Latest topics for the forum "Marketcetera Open Labs and Contributions"

CATSBF Ccfea Algorithmic Trading Strategy Backtesting Framework for Marketcetera

dasch — GMT

Hi all,

I just wanted to inform you that I have released my algorithmic backtesting framework for Marketcetera as Open Source on Source forge.
[url]http://sourceforge.net/projects/catsbf/[/url]

It is a basic framework, and includes and adapter for Marketcetera. There is not a lot of information about the framework at the moment, but I will update the Sourceforge project page, as soon as I find the time.

I hope you find it useful :)

/Dasch

A little worried about Marketcetera Open Source Future

caiocasimiro — GMT

Dear Marketcetera community,

This morning I read one post in the forum asking for the Marketcetera roadmap. The post replies are not that good once it has not been clear the situation of the open source part of the Marketcetera.
I work for a investment company and we have to decide to use or not Marketcetera. After investigate the forum, it seems that the Marketcetera guys are not sure about the future of the product. The last release was in 2009, two years ago, so it's kind of weird. Why the last release was a long time ago ?

At this point I believe in two answers for this:

There is a lack of contributors
There is not much interest on the part of the company on releasing new open source versions of the product.

If the problem is the lack of contributors, I would like to help and promote a call to the developers which uses Marketcetera to work on it.

But if the problem is the lack of interest, I would like to know, so that we can make our decisions in the company.

My best regards,
Caio Casimiro.

Backtesting framework

dasch — GMT

Hi

I am developing a marketcetera backtesting framework for my master dissertation (or at least a prototype).

The framework is going to load historic tick data and replay (simulate) the market events in order. It will have an adapter for SETS historic CSV tick data for starters, but it will be possible to add other adapters.

I have decided, due to time constraints, to use the existing Marketcetera marketdata adapter and Marketcetera broker connector and configure it to connect to my FIX server. The server pushes market data to Marketcetera and receives orders. When an order is received a decision to either fill, cancel or just put it into the orderbook has to be made. I would really like your input on how to solve this.

The thoughts I have so far is:
- Assume perfect liquidity and just fill all orders coming from the client.
- Only fill the Marketcetera orders if the orderbook on the serverside allows it. But, this causes a problem later in the simulation when an order is supposed to be filled according to the earlier orderbook state, but is now changed due to the impact of the strategy.

In general I don't know how to take market impact into consideration, do you think this is important or would it be okay to assume that the market impact would be so small for a single trading strategy that it can be overlooked?

All ideas and suggestions regarding the framework are more than welcome.

Thanks a lot.
/Dasch

Ruby Framework Idea

jonatas davi paganini — GMT

I sent an mail for contributions@marketcetera.com and I think that my idea needs to be shared here too. My email bellow:

Hi,
In order to contribute to the marketcetera open-lab projects, I want to know what's the actual situation of Backtesting tools.

I use csv adapter to emulate one strategy and it works fine. Right now, I want to know how to contribute to the marketcetera writing an useful ruby library to work with Strategy inherited class.

My original idea is inject an default environment to each strategy instance to observe, reflect and override whatever behavior of the strategy instance.

The basic things that I guess that this project needs to cover:
[b]
Order Management[/b]
[list] History (realized profit/loss)[/list]
[list] Opened Positions (unrealized profit/loss)[/list]

[b]Statistical Tools[/b]
[list] Maximum profit/loss[/list]
[list]Maximum risk exposure[/list]
[list]Consecutive profits/losses[/list]
[list]Profit Factor[/list]
[list]Graphical report for positions[/list]
[list]Graphical report for equity curve[/list]

Another idea for this project is create n default environment to setup the basics
[b]
Setup Account Management[/b]
[list]account number[/list]
[list]broker id[/list]
[list]initial equity[/list]
[b]
Setup Strategy Profile[/b]
[list]risk management system[/list]
[list]symbol[/list]
[list] lot size[/list]
[list]take profit[/list]
[list] stop loss[/list]
[list]indicators setup[/list]
[list]auto reverse mode[/list]

[b]Generate Helper Methods[/b]

Let's try to figure out some snippets of code about what I'm talking about:
[code]
class MACrosses < Strategy

include DefaultStrategy # inject the methods below

use_risk_management :fixed_lot => 200
set_symbol "APPL"
use_indicator MovingAverage => {:as => :ma7, :period => 7}
use_indicator MovingAverage => {:as => :ma13, :period => 13}

# inject buy or sell conditions
buy :if => lambda { |context| context.ma7.crossesUp?(context.ma13) }

# or override default methods to get it in action
def on_bid(bid)
buy if bid.price.crosses?(ma7)
end

# create specific validations
def validate_on_open(order)
if opened_orders.length >= get_parameter("maximum_opened_orders").to_i
error "there are #{opened_orders.length} orders opened."
return false
elsif order.time - opened_orders.last.time < 1.seconds
error "two orders in less than 1 second"
return false
end
true
end
end[/code]

I know that these examples is poor, but I'm thinking how much Rails framework made the web simple. I'm really wanting to design a Domain Specific Language over Strategy Studio.

Thanks.

TA Lib...

3logiq — GMT

I would like to develop a module that integrate the talib (http://ta-lib.org/) library into the marketcetera framework, specifically a module that can take input data from marketdata adapter modules or OHLC data via csv module, perform technical analysis calculations (specified as a query) on the incoming data and send the processed data to a receiver (either CEP engine or strategy).

Charting in Photon

arulkrishnamoorthy — GMT

I saw a discussion thread on charting functionality that is more than a year old. Has there been any recent plans/ initial work done to include charting functionality to Photon?
There is a decent open source charting tool called 'Eclipse trader'. its a project in sourceforge . http://www.eclipsetrader.org/

yes, its also eclipse based like photon. May we should consider integrating it (as a module) with in Photon. It will help in plotting the strategies . Visualization of entries and exits in strategies will help in fine tuning the strategies.

Marketcetra team any thoughts.

project idea for google "summer of code"?

saintong — GMT

HI all,

I am Nelson , a student currently studying Industrail and Systems Eningeering in the U.S. I want to find out if anyone would be interested to start a summer-of-code community project to extent marketcetera ? What might be some ideas that you might have in regarding
extending the funcationalities of this great open-source software? Would topics related to optimization of high frequency trading be a good areas to explore?

CSV Market Data Adapter in Photon

serrpa — GMT

Hi,

I've copied mdata-csv-1.0-SNAPSHOT.jar file into the Photon/plugins directory and restarted all components but still can't see the feed under Preferences -> Market Data. Any ideas on what more I need to do?

Thanks

Considerations behind using Esper

quocble — GMT

Hi,

I am considering using this platform to extend my strategies. Most of my strategies are based on technical indicators like oscillations, moving averages, etc. I saw your example MA implementation uses Esper. What was the consideration behind that? It's like another language I have to learn. I prefer just access the data directly through java. How do I run test Esper queries?

Thanks,
Quoc

"Java Strategy Authoring" Installation and excution failure

ildefons.magrans@cern.ch — GMT

Neither the installation nor the execution of the "Java Strategy Authoring" are working for me. I have attached the output reports as two separated files

How to send a map to the chart module from a strategy module?

ildefons.magrans@cern.ch — GMT

I would like to use the chart open lab module to plot information from my strategies. To do that, my strategy should send a Map with String keys and numeric values because this is a type understood by the chart module. My question is how can I send this map? If this is not possible, how else can I plot information generated by my strategy using the chart module?

Introducing Marketcetera Open Labs

ytalmor — GMT

I'm excited today to announce the availability of the [url=http://www.marketcetera.org/confluence/display/MOL/Marketcetera+Open+Labs] Marketcetera Open Labs[/url]. The Open Labs provide an easy way to share platform extensions, modules, new components, and HOWTOs created by our community members.

The Open Labs was built out of a need to have a place where community members can share the extensions created on top of our platform. We received multiple such requests from many of our community members. As a bootstrap of this effort, we already created a few projects that were on the top of our list based on your feedback. But this is only the beginning. Now we need your help in making Open Labs really useful.

Please head over to the [url=http://www.marketcetera.org/confluence/display/MOL/Marketcetera+Open+Labs] Open Labs[/url] and have a look. Better yet, check out the projects, try them out, and add a review - participate in our [url=http://www.marketcetera.org/community/forums/show/9.page]forums[/url]. And if you would like to share your work with the community - check the [url=http://www.marketcetera.org/confluence/display/MOL/Marketcetera+Open+Labs] Open Labs main page[/url] for more details on how to participate - or just [url=mailto:contributions@marketcetera.com]let us know[/url].

We are looking forward to your participation.

Thanks,

Yoram Talmor
VP Engineering

Updated Contribution Information

ytalmor — GMT

Hi all,

We now have an updated contribution wiki page with details of how to contribute and updated list of projects/features we could use your help with:

http://www.marketcetera.org/confluence/display/MPIO/Contribute

Looking forward to your suggestions, participation and contributions!

Thanks,

Yoram Talmor
VP Engineering