Create trading algos on the fly using C# script

You can now create algos on the fly using C# scripting and KaiTrade's K2 StratoServer

 

The K2StratoServer has always allowed you to package algorithms in libraries, these are loaded into the server dynamically. The user can then manage these algorithms using KaiTrade's FIX ATDL Viewer, this lets the end user see the algorithms that are available, adjust parameters and run algorithms.

The server allows  access to KaiTrades's EMS server and broker connections through a set of WCF Services - these connect to a range of brokers, for example Bloomber Tradebook, CQG, Interactive brokers.

The latest version now allows a user to write algos as a script using C#, this code can be sent to the sever where is compiled on the fly and made available as a regular algorithm.

The user can then run their algo, view the results, adjust the code and rerun - this way they rapidly get their ideas into production,eliminating a lot of time consuming development cycles and even the need for a development tool such as Visual Studio or Eclipse.

When they are happy with the code, they can of course, package it into regular library.

For more information, see http://www.kaitrade.com/K2/k2api/K2AlgoServer/index.html

Don't hesitate if you want to try this out - contact us through  www.kaitrade.com

Introducing pre-trade allocation - compact edition

We have made the pre trade allocator a whole lot better, it now uses minimal screen real estate yet delivers all the features - check out the video, or request a free trial.

CQG Trading systems

CQG's Trading System Package allows traders to analyze past trading activity and build strategies based on that activity. Traders can take advantage of the Trading System Package features to fine-tune entry and exit points and test user-defined parameter values.

Traders can benefit from CQG's numerous back-testing resources by examining trading activity based on the creation of long or short trades, a variety of entry and exit signals, and the commissions the trader must pay.

KaiTrade can compliment the power of CQG's trading systems by providing a quick and reliable way to manage executions based on signals from the trading systems running in CQG.

The heart of the system is the Trading System view, this lets you choose available trading systems in CQG and automatically set them up. Connecting to new trading systems is easy, simply click on the New icon and the system will guide you through the rest:

The system communicates with the CQG client to get all details of the trading system and automatically sets it up for execution in KaiTrade. When you have added the systems you want to trade, they are displayed in the trade system view. You then have a view of the systems you want to run and can control them by simply clicking on the grid. This way you can quickly turn on and switch off trading systems depending on the market conditions.

Simplicity does not mean you sacrifice control, for advanced users KaiTrade provides the additional tools to let you customize your trading schemes:

• TSData Viewer - this lets you customize the connection to the CQG Trading system
• Strategy Pad - The strategy pad lets you have a great deal of control over the strategies that are initiated by Trading system’s signals.For example you can set different execution algorithms, like  a bracket order to protect against losses and lock in profits  on an some entry signal.

 Check out this video of the tool in action!

KaiTrade's APIs

We are nearing the end of a sprint to bring extensions to our APIs - our APIs fall into two groups:

* Support for developing drivers(exchange connections), plug-ins and extensions to KaiTrade, These APIs let you rapidly develop trading applications that work directly with KaiTrade on your desktop.

* K2 Remote services, these provide a full set of services to let developers write applications that work with server editions of KaiTrade(K2StratoServer).

We use these API's internally to develop all new applications like our PreTrade Allocator and PairsTrader, we are working on a RIA console for the K2StratoServer - this will make extensive use of the remote services.

For more information take a look at our docs on: http://www.kaitrade.com/K2/k2api/doc/

KaiTrade Accelerator System Overview

Many new improvements have been made to the new K2Accelerator aimed at developers:

*The open API is in use and has been extensively widened and available to developers.

*A complete set of remote services are available to developers that need to use the KaiTrade K2StratoServer.

*A new release of the KaiTrade high performance RTD server to provide Excel users with powerful access to a range of brokers.

So get coding! more information can be found at: http://www.kaitrade.com/doc/KaiTrade%20Overview.pdf

Latest view of KaiTrade's pre-trade allocator

If you trade on behalf of many accounts and you need to reduce the cost of give ups and post trade allocations either from exchange clearing systems or your clearing firm this tool is for you.

Take a look at our short demo of the pre-trade allocator at http://www.screencast.com/t/NGYwNzIwN

Revised pairs trading application

We have now revised our pairs trading application - check out the video to see more. Our next release(May2010) will have improved support for futures and will allow an arbitrary number of legs. KaiTrade will strengthen our server based offering (StratoServer) by the mid of 2010.

Good News

A short post with two snippets of good news.

KaiTrade is now a profiled Start-up at Microsoft Bizspark program - this a great program for Hi-Tech startups, see more here.

Kaitrade has also become a CQG partner - partnering with this well regarded provider will help push our products to new levels - see more here.

Event Processing

KaiTrade introduces a range of high performance event processing tools which are now available for beta. The new tools add on to the TS Data (Time series data) processing already in KaiTrade and include:

• A price aggregator to aggregate data into time/volume bars
  
• Calculation library to enhance the bar data with moving averages, Bollinger bands, etc.
  
• Pattern matching algorithms to make sense of the data and identify trading opportunities.
  

 

Since these functions will work with KaiTrade's existing strategy processing, a trader can compose and execute complex strategies across multiple asset classes with ease.

 

The price aggregator is able to work from the last price and volume, and so the system works with a wide range of brokers offering real power at a reasonable price.

1. Price Aggregation
   

   The price aggregator takes raw data and converts it into a set of bars based on time or constant volume.
   

   Where a broker or vendor provides time series data, the aggregator works directly with the information from the vendor.
   

   Usually, the broker or vendor provides the last trade price and volume. In this case the price aggregator puts the data into bars based on the period requested — for example, a stream of last price values can be built into two-minute bars with all the usual datapoints (e.g., Open, Close, High, Low, HLC3, etc.).
   

   Since the aggregator works with the existing KaiTrade TS Data Set, existing applications can make full use of the data we provide.
   

   
    

   
   
   

2. Calculations Library
   

   A calculations library is available to provide some of the common functions needed — for example moving averages, Bollinger bands, ATR, etc. — we have designed the system to allow the end user to add their own calculations using our API.
   

   The calculations are invoked using the expression evaluator; these calculations are called when bars are added to a set or are updated, and publish their results as curve values in the TS Data Set containing the bar and curve data.
   

   
   

3. Pattern Matching
   

   Pattern matching lets the trader identify trading opportunities. Individual pattern matchers work on bar data generated by the price aggregator and curve data added, using the calculation library.
   

   We have a set of commonly used pattern matching algorithms such as cross detection and bar counts, and as always, the user can add their own pattern matching algorithms to the system using the API. We will have the option to use C# script in Q1 2010.
   

   
    

   The pattern matchers can publish their results as:
   

• Conditions (or triggers) that are used in KaiTrade's strategies to enter and exit trades.
  
• Inputs to other pattern matchers, in this way you can chain more complex matching schemes together.
  

 

Since you can easily associate a trading strategy (for example, a bracket order) to a pattern matcher, it is simple to provide automated trading and order management to provide a complete trading solution.

 

 

1. Putting it all together
   

   These features give a trader enormous power. Let's say they want to use moving averages to trade the S&P eMini
   

   
    

   
   

   It's as simple as ABC — see above:
   

   1. Choose the product and click on the subscribe — this will access the last price and volume to create a set of bar data
      
   2. Choose and configure the calculations you want — in our example we have added moving averages
      
   3. Choose and configure the pattern matchers — in our example we are looking for crosses
      

   
    

   You can add strategies to the computation; these will then automate your trading. When you run the strategy, by subscribing to the data, a chart is generated and triggers are fired according to your settings — see below.
   

   
    

   
   

2. Multiple vendor
   

   A major advantage is that in most cases the trader can choose the firm or vendor they wish to trade through. Since KaiTrade does the heavy lifting, the vendor does not need to provide charts or historic data.
   

   
    

   Unlike other solutions, KaiTrade already provides cross-asset support — you can trade futures, stocks and FX from a single platform.
   

   
    

KaiTrade StratoServer in development

We are working on the first release of the KaiTrade StratoServer due out by the early fall, this will provide a range of functions and event processing based on tick and bar data.

The product will build on the exiting K WCFServer thats provides routing and remote excution to the existing KaiTrade Accelerator. Using propreiteary processing for temporal data , event stream processing and pattern matching our aim is to deliver function at a fraction of the existing price that gives traders far faster processing than the systems currently available.

When combined with the Strategy pad traders will be able to link trade signals from the StratoServer to execute their order managemet staretgies running on thier desktop or remote on the server.

KSpreader - first look at KaiTrade's automated spreading

Here is a video showing KaiTrade's automated spreading working with CTS Cunningham (http://www.cunninghamllc.com/)

The product is in beta but packs useful features such as the PriceTracker to keep you spread in the market, and a range legging controls. As with most KaiTrade products you can control the entry and exit of spread automation from a variety of chart events and conditions as well as with the standard user interface.

We will be aggressively pricing the product to run with CTS using their modern API and will be introducing products that introduce conditions and complex event processing on the back of CTS data.

If you want to try the product contact us or simply download the trial versions.

Using docking windows with KaiTrade

Here is a short video that shows how to use KaiTrade docking windows layout - for those interested this is done using DotNetMagic

CQG Trading System integration

After a marathon development session KaiTrade now integrates with CQG's Trading Systems - this is cool because it means you can develop some trading ideas and back test them and when you are happy with the results bind them into the KaiTrade Strategy pad to control and manage execution.

This follows our theme of letting traders lever what they know, in this case you can setup and test trading rules and switch them on and off depending on your view of the market.

Contact us ( http://www.kaitrade.com/contact/contact.htm ) if you need information, we have a beta program for Trading System users and want your feedback.

Sneak-Peek at our pre-trade allocation plug-in

If you are interested in Pre-Trade allocation, have a look at this video thats shows an early view of our pre-trade allocation tool The allocator lets you conveniently split large orders over a set of accounts prior to trading them - here is the link:http://www.screencast.com/t/0ISwypG8kV

Your idea goes here - so you need to write an algo application

1 KaiTrade Api kit

If you need to write fast algorithms in C# or C++ let us do the heavy lifting of writing broker access and packing a user friendly application.

Using our plug-in API lets you fast track your trading idea in production by allowing you to concentrate your effort on the task in hand - the trading algorithm and reusing our technology to manger orders and provide access to a wide range of data. Typically, you will have the plumbing written in a matter of hours and then can devote the rest of your time on the application you are trying to develop.

You are using the same tools we use to develop our own applications such as the pairs trader, xxxlot ticket and custom work we do for clients, this means you benefit from using proven technology from day one. Going forward you are then able to run your application on different brokers and we look after updating the connections as external API's change.

1.1 Loader

The loader allows the KaiTrade accelerator to load you plug-in at run time, this means you can develop your plug-in in your own environment and then distribute it to your users for them to use with KaiTrade.

You need to request an ID from us for your plug-in, this enables us to add the permissioning into our provisioning system- critically this gives you a way to control who has access to your plug-in. When the user is provisioned to use your plug-in it appears in their toolbar, they then click on it to use your functions in a seemless way.

1.2 Interfaces

We provide a rich set of interfaces that allow you to:

· Route and manage orders

· Subscribe and Publish real time price data

· Subscribe and publish general purpose data (e.g. trade signals, status updates)

· Access historic bar data, studies and signals/conditions

· Use our and 3rd party order management/execution algorithms

· Use price based algorithms

· Access a variety of data (Accounts, trade venue)

· Access product data

· Access our drivers(CQG, TT, CTS, FIX Protocol and others)

· Interact with Excel

These interfaces enable the developer to concentrate on what they want the their system to do rather than the plumbing to connect to brokers and exchanges, further more their code will then run on multiple brokers.

There is documentation describing the interfaces here or paste this: http://www.kaitrade.com/KTA/API/doc/

1.3 Factory

When your plug-in is loaded into the KaiTrade accelerator it is given the reference of the KaiTrade object factory.

The factory allows you to get instances of all of the trade and system objects in KaiTrade at run time, the factory method eliminated the need for you application to have references to our system components and thus lets you work independently of us.

2 User Plug-In

The user plug-in is essentially an assembly that has a class that implements our plug-in interface, generally together with a user control (user interface). The developer has complete freedom in terms of what the then put into the plugin, however they generally make use of our interfaces and factory to lever the fucntions we provide with their own code.

This way the developer concentrates on the algorithm or project their user wants and uses the work we have already done to provide access to data and route orders.

3 Sample Code

We provide a sample project that build a simple plug-In

Gray-Box trading systems

There has been a divide between discretionary trading where the trader analyzes data, trades and manages orders in terms of profit and risk manually compared with system trading, where a set of programmed rules (developed and back-tested) drive this process with little or no trader intervention. Recently, systems have evolved that allow a cross-over between system and discretionary trading to produce a hybrid of the two, so the trader gets the best of both worlds.

A gray-box or hybrid trading system provides the trader with automation for the mechanical parts of trading while allowing them to use their judgment (discretion) about trading decisions - so the system seeks to inform the trader of opportunities, and manages the trading of products, yet leaves the decision to use the recommendations to the trader. A key advantage to this nimble approach is that it levers the traders knowledge to the full so that they can react quickly to changing market conditions and maximize return on effective strategies.

This contrasts with a black-box system, which is fully automated (along with the associated high cost and long lead time to profit) and existing manual "click trade" order entry systems that have little or no automation.

In most cases, a gray-box system is implemented by providing the trader with a system, such as the KaiTrade Accelerator, that sits side-by-side with existing trade entry and charting packages to provide some level of automation and control - see the diagram below:

Some programming-savvy traders have also written their own systems using Excel and RTD provided by system vendors such as TT and Pats.

We are seeing increased demand from discretionary traders, who are now using powerful charting and modeling like CQG to generate automated signals to enter and exit trading scenarios.

The trader then uses the KaiTrade StrategyPad to connect and link the signals generated from CQG to strategies that the trader has set up. The trader can then choose which strategies to use depending on their view of the market conditions.The strategies can trade a range of products (futures, options, stocks), spreads and other multi-legs (synthetic products) the trader may set up. Crucially, they offer sophisticated order management, for example controlling risk using trailing stops and locking in profits.

The system evolves as traders identify the best patterns of trading that suit the markets they are interested in. They can apply these to a range of products automatically and free up time to find new markets and methods.

KaiTrade provides all the tools needed to bridge the gaps in existing systems, and let traders and organization start implementing gray-box trading quickly. Our mix of solid engineering and trading experience lets us deliver on our commitment to enable traders to "Trade Better" today and in the future.

For more information click here or paste http://www.kaitrade.com/products/products.htm

KaiTrade supports multi-leg products

KaiTrade now lets you create and trade your own multi-leg products. This is great news for people wanting to trade:

• Inter-commodity spreads, for example, crush spread (soybean oil vs. soybean meal)
• Stock Index futures
• TED, notes over bonds spreads
• Yield curve arbitrage
• Crack spreads, for example, the 3:2:1 ratio trading oil, gasoline and distillate according to this ratio
• Butterfiles and condors
• Basis trades

Essentially, we have provided an easy tool that lets you create a product within KaiTrade and then add existing products to it. You can specify the quantity/ratio of each added product and determine how it will trade.

The system can generate the implied price of the product based on the real-time data of the legs. and you can then trade the product from the standard order ticket, the StrategyPad (for example triggered from CQG conditions) and from Excel.

We have a custom pairs trading plugin in test - this levers the multi-leg functions in a convenient way for pairs traders, and will be released in the next month.

You can get more information from our website here and we have a short video demonstrating the new capability here http://www.screencast.com/t/ahyd11HornM

Basic Pairs Trading using Excel

Here is a short demo of how to trade a simple pairs ratio using KaiTrade and the Excel Plugin

BasicPairsDemo

A more advanced demo using KaiTrade's built-in algorithims can be seen here

These are intended to show how you can sumit orders for two products simulatously from Excel and work out the P&L for the pairs trade.

Also check out our website here - http://www.kaitrade.com/KTA/PairsTrading/

Demo Videos

Here is a list of our demo and training videos - we will be extending these.

Is this the quickest way to trade from Excel?

We think our Excel plugin gives KaiTrade users the fastest way to trade multiple markets directly from Excel - Here is a short demo of how to trade from Excel using kaiTrade and TD Ameritrade.

KaiTrade Excel demo   In just minutes you can be trading your strategy.

Simple yet powerful 

It is clearly simple to trade using the tools we provide, but we also give you all the power of the KaiTrade platform:

• Access to multiple asset classes - you can trade the world
  
• Speed of a regular application
  
• Access to order management algorithms such as pairs trading and auto stops
  
• Access to baskets and synthetic products
  
• Access to real time prices and hsitoric data(depending on the broker)
  
• Access to extensions written in C++/C# using our plugin API

Our approach is quite different from other vendors in that we only use the standard Excel RTD function for both getting data into the sheet and order requests out - this means we do not install any addins (COM or VBA).

This way we avoid the complication of loading software into Excel and benefit from improved performance and execution since the work is all done in the main KaiTrade application.

Contact KaiTrade for better ways of trading!