .................................................................................................................... 89
7.1.8. Cash Balance ........................................................................................................... 89
7.1.9. Subscription .............................................................................................................. 90
7.1.10. Exchange ............................................................................................................... 90
7.1.11. Property .................................................................................................................. 91
7.1.12. Order Preference .................................................................................................... 92
7.2. Services .............................................................................................................................. 92
7.2.1. Main Services ........................................................................................................... 93
7.2.2. Client Services .......................................................................................................... 94
7.2.3. Account Service ........................................................................................................ 94
7.2.4. Calendar Service ...................................................................................................... 94
7.2.5. Combination Service ................................................................................................. 95
7.2.6. Future Service .......................................................................................................... 95
7.2.7. Historical Data Service .............................................................................................. 95
7.2.8. Market Data Service ................................................................................................. 95
7.2.9. Measurement Service ................................................................................................ 95
7.2.10. Option Service ........................................................................................................ 96
7.2.11. Order Service ......................................................................................................... 96
7.2.12. Portfolio Service ...................................................................................................... 96
7.2.13. Position Service ...................................................................................................... 97
7.2.14. Property Service ..................................................................................................... 97
7.2.15. Reference Data Service ........................................................................................... 98
7.2.16. Market Data Cache Service ..................................................................................... 98
7.2.17. Lookup Service ....................................................................................................... 98
7.2.18. Strategy Service & Config Aware Strategy Service .................................................... 99
7.2.19. Subscription Service ................................................................................................ 99
7.2.20. Reconciliation Services .......................................................................................... 100
7.2.21. Reset Service ....................................................................................................... 100
7.3. Value Object ...................................................................................................................... 101
7.4. Enumerations ..................................................................................................................... 101
8. Esper Engine .............................................................................................................................. 102
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8.1. Esper Introduction .............................................................................................................. 102
8.1.1. Introduction to event streams and complex events using Esper .................................. 102
8.1.2. Event representations .............................................................................................. 103
8.1.3. Event Stream Analysis ............................................................................................ 103
8.1.4. Combining Pattern Matching with Event Stream Analysis ........................................... 104
8.1.5. Named windows ...................................................................................................... 105
8.1.6. Variables ................................................................................................................ 105
8.2. Esper Quick Start Guide .................................................................................................... 105
8.2.1. Event Types ........................................................................................................... 105
8.2.2. Creating a Statement .............................................................................................. 106
8.2.3. Adding a Subscriber ................................................................................................ 106
8.2.4. Adding a Listener .................................................................................................... 107
8.2.5. Sending events ....................................................................................................... 108
8.2.6. Configuration ........................................................................................................... 108
8.3. Esper Documentation ......................................................................................................... 108
8.4. AlgoTrader specific Esper Artifacts ..................................................................................... 109
8.4.1. Engine & EngineManager ........................................................................................ 109
8.4.2. Modules .................................................................................................................. 110
8.4.3. Tags ....................................................................................................................... 111
8.4.4. Subscribers ............................................................................................................. 111
8.4.5. Listeners ................................................................................................................. 112
8.4.6. Service method invocation in Esper scripts ............................................................... 112
8.4.7. Aggregation Functions ............................................................................................. 113
8.4.8. Callbacks ................................................................................................................ 115
8.5. Esper Threading ................................................................................................................ 118
9. Database ..................................................................................................................................... 119
9.1. Data Source ...................................................................................................................... 119
10. Client ......................................................................................................................................... 120
10.1. HTML5 ............................................................................................................................ 120
10.1.1. Header .................................................................................................................. 120
10.1.2. Order Table .......................................................................................................... 123
10.1.3. Transaction Table .................................................................................................. 124
10.1.4. Positions Table ..................................................................................................... 125
10.1.5. Market Data Table ................................................................................................. 126
10.1.6. Column Selection and Grouping ............................................................................. 127
10.1.7. CSV Export ........................................................................................................... 129
10.1.8. Chart Widget ......................................................................................................... 129
10.1.9. Technologies ......................................................................................................... 131
10.1.10. HTML5 Custom Widgets ...................................................................................... 132
10.2. AlgoTrader Eclipse IDE .................................................................................................... 135
10.2.1. AlgoTrader Perspective .......................................................................................... 135
10.2.2. Strategy Wizard ..................................................................................................... 136
10.2.3. AlgoTrader Configuration Editor ............................................................................. 137
10.2.4. Esper Colorer ........................................................................................................ 144
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11. Performance Measurement ....................................................................................................... 145
11.1. Portfolio Value Logging .................................................................................................... 145
11.2. Portfolio Value Restoration Feature ................................................................................... 145
12. Risk Management ..................................................................................................................... 147
13. Forex Handling ......................................................................................................................... 148
13.1. Currency Handling ........................................................................................................... 148
13.1.1. Futures ................................................................................................................. 149
13.1.2. Forex .................................................................................................................... 149
13.1.3. Currency Attribution ............................................................................................... 149
13.2. Forex-Hedging ................................................................................................................. 150
13.2.1. Virtual FX Positions (IB only) ................................................................................. 150
13.2.2. FX Future ............................................................................................................. 150
14. Options & Futures .................................................................................................................... 151
14.1. Expiration ........................................................................................................................ 151
14.2. Leverage & Exposure ....................................................................................................... 151
14.3. Symbol, ISIN & RIC ......................................................................................................... 152
14.4. Delta Hedging .................................................................................................................. 152
14.5. Option & Future Chain Download ...................................................................................... 153
14.6. Option Greeks ................................................................................................................. 153
14.7. Option Pricing Engine ....................................................................................................... 153
14.7.1. SABR Calibration .................................................................................................. 153
14.7.2. Option Pricing ....................................................................................................... 154
14.7.3. References ........................................................................................................... 154
14.8. OTC Options ................................................................................................................... 154
15. Reconciliation ........................................................................................................................... 155
15.1. Partner Systems .............................................................................................................. 155
15.2. Email Handling ................................................................................................................. 155
15.3. FTP Handling ................................................................................................................... 156
16. Broker/Exchange Interfaces ...................................................................................................... 157
17. Order Management ................................................................................................................... 159
17.1. Place Order ..................................................................................................................... 159
17.1.1. Order Preferences ................................................................................................. 160
17.1.2. Trade Suggestions ................................................................................................ 161
17.1.3. Order Properties .................................................................................................... 161
17.2. Receive Fills .................................................................................................................... 162
17.3. Handling of Fees and Commissions .................................................................................. 163
17.4. Internal Order Id Format ................................................................................................... 163
17.5. Symbology ....................................................................................................................... 164
18. Market Data ............................................................................................................................... 165
18.1. Creation of Bars based on Ticks ....................................................................................... 166
18.2. Numeric Precision ............................................................................................................ 167
18.3. Price normalization ........................................................................................................... 168
18.4. Market Data Gap Checking .............................................................................................. 168
18.5. Generic Events ................................................................................................................ 168
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18.6. Generic Tick Events ......................................................................................................... 169
19. Historical Data .......................................................................................................................... 171
19.1. InfluxDB ........................................................................................................................... 172
19.2. Live Data Recording ......................................................................................................... 176
19.3. Historical Data Download ................................................................................................. 176
19.4. Interactive Brokers Historical Data Download ..................................................................... 177
19.5. Quandl Historical Data Download ...................................................................................... 178
19.6. Google Finance Historical Data Download ......................................................................... 178
19.7. Market Data File Format ................................................................................................... 178
19.7.1. Tick Data Files ...................................................................................................... 179
19.7.2. Bar Data Files ....................................................................................................... 180
20. Reference Data ......................................................................................................................... 181
21. Account Data ............................................................................................................................ 183
22. Adapters .................................................................................................................................... 185
22.1. Fix Interface ..................................................................................................................... 185
22.1.1. FIX configuration ................................................................................................... 187
22.1.2. FIX logging ........................................................................................................... 188
22.1.3. FIX message persistence ....................................................................................... 188
22.1.4. FIX Drop-copy support ........................................................................................... 188
22.2. Session life-cycle events .................................................................................................. 189
22.3. Crypto Exchange interfaces .............................................................................................. 189
22.3.1. Crypto Exchange vs. Margin Trading ...................................................................... 189
22.3.2. Custom currency mapping ..................................................................................... 190
22.4. Bloomberg ....................................................................................................................... 190
22.5. Currenex .......................................................................................................................... 190
22.6. DukasCopy ...................................................................................................................... 191
22.7. EzeSoft / Real Tick .......................................................................................................... 191
22.8. Fortex .............................................................................................................................. 192
22.9. FXCM .............................................................................................................................. 192
22.10. IB Native Interface ......................................................................................................... 192
22.10.1. IB Market Data Subscriptions ............................................................................... 195
22.11. IB Fix Interface .............................................................................................................. 199
22.12. JP Morgan ..................................................................................................................... 200
22.13. LMAX ............................................................................................................................ 200
22.14. Nexus Prime .................................................................................................................. 200
22.15. PrimeXM ........................................................................................................................ 201
22.16. Quandl ........................................................................................................................... 201
22.17. QuantHouse ................................................................................................................... 202
22.18. SocGen ......................................................................................................................... 203
22.19. Trading Technologies (TT) .............................................................................................. 203
22.20. UBS .............................................................................................................................. 203
22.21. Crypto-Adapter Order Constraints ................................................................................... 203
22.21.1. Order Type Validation .......................................................................................... 207
22.22. Binance ......................................................................................................................... 208
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22.23. Bitfinex .......................................................................................................................... 209
22.24. Bitflyer ........................................................................................................................... 209
22.25. BitMEX .......................................................................................................................... 211
22.26. Bitstamp ........................................................................................................................ 212
22.27. CoinAPI ......................................................................................................................... 213
22.28. Coinigy .......................................................................................................................... 214
22.28.1. Setup Instructions ................................................................................................ 214
22.29. CoinMarketCap .............................................................................................................. 215
23. Execution Algos ........................................................................................................................ 216
23.1. Existing Execution Algos .................................................................................................. 216
24. Synthetic Securities and Derivative Spreads ............................................................................ 224
24.1. Combination Example ...................................................................................................... 225
24.2. Combination Service ........................................................................................................ 225
24.2.1. Create Combination ............................................................................................... 225
24.2.2. Update Component Quantity .................................................................................. 225
24.2.3. Remove a Component ........................................................................................... 226
25. Spring Services ......................................................................................................................... 227
25.1. Starter Classes ................................................................................................................ 227
25.2. Spring Profiles ................................................................................................................. 228
26. Configuration and Preferences API .......................................................................................... 231
26.1. Configuration Files ........................................................................................................... 231
26.2. Esper Variables ............................................................................................................... 232
27. Processes and Networking ....................................................................................................... 233
27.1. SSL security .................................................................................................................... 233
27.1.1. Importing Certificate into Chrome Browser .............................................................. 234
28. Metrics ...................................................................................................................................... 235
28.1. Configuration ................................................................................................................... 235
28.2. Metrics Reporting ............................................................................................................. 235
29. Logging ..................................................................................................................................... 236
29.1. log4j2.xml ........................................................................................................................ 236
29.2. Production log4j2.xml ....................................................................................................... 236
30. Reporting .................................................................................................................................. 238
A. Example Strategy "BreakOut" ....................................................................................................... 239
A.1. Trading Idea ...................................................................................................................... 239
A.2. Example ............................................................................................................................ 239
A.3. Implementation .................................................................................................................. 240
A.4. Installation & Startup ......................................................................................................... 241
B. Example Strategy "Box" ................................................................................................................ 243
B.1. Trading Idea ...................................................................................................................... 243
B.2. Implementation .................................................................................................................. 246
B.3. Strategy Monitoring ............................................................................................................ 247
B.4. Installation & Startup ......................................................................................................... 247
C. Example Strategy "Pairs Trading" ................................................................................................. 250
C.1. Trading Idea ..................................................................................................................... 250
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C.1.1. What Is Pairs Trading? ........................................................................................... 250
C.1.2. Pair Trading Lab ..................................................................................................... 250
C.1.3. AlgoTrader - Pair Trading Lab Integration ................................................................ 250
C.2. Implementation .................................................................................................................. 251
C.3. Installation & Startup ......................................................................................................... 252
C.4. Strategy Monitoring ........................................................................................................... 254
D. Example Strategy "IPO" ............................................................................................................... 257
D.1. Trading Idea ..................................................................................................................... 257
D.2. Strategy Monitoring ........................................................................................................... 257
D.3. Implementation .................................................................................................................. 259
D.4. Installation & Startup ......................................................................................................... 260
E. Example Strategy "EMA" .............................................................................................................. 262
E.1. Trading Idea ...................................................................................................................... 262
E.2. Implementation .................................................................................................................. 262
E.3. Installation & Startup ......................................................................................................... 263
F. Example Strategy "Random" ......................................................................................................... 265
F.1. Trading Idea ...................................................................................................................... 265
F.2. Implementation .................................................................................................................. 265
F.3. Installation & Startup .......................................................................................................... 266
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List of Figures
2.1. Eclipse default JRE ..................................................................................................................... 11
3.1. Eclipse Run Configurations .......................................................................................................... 24
3.2. Eclipse Run Configurations .......................................................................................................... 25
3.3. Eclipse Run Configurations .......................................................................................................... 26
4.1. Strategy Development Process ..................................................................................................... 33
4.2. Wizard Selection .......................................................................................................................... 34
4.3. Wizard Location and Working Set ................................................................................................. 34
4.4. Wizard Maven Properties ............................................................................................................. 34
4.5. Wizard Maven Properties ............................................................................................................. 35
5.1. Back Test Report ......................................................................................................................... 71
6.1. Architecture ................................................................................................................................. 75
7.1. Entities Overview ......................................................................................................................... 77
7.2. Strategy ...................................................................................................................................... 79
7.3. Securities .................................................................................................................................... 81
7.4. Securities .................................................................................................................................... 83
7.5. Market Data Event ....................................................................................................................... 84
7.6. Orders ......................................................................................................................................... 85
7.7. Account ....................................................................................................................................... 87
7.8. Transaction ................................................................................................................................. 88
7.9. Position ....................................................................................................................................... 89
7.10. Subscription ............................................................................................................................... 90
7.11. Exchange .................................................................................................................................. 90
7.12. Properties and PropertyHolders .................................................................................................. 91
7.13. Order Preference ....................................................................................................................... 92
10.1. AlgoTrader HTML5 Client Header ............................................................................................. 120
10.2. AlgoTrader HTML5 Client Header Settings ................................................................................ 121
10.3. AlgoTrader HTML5 Client Management ..................................................................................... 122
10.4. AlgoTrader HTML5 Client Management Form ............................................................................ 122
10.5. AlgoTrader HTML5 Client Notification ........................................................................................ 122
10.6. AlgoTrader HTML5 Client Alert ................................................................................................. 123
10.7. AlgoTrader HTML5 Client Alert List ........................................................................................... 123
10.8. AlgoTrader HTML5 Client Order Table ...................................................................................... 123
10.9. AlgoTrader HTML5 Client Manual Order Entry ........................................................................... 123
10.10. AlgoTrader HTML5 Client Manual Order Detail ........................................................................ 124
10.11. AlgoTrader HTML5 Client Manual Order Modification ............................................................... 124
10.12. AlgoTrader HTML5 Client Transaction Table ............................................................................ 125
10.13. AlgoTrader HTML5 Client Transaction Entry ............................................................................ 125
10.14. AlgoTrader HTML5 Client Position Table ................................................................................. 126
10.15. AlgoTrader HTML5 Client Market Data Table ........................................................................... 126
10.16. AlgoTrader HTML5 Client Market Data Subscribe .................................................................... 127
10.17. AlgoTrader HTML5 Client Market Data Unsubscribe ................................................................. 127
10.18. AlgoTrader HTML5 Client Transaction Column Selection .......................................................... 128
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10.19. AlgoTrader HTML5 Client Column Filter .................................................................................. 128
10.20. AlgoTrader HTML5 Client Chart Widget ................................................................................... 129
10.21. AlgoTrader HTML5 Client Chart Widget settings ...................................................................... 130
10.22. AlgoTrader HTML5 Client Chart Widget - selecting security ...................................................... 131
10.23. HTML5 Custom Widget Example ............................................................................................ 132
10.24. AlgoTrader Configuration Editor .............................................................................................. 137
10.25. Strategy Data ......................................................................................................................... 138
10.26. Configuration file without strategy groups ................................................................................ 139
10.27. Titles and Separators in a property file .................................................................................... 141
10.28. Syntax Highlighter .................................................................................................................. 144
14.1. Leverage & Exposure ............................................................................................................... 152
18.1. Market Data Event Types ......................................................................................................... 166
22.1. Market Data Subscriptions 1 ..................................................................................................... 196
22.2. Market Data Subscriptions 2 ..................................................................................................... 196
22.3. Market Data Subscriptions 3 ..................................................................................................... 197
22.4. Market Data Subscriptions 4 ..................................................................................................... 198
22.5. Paper Trading Account 1 .......................................................................................................... 199
22.6. Paper Trading Account 2 .......................................................................................................... 199
24.1. Combinations and Components ................................................................................................ 224
24.2. Combination Example .............................................................................................................. 225
A.1. BreakOut Strategy Example ....................................................................................................... 240
B.1. Box Trading Ranges .................................................................................................................. 243
B.2. Box Strategy ............................................................................................................................. 244
B.3. Box States ................................................................................................................................ 245
B.4. Box Strategy Performance ......................................................................................................... 245
B.5. Box HTML5 Custom Widget Example ......................................................................................... 247
C.1. Pair Trading Portfolio ID ............................................................................................................ 253
C.2. Pairs Trading HTML5 Custom Widget Example ........................................................................... 255
D.1. IPO HTML5 Custom Widget Example ......................................................................................... 258
E.1. EMA Strategy Example .............................................................................................................. 262
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