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Automated Trading Editorials
August 2011 Edito: A summer with strong volatility

We have had much calmer summer period in financial markets… No time for holiday this year. This summer will rhyme with volatility… or lack of liquidity – anyway these two are linked. By the time I am writing this, the United States have just lost their triple A and the Stock Exchanges that opened during the weekend had quite of a bumpy ride. It will probably be the same on Monday for the European markets which have already been severely weakened by the debt crisis. The only question left is how far the news was already anticipated and priced by the markets.


It is due to these crises that many market makers choose to disconnect their systems to avoid bankruptcy. Yes, yes, the very same market makers criticized a lot these days for being big players on High Frequency Trading area. In a highly directional and volatile market, these market makers can quickly go bankrupt because they accumulate “reverse” positions without getting the opportunity to realize their “roundtrip” by selling their positions previously accumulated. No, the market makers have no incentive to manipulate the market by creating trends, contrary to what we often read. They are paid to hold the market and thus market make a profit during the period of quiet range. Shifting the markets to resell their inventory at a good price yes, but they are certainly not interest in trending.

In short, having learned the hard lesson of the 2008 crisis when a lot of  such funds have gone bankrupt, the market makers who have not the obligation to quote (the true registered market makers must always quote whatever the market is), decide now to disconnect their systems in such periods. This situation strongly dries market liquidity and so amplifies volatility boosting the crisis.


The systematic traders based on “trend following” algorithms generally benefit this kind of time when the trend is clear and strong. Several customers have told us that they got very good results recently… and this is probably not finished. But in this holiday period, please be very careful with your systems if they work without continuous monitoring. It is better to disconnect your system for a few days with protected funds and a peace mind than risking all in these very volatile sessions.
It may also be the good time to add some new specialized algorithms in your portfolio specialized on market crash.  Algorithms that would be triggered only after clear indicators of market crash . A good exercise for your holiday....

Concerning Automated Trading, we also got some news. We added two robots in the store: EasyTrade and OCO Order.
EasyTrade allows both to trade in furtive mode (or not) in one click with an ergonomic interface. And in addition, it allows you to automate your manual trading based on trend lines and channels.
OCO Order allows you to create the orders of the same name on MT4, namely "One Cancel the Other": 2 limit orders are placed on either side of the price and when the first is triggered, the second is cancelled. This type of order is particularly suited to news trading.

Good holidays to all of you who are taking now now… and good trading to the others!

Nicolas Vitale
Trading Automatique and Automated Trading
Director of Alpha Novae

 
July 2011 Edito : Automated trading holidays

Family or friends all together, travelling,  deep turquoise water, wite sand beach, coconut palms, cicadas, and cocktails. Maybe this is your definition of good summer holidays. Well, at Automated Trading it's the same... or nearly the same...

First of all, we too have relocated. Since July we are settled in our own offices in London. Next to Tower Bridge for those who know. This will be our white sand beach while the Thames will be our sea. Yes, I didn't dare qualifying it of turquoise...

No cocktails ( during the working hours as far as I know)... No, our own liquor is coding. Pages and pages of code and charts...

- " A glass of cold DAX, 2009-2011 millesime, please."

- Of course Sir! With or without slices of Bollinger ? In addition, the house is offering a selection of season's indicators"

As for the cicadas, or the rustle of the waves on the sand, the ventilators of our brand new Dells have nothing to envy.

But summer holidays without family or friends are not real holidays. And here also we have nothing to complain about, since the Alpha Novae family - renamed Alpha Vahine for the occasion - has never been that big.

Let's be gentlemen and start with the ladies. Yang manages the plannings, the accounting and the troops with delicate fingers ( and an iron hand...). It's, above all, thanks to her if we managed to put together at the same time office, computers, a broadband connection furnitures and people. And, here in London, it's a practically a feat ! It's also thanks to Yang that we are now conquering Asia

Damien expert in MQL4 and passionate by IT and trading, joined us in London a month ago. Damien is a real platform's charmer, and his EAs are always at his beck and call. A cappuccino and nothing can stop him... until the next cappuccino.

Gerard has been helping us for several weeks already and is joining us for a part-time job from august. With 4 years of experience in investment banks in risk department, Gerard is the wise man of the team. What he likes above all are challenges and stimulating projects... and we have a lot of it here !

Jeremy has been an intern since the beginning of June. His first mission consisted in translating contents form the french portal trading-automatique.fr to Automated Trading. So excuse him for the "few" mistakes as he's trying to do his best in order to make Automated Trading an important exchange platform around algorithmic trading.

Alexandre has just joined us for a 3 months internship. One of the distinguish features of Alexandre is that he he's able to play the commercial and the developer as well. He's already a famous film maker on trading-automatique.fr and we hope that he will know the same success here in england ! I've been told that he's actually making the buzz film of the summer so stay tuned ! After that, Alexandre will take part in the elaboration of new products.

Finally, there is another one but we don't see him that much... Lots of rumors can be heard about him and it's hard to differentiate the true from the fake ones. Some might say that he sleeps during the day and works during the night and others say the opposite. Some see him as a trader and others a developer. Some think that he spends all his time roaming on forums and others will tell you he's programing.. But one thing is sure, it's that he's really passionate by his work!

Now that everybody's here, we just have to plan the activities and we can say at least that they are numerous. We do not lack of projects around here!

Ok, so now everything is ready for a prfect summer hollidays. Don't hesitate to tell us about yours... but not too much...

Have a nice hollidays and ... or a nice trading.

Nicolas Vitale
Trading Automatique and Automated Trading
Director of Alpha Novae

 
June 2011 Edito : Buy or Build ?

 

During a previous edito, I told you about the "electronic jungle". The solutions in the market are numerous and it's very difficult to make a choice with full knowledge of the facts.

At  Alpha Novae, we tried and used the majority of the classical software solutions. I will save you from the entire list that you could find in the previous edito if you are interested. However, after more than 600 strategies automated for our clients, I still didn't find the ideal platform.

Between the ones which do not offer multi-frame  or multi-instrument backtests, the ones which do not include a powerful enough programming language or an elaborated editor, the ones which are not handy or reliable, the ones which are far too costly, the ones which are limited to a specific broker, etc. So it is hard to find a gem when you want to work professionally.

For a programmer, one other important issue is the impossibility to debug the code. In case of problem, it's impossible to find out what is wrong and to correct it quickly. Then you have to communicate with the platform support team, to wait for the verdict,  to drive them to recognize the bug and finally to wait again for months before the bug gets fixed. And I don't even talk about missing functionalities. Some would not take more than 5 minutes to add for developer but the request has to be approved and integrated in the next version. Once again, several frustrating months to wait.

Whan you wait for yourself it's ok, but when it's about clients it becomes more difficult...

The criticism is easy, the art is difficult you might say. In fact, I want to precize that I don't criticize here the builders of the platform. On the contrary, thanks to their work, all traders are now able to enter the automated trading world, while it was not so long ago reserved to an institutional elite.

However, in some cases, it becomes obvious that the solution consisting in building its own platform is the best. It's possible to fix every bugs, to add functionalities regarding it's own agenda, etc.

For other traders, this is less evident. Re-inventing the wheel is useless. Building from scratch would have an important cost.

Taking all this considerations into account, Alpha Novae decided recently to take the long way which represents the creation of our own trading tools. Custom-built tools, destinated to our clients which need solutions perfectly adapted to their needs, unlike what is offered on the market... without having to re-invent the wheel.

Since the begining, we have chosen to favour tailor made services, technically or comercially. Automating our clients' ideas rather than selling our EAs to the mass market. Advising each trader regarding his needs rather than turning him toward the same software and data feed package, the same broker. Our framework will allow us to keep on this direction and to go even further by pushing away the limits of the impossible...

As you may have noticed, this june edito arrives very late, not to say at the last time... Alpha Novae is in a transition period : new employees, new trainees, moving in new offices and lots of new projects. Welcome to  Damien who just joined us for a full time job and Jeremy who is here for an internship. Since others will join us this summer, we will present you everyone next month... so in a few days...

 

Nicolas Vitale
Trading Automatique and Automated Trading
Director of Alpha Novae

 
May 2011 Edito : A real electronic jungle...

 

One of the first questions that asks a trader when he decides to start automated trading concerns the choice of the platform.  In any case, there are a lot of possibilities : Metatrader 4, Metatrader 5, Multicharts 7, MCFX, ninjatrader 7, Iforex, strategy trader, TradeStation,  AmiBroker, OpenQuant, VisualChart, X_Trader, etc.  At a more professional level, we could add some more such as QuantHouse, Deltix, Bloomberg, etc. I will stop the listing here...

One of the last questions that asks himself every automated trading specialist still concerns … the choice of the platform. After 2 years of daily work consisting in automating trading strategies, I still don’t have a clear-cut opinion. In effects, the more you dig, the more the choice becomes complex.

However, one thing I’m sure now is that this choice cannot be unique. It has to be adapted to each trader expectations and needs.

It depends among others on the choice of the broker(s), the instruments (Forex, Futures, CFD, Actions or Options), on the possibility to backtest, to execute automatically, on the fiability level of the platform, on favouring a simple programation language or a more detailed one, on the capacities of charting, on the importance of a communauty or on an efficient support and of course on the budget to allocate.

As concerned the backtests, is it necessary to have a multi-instruments and multi-timeframe motor?

Is it important to be able to backtest a portofolio? Do you need optimisation algorithms, Monte-Carlo and Walk-forward?

To this platform problematic,  you may add the question of the market data. Real time feed or end of day ? Necessity of historical data or not? What granularity is seeked? Level I data or Level II ? Some platforms offer broker's market data feed directly integrated such as Metatrader, other such as NinjaTrader or Multicharts can be connected to external feed such as Zenfire, PatSystem, IQFeed, KineTick, etc. These flows are of course generally not free but the qualityhas nothing to do with the free datas.

You could also  add the choice of the broker. For listed products such as the Futures or Shares, the choice will mainly depends on the fees and on the quality of execution and support. For the OTC products such as the Forex and the CFDs, criterias are multiple. DMA on a MTF ( as LMAX offers ) ECN/non dealing desk, or Dealer.

If you thought it was not enough complex, you may add again that you can not generally make your choice "à la carte" : platform, data feed and broker. Each broker is not offering every platform or data feed and vice – versa.

You’ll understand now why I don’t clearly answer when the following question is asked on the forum : “Hi, what is the best platform and broker to make automated trading? “

Too often, the trader suffers from the platform choice. The broker or his wallet chooses for him. It’s, on the long term, a mistake, because the platform is your first tool and will strongly influence the kind of strategies you will be able to put in place. How many people suffer from not being able to realize multi – pairs Backtests on MT4 or bemoan the poor quality of historical data without trying to go elsewhere? How many are complaining about not being able to place stop orders at less than 5-7 pips from Bid/Ask rate without looking for an ECN?

That’s why we also offer a consulting service to give you Your best solution.


Nicolas Vitale
Owner of Trading Automatique and Automated Trading
Director of Alpha Novae Limited

 
April 2011 Edito : 2 years already...

 

No, this month we’re not celebrating the editorial published with the more delay. Malicious gossips would say that I laid down along the Thames and got sunburn, other would say that I should work on their EA without taking pointless pauses writing articles like this one.  Have you ever seen geeks (with or without a tie) writing something interesting?

Well, they’re all wrong! Did you really think I would miss the 2nd anniversary of Trading Automatique?

Automated Trading was put online for the first time in April 2009 with the french website Trading-automatique.fr. With more than 250 articles written, a forum which counts more than 8000 messages and 760 members, Trading Automatique makes today authority in the french automated trading web area.

So I would like to thank you all for your contribution. Firstly, those who took some time to write down all these articles.  In fact, we are mainly producing our own content and this require a lot of energy. Then, all the users of our forum and particularly the ones who takes time to answer beginner’s questions.

Finally I would also like to thank my colleague and of course my clients without whom the website couldn’t keep on its development.

Development which was the trendy world over the last few months ! In fact 3 new websites are born. Automated Trading, the english version of Trading Automatique on which you are currently navigating. Then, the Automated Trading Shop and finally the company website of Alpha Novae which is providing our services.

Let's go back to automated trading news. Multicharts has revealed this month the beta version of Multicharts 7.  Above all, note that a proper DOM is now available.

LMAX, le London Multiple Asset Exchange, opens its doors to the European residents. It’s the first MTF open to private individual traders. While MetaTrader or Tradestation popularized automated trading, LMAX now opens doors to Algorithmic and Low Latency trading. Naturally, Automated Trading supports this kind of innovation and we’re proud to announce that LMAX has become our new partner.
Like OrderBookFx, LMAX is a new step to more transparency.
Finally, note that I will be offering a new webinar on May 30th which theme will be an introduction to automated trading with Ninja Trader.

Happy Easter, to everyone. Let’s find some golden eggs…

Nicolas Vitale
Owner of Trading Automatique and Automated Trading
Director of Alpha Novae Limited

 
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