Re: ( picoVerse-:( Smalltalk based Automated Trading Systems ) )

Kego,

Yes. IB offer a good brokerage service with an API that requires
a Java
app to be launched to use it (don't ask me why). There are a
couple of
other brokers with an API but they don't allow non-US residents
to open
accounts.

Which brokerages have APIs? ( I am a US resident )

I know that Lime (www.limebrokerage.com) offers an API and that
TradeStation (www.tradestation.com) has an automated trading facility
which, with a little ingenuity, could be called from Smalltalk. I think
there are several others.

However, we use Interactive Brokers (www.interactivebrokers.com). They
have a COM interface to their Java based trading platform. This is
failrly easy to interface with from Dolphin although the (very)
aynchronous nature of the API calls makes it a little tricky to program
reliably. Our major problem has been getting a stable set of tests to
run (and continue to run).

Is there a Smalltalk package that works the API
directly without going through Java?
Is there a Smalltalk trading API of any sort that I
can just get?

We have a Dolphin package (for 6.x) that drives the API. However, it is
not really in a state where we could consider releasing it -- for two
reasons. First off, IB have recently changed the way their "demo"
system works and this has broken about 50% of our tests. Secondly,
automated trading can be quite a risky business and we'd need a hefty
set of disclaimers against loss to be agreed to before we could let
anyone have the code.

Have you done anything with this Portfolio Analyser idea?
ANSWER-: I see that you have-:( http://www.alchemetrics.org/ )

We have been running automated trading systems through Dolphin for
about three years now. Success has been moderate, rather than
outstanding. Some of the early systems, whilst they appeared hugely
profitable when back tested in the Portfolio Analyser just turned out
to be marginally so when running in real life. This discrepancy between
the trading system model and the real-life returns is something we put
a lot of effort into eliminating. We now have a series of "filters"
that we run the data through to make it simulate real trades more
effectively.

We have been running one account for three years and over that time
period the gain has been 41%. During the same period the overall market
($OEX) has also risen 32% so, to my mind, the systems used on this
account have been underperforming and rather disappointing
(consequently they will be retired shortly).

A second account has been somewhat more successful. This account is up
30% since February 2005 whilst over the same period the general market
has actually fallen by 1%. In fact, the situation is better than that
since that account is actually running five automated systems but some
were only introduced at the beginning of this year or later. The best
performing system is the one that has been running since Feb 05 which
has gained 82% over that period (it is also up 4.3% this month compared
with a market fall of around -4%). All the systems only take long
trades (i.e. no shorting).

The Portfolio Analyser is a tool that we use constantly but, once
again, it isn't really in a state that it could be released (usual
problems, lack of documentation, tied to one particular data feed etc
etc). We would consider licensing it to anyone who wanted to make use
of it in their product but there would be a fee (as yet undecided)
attached.

Are there charting addons for Dolphin Smalltalk?
Candlesticks? Bar charts? etc? Can you draw trendlines
on them via Smalltalk? I have a simple charting thing that
extends Scribble. It's not much to look at but it works well.

As Chris has mentioned, we use Steema's TeeChart which has tons of
useful facilities (including price bar charts). I don't think it would
be too difficult to get it to draw trend lines that could be
manipulated by the user. Once again this is an ActiveX control that
Dolphin can interface with quite readily. There's a demo version that
you could try out without committing yourself financially (or
otherwise).

I hope this has been of interest.

Best Regards,

--
Andy Bower
Dolphin Support
www.object-arts.com
.

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