AlgoTrader, a provider of algorithmic trading solutions, said on Thursday it has release an updated version of its self-branded algorithmic trading platform, AlgoTrader 3.0, with which it introduces three new types of built-in execution algorithms – VWAP, Target Position, Trailing Limit.
The developer has made some other improvements to the platform. It referred to the long-awaited release as “a revolutionary milestone” in its history.
Creating algorithms has become even easier and more flexible with the new AlgoTrader. The platform comes with built-in execution algorithms, such as Tickwise Incremental Order and Variable Incremental Order, buit it also offers additional algos, which can be easily added. Here is a detailed explanation of the three new execution algorithms.
- VWAP: This algorithm determines the Volume-Weighted Average Price, which is a trading benchmark used by many institutional investors.
- Target Position: This algorithm automatically manages orders to reach the specified target quantity. If there’s no existing position, an order is placed for the full target quantity. If there is a position, an order is placed for the difference between the target quantity and the current quantity. The Target Position Algorithm automatically handles any pending partially filled orders.
- Trailing Limit: This algorithm submits an order directly to the exchange, with a limit price set a fixed distance from the current market price. The limit price is adjusted relative to the market price when the market moves in favor of the order.
In addition, AlgoTrader features one-click installation and deployment using Docker’s technology, which means the installation process will be streamlined, easier and more stable. The company announced the adoption of the Docker technology a few weeks back.
Users of AlgoTrader can take advantage of a single-page Excel-based back-test report with key performance metrics. The platform uses back-testing based on Esper, which allows the processing of 500,000 events per second.
AlgoTrader 3.0 also has improvements in the frontend for HTML5 with a compact real-time view of trading strategies, while the integration of standard RESTful interface using Jetty HTTP server and a websocket/STOMP interface using ActiveMQ allow users to write strategies in one of many programming languages. The new HTML5 features include live Market Data, current Orders, Market Data Subscriptions, Positions, and Transactions, an interactive order placement form with full text search, configurable tiles, support for multiple currencies with automatic currency conversion, and display of alarms and notifications. In addition, it has a TradingView chart library with different chart types and over one hundred pre-built indicators.
AlgoTrader was also enhanced with the following new features:
- Prices between multiple market data providers are now normalized. This is useful when one provider quotes in cents and another quotes in dollars.
- We added a drop copy interface for TT & LMAX which allows AlgoTrader to track orders placed outside our platform.
- We added an embedded ActiveMQ message broker, so installation of a separate ActiveMQ is no longer needed.
- We completely overhauled all database sample data.
AlgoTrader is an algorithmic trading platform for forex, options, futures, stocks, commodities, and exchange-traded funds (ETF). It features automated trading and several built-in algorithmic strategies, but it can also be customized to meet users’ needs and requirements. Its clients include investment banks, hedge funds and proprietary traders.