When I first started looking into developing an Automated Trading Strategy, I started by building some historical data acquisition routines in Perl. The routines were designed to communicate with DTN/IQFeed's servers. I then started gaining access to their real time data. At that point, I started to realize how daunting was the project I started on. More realizations were yet to come.
In the mean time, some mild clarification for those referring to the two sites just
mentioned. IQFeed does 500 symbols, with opportunity for more in 500 chunks. DTN starts
off with 1300 symbols, with room for more. Both are effectively the same company, so
besides symbol counts, there really isn't all that much difference.
Anyway, as I thought may way through how I was going to store data, play it
back, graph it, and analyse it, I was realizing that there was much to do. Being a software
developer, I wanted
something with a decent API, a lot of flexibility, and a lot of functionality. I figured
there wasn't enough time in the world to do it mysefl. I looked at
some of the Perl libraries, but they weren't quite 'there'. I looked at the mainstream
trading platforms, but they relied on limited and proprietary languages. Then, by stumbling
through a series of links relating Quant and Libraries, I ended up at SmartQuant. Their QuantDeveloper product
fits the bill exactly. It has a straight forward user interfaces for manipulating and
charting symbols. It has an analysis and simulation engine built around components. The
components are developed using native C# code, and are supported by an array of
extensive
Quant/Trader/Data libraries. I have barely scratched the surface of utilizing the
functionality.
More on this in a later entry.
I took my old perl code, rewrote it in C# and made it conform to the IProvider
interfaces as
supplied in the API. With another rewrite a month ago, it has progressed to something
reasonably reliable.
If you are using SmartQuant's QuantDeveloper, and have a subscription to IQFeed, give the
library a try, and let me know
about any issues. You'll need the latest IQFeed Files as well as the C# Library. The library provides realtime access to IQFeed. I havn't
implemented the IHistory interface yet.