Posted in Blog Entries on October 12, 2009 by Eric Somdahl
Welcome to this blog. Here I plan on documenting my ongoing efforts of programmatic trading of the Foreign Exchange (FOREX) markets.
The focus of this blog will not be Forex per se -- there are plenty of resources covering technical and fundamental analysis. Instead I'll focus on the development of a trading platform using some of my favorite technologies: Scala and Java.
As of this writing I've (along with a fellow co-worker who served as both an idea man and coder) been playing with programmatic Forex trading off and on for about 3 years. At that time the tools available (for trading and for analysis) were much less numerous than they are today. My partner has moved on to greener pastures and I have taken several months away from the project.
Our initial development was done using the Visual Basic 6 API provided by MBTrading.com. The goal was to build an automated trading platform that was capable of full strategy back-testing. As with any large software, our understanding of the problem domain grew as we coded.
It became apparent after about a year of weekend hacking that limitations in VB6 made it not up to the task of real back-testing using tick data we had captured from MB Trading's feed -- the clunky/memory-leaky built-in Collection data structure made simulations run at only slightly faster than real-time. Given a large enough data set, simulations slowed down to slower than real time. MBTading's API was available through .NET so we made the decision to migrate our code to .NET and Visual Studio 2005.
...(Part 2)
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