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AlgoTrader 2.1 Is Released

We are excited to announce that AlgoTrader 2.1 has been released! The new version contains many added features, on top of the already existing features. Below are the highlights.

Overhauled the AlgoTrader Reference Data Manager

The existing Reference Data Manager has been given a major facelift and updated to the latest version of Grails (v2.2.4). The AlgoTrader Reference Data Manager allows you to manipulate (create, modify and delete) any type of reference data available to trading strategies running inside AlgoTrader.

Multiple concurrent market data feeds

AlgoTrader can now be connected to the following market data feeds:

  • Bloomberg
  • Interactive Brokers
  • FIX Market Data (e.g., Dukascopy)

In addition to using only one data feed at a time, it is now possible to enable multiple, simultaneous data feeds. This is particularly useful for Forex trading with different liquidity providers. AlgoTrader strategies can subscribe to market data from different liquidity providers, compare their prices, and use this information for signal generation.

Embedded in-memory H2 database

The embedded in-memory H2 database reduces the duration of back-test runs by 30%-50% and allows multiple, parallel simulations on the same machine – without needing to install a physical database, such as MySql, Oracle or MS SQL.

This alone makes AlgoTrader-based simulations considerably easier and faster.

However, by combining AlgoTrader 2.1 with the Amazon Elastic MapReduce (EMR), trading strategies can be configured to run many simulations in parallel, distributed across the Amazon EMR cluster.

Read our blog post for an example Forex trading strategy utilizing AlgoTrader and Amazon EMR to reduce simulation time from 1 month to 1 hour.

AlgoTrader Maven archetype

This new feature helps users create all the necessary files for a new trading strategy. By using templates, all necessary Java classes, Esper modules, configuration files and Eclipse project files are created automatically.

This wizard-like utility is based on Maven archetype technology.

Bloomberg historical data and security retriever interface

In addition to the Bloomberg live market data interface, there is now an interface that allows historical data to be downloaded from Bloomberg. Both intraday and end-of-day data can be downloaded.

Also, there is now an interface that allows downloading of entire future and option chains to the AlgoTrader database. For particular underlyings, all expiration dates and strikes can be retrieved automatically.

RealTick FIX interface

RealTick is an intermediary that provides trading connectivity to about 40 institutional and retail brokers, some of which are:

  • Bank of America
  • Merrill Lynch
  • Barclays Capital
  • Credit Suisse
  • Deutsche Bank
  • Goldman Sachs
  • HSBC
  • Jefferies
  • JPMorgan
  • Morgan Stanley
  • RBC Capital Markets
  • UBS

Using the RealTick Fix interface, it is now possible to connect to all of these brokers – and even connect to multiple brokers at the same time without additional software development.

Domain model / Database enhancements

We also augmented the AlgoTrader domain model and database. It now features three additional trading instruments: Bond, Fund and Commodity.

In addition, AlgoTrader now features an Easy-to-Borrow list that shows which stocks can be shorted by a particular broker.

Even though the AlgoTrader database is already capable of storing most of the information needed by typical trading strategies, it is sometimes necessary to store additional information, for example:

  • Information related to financial models
  • Fundamental data
  • Information for reporting purposes

For these purposes, it is now possible to add Entities and Services to the AlgoTrader domain model and enable client specific code generation based on UML. This will automatically generate the necessary Java classes and database tables.

BreakOut example strategy

We also added an additional example trading strategy. The strategy trades the EUR.USD FX market and is based on a simple Breakout Indicator.

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