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FIX engine integration
13 messages · Paul Kent, Jeff Ryan, Ulrich Staudinger +5 more
This isn't a a question per se. The simplest fastest way is to hire someone. The next best "question" is to carefully construct a request as to what you have done, what research you've done and what parts you are missing. Best Jeff Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com www.lemnica.com
On Feb 17, 2013, at 11:30 AM, Paul Kent <paulkent7 at aol.com> wrote:
Hi All, We are considering porting some automated trading strategies to R. Please can you advise me on FIX integration for trading: The simplest and quickest way to do this The most common/popular way of during this The best (fastest/most robust) way of doing this. Thanks Paul [[alternative HTML version deleted]]
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But has anybody attempted it already ? also FIX engines have surprisingly not been implemented too much in C. will that be a hindrance ? I can collaborate in this project if somebody wants to make it. I already am making an algo trading platform in C. this would just be an add on to it.
On 2/17/13, Ulrich Staudinger <ustaudinger at activequant.com> wrote:
I agree, you should get some consultant that has R expertise and automated trading expertise. You might even check out the person that wrote this email for this. In any case, you are best advised to get someone with experience and work with them. On Sun, Feb 17, 2013 at 7:01 PM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
This isn't a a question per se. The simplest fastest way is to hire someone. The next best "question" is to carefully construct a request as to what you have done, what research you've done and what parts you are missing. Best Jeff Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com www.lemnica.com On Feb 17, 2013, at 11:30 AM, Paul Kent <paulkent7 at aol.com> wrote:
Hi All, We are considering porting some automated trading strategies to R. Please can you advise me on FIX integration for trading: The simplest and quickest way to do this The most common/popular way of during this The best (fastest/most robust) way of doing this. Thanks Paul [[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions
should go.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Ulrich Staudinger http://www.activequant.com AQ-R user? Join our mailing list: http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user [[alternative HTML version deleted]]
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Well ..... There is AQ-R, which you can use to plug into an ActiveQuant Master Server. AQ-R has real time messaging based on STOMP in it. That means, you can react to messages and send new messages to channels ... I'll leave it to the educated reader how to put these puzzle pieces together.
On 02/17/2013 07:32 PM, sidharth mallik wrote:
But has anybody attempted it already ? also FIX engines have surprisingly not been implemented too much in C. will that be a hindrance ? I can collaborate in this project if somebody wants to make it. I already am making an algo trading platform in C. this would just be an add on to it. On 2/17/13, Ulrich Staudinger <ustaudinger at activequant.com> wrote:
I agree, you should get some consultant that has R expertise and automated trading expertise. You might even check out the person that wrote this email for this. In any case, you are best advised to get someone with experience and work with them. On Sun, Feb 17, 2013 at 7:01 PM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
This isn't a a question per se. The simplest fastest way is to hire someone. The next best "question" is to carefully construct a request as to what you have done, what research you've done and what parts you are missing. Best Jeff Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com www.lemnica.com On Feb 17, 2013, at 11:30 AM, Paul Kent <paulkent7 at aol.com> wrote:
Hi All,
We are considering porting some automated trading strategies to R.
Please can you advise me on FIX integration for trading:
The simplest and quickest way to do this
The most common/popular way of during this
The best (fastest/most robust) way of doing this.
Thanks
Paul
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions
should go.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Ulrich Staudinger http://www.activequant.com AQ-R user? Join our mailing list: http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user [[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Ulrich Staudinger, ActiveQuant GmbH P: +41 79 702 05 95 E: ustaudinger at activequant.com http://www.activequant.com Connect online: https://www.xing.com/profile/Ulrich_Staudinger
In addition to my former mail, you don't need plain C, it is very convenient to use RCPP. Sincerely, Ulrich
On 02/17/2013 07:32 PM, sidharth mallik wrote:
But has anybody attempted it already ? also FIX engines have surprisingly not been implemented too much in C. will that be a hindrance ? I can collaborate in this project if somebody wants to make it. I already am making an algo trading platform in C. this would just be an add on to it. On 2/17/13, Ulrich Staudinger <ustaudinger at activequant.com> wrote:
I agree, you should get some consultant that has R expertise and automated trading expertise. You might even check out the person that wrote this email for this. In any case, you are best advised to get someone with experience and work with them. On Sun, Feb 17, 2013 at 7:01 PM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
This isn't a a question per se. The simplest fastest way is to hire someone. The next best "question" is to carefully construct a request as to what you have done, what research you've done and what parts you are missing. Best Jeff Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com www.lemnica.com On Feb 17, 2013, at 11:30 AM, Paul Kent <paulkent7 at aol.com> wrote:
Hi All,
We are considering porting some automated trading strategies to R.
Please can you advise me on FIX integration for trading:
The simplest and quickest way to do this
The most common/popular way of during this
The best (fastest/most robust) way of doing this.
Thanks
Paul
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions
should go.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Ulrich Staudinger http://www.activequant.com AQ-R user? Join our mailing list: http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user [[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Ulrich Staudinger, ActiveQuant GmbH P: +41 79 702 05 95 E: ustaudinger at activequant.com http://www.activequant.com Connect online: https://www.xing.com/profile/Ulrich_Staudinger
I mean there are several trading firms in Chicago that do this. They have full time staffs on hand to keep everything going. FIX is not just as easy as sending in buy me 1 e-mini at a price. Everything in the FIX message has to be correct to get an ACK, if not you get a NAK. An ACK message is detailed here: http://www.fixprotocol.org/specifications/fix4.4fiximate/TradeCaptureReportA ck.html I was on a team interviewing for a FIX person. The best person wanted $200,000 plus incentives. That was more than $100,000 over our salary range. She eventually got what she was asking from a trading shop in Boston. So the help for this is not cheap. Wouldn't you rather use a brokerage firm that can take an order off a simple order entry system and let them process it into FIX format and send it on to the exchange? GL Frank -----Original Message----- From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Paul Kent Sent: Sunday, February 17, 2013 11:30 AM To: r-sig-finance at r-project.org Subject: [R-SIG-Finance] FIX engine integration Hi All, We are considering porting some automated trading strategies to R. Please can you advise me on FIX integration for trading: The simplest and quickest way to do this The most common/popular way of during this The best (fastest/most robust) way of doing this. Thanks Paul _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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@Ulrich : Aren't the specifications you mentioned somewhat obvious ? Since he wants to use R, high frequency is ruled out. it is most probably medium frequency. then again, in absence of specs, we must assume that R will be used here as a calculation engine for whatever kind of calculations required which should by default include any calculations for reacting to order events. I mean not reacting to order events is just a subset of the whole thing and is just an architectural issue when actually making the platform. the actual issues he needs to answer are : 1. is this for a server level platform or a client level platform 2. what is the actual volume of trading 3. does he already have a front end or will that need to be integrated as well 4. what kind of risk management needs to be involved and other such stuff. but in any case, i think he is already using some platform and he has strategies already prepared for that platform, so the actual requirement is that a platform is being used, can he lay hands on R code that can perform the same stuff or not.
On 2/18/13, Ulrich Staudinger <ustaudinger at activequant.com> wrote:
There are so many what-ifs in this discussion that I strongly agree with Jeff. The original poster should write some specs or requirements and then it's possible to discuss it. For example, how fast does this have to be, what's the required latency? How complex is the trading system, does it have to react to order events, how complex is the trading system's order update logic? Which exchanges are to be supported? How many different brokers, etc. etc. etc. On Sun, Feb 17, 2013 at 8:02 PM, Frank <frankm60606 at gmail.com> wrote:
I mean there are several trading firms in Chicago that do this. They have full time staffs on hand to keep everything going. FIX is not just as easy as sending in buy me 1 e-mini at a price. Everything in the FIX message has to be correct to get an ACK, if not you get a NAK. An ACK message is detailed here: http://www.fixprotocol.org/specifications/fix4.4fiximate/TradeCaptureReportA ck.html I was on a team interviewing for a FIX person. The best person wanted $200,000 plus incentives. That was more than $100,000 over our salary range. She eventually got what she was asking from a trading shop in Boston. So the help for this is not cheap. Wouldn't you rather use a brokerage firm that can take an order off a simple order entry system and let them process it into FIX format and send it on to the exchange? GL Frank -----Original Message----- From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Paul Kent Sent: Sunday, February 17, 2013 11:30 AM To: r-sig-finance at r-project.org Subject: [R-SIG-Finance] FIX engine integration Hi All, We are considering porting some automated trading strategies to R. Please can you advise me on FIX integration for trading: The simplest and quickest way to do this The most common/popular way of during this The best (fastest/most robust) way of doing this. Thanks Paul [[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Ulrich Staudinger, Managing Director and Sr. Software Engineer, ActiveQuant GmbH P: +41 79 702 05 95 E: ustaudinger at activequant.com http://www.activequant.com AQ-R user? Join our mailing list: http://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/aqr-user [[alternative HTML version deleted]]
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my two cents: 1. keep FIX (engine) outside of R (instances). 2. use rzmq/zeromq as middleware between the FIX engine and R (multi-instances): http://www.zeromq.org/ https://github.com/armstrtw/rzmq 3. use filtering per topic (symbol subscribe): http://www.zeromq.org/whitepapers:message-matching 4. You can use QuickFIX but a better option may be a fix8: http://fix8.org/ Best regards, Daniel
On Sun, Feb 17, 2013 at 12:30:20PM -0500, Paul Kent wrote:
We are considering porting some automated trading strategies to R. Please can you advise me on FIX integration for trading:
I haven't done it, but have thought about doing so, and got some feedback from folks who have built and used FIX in the past. From them, my understanding is that despite being a "standard", in actual practice every broker uses FIX differently, with their own non-trivial conventions and quirks. So you will need to add custom support for each broker you trade with. You will probably also want to build a simulation of each of your brokers FIX behavior, so you can hook that that up to your FIX-enabled trading engine for testing. If building your own, the C version of QuickFix is the obvious open source codebase to start from. Perhaps some commerical option would be better, but I'm not familiar with them.
Andrew Piskorski <atp at piskorski.com>