engineering
Medium links to write-up on fully automated algorithmic trading and portfolio management infrastructure Algorithmic trading infrastructure for non options and options strategies Designing, Building and Deploying a Fully Automated Algorithmic Trading System: link How to place option spread (e.g. straddle) through Interactive Brokers API, a 101 tutorial: link
Performance monitoring features in fully automated algorithmic trading and portfolio management infrastructure Developing a performance monitoring component in my fully automated algorithmic trading system (part 1): link
Developing a performance monitoring system for my algorithmic trading system It’s one thing to backtest your signals and forecasts on historical data but it’s a completely different animal in terms of execution. I have written about this here.
Another important component of setting up an algorithmic trading system is performance monitoring. Some important questions I had in mind while developing this component,
How do I measure my slippage? Commissions paid?
Designing, Building and Deploying a Fully Automated Algorithmic Trading System As I developed several inter-day trading/ portfolio management algorithms, I also embarked on a journey in parallel to develop a fully automated execution framework that could satisfy my requirements.
Previously orders were executed manually after signals are generated automatically.
Requirements A relatively slow trading system triggered by an hourly task scheduler during trading hours. I’m using Linux cron jobs for this.