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AlgoTrader 6.0 Is Released

We are pleased to announce the release of AlgoTrader 6.0.

The AlgoTrader 6.0 release includes the following new functionality:

New Exchange Adapters

In addition to the existing list of crypto adapters AlgoTrader 6.0 now includes the following crypto exchange adapters

  • Deribit: Crypto derivatives exchange for options and futures
  • Huobi: A Singapore-based cryptocurrency exchange with offices in Hong Kong, Korea, Japan and the United States
  • OKEX & OKCOIN: A Malta-based crypto derivatives and spot exchange
  • Kraken: A global crypto derivatives and spot exchange
  • Bithumb: A Korea-based cryptocurrency exchange now serving the global market

Level II Order Book

AlgoTrader now offers full support for Level II Order Book data for all market data adapters. The new AlgoTrader UI Order Book widget shows you all BUY and SELL orders available at each price level.

Order Books events are also made available to strategies running inside AlgoTrader. Using InfluxDB it is even possible to persist Order Book data, replay it during back tests and use it for signal generation.

AlgoTrader order book

Aggregated Order Book

We have also added an Aggregated Order Book which combines Order Book data from various exchanges into a single chart showing you the combined liquidity available in the market.

The Aggregated Order Book is now also available to Execution Algos and allowing them to select the best trading venue based on available market liquidity.

Integration of Hazelcast Cache

By integrating Hazelcast as our new caching layer we have increased both of simulation and live trading speed by a factor of 5 to 10 (depending on the specific use cases).

New out-of-the-box sample strategies 
In order to help new clients, get started with AlgoTrader we have added 3 more example strategies for various use cases:

  • NLP Strategy: This strategy receives Twitter tweets about different cryptocurrencies and places orders based on a derived sentiment value using the Standford CoreNLP library.
  • Short-Strangle Strategy: This strategy sells short strangle options combos and holds them until expiration
  • Delta Hedge Strategy: This strategy tracks open futures and options positions, calculates the aggregated deltas for each underlying and automatically places delta hedging orders using future contracts

Additional minor new features

We have also added the following useful features

  • Reference data for Cryptos can now be downloaded automatically upon startup to make sure you always have the latest contract data available.
  • It is now possible to subscribe and unsubscribe for new market data during InfluxDB based back tests. This is particularly useful for options-based strategies where new option contracts are selected and traded throughout a backtest run.
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