Reference Guide

AlgoTrader
Version 4.5

by Andy Flury, Oleg Kalnichevski, Ricardo Ribeiro, Robert Kolar, Marek

Zganiacz, Jakub Chodorowicz, Rubén Fanjul, and Roger Langen
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Table of Contents
Preface ............................................................................................................................................... xii
1. Document Conventions ........................................................................................................... xii
1.1. Typographic Conventions .............................................................................................. xii
1.2. Pull-quote Conventions ................................................................................................ xiii
1.3. Notes and Warnings .................................................................................................... xiv
1. Introduction .................................................................................................................................... 1
2. Installation and Deployment ........................................................................................................... 2
2.1. Development Environment Installation .................................................................................... 2
2.1.1. Prerequisites ............................................................................................................... 2
2.1.2. AlgoTrader Eclipse IDE Installation .............................................................................. 8
2.1.3. AlgoTrader Server Code Installation ............................................................................. 9
2.1.4. Next Steps ............................................................................................................... 12
2.2. Server Environment Installation ............................................................................................ 12
2.2.1. Docker based Installation .......................................................................................... 12
2.2.2. Docker Containers .................................................................................................... 13
2.2.3. Docker Compose ...................................................................................................... 19
2.2.4. Docker Management ................................................................................................. 22
2.3. VM Arguments ..................................................................................................................... 23
3. Starting AlgoTrader ...................................................................................................................... 24
3.1. Simulation Mode .................................................................................................................. 26
3.2. Live Trading Mode ............................................................................................................... 27
3.2.1. Embedded Mode ....................................................................................................... 27
3.2.2. Distributed Mode ....................................................................................................... 28
3.3. Server Environment ............................................................................................................. 29
3.3.1. Embedded Mode ....................................................................................................... 29
3.3.2. Distributed Mode ....................................................................................................... 31
4. Strategy Development .................................................................................................................. 33
4.1. Creating a Trading Strategy ................................................................................................. 33
4.1.1. AlgoTrader Strategy Wizard ....................................................................................... 33
4.1.2. AlgoTrader Maven Archetype ..................................................................................... 35
4.1.3. Generated Artifacts Java Archetype ........................................................................... 36
4.1.4. Generated Artifacts Esper Archetype .......................................................................... 38
4.2. Building a Trading Strategy .................................................................................................. 44
4.3. Hints for Strategy Development ............................................................................................ 44
4.3.1. Java based Strategies ............................................................................................... 45
4.3.2. Esper based Strategies ............................................................................................. 53
4.4. Strategy life-cycle events ..................................................................................................... 61
4.5. Strategy Groups .................................................................................................................. 62
5. Strategy Backtesting .................................................................................................................... 65
5.1. Exchange Simulator ............................................................................................................. 65
5.2. Simulation Process .............................................................................................................. 67
5.3. Single Run Simulation .......................................................................................................... 68

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5.4. Automated Parameter Optimization ....................................................................................... 68

5.5. Performance Statistics ......................................................................................................... 70
5.6. In-Process Exchange Simulator ............................................................................................ 73
5.7. Multi Security Simulations .................................................................................................... 73
6. Architecture .................................................................................................................................. 75
7. Domain Model ............................................................................................................................... 77
7.1. Entities ................................................................................................................................ 77
7.1.1. Strategy .................................................................................................................... 79
7.1.2. Security .................................................................................................................... 81
7.1.3. Market Data Events .................................................................................................. 84
7.1.4. Order ........................................................................................................................ 85
7.1.5. Account .................................................................................................................... 87
7.1.6. Transaction ............................................................................................................... 88
7.1.7. Position .................................................................................................................... 89
7.1.8. Cash Balance ........................................................................................................... 89
7.1.9. Subscription .............................................................................................................. 90
7.1.10. Exchange ............................................................................................................... 90
7.1.11. Property .................................................................................................................. 91
7.1.12. Order Preference .................................................................................................... 92
7.2. Services .............................................................................................................................. 92
7.2.1. Main Services ........................................................................................................... 93
7.2.2. Client Services .......................................................................................................... 94
7.2.3. Account Service ........................................................................................................ 94
7.2.4. Calendar Service ...................................................................................................... 94
7.2.5. Combination Service ................................................................................................. 95
7.2.6. Future Service .......................................................................................................... 95
7.2.7. Historical Data Service .............................................................................................. 95
7.2.8. Market Data Service ................................................................................................. 95
7.2.9. Measurement Service ................................................................................................ 95
7.2.10. Option Service ........................................................................................................ 96
7.2.11. Order Service ......................................................................................................... 96
7.2.12. Portfolio Service ...................................................................................................... 96
7.2.13. Position Service ...................................................................................................... 97
7.2.14. Property Service ..................................................................................................... 97
7.2.15. Reference Data Service ........................................................................................... 98
7.2.16. Market Data Cache Service ..................................................................................... 98
7.2.17. Lookup Service ....................................................................................................... 98
7.2.18. Strategy Service & Config Aware Strategy Service .................................................... 99
7.2.19. Subscription Service ................................................................................................ 99
7.2.20. Reconciliation Services .......................................................................................... 100
7.2.21. Reset Service ....................................................................................................... 100
7.3. Value Object ...................................................................................................................... 101
7.4. Enumerations ..................................................................................................................... 101
8. Esper Engine .............................................................................................................................. 102

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8.1. Esper Introduction .............................................................................................................. 102

8.1.1. Introduction to event streams and complex events using Esper .................................. 102
8.1.2. Event representations .............................................................................................. 103
8.1.3. Event Stream Analysis ............................................................................................ 103
8.1.4. Combining Pattern Matching with Event Stream Analysis ........................................... 104
8.1.5. Named windows ...................................................................................................... 105
8.1.6. Variables ................................................................................................................ 105
8.2. Esper Quick Start Guide .................................................................................................... 105
8.2.1. Event Types ........................................................................................................... 105
8.2.2. Creating a Statement .............................................................................................. 106
8.2.3. Adding a Subscriber ................................................................................................ 106
8.2.4. Adding a Listener .................................................................................................... 107
8.2.5. Sending events ....................................................................................................... 108
8.2.6. Configuration ........................................................................................................... 108
8.3. Esper Documentation ......................................................................................................... 108
8.4. AlgoTrader specific Esper Artifacts ..................................................................................... 109
8.4.1. Engine & EngineManager ........................................................................................ 109
8.4.2. Modules .................................................................................................................. 110
8.4.3. Tags ....................................................................................................................... 111
8.4.4. Subscribers ............................................................................................................. 111
8.4.5. Listeners ................................................................................................................. 112
8.4.6. Service method invocation in Esper scripts ............................................................... 112
8.4.7. Aggregation Functions ............................................................................................. 113
8.4.8. Callbacks ................................................................................................................ 115
8.5. Esper Threading ................................................................................................................ 118
9. Database ..................................................................................................................................... 119
9.1. Data Source ...................................................................................................................... 119
10. Client ......................................................................................................................................... 120
10.1. HTML5 ............................................................................................................................ 120
10.1.1. Header .................................................................................................................. 120
10.1.2. Order Table .......................................................................................................... 123
10.1.3. Transaction Table .................................................................................................. 124
10.1.4. Positions Table ..................................................................................................... 125
10.1.5. Market Data Table ................................................................................................. 126
10.1.6. Column Selection and Grouping ............................................................................. 127
10.1.7. CSV Export ........................................................................................................... 129
10.1.8. Chart Widget ......................................................................................................... 129
10.1.9. Technologies ......................................................................................................... 131
10.1.10. HTML5 Custom Widgets ...................................................................................... 132
10.2. AlgoTrader Eclipse IDE .................................................................................................... 135
10.2.1. AlgoTrader Perspective .......................................................................................... 135
10.2.2. Strategy Wizard ..................................................................................................... 136
10.2.3. AlgoTrader Configuration Editor ............................................................................. 137
10.2.4. Esper Colorer ........................................................................................................ 144

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11. Performance Measurement ....................................................................................................... 145

11.1. Portfolio Value Logging .................................................................................................... 145
11.2. Portfolio Value Restoration Feature ................................................................................... 145
12. Risk Management ..................................................................................................................... 147
13. Forex Handling ......................................................................................................................... 148
13.1. Currency Handling ........................................................................................................... 148
13.1.1. Futures ................................................................................................................. 149
13.1.2. Forex .................................................................................................................... 149
13.1.3. Currency Attribution ............................................................................................... 149
13.2. Forex-Hedging ................................................................................................................. 150
13.2.1. Virtual FX Positions (IB only) ................................................................................. 150
13.2.2. FX Future ............................................................................................................. 150
14. Options & Futures .................................................................................................................... 151
14.1. Expiration ........................................................................................................................ 151
14.2. Leverage & Exposure ....................................................................................................... 151
14.3. Symbol, ISIN & RIC ......................................................................................................... 152
14.4. Delta Hedging .................................................................................................................. 152
14.5. Option & Future Chain Download ...................................................................................... 153
14.6. Option Greeks ................................................................................................................. 153
14.7. Option Pricing Engine ....................................................................................................... 153
14.7.1. SABR Calibration .................................................................................................. 153
14.7.2. Option Pricing ....................................................................................................... 154
14.7.3. References ........................................................................................................... 154
14.8. OTC Options ................................................................................................................... 154
15. Reconciliation ........................................................................................................................... 155
15.1. Partner Systems .............................................................................................................. 155
15.2. Email Handling ................................................................................................................. 155
15.3. FTP Handling ................................................................................................................... 156
16. Broker/Exchange Interfaces ...................................................................................................... 157
17. Order Management ................................................................................................................... 159
17.1. Place Order ..................................................................................................................... 159
17.1.1. Order Preferences ................................................................................................. 160
17.1.2. Trade Suggestions ................................................................................................ 161
17.1.3. Order Properties .................................................................................................... 161
17.2. Receive Fills .................................................................................................................... 162
17.3. Handling of Fees and Commissions .................................................................................. 163
17.4. Internal Order Id Format ................................................................................................... 163
17.5. Symbology ....................................................................................................................... 164
18. Market Data ............................................................................................................................... 165
18.1. Creation of Bars based on Ticks ....................................................................................... 166
18.2. Numeric Precision ............................................................................................................ 167
18.3. Price normalization ........................................................................................................... 168
18.4. Market Data Gap Checking .............................................................................................. 168
18.5. Generic Events ................................................................................................................ 168

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18.6. Generic Tick Events ......................................................................................................... 169

19. Historical Data .......................................................................................................................... 171
19.1.
InfluxDB ........................................................................................................................... 172
19.2.
Live Data Recording ......................................................................................................... 176
19.3.
Historical Data Download ................................................................................................. 176
19.4.
Interactive Brokers Historical Data Download ..................................................................... 177
19.5.
Quandl Historical Data Download ...................................................................................... 178
19.6.
Google Finance Historical Data Download ......................................................................... 178
19.7.
Market Data File Format ................................................................................................... 178
19.7.1. Tick Data Files ...................................................................................................... 179
19.7.2. Bar Data Files ....................................................................................................... 180
20. Reference Data ......................................................................................................................... 181
21. Account Data ............................................................................................................................ 183
22. Adapters .................................................................................................................................... 185
22.1. Fix Interface ..................................................................................................................... 185
22.1.1. FIX configuration ................................................................................................... 187
22.1.2. FIX logging ........................................................................................................... 188
22.1.3. FIX message persistence ....................................................................................... 188
22.1.4. FIX Drop-copy support ........................................................................................... 188
22.2. Session life-cycle events .................................................................................................. 189
22.3. Crypto Exchange interfaces .............................................................................................. 189
22.3.1. Crypto Exchange vs. Margin Trading ...................................................................... 189
22.3.2. Custom currency mapping ..................................................................................... 190
22.4. Bloomberg ....................................................................................................................... 190
22.5. Currenex .......................................................................................................................... 190
22.6. DukasCopy ...................................................................................................................... 191
22.7. EzeSoft / Real Tick .......................................................................................................... 191
22.8. Fortex .............................................................................................................................. 192
22.9. FXCM .............................................................................................................................. 192
22.10. IB Native Interface ......................................................................................................... 192
22.10.1. IB Market Data Subscriptions ............................................................................... 195
22.11. IB Fix Interface .............................................................................................................. 199
22.12. JP Morgan ..................................................................................................................... 200
22.13. LMAX ............................................................................................................................ 200
22.14. Nexus Prime .................................................................................................................. 200
22.15. PrimeXM ........................................................................................................................ 201
22.16. Quandl ........................................................................................................................... 201
22.17. QuantHouse ................................................................................................................... 202
22.18. SocGen ......................................................................................................................... 203
22.19. Trading Technologies (TT) .............................................................................................. 203
22.20. UBS .............................................................................................................................. 203
22.21. Crypto-Adapter Order Constraints ................................................................................... 203
22.21.1. Order Type Validation .......................................................................................... 207
22.22. Binance ......................................................................................................................... 208

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22.23. Bitfinex .......................................................................................................................... 209

22.24. Bitflyer ........................................................................................................................... 209
22.25. BitMEX .......................................................................................................................... 211
22.26. Bitstamp ........................................................................................................................ 212
22.27. CoinAPI ......................................................................................................................... 213
22.28. Coinigy .......................................................................................................................... 214
22.28.1. Setup Instructions ................................................................................................ 214
22.29. CoinMarketCap .............................................................................................................. 215
23. Execution Algos ........................................................................................................................ 216
23.1. Existing Execution Algos .................................................................................................. 216
24. Synthetic Securities and Derivative Spreads ............................................................................ 224
24.1. Combination Example ...................................................................................................... 225
24.2. Combination Service ........................................................................................................ 225
24.2.1. Create Combination ............................................................................................... 225
24.2.2. Update Component Quantity .................................................................................. 225
24.2.3. Remove a Component ........................................................................................... 226
25. Spring Services ......................................................................................................................... 227
25.1. Starter Classes ................................................................................................................ 227
25.2. Spring Profiles ................................................................................................................. 228
26. Configuration and Preferences API .......................................................................................... 231
26.1. Configuration Files ........................................................................................................... 231
26.2. Esper Variables ............................................................................................................... 232
27. Processes and Networking ....................................................................................................... 233
27.1. SSL security .................................................................................................................... 233
27.1.1. Importing Certificate into Chrome Browser .............................................................. 234
28. Metrics ...................................................................................................................................... 235
28.1. Configuration ................................................................................................................... 235
28.2. Metrics Reporting ............................................................................................................. 235
29. Logging ..................................................................................................................................... 236
29.1. log4j2.xml ........................................................................................................................ 236
29.2. Production log4j2.xml ....................................................................................................... 236
30. Reporting .................................................................................................................................. 238
A. Example Strategy "BreakOut" ....................................................................................................... 239
A.1. Trading Idea ...................................................................................................................... 239
A.2. Example ............................................................................................................................ 239
A.3. Implementation .................................................................................................................. 240
A.4. Installation & Startup ......................................................................................................... 241
B. Example Strategy "Box" ................................................................................................................ 243
B.1. Trading Idea ...................................................................................................................... 243
B.2. Implementation .................................................................................................................. 246
B.3. Strategy Monitoring ............................................................................................................ 247
B.4. Installation & Startup ......................................................................................................... 247
C. Example Strategy "Pairs Trading" ................................................................................................. 250
C.1. Trading Idea ..................................................................................................................... 250

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C.1.1. What Is Pairs Trading? ........................................................................................... 250

C.1.2. Pair Trading Lab ..................................................................................................... 250
C.1.3. AlgoTrader - Pair Trading Lab Integration ................................................................ 250
C.2. Implementation .................................................................................................................. 251
C.3. Installation & Startup ......................................................................................................... 252
C.4. Strategy Monitoring ........................................................................................................... 254
D. Example Strategy "IPO" ............................................................................................................... 257
D.1. Trading Idea ..................................................................................................................... 257
D.2. Strategy Monitoring ........................................................................................................... 257
D.3. Implementation .................................................................................................................. 259
D.4. Installation & Startup ......................................................................................................... 260
E. Example Strategy "EMA" .............................................................................................................. 262
E.1. Trading Idea ...................................................................................................................... 262
E.2. Implementation .................................................................................................................. 262
E.3. Installation & Startup ......................................................................................................... 263
F. Example Strategy "Random" ......................................................................................................... 265
F.1. Trading Idea ...................................................................................................................... 265
F.2. Implementation .................................................................................................................. 265
F.3. Installation & Startup .......................................................................................................... 266

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List of Figures
2.1. Eclipse default JRE ..................................................................................................................... 11
3.1. Eclipse Run Configurations .......................................................................................................... 24
3.2. Eclipse Run Configurations .......................................................................................................... 25
3.3. Eclipse Run Configurations .......................................................................................................... 26
4.1. Strategy Development Process ..................................................................................................... 33
4.2. Wizard Selection .......................................................................................................................... 34
4.3. Wizard Location and Working Set ................................................................................................. 34
4.4. Wizard Maven Properties ............................................................................................................. 34
4.5. Wizard Maven Properties ............................................................................................................. 35
5.1. Back Test Report ......................................................................................................................... 71
6.1. Architecture ................................................................................................................................. 75
7.1. Entities Overview ......................................................................................................................... 77
7.2. Strategy ...................................................................................................................................... 79
7.3. Securities .................................................................................................................................... 81
7.4. Securities .................................................................................................................................... 83
7.5. Market Data Event ....................................................................................................................... 84
7.6. Orders ......................................................................................................................................... 85
7.7. Account ....................................................................................................................................... 87
7.8. Transaction ................................................................................................................................. 88
7.9. Position ....................................................................................................................................... 89
7.10. Subscription ............................................................................................................................... 90
7.11. Exchange .................................................................................................................................. 90
7.12. Properties and PropertyHolders .................................................................................................. 91
7.13. Order Preference ....................................................................................................................... 92
10.1. AlgoTrader HTML5 Client Header ............................................................................................. 120
10.2. AlgoTrader HTML5 Client Header Settings ................................................................................ 121
10.3. AlgoTrader HTML5 Client Management ..................................................................................... 122
10.4. AlgoTrader HTML5 Client Management Form ............................................................................ 122
10.5. AlgoTrader HTML5 Client Notification ........................................................................................ 122
10.6. AlgoTrader HTML5 Client Alert ................................................................................................. 123
10.7. AlgoTrader HTML5 Client Alert List ........................................................................................... 123
10.8. AlgoTrader HTML5 Client Order Table ...................................................................................... 123
10.9. AlgoTrader HTML5 Client Manual Order Entry ........................................................................... 123
10.10. AlgoTrader HTML5 Client Manual Order Detail ........................................................................ 124
10.11. AlgoTrader HTML5 Client Manual Order Modification ............................................................... 124
10.12. AlgoTrader HTML5 Client Transaction Table ............................................................................ 125
10.13. AlgoTrader HTML5 Client Transaction Entry ............................................................................ 125
10.14. AlgoTrader HTML5 Client Position Table ................................................................................. 126
10.15. AlgoTrader HTML5 Client Market Data Table ........................................................................... 126
10.16. AlgoTrader HTML5 Client Market Data Subscribe .................................................................... 127
10.17. AlgoTrader HTML5 Client Market Data Unsubscribe ................................................................. 127
10.18. AlgoTrader HTML5 Client Transaction Column Selection .......................................................... 128

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10.19. AlgoTrader HTML5 Client Column Filter .................................................................................. 128

10.20. AlgoTrader HTML5 Client Chart Widget ................................................................................... 129
10.21. AlgoTrader HTML5 Client Chart Widget settings ...................................................................... 130
10.22. AlgoTrader HTML5 Client Chart Widget - selecting security ...................................................... 131
10.23. HTML5 Custom Widget Example ............................................................................................ 132
10.24. AlgoTrader Configuration Editor .............................................................................................. 137
10.25. Strategy Data ......................................................................................................................... 138
10.26. Configuration file without strategy groups ................................................................................ 139
10.27. Titles and Separators in a property file .................................................................................... 141
10.28. Syntax Highlighter .................................................................................................................. 144
14.1. Leverage & Exposure ............................................................................................................... 152
18.1. Market Data Event Types ......................................................................................................... 166
22.1. Market Data Subscriptions 1 ..................................................................................................... 196
22.2. Market Data Subscriptions 2 ..................................................................................................... 196
22.3. Market Data Subscriptions 3 ..................................................................................................... 197
22.4. Market Data Subscriptions 4 ..................................................................................................... 198
22.5. Paper Trading Account 1 .......................................................................................................... 199
22.6. Paper Trading Account 2 .......................................................................................................... 199
24.1. Combinations and Components ................................................................................................ 224
24.2. Combination Example .............................................................................................................. 225
A.1. BreakOut Strategy Example ....................................................................................................... 240
B.1. Box Trading Ranges .................................................................................................................. 243
B.2. Box Strategy ............................................................................................................................. 244
B.3. Box States ................................................................................................................................ 245
B.4. Box Strategy Performance ......................................................................................................... 245
B.5. Box HTML5 Custom Widget Example ......................................................................................... 247
C.1. Pair Trading Portfolio ID ............................................................................................................ 253
C.2. Pairs Trading HTML5 Custom Widget Example ........................................................................... 255
D.1. IPO HTML5 Custom Widget Example ......................................................................................... 258
E.1. EMA Strategy Example .............................................................................................................. 262

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List of Tables
4.1. Strategy life-cycle phase .............................................................................................................. 61
7.1. Entities ........................................................................................................................................ 77
7.2. Strategy Classes ......................................................................................................................... 80
7.3. Portfolio Value Details .................................................................................................................. 80
7.4. Security Types ............................................................................................................................. 81
7.5. Security Types ............................................................................................................................. 84
7.6. Market Data Types ...................................................................................................................... 85
7.7. Order Classes ............................................................................................................................. 86
7.8. Position Valuation Details ............................................................................................................. 89
7.9. Exchange .................................................................................................................................... 91
7.10. Order Preference ....................................................................................................................... 92
7.11. Main Services ............................................................................................................................ 93
7.12. Client Services ........................................................................................................................... 94
8.1. AlgoTrader Server modules ........................................................................................................ 110
8.2. Esper tags ................................................................................................................................. 111
10.1. out-of-the-box types ................................................................................................................. 141
13.1. Position Currency Attribution ..................................................................................................... 149
13.2. Transaction Currency Attribution ............................................................................................... 150
14.1. Bar Data Format ...................................................................................................................... 151
19.1. Tick Data Format ..................................................................................................................... 180
19.2. Bar Data Format ...................................................................................................................... 180
22.1. BitFinex constraints .................................................................................................................. 204
22.2. BitMex constraints .................................................................................................................... 204
22.3. BitStamp constraints ................................................................................................................ 205
22.4. Binance constraints .................................................................................................................. 205
22.5. BitFlyer constraints ................................................................................................................... 206
22.6. Coingy constraints .................................................................................................................... 206
22.7. All exchanges and its constraints in one place ........................................................................... 207
22.8. Order type constraints .............................................................................................................. 207
22.9. Supported Instruments ............................................................................................................. 211
23.1. SlicingOrder ............................................................................................................................. 216
23.2. VWAPOrder ............................................................................................................................. 218
23.3. AdaptiveOrder .......................................................................................................................... 220
25.1. Adapter Spring Profiles ............................................................................................................ 229
29.1. Default Log4j Appenders .......................................................................................................... 236
29.2. Production Log4j Appenders ..................................................................................................... 236

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Preface

1. Document Conventions
This manual uses several conventions to highlight certain words and phrases and draw attention to specific
pieces of information.
1
In PDF and paper editions, this manual uses typefaces drawn from the Liberation Fonts set. The Liberation
Fonts set is also used in HTML editions. If not, alternative but equivalent typefaces are displayed.

1.1. Typographic Conventions

The following typographic conventions are used to call attention to specific words and phrases. These
conventions, and the circumstances they apply to, are as follows.

System input, including shell commands, file names and paths, and key caps and key-combinations are
presented as follows.

To see the contents of the file my_next_bestselling_novel in the current working directory,
enter the cat my_next_bestselling_novel command at the shell prompt and press Enter
to execute the command.

The above includes a file name, a shell command and a key cap, all distinguishable thanks to context.

Key-combinations can be distinguished from key caps by the symbol connecting each part of a key-
combination. For example:

Press Enter to execute the command.

Press Ctrl-Alt-F1 to switch to the first virtual terminal. Press Ctrl-Alt-F7 to return to the X-
Windows session.

The first sentence highlights the particular key cap to press. The second highlights two sets of three key caps,
each set pressed simultaneously.

If source code is discussed, class names, methods, functions, variable names and returned values mentioned
within a paragraph are presented as follows.

File-related classes include filesystem for file systems, file for files, and dir for directories.
Each class has its own associated set of permissions.

Words or phrases encountered on a system, including application names; dialog box text; labeled buttons;
check-box and radio button labels; menu titles and sub-menu titles are presented as follows.

Choose System → Preferences → Mouse from the main menu bar to launch Mouse
Preferences. In the Buttons tab, click the Left-handed mouse check box and click Close
to switch the primary mouse button from the left to the right (making the mouse suitable for
use in the left hand).

1
https://pagure.io/liberation-fonts

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 CONFIDENTIAL Pull-quote Conventions

To insert a special character into a gedit file, choose Applications → Accessories →

Character Map from the main menu bar. Next, choose Search → Find from the Character
Map menu bar, type the name of the character in the Search field and click Next. The character
sought will be highlighted in the Character Table. Double-click this highlighted character to
place it in the Text to copy field and then click the Copy button. Now switch back to the
document and choose Edit → Paste from the gedit menu bar.

The above text includes application names; system-wide menu names and items; application-specific menu
names; and buttons and text found within a GUI interface, all distinguishable by context.

Note the shorthand used to indicate traversal through a menu and its sub-menus. This is to avoid the difficult-
to-follow 'Select Mouse from the Preferences sub-menu in the System menu of the main menu bar' approach.

Italics denotes text that does not need to be imputed literally or displayed text that changes depending on
circumstance. Replaceable or variable text is presented as follows.

To connect to a remote machine using ssh, type ssh [email protected] at a shell

prompt. If the remote machine is example.com and the username on that machine is john,
type ssh [email protected].

The mount -o remount file-system command remounts the named file system. For
example, to remount the home file system, the command is mount -o remount /home.

To see the version of a currently installed package, use the rpm -q package command. It
will return a result as follows: package-version-release .

Note the words in italics above — username, domain.name, file-system, package, version and release. Each
word is a placeholder, either for text entered when issuing a command or for text displayed by the system.

1.2. Pull-quote Conventions

Two commonly multi-line data types are set off visually from the surrounding text.

Output sent to a terminal is presented as follows:

books Desktop documentation drafts mss photos stuff git

books_tests Desktop1 downloads images notes scripts svgs

Source-code listings are presented and highlighted as follows:

package org.jboss.book.jca.ex1;

import javax.naming.InitialContext;

public class ExClient {

public static void main(String args[]) throws Exception {

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InitialContext iniCtx = new InitialContext();

Object ref = iniCtx.lookup("EchoBean");
EchoHome home = (EchoHome) ref;
Echo echo = home.create();

System.out.println("Created Echo");

System.out.println("Echo.echo('Hello') = " + echo.echo("Hello"));

}
}

1.3. Notes and Warnings

Finally, three visual styles are used to draw attention to information that might otherwise be overlooked.

Warning

A Warning should not be ignored. Ignoring warnings will most likely cause data loss.

Important

Important boxes detail things that are easily missed: configuration changes that only apply to the
current session, or services that need restarting before an update will apply. Ignoring Important
boxes won't cause data loss but may cause irritation and frustration.

Note

A note is a tip or shortcut or alternative approach to the task at hand. Ignoring a note should
have no negative consequences, but might lead to a missed out on a trick that makes life easier.

xiv
Chapter 1. CONFIDENTIAL

Introduction
AlgoTrader is a comprehensive algorithmic trading platform that enables both buy side and sell side trading
firms to rapidly develop, simulate, backtest and deploy automated quantitative trading strategies on a single
platform. Designed by industry experts, it gives users maximum control over their trading experience. Initially
designed for global equities, futures, forex and options, AlgoTrader now fully supports automated trading of
Cryptocurrencies. AlgoTrader is an extremely reliable and robust system built on a multi-threaded, memory
efficient, highly concurrent architecture. It is optimized for high availability and performance to support
uninterrupted trading.

The following links provide general information about the system

1
System overview
2
Demo
3
Trial Version
4
Videos
5
Architecture
6
Screenshots
7
Product Features
8
Product Factsheet
9
List of 3rd party libraries

1
https://www.algotrader.com/product/overview/
2
https://www.algotrader.com/product/demo-system/
3
https://www.algotrader.com/product/demo-system/
4
https://www.algotrader.com/product/video/
5
https://www.algotrader.com/product/architecture/
6
https://www.algotrader.com/product/screenshots/
7
https://www.algotrader.com/features/
8
http://doc.algotrader.ch/AlgoTraderFactsheet.pdf
9
https://www.algotrader.com/product/3rd-party-libraries/

1
Chapter 2. CONFIDENTIAL

Installation and Deployment

2.1. Development Environment Installation
2.1.1. Prerequisites

Note
It is generally recommend not to use paths with spaces for any of the components used by
AlgoTrader (e.g. C:\Program Files).

Java JDK
1
Install the latest Java JDK 1.8 from Oracle

Important
Algotrader requires Java 1.8.x. Do not use Java 1.9 or greater.

It is necessary to have a Java JDK (Java Development Environment), a Java JRE (Java
Runtime Environment) will not be sufficient.

Please set the JAVA_HOME environment variable to point at the directory where the Java
JDK is installed. You also need to add JAVA_HOME\bin to your PATH variable. Setup java
2
environment variables:

Maven
AlgoTrader uses Apache Maven for handling of dependencies. The AlgoTrader Eclipse IDE already has
an embedded Maven installation integrated. In case one wants to use Maven from the command line,
it is necessary to download and install the latest version of Maven and setup it`s environment variables
3
according to the link Maven setup .

In particular, please set the MAVEN_HOME environment variable to point at the directory where Maven is
installed. You also need to add MAVEN_HOME\bin to your PATH variable.

All AlgoTrader artifacts are located on our Nexus server which is password protected:

https://repo.algotrader.ch/nexus/

It is necessary the create the following file <user-home>\.m2\settings.xml below content there, to make
sure Maven can access our Nexus server. Folder .m2 should have been automaticaly created while runing
maven for the first time.

1
http://www.oracle.com/technetwork/java/javase/downloads/jdk8-downloads-2133151.html
2
https://docs.oracle.com/javase/tutorial/essential/environment/paths.html
3
http://maven.apache.org/install.html

2
 CONFIDENTIAL Prerequisites

<?xml version="1.0" encoding="UTF-8"?>

<settings xmlns="http://maven.apache.org/SETTINGS/1.0.0"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xsi:schemaLocation="http://maven.apache.org/SETTINGS/1.0.0 http://
maven.apache.org/xsd/settings-1.0.0.xsd">
<servers>
<server>
<id>algotraderrepo</id>
<username>myusername</username>
<password>mypassword</password>
</server>
<server>
<id>archetype</id>
<username>myusername</username>
<password>mypassword</password>
</server>
</servers>

<profiles>
<profile>
<id>algotrader</id>
<repositories>
<repository>
<id>algotraderrepo</id>
<url>https://repo.algotrader.ch/nexus/repository/general/</url>
</repository>
<repository>
<id>archetype</id>
<url>https://repo.algotrader.ch/nexus/repository/general/</url>
</repository>
</repositories>
<pluginRepositories>
<pluginRepository>
<id>algotraderrepo</id>
<url>https://repo.algotrader.ch/nexus/repository/general/</url>
</pluginRepository>
</pluginRepositories>
</profile>
</profiles>

<activeProfiles>
<activeProfile>algotrader</activeProfile>
</activeProfiles>

</settings>

3
 CONFIDENTIAL Prerequisites

Note
Please replace myusername and mypassword (both appear twice!) with the username and
password provided when licensing AlgoTrader.

Git
AlgoTrader uses Git as its source code management system. The AlgoTrader Eclipse IDE already has a
Git installation integrated (EGit).

In case one wants to use Git from the command line it is necessary to download and install the latest
version of Git.
4 5
On Windows use TortoiseGit in combination with Git for Windows .

MySQL

Note
MySQL is not needed for simulations based on the embedded / in-memory database H2

6
Download and install MySQL Community Server 5.7 .

Important
Algotrader requires MySQL 5.7.x. Do not use MySQL 8.0 or greater.

Per default the system uses the user name root and password password. To change username and/or
password the following properties need to be updated inside conf-core.properties. Alternatively the
properties can be changed via Section 2.3, “VM Arguments”:

# database user name

#{"type":"String","label":"Data Source User name"}
dataSource.user = root

# database password
#{"type":"String","label":"Data Source Password"}
dataSource.password = password

You can create the root user/set the DB password using the following command:

mysqladmin -u myUsername password myPassword

4
https://tortoisegit.org
5
https://gitforwindows.org/
6
https://dev.mysql.com/downloads/mysql/5.7.html#downloads

4
 CONFIDENTIAL Prerequisites

To work with MySQL it is recommended to install a MySQL client. There are many different MySQL clients
available to choose from:
7
• MySQL Workbench (free)
8
• Toad for MySQL (free)
9
• SQLyog MySQL (commercial)

Note
The Java MySQL JDBC driver sometimes has issues connecting to the MySQL database
depending on the MySQL timezone setting. Java Exceptions like the following are an
indication for this issue:

java.sql.SQLException: The server time zone value

'Coordinated Universal Time' is unrecognized or represents more
than one time zone. You must
configure either the server or JDBC driver (via the
serverTimezone configuration property)
to use a more specifc time zone value if you want to utilize
time zone
support.

To fix the issue it is recommended to change the MySQL timezone setting by executing the
following MySQL statement

SET GLOBAL time_zone = 'UTC' ;

To be sure you do not lose this information, e.g. on reboot, you can set a time zone in the
MYSQL my.cnf or my.ini file

[mysqld]
default-time-zone=+00:00
explicit_defaults_for_timestamp=1

10
If that is not sufficient, follow the instructions under My SQL Time Zone Issues

Flyway
11
AlgoTrader uses Flyway to manage database updates. Flyway executes database migration scripts to
ensure that the database is in the state corresponding to the version of AlgoTrader installed.

7
https://www.mysql.com/products/workbench/
8
https://www.quest.com/products/toad-edge/
9
https://www.webyog.com/
10
https://dev.mysql.com/downloads/timezones.html
11
https://flywaydb.org/

5
 CONFIDENTIAL Prerequisites

12
Please install the Flyway command line version and add flyway directory to $PATH variable in System
Environment settings.

The database migration scripts are located in /bootstrap/conf/flyway.

To apply all necessary migration scripts please execute the following command from inside the flyway
directory .

flyway migrate

This will create a schema named algotrader on the local machine including all necessary tables and
required reference data.

Default settings can be overwritten as follows

flyway migrate
-url=jdbc:mysql://hostname:port
-user=username
-password=password
-schemas=schemaname

To reset the database please execute the following command

flyway clean migrate

Warning
This operation will erase all database content!

The display the current version of the database schema please execute the following command.

flyway info

13
For additional information on flyway please visit the flyway documentation .

InfluxDB

Note
InfluxDB is an optional component that is used to store historical data. In back testing it is
possible to use CSV files to provide historical data as an alternative to using InfluxDB

12
https://flywaydb.org/documentation/commandline/
13
https://flywaydb.org/documentation/maven/

6
 CONFIDENTIAL Prerequisites

14
Linux/MacOS: Download the latest version of InfluxDB and install it according to the InfluxDB installation
15
instructions ( Install it in a directory/tree without spaces in the names).

16
Windows: Download version 1.5.2 of InfluxDB and unpack the file in a directory/tree without spaces in
the names.

Important

On Windows Algotrader requires InfluxDB 1.5.2. Do not use InfluxDB 1.6.0 or greater.

To install InfluxDB as a windows service please follow these steps:

17
• download nssm

• unpack nssm

• update the following sections inside influxdb.conf by replacing <username> with the username that
will run InfluxDB

[meta]
# Where the metadata/raft database is stored
dir = "C:\\Users\\<username>\\.influxdb\\meta"

[data]
# The directory where the TSM storage engine stores TSM files.
dir = "C:\\Users\\<username>\\.influxdb\data"

# The directory where the TSM storage engine stores WAL files.
wal-dir = "C:\\Users\\<username>\\.influxdb\\wal"

• Go to nssm installed folder, choose win64 or win32 folder and start command propmt. Inside type: .
\nssm.exe install InfluxDB <full-path-to-influxd.exe> -config <full-path-to-influxdb.conf>

(put path in quotation marks if it contains spaces)

e.g. nssm.exe install InfluxDB c:\AlgoTrader\influxdb-1.5.2\influxd.exe -config c:

\AlgoTrader\influxdb-1.5.2\influxdb.conf

Make sure you run the influxd.exe command, not influx.exe.

• start InfluxDB service via Windows Service Manager

• Add an environment variable named HOME pointing to the directory where InfluxDB is installed
14
https://portal.influxdata.com/downloads#influxdb
15
https://docs.influxdata.com/influxdb/v1.5/introduction/installation//
16
https://dl.influxdata.com/influxdb/releases/influxdb-1.5.2_windows_amd64.zip
17
https://nssm.cc/download

7
 CONFIDENTIAL AlgoTrader Eclipse IDE Installation

All InfluxDB related settings are available within the file conf-influxdb.properties

Per default username/password authentication is disabled. To set username and password based
18
authentication please visit the InfluxDB Authentication and Authorization guide .

There are several client options available to access InfluxDB:

19
• InfluxDB Chronograf
20
• Grafana

2.1.2. AlgoTrader Eclipse IDE Installation

21
AlgoTrader provides a custom IDE (Integrated Development Environment) based on Eclipse . Other Java
22
IDE's (e.g. IntelliJ) or a standard Eclipse IDE can be used also, but the AlgoTrader Eclipse Plugins will not
be available.

To install the AlgoTrader Eclipse IDE:

• Installation based on AlgoTrader Eclipse Product (Recommended), see Section 2.1.2.1, “Installation based
on AlgoTrader Eclipse Product”

Important

Prior to installing the AlgoTrader Eclipse IDE please make sure that the necessary prerequisites
are installed.

2.1.2.1. Installation based on AlgoTrader Eclipse Product

To assist in setting up the AlgoTrader Eclipse IDE, there is a fully configured Eclipse based product which
contains all the AlgoTrader bundles and the required Eclipse plugins. Specifically, the AlgoTrader Eclipse
product contains:

• Eclipse Mars

• AlgoTrader Plugins

• Eclipse Git Team Provider (EGit)

• XML Tools

• Maven Integration For Eclipse (m2e)

18
https://docs.influxdata.com/influxdb/v1.5/query_language/authentication_and_authorization/
19
https://docs.influxdata.com/chronograf/v1.5/
20
http://docs.grafana.org/datasources/influxdb/
21
http://www.eclipse.org/
22
http://www.eclipse.org/

8
 CONFIDENTIAL AlgoTrader Server Code Installation

• M2E Extensions

• All necessary Eclipse Plugins

The AlgoTrader Eclipse Product can be downloaded from:

• Windows: https://repo.algotrader.ch/eclipse/product/algotrader-win32.win32.x86_64.zip

• Mac: https://repo.algotrader.ch/eclipse/product/algotrader-macosx.cocoa.x86_64.zip

• Linux: https://repo.algotrader.ch/eclipse/product/algotrader-linux.gtk.x86_64.zip

Username and Password are provided when licensing AlgoTrader.

Instructions:

• Download the product according to the Operating System

• Unzip the product zip file

• Start the product clicking on the AlgoTrader executable file

• After starting an Eclipse You need to setup a workspace. Select the default workspace or define a folder to
it. If folder in the path doesn`t exist, it will be created by default.

• Then open the Java perspective in the top right corner of the screen by clicking on the icon left of the
AlgoTrader icon.

2.1.3. AlgoTrader Server Code Installation

The AlgoTrader server code can be installed either via command line or via Eclipse

2.1.3.1. Command Line

To install the AlgoTrader server code via command line please perform the following steps.

2.1.3.1.1. Git Checkout

If one hasn`t installed git, please refer to git installation in chapter Section 2.1.1, “Prerequisites”

Perform a Git clone from the command line:

git clone https://gitlab.algotrader.ch/general/Bootstrap.git

Note

user name and password will be provided when signing up for an AlgoTrader license

9
 CONFIDENTIAL AlgoTrader Server Code Installation

Note

Please make sure the Maven settings file is updated according to Section 2.1.1, “Prerequisites”.

2.1.3.1.2. Maven Build

Execute the following maven command to build all maven projects

mvn clean install

Note

When running the build process for the first time, this will take a few minutes since all maven
dependencies have to be downloaded.

2.1.3.2. Eclipse

To build AlgoTrader from within Eclipse please follow this process.

2.1.3.2.1. Git Checkout

• Inside Eclipse switch to the Java Perspective ( Windows --> Open Perspective --> Java )

• Click File / Import / Git / Projects from Git / Clone URI

• Select the following URI https://gitlab.algotrader.ch/general/Bootstrap.git

• Enter User and Password (provided when licensing AlgoTrader)

• Click Next

• Select master

• Click Next

• Select Import existing projects and click Next

• Select the project bootstrap and click finish

• Select the new project bootstrap in the packate explorer, right click and select Import / Maven / Existing
Maven Projects and select:

• conf

• launch

10
 CONFIDENTIAL AlgoTrader Server Code Installation

• Click Finish

This will result in the following Eclipse projects:

• algotrader-conf

• algotrader-launch

Note

The compilation will show errors, which should go away after the next section has been
completed.

2.1.3.2.2. Maven Build

Before running the maven build from within Eclipse please make sure that the default Eclipse Java runtime
environment is pointing to a Java JDK. To verify please go to Window / Preferences / Java / Installed JREs.
If the default JRE is pointing to a Java JRE, then please add a reference to the Java JDK which was installed
according to Section 2.1.1, “Prerequisites”

Figure 2.1. Eclipse default JRE

To generate the code right click on the project bootstrap inside Eclipse and select / Run As / Maven install.
This will generate all maven modules.

Now refresh all projects. Eclipse will compile all java code automatically. In case there is an error message
Project configuration is not up-to-date with pom.xml... on any of the projects the please select: Maven->Update
Project from the project context menu.

11
 CONFIDENTIAL Next Steps

2.1.4. Next Steps

After the AlgoTrader Eclipse IDE has been installed please continue with one of the following steps:

• Start AlgoTrader according to Chapter 3, Starting AlgoTrader

• Start an example trading strategy according to the Appendix of this document

• Create a trading strategy according to Chapter 4, Strategy Development

2.2. Server Environment Installation

23
AlgoTrader uses Docker for server side installations.

Docker allows packaging of applications with all of its dependencies into a standardized unit for software
development.

At the core of the Docker platform is Docker Engine, a lightweight runtime and robust tooling that builds and
runs Docker containers.

24
For an in-depth description of Docker please visit the What is Docker page.

25
To get started with Docker please visit the Docker Engine Documentation page.

2.2.1. Docker based Installation

Docker is supported on Linux, Windows, OS X as well as different cloud services (e.g. Amazon AWS or Digital
Ocean).

Please follow these setups to setup a Docker based AlgoTrader installation:

Install Docker Engine

26
according to the Docker Engine installation instructions

Note

On Mac and Windows please install Docker Toolbox that contains the Docker Engine

Install Docker Compose

27
according to the Docker Compose installation instructions

23
https://www.docker.com/
24
https://www.docker.com/what-docker
25
https://docs.docker.com/engine/
26
https://docs.docker.com/engine/installation/
27
https://docs.docker.com/compose/install/

12
 CONFIDENTIAL Docker Containers

Note

On Mac and Windows please install the Docker Toolbox that contains Docker Compose

Copy docker compose file

Copy the following file to the server and make changes as necessary according to Section 2.2.3, “Docker
Compose”:

28
https://gitlab.algotrader.ch/general/algotrader/blob/master/docker-compose.yml

Login to Nexus
Login to the Docker Repository with the username and password provided when licensing AlgoTrader.

docker login docker.algotrader.ch

Run docker compose

Invoke the following command inside the directory where the docker-compose.yml file is located:

docker-compose up -d

Open the AlgoTrader HMTL5 Frontend

Open the browser and point it to the following URL using the IP retrieved in the previous step.

http://localhost:9090

The above process will setup an AlgoTrader based system made up of the following Docker containers:

• AlgoTrader server

• Interactive Brokers Gateway

• MySQL (with the AlgoTrader MySQL sample data populated)

To startup AlgoTrader with different startup options please visit this chapter on starting AlgoTrader in a
Section 3.3, “Server Environment”

To startup one of the AlgoTrader example strategies please visit the appendix of this documentation.

2.2.2. Docker Containers

A typical Docker based AlgoTrader installation is made up of the following Docker containers that can be
configured vie a docker-compose.yml file.

28
https://gitlab.algotrader.ch/general/Bootstrap/tree/master/launch/docker-compose.yml

13
 CONFIDENTIAL Docker Containers

2.2.2.1. AlgoTrader Container

The AlgoTrader Docker container contains the AlgoTrader Java code including Flyway (see Chapter 9,
Database). The AlgoTrader code is located in the directory /usr/local/algotrader inside the Docker
container.

The following Docker environment variables are relevant for the AlgoTrader container:

• ALGOTRADER_HOST (default: algotrader). This variable is used by strategies to reference the AlgoTrader
Docker container.

• DATABASE_HOST (default: mysql)

• DATABASE_PORT (default: 3306)

• DATABASE_NAME (default: algotrader)

• DATABASE_USER (default: root)

• DATABASE_PASSWORD (default: password)

• IB_GATEWAY_HOST (default: ibgateway)

• IB_GATEWAY_ACCOUNT optional, only needs to be specified if the IB login has multiple accounts associated

• INFLUXDB_HOST (default: influxdb)

• VM_ARGUMENTS Additional VM arguments to be added to the java process (e.g. -DlogLevel=INFO)

• SPRING_PROFILES (default:
live,pooledDataSource,iBMarketData,iBNative,iBHistoricalData,embeddedBroker,html5) Spring
profiles to be used (comma separated list)

• STARTER_CLASS (default ch.algotrader.starter.ServerStarter)

In addition the command line switch -i can be used to load the MySQL sample data file (samples/db/mysql/
mysql-data.sql) on first start up. The sample data will only be loaded if the security table contains no data.
To use the -i switch please use the following directive inside docker-compose.yml:

command: -i

The AlgoTrader Docker container will run through the following process on startup:

1. Wait for MySQL to be available. When starting up MySQL and AlgoTrader at the same time (using docker
compose) it will take the database a few seconds to become available.

2. Run all Flyway migrate scripts. This happens only the first time the AlgoTrader Docker container is started
and does not happen again until the container is updated.

3. Load MySQL sample data if the -i command line switch is used (see above).

14
 CONFIDENTIAL Docker Containers

4. Start the AlgoTrader server

2.2.2.2. AlgoTrader Strategy Containers

AlgoTrader based trading strategies run in separate Docker containers when running in distributed mode. When
running a single strategy in embedded-mode the strategy will run inside the same Docker container as the
AlgoTrader server.

The strategy code is located in the directory /usr/local/strategy inside the Docker container.

All strategy Docker containers are based on the AlgoTrader Docker container, so environment variables from
the AlgoTrader docker container can be reused inside strategy containers.

To build a strategy Docker container the following Dockerfile has to be added to the root of the project:

FROM docker.algotrader.ch/algotrader/algotrader:latest

ENV STRATEGY_NAME=XYZ

WORKDIR /usr/local/strategy
ADD target/*.jar lib/

ENTRYPOINT ["/usr/local/algotrader/bin/docker-strategy-run.sh"]
CMD ["-e"]

Please replace XYZ with the name of the strategy.

Strategy Docker containers use the /usr/local/algotrader/bin/docker-strategy-run.sh startup script

that is provided by the AlgoTrader Docker container.

The startup script supports both embedded and distributed mode, see: Section 3.2, “Live Trading Mode”

To start the strategy Docker container in embedded mode please use the -e command line switch inside the
docker-compose.yml file of your strategy:

command: -e

This will cause the system to run through the following process:

1. Wait for MySQL to be available. When starting up MySQL and AlgoTrader at the same time (using docker
compose) it will take the database a few seconds to become available.

2. Run all Flyway migrate scripts. This happens only the first time the strategy Docker container is started and
does not happen again until the container is updated.

3. Load MySQL data from db/mysql/mysql-data.sql. MySQL is only loaded if the entry in the strategy table
for $STRATEGY_NAME is missing

15
 CONFIDENTIAL Docker Containers

4. Start the strategy in embedded mode

To start the strategy Docker container in distributed mode please use the -d command line switch inside the
docker-compose.yml file of your strategy:

command: -d

This will cause the system to run through the following process:

1. Wait for the AlgoTrader RMI port (1199) to be available

2. Wait for the ActiveMQ JMS port (61616) to be available

3. Start the strategy in distributed mode

When running the system in distributed mode the AlgoTrader server needs to be run in a separate Docker
container. Since trading strategies do not have access to the database directly MySQL data needs to be loaded
manually by connecting to the database with a MySQL client. It is therefore suggest to follow this process when
starting up the system in distributed mode:

1. Startup MySQL, IB Gateway and AlgoTrader

docker-compose up -d mysql ibgateway algotrader

Note
Please see the following chapter about changing IB API settings (Read-Only API)

2. Load MySQL data by connecting a MySQL client to port 3306 of the Docker Engine

3. Start strategies

docker-compose up -d XYZ

Please replace XYZ with the name of the strategy.

2.2.2.3. Interactive Brokers Gateway

This container is made up of the following two components:

29
• Interactive Brokers IB Gateway
30
• IB Controller which allows running IB Gateway in an automated fashion

29
https://www.interactivebrokers.com/en/index.php?f=5041
30
https://github.com/ib-controller/ib-controller

16
 CONFIDENTIAL Docker Containers

The following environment variables are relevant for the IB Controller container:

• TWS_USERNAME (default: pmdemo)

• TWS_PASSWORD (default: demouser)

• TRADING_MODE (default: paper)

31
To run IB Gateway on a headless server (i.e. the Docker container) an xvfb virtual frame buffer is used.

Unfortunately only few settings of the IB Gateway can be managed via the IB Controller. All other settings have
to be managed via the IB Gateway UI itself which is not visible on the Docker container.

This is especially cumbersome for the Read-Only API trading mode that the is set by default. If this mode is
active, placement of orders is not allowed.

To change any of the IB Gateway settings (e.g. Read-Only API trading mode) please execute the following
steps:

32
1. The IB Gateway container stores IB settings inside a Docker Volume . This volume can be mapped to a
local directory as follows.

On Linux and Mac

volumes:
- /var/lib/tws:/var/lib/tws

This will make IB Gateway settings available in the local directory /var/lib/tws

On Windows

volumes:
- c:/Users/Administrator/Documents/tws:/var/lib/tws

This will make IB Gateway settings available in the local directory c:\Users\Administrator\Documents
\tws

2. Install and start IB Gateway on a regular workstation (Windows, Mac or Linux)

3. Go to Configure / Settings / API / Settings

4. Make necessary changes (e.g. deselect the Read-Only API check box) and click OK

5. Close the IB Gateway

31
https://en.wikipedia.org/wiki/Xvfb
32
https://docs.docker.com/storage/volumes/

17
 CONFIDENTIAL Docker Containers

6. Inside the IB Gateway installation folder there will be one or multiple sub-directories starting which have a
name made up of 8-9 characters starting with a the letter d. Please select the directory with the latest time-
stamp and makes sure it contains a file named ibg.xml

7. Copy this directory (e.g. darykqwzr) into the IB Gateway settings directory linked above:

8. Copy the jts.ini file into the IB Gateway settings directory linked above:

9. Start the IB Gateway Docker Container:

docker-compose create start ibgateway

Note

The above steps will not work for the public pmdemo account which gets reset upon each startup.

2.2.2.4. MySQL
33
MySQL provides a fully configured Docker container. For further details please visit MySQL on Docker Hub

The following environment variables are relevant for the MySQL container:

• MYSQL_ROOT_PASSWORD (default: password)

• MYSQL_DATABASE (default; algotrader)

34
MySQL data is stored inside a Docker Volume . This volume can be mapped to a local directory as follows.

On Linux and Mac

volumes:
- /var/lib/mysql:/var/lib/mysql

This will make MySQL data available in the local directory /var/lib/mysql

On Windows

volumes:
- c:/Users/Administrator/Documents/mysql:/var/lib/mysql

This will make MySQL data available in the local directory c:\Users\Administrator\Documents\mysql

33
https://hub.docker.com/_/mysql/
34
https://docs.docker.com/storage/volumes/

18
 CONFIDENTIAL Docker Compose

2.2.2.5. InfluxDB
35
InfluxDB provides a fully configured Docker container. For further details please visit InfluxDB on Docker Hub
36
InfluxDB data is stored inside a Docker Volume . This volume can be mapped to a local directory as follows.

On Linux and Mac

volumes:
- /var/lib/influxdb:/var/lib/influxdb

This will make MySQL data available in the local directory /var/lib/mysql

On Windows

volumes:
- c:/Users/Administrator/Documents/influxdb:/var/lib/influxdb

This will make MySQL data available in the local directory c:\Users\Administrator\Documents\influxdb

2.2.3. Docker Compose

Docker based applications typically consist of many small applications that work together. Docker transforms
these applications into individual containers that are linked together. Instead of having to build, run and
manage each individual container, Docker Compose allows definition of multi-container application with all of
its dependencies in a single file, then startup the application in a single command. The application's structure
and configuration are held in a single place, which makes starting up applications simple and repeatable
everywhere.
37
For further details regarding Docker Compose please visit the Docker Compose documentation .

Docker Compose uses docker-compose.yml files to configure multi-container applications. AlgoTrader ships
with a default docker-compose.yml file located inside the top-level AlgoTrader project directory:

algotrader:
image: docker.algotrader.ch/algotrader/algotrader
command: -i
environment:
- VM_ARGUMENTS=-Dkeygen.id=...
links:
- mysql
- ibgateway

35
https://hub.docker.com/_/influxdb/
36
https://docs.docker.com/storage/volumes/
37
https://docs.docker.com/compose/

19
 CONFIDENTIAL Docker Compose

- influxdb
ports:
- 9090:9090
- 61614:61614

ibgateway:
image: docker.algotrader.ch/interactivebrokers/ibgateway
environment:
TWS_USERNAME: pmdemo
TWS_PASSWORD: demouser
volumes:
- /var/lib/tws

mysql:
image: mysql:5.7.22
environment:
MYSQL_ROOT_PASSWORD: password
MYSQL_DATABASE: algotrader
ports:
- 3306:3306
volumes:
- /var/lib/mysql

influxdb:
image: influxdb:1.5.2
ports:
- 8086:8086
volumes:
- /var/lib/influxdb

Using this docker-compose.yml file will create Docker containers for AlgoTrader, IB Gateway, MySQL and
InfluxDB. The following items are present in the file:

• service name: e.g. algotrader, ibgateway

• image: the name of the image to use in the format namespace/repository:version (e.g.
docker.algotrader.ch/algotrader/algotrader:latest)

• command: command line argument to pass to the Docker container (e.g. -i). See Section 2.2.2, “Docker
Containers” for supported command line arguments.

• links: services to link to this container (e.g. mysql & ibgateway). Adding a link will make the target container
accessible with the correct IP by its link name.

• ports: ports to map on the host machine. E.g. 3306:3306 will map port 3306 of the MySQL container to
3306 of the host machine

• environment: environment variables to use. See Section 2.2.2, “Docker Containers” for supported
environment variables

20
 CONFIDENTIAL Docker Compose

• volumes: Docker Data volumes to create. E.g. c:/Users/mysql:/var/lib/mysql will map the directory /
var/lib/mysql inside the container to c:\mysql on the host machine.

2.2.3.1. Passwords
The example docker-compose.yml file specifies multiple passwords directly. for security purposes this often
38
not advisable. As an alternative passwords can be stored using Docker secrets

2.2.3.2. Config Files

All properties within the AlgoTrader *.properties files can be overwritten using the docker environment
variable VM_ARGUMENTS as mentioned in Section 2.2.2.1, “AlgoTrader Container”.

If a large number of properties need to be changed or if other config files need to be changed (e.g. fix.cfg)
it is recommended to follow this process:

1. start a local instance of the AlgoTrader container using the command

docker run -i -t --entrypoint /bin/bash docker.algotrader.ch/algotrader/algotrader

root@9f9adac97f3c:/usr/local/algotrader#

Take note of the container ID that has been created, 9f9adac97f3c

2. make changes to any of the config files inside /usr/local/algotrader/conf

3. Exit the modified AlgoTrader container using exit

4. Commit the change to the modified AlgoTrader container using the following command

docker commit CONTAINER_ID docker.algotrader.ch/algotrader/algotrader:VERSION

using the CONTAINER_ID retrieved above and setting a new VERSION

2.2.3.3. Log Files

It is a Docker best-practice to have only one running process per Docker container. Typically application
output is logged directly to the console where it can be viewed using the command docker logs according
39
to theDocker documentation

Sometimes this is not enough and one wishes to write additional information (e.g. fix messages) to a separate
log file. To get access to this log file from outside the container it is advised to create an additional volume:

volumes:
- ~/fix.log:/usr/local/algotrader/logs/fix.log

38
https://docs.docker.com/engine/swarm/secrets/
39
https://docs.docker.com/engine/reference/commandline/logs/

21
 CONFIDENTIAL Docker Management

2.2.4. Docker Management

In addition to using the Docker command line, several options exist for management of docker based
installations

2.2.4.1. Portainer

Portainer is another alternative Docker web interface.

To use Docker UI please add the following to the docker-compose.yml file:

docker-ui:
image: portainer/portainer
command: -H unix:///var/run/docker.sock
ports:
- 9000:9000
volumes:
- /var/run/docker.sock:/var/run/docker.sock

40 41
For further details please visit Docker UI on Docker Hub and Docker UI on GitHub .

2.2.4.2. Kitematic
42
When running Docker on Windows or Mac Docker Kitematic provides a UI for management of the Docker
engine.

40
https://hub.docker.com/r/dockerui/dockerui/
41
https://github.com/kevana/ui-for-docker
42
https://kitematic.com/

22
 CONFIDENTIAL VM Arguments

2.3. VM Arguments
Many characteristics of the system can be customized with VM arguments, the following list provides an
overview of commonly used VM arguments.

-DlogLevel
log4j log level (ERROR, WARN, INFO or DEBUG)

-Dspring.profiles.active
list of Spring Profiles to activate (see Section 25.1, “Starter Classes”)

-Xmx
increase the Java Heap Size to specified amount (e.g. 2048M)

AlgoTrader specific configuration parameters can be changed inside the .properties files. As an alternative
configuration parameters can also be provided as VM arguments in which case they will overwrite existing
parameters inside *.properties files.

-Dstatement.closePosition=false

23
Chapter 3. CONFIDENTIAL

Starting AlgoTrader
As a first step one needs to make sure that the appropriate algotrader license key is properly configured. The
license key was provided in the Email after signing up for the AlgoTrader free 30-day trial or when purchasing
an algotrader license. The license key needs to be configured inside the file /algotrader-conf/src/main/
resources/conf.properties as follows.

Now AlgoTrader can be started through various Eclipse Run Configurations which are available to launch
the various operation modes of AlgoTrader. To access the available Eclipse Run Configurations follow
screen shots below. For more information on Eclipse Run Configurations, please see https://wiki.eclipse.org/
1
FAQ_What_is_a_launch_configuration .

Open Run Configurations

Select the downward facing black arrow next to the green run symbol

Figure 3.1. Eclipse Run Configurations

Select Run Configuration

Select the Run Configuration in the list on the left. The right hand side will show the project the Run
Configuration will start in as well as the Main Java class

1
https://wiki.eclipse.org/FAQ_What_is_a_launch_configuration%3F

24
 CONFIDENTIAL

Figure 3.2. Eclipse Run Configurations

25
 CONFIDENTIAL Simulation Mode

Update program and VM arguments if necessary

Figure 3.3. Eclipse Run Configurations

3.1. Simulation Mode

To run AlgoTrader in Simulation Mode and perform a back test of a strategy the class
ch.algotrader.starter.SimulationStarter has to be invoked. This will run the strategy using the
embedded in-memory database h2.

In Eclipse Run Configurations named SimulationStarter-simulate-xxx are provided which contain the
following items:

Main-Tab

• Project: strategy project

• Main Class: ch.algotrader.starter.SimulationStarter

Arguments-Tab / Program Arguments

simulateWithCurrentParams

Arguments-Tab / VM Arguments

-Dsimulation=true
-DstrategyName=XXX

26
 CONFIDENTIAL Live Trading Mode

-DdataSource.dataSetType=TICK
-DdataSource.dataSet=yyy
-Dspring.profiles.active=simulation,embeddedDataSource

Note
To run the strategy in simulation mode a dependency to algotrader-core has to be added to
the maven dependencies of the trading strategy. Alternatively one can create a separate maven
module containing dependencies to the strategy project as well as algotrader-core.

3.2. Live Trading Mode

To run AlgoTrader in Live Trading Mode the corresponding Broker or Exchange Interface (e.g. local broker
client, Fix session, VPN Connection, etc.) needs to be up and running.

If using InteractiveBrokers the Trader Workstation or the IB Gateway have to be running with the following
configurations under API/Settings:

• Enable ActiveX and Socket Clients

• Read-Only Mode: false

• Socket Port: 4001

• Trusted IP Addresses: 127.0.0.1

When running AlgoTrader in Live Trading Mode the AlgoTrader Server and the Strategies can either be run in
separate JVM's (distributed mode) or the entire system can be run within one single JVM (embedded mode).

Before starting AlgoTrader check the database table strategy. The column AUTO_ACTIVATE should be set to
true for records corresponding to the AlgoTrader Server and the trading strategy one wants to trade.

3.2.1. Embedded Mode

In Embedded Mode both the AlgoTrader Server and the Strategy run within the same JVM.

Note
Only one Strategy can be run at once in Embedded Mode

In Eclipse Run Configurations named EmbeddedStrategyStarter-xxx are provided which contain the
following items:

Main-Tab

• Project: strategy project

27
 CONFIDENTIAL Distributed Mode

• Main Class: ch.algotrader.starter.EmbeddedStrategyStarter

Arguments-Tab / VM Arguments

-DstrategyName=TEST
-Dmisc.embedded=true
-
Dspring.profiles.active=live,<dataSource>,<marketDataProfile>,<brokerProfile>,embeddedBroker,ht

• dataSource: the hibernate datasource to use, either: pooledDataSource, singleDataSource

• marketDataProfile: the SpringProfile corresponding to the market data interface in use (e.g.
iBMarketData or bBMarketData)

• tradingProfile: the SpringProfile corresponding to the broker interface in use (e.g. iBNative or iBFix)

Note

To run the strategy in embedded mode a dependency to algotrader-core has to be added to

the maven dependencies of the trading strategy. Alternatively one can create a separate maven
module containing dependencies to the strategy project as well as algotrader-core.

3.2.2. Distributed Mode

In Distributed Mode the AlgoTrader Server and the Strategy / Strategies run in separate JVM's and have to
be started separately.

To Start the AlgoTrader Server in distributed mode the Eclipse launch configurations ServerStarterXX is
provided which contain the following items:

Main-Tab

• Project: algotrader-core

• Main Class: ch.algotrader.starter.ServerStarter

Arguments-Tab / VM Arguments

-
Dspring.profiles.active=live,<dataSource>,<marketDataProfile>,<brokerProfile>,embeddedBroker,ht

• dataSource: the hibernate datasource to use, either: pooledDataSource, singleDataSource

• marketDataProfile: the SpringProfile corresponding to the market data interface in use (e.g.
iBMarketData or bBMarketData)

• tradingProfile: the SpringProfile corresponding to the broker interface in use (e.g. iBNative or iBFix)

28
 CONFIDENTIAL Server Environment

To start a Strategy Eclipse Run Configurations StrategyStarter-xxx are provided which contain the following
items:

Main-Tab

• Project: strategy project

• Main Class: ch.algotrader.starter.StrategyStarter

Arguments-Tab / VM Arguments

-DstrategyName=TEST
-Dspring.profiles.active=live

3.3. Server Environment

AlgoTrader uses Docker for server environment installations. When using Docker this various components of
the system as well as their configurations are managed trough docker-compose.yml files. As a first step when
using The AlgoTrader Docker server environment is to configure the AlgoTrader license key within the docker-
compose.yml file by replacing the ... with the license key that was provided in the Email after signing up for
the AlgoTrader free 30-day trial or when purchasing an algotrader license

xyz:
image: xyz
command: -d
environment:
- VM_ARGUMENTS=-Dkeygen.id=...

algotrader:
image: docker.algotrader.ch/algotrader/algotrader
container_name: algotrader
environment:
- VM_ARGUMENTS=-Dkeygen.id=...

3.3.1. Embedded Mode

In Embedded Mode both the AlgoTrader Server and the Strategy run within the same JVM.

Note

Only one Strategy can be run at once in Embedded Mode

To run the system in embedded mode create a docker-compose.yml file similar to the following:

29
 CONFIDENTIAL Embedded Mode

xyz:
image: xyz
command: -e
environment:
- VM_ARGUMENTS=-Dkeygen.id=...
links:
- mysql
- ibgateway
- influxdb
ports:
- 9090:9090
- 61614:61614
environment:
STRATEGY_NAME: XYZ

ibgateway:
image: docker.algotrader.ch/interactivebrokers/ibgateway
environment:
TWS_USERNAME: pmdemo
TWS_PASSWORD: demouser
volumes:
- /var/lib/tws

mysql:
image: mysql:5.7.22
environment:
MYSQL_ROOT_PASSWORD: password
MYSQL_DATABASE: algotrader
ports:
- 3306:3306
volumes:
- /var/lib/mysql

influxdb:
image: influxdb:1.5.2
ports:
- 8086:8086
volumes:
- /var/lib/influxdb

Please replace xyz / XYZ with the name of the trading strategy. Please refer to Chapter 4, Strategy Development
on how to create a new trading strategy.

To start the system in embedded mode please run the following command from the directory where the docker-
compose.yml file is located:

docker-compose up -d

30
 CONFIDENTIAL Distributed Mode

This will create the following docker containers: strategy (xyz), ibgateway & mysql

For further details please see Section 2.2.3, “Docker Compose”

3.3.2. Distributed Mode

In Distributed Mode the AlgoTrader Server and the Strategy / Strategies run in separate JVM's and have to
be started separately.

To run the system in distributed mode create a docker-compose.yml file similar to the following:

xyz:
image: xyz
command: -d
environment:
- VM_ARGUMENTS=-Dkeygen.id=...
links:
- algotrader
environment:
STRATEGY_NAME: XYZ

algotrader:
image: docker.algotrader.ch/algotrader/algotrader
container_name: algotrader
environment:
- VM_ARGUMENTS=-Dkeygen.id=...
links:
- mysql
- ibgateway
- influxdb
ports:
- 9090:9090
- 61614:61614

ibgateway:
image: docker.algotrader.ch/interactivebrokers/ibgateway
container_name: ibgateway
environment:
TWS_USERNAME: pmdemo
TWS_PASSWORD: demouser
volumes:
- /var/lib/tws

mysql:
image: mysql:5.7.22
container_name: mysql
environment:
MYSQL_ROOT_PASSWORD: password
MYSQL_DATABASE: algotrader

31
 CONFIDENTIAL Distributed Mode

ports:
- 3306:3306
volumes:
- /var/lib/mysql

influxdb:
image: influxdb:1.5.2
ports:
- 8086:8086
volumes:
- /var/lib/influxdb

Please replace xyz / XYZ with the name of the trading strategy.

To start the system in distributed mode please run the following command from the directory where the docker-
compose.yml file is located:

docker-compose up -d

This will create the following docker containers: strategy (xyz), algotrader, ibgateway & mysql

For further details please see Section 2.2.3, “Docker Compose”

32
Chapter 4. CONFIDENTIAL

Strategy Development
Warning
It is recommended to perform thorough Simulation / Back Testing of newly developed strategies.
After that the strategy should be tested with a Paper Trading Account. At the end of a thorough
test procedure, the new strategy can be put into production. At the beginning of live trading it
is recommended to use a small trading account only.

The following diagram shows the general procedure for developing new strategies:

Figure 4.1. Strategy Development Process

4.1. Creating a Trading Strategy

The following paragraph will give a short example based on a simple moving average strategy (with the Short
Name EMA).

The following 2 options can assist in creating a new trading strategy, the AlgoTrader Strategy Wizard and the
AlgoTrader Maven Archetype.

In addition to this setup, you will need to create a database entry for your strategy. Please refer to the strategy
table definition.

4.1.1. AlgoTrader Strategy Wizard

The Strategy Wizard provides an easy way to automatically create all artifacts necessary for an AlgoTrader
based trading strategy. Internally the Strategy Wizards makes use of the AlgoTrader Archetype, see

33
 CONFIDENTIAL AlgoTrader Strategy Wizard

Section 4.1, “Creating a Trading Strategy ”. The Strategy Wizard provides options for three different types of
Trading Strategies:

• Esper based Strategies

• Default Java Strategies (without Esper)

• Simple Stratgies, consiting of only one file

Inside Eclipse switch to the Java Perspective. The Strategy Wizard can be started via the File / New / Other
which will bring up the following screen where the Maven Project wizard can be selected:

Figure 4.2. Wizard Selection

On the next step the location for the newly created project (trading strategy) as well as the Eclipse working
set can be selected.

Figure 4.3. Wizard Location and Working Set

On the next screen please select the AlgoTrader Catalog and algotrader-archetype-esper for Esper
based strategies or algotrader-archetype-java for standard strategies (without Esper) or algotrader-
archetype-simple for extremely basic strategies

Figure 4.4. Wizard Maven Properties

Group Id
The maven group id (e.g. algotrader), all lower-case, can contain periods

Artifact Id
The maven artifact id (e.g. algotrader-ema), all lower-case, can contain dashes

Version
The maven version (e.g. 1.0.0-SNAPSHOT), x.y.z, plus optionally -SNAPSHOT

Package
The java package name (ch.algotrader.strategy), all lower-case, can contain periods.

name
The name of the strategy (e.g. ema), all lower-case, no periods, no dashes

serviceName
The name of the strategy service (e.g. EMA), first letter upper-case or all upper-case, do not include Service
at the end (e.g. do not specify EMAService)

34
 CONFIDENTIAL AlgoTrader Maven Archetype

Important
For Spring Auto-Wiring to work the package name needs to be ch.algotrader.strategy. If a
different package is assigned services (e.g. OrderService and LookupService) will not be
available.

For all of these items previously entered values can be reused by clicking the combo-box to the right of the field.

Figure 4.5. Wizard Maven Properties

When clicking finish the Strategy Wizard will create a new Eclipse project using the AlgoTrader Artifact.

4.1.2. AlgoTrader Maven Archetype

The AlgoTrader Maven Archetype is a project template that can be used to create a new AlgoTrader trading
Strategy. To use the Maven Archetype execute the following command from the command line in a new empty
directory.

To create Esper bases strategies execute (replace <version> with the corresponding AlgoTrader version):

mvn archetype:generate -DarchetypeGroupId=algotrader -DarchetypeArtifactId=algotrader-

archetype-esper -DarchetypeVersion=<version>

To create default strategies execute (replace <version> with the corresponding AlgoTrader version):

mvn archetype:generate -DarchetypeGroupId=algotrader -DarchetypeArtifactId=algotrader-

archetype-java -DarchetypeVersion=<version>

To create very simple strategies consiting of only one single java file execute (replace <version> with the
corresponding AlgoTrader version):

mvn archetype:generate -DarchetypeGroupId=algotrader -DarchetypeArtifactId=algotrader-

archetype-simple -DarchetypeVersion=<version>

The Maven Archetype will ask for the following input parameters:

groupId
The maven group id (e.g. algotrader), all lower-case, can contain periods

artifactId
The maven artifact id (e.g. algotrader-ema), all lower-case, can contain dashes

version
The maven version (e.g. 1.0.0-SNAPSHOT), x.y.z, plus optionally -SNAPSHOT

35
 CONFIDENTIAL Generated Artifacts Java Archetype

packageName
The java package name (ch.algotrader.strategy), all lower-case, can contain periods.

name
The name of the strategy (e.g. ema), all lower-case, no periods, no dashes

serviceName
The name of the strategy service (e.g. EMA), first letter upper-case or all upper-case, do not include Service
at the end (e.g. do not specify EMAService)

Important

For Spring Auto-Wiring to work the package name needs to be ch.algotrader.strategy. If a

different package is assigned services (e.g. OrderService and LookupService) will not be
available.

4.1.3. Generated Artifacts Java Archetype

The Java Archetype will generate the following artifacts:

/src/main/java/ch/algotrader/strategy/EMAService.java
The strategy service class

/src/main/java/ch/algotrader/strategy/EMAConfig.java
The strategy configuration class

/src/main/java/ch/algotrader/strategy/Metrics.java
A sample class that can be used within the strategy

/src/main/java/ch/algotrader/strategy/State.java
A sample enum that can be used within the strategy

/launch/*.launch
Eclipse Run Configurations to start the Strategy in embedded mode and simulation mode

/pom.xml
The Maven project object model file containing general information about the Trading Strategy

/Dockerfile
The Docker file

4.1.3.1. EMAService.java

This is the main Java-class containing the Business Logic.

The references to the Services provided by the AlgoTrader Server (e.g. OrderService, PositionService,
etc.) will be injected on startup by the Spring Framework

36
 CONFIDENTIAL Generated Artifacts Java Archetype

public class EMAService extends ConfigAwareStrategyService<EMAConfig> {

@Override
public void onStart(final LifecycleEventVO event) {

getSubscriptionService().subscribeMarketDataEvent(getStrategyName(), getConfig().getSecurity
}

@Override
public void onBar(BarVO bar) {

MarketOrderVO order = MarketOrderVOBuilder.create()

.setStrategyId(getStrategy().getId())
.setAccountId(getConfig().getAccountId())
.setSecurityId(getConfig().getSecurityId())
.setQuantity(new BigDecimal(getConfig().getOrderQuantity()))
.setSide(bar.getClose().compareTo(bar.getOpen()) > 0 ? Side.BUY : Side.SELL)
.build();

getOrderService().sendOrder(order);
}

The class EMAService method contains the following items:

Once the strategy has reached the START live cycle phase subscribe to the security needed for this strategy
Construct an Order Value Object using the MarketOrderVOBuilder. The OrderVO contains a reference
to the strategy, the security, the account as well as the quantity and the order side.
Send the Order to the market via the OrderService

4.1.3.2. pom.xml

The Maven pom.xml file contains the Maven project definition as well as Maven dependencies:

<?xml version="1.0" encoding="UTF-8"?>

<project xmlns="http://maven.apache.org/POM/4.0.0" xmlns:xsi="http://www.w3.org/2001/
XMLSchema-instance" xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://
maven.apache.org/xsd/maven-4.0.0.xsd">
<modelVersion>4.0.0</modelVersion>
<groupId>algotrader</groupId>
<artifactId>algotrader-ema</artifactId>
<version>0.0.1-SNAPSHOT</version>
<name>ema strategy</name>

37
 CONFIDENTIAL Generated Artifacts Esper Archetype

<build>
<plugins>
<plugin>
<artifactId>maven-compiler-plugin</artifactId>
<configuration>
<source>${java.version}</source>
<target>${java.version}</target>
</configuration>
</plugin>
</plugins>
</build>

<dependencies>
<dependency>
<groupId>algotrader</groupId>
<artifactId>algotrader-core</artifactId>
<version>...</version>
</dependency>
</dependencies>

<properties>
<java.version>1.8</java.version>
</properties>

</project>

4.1.3.3. Dockerfile

The Dockerfile contains all relevant informatin to build a Docker container:

FROM docker.algotrader.ch/algotrader/algotrader:latest

ENV STRATEGY_NAME=EMA

WORKDIR /usr/local/strategy
ADD target/*.jar lib/

ENTRYPOINT ["/usr/local/algotrader/bin/docker-strategy-run.sh"]
CMD ["-e"]

4.1.4. Generated Artifacts Esper Archetype

The Esper Archetype will generate the following artifacts:

/src/main/java/ch/algotrader/strategy/EMAService.java
The strategy service class

38
 CONFIDENTIAL Generated Artifacts Esper Archetype

/src/main/resources/module-ema.epl
Esper Module containing statements related to signal generation

/src/main/resources/conf-ema.properties
Contains parameters used by the strategy (e.g. Moving average durations etc.)

/src/main/resources/META-INF/esper-ema.cfg.xml
Contains event-types, imports, variables and general Esper settings

/src/main/resources/META-INF/applicationContext-client-ema.xml
Spring Application Context File for the strategy

/src/main/resources/db/mysql/mysql-ema.sql
MySQL data file containing db data needed for this trading strategy in live trading mode

/launch/*.launch
Eclipse Run Configurations to start the Strategy in embedded mode and simulation mode

/pom.xml
The Maven project object model file containing general information about the Trading Strategy

/Dockerfile
The Docker file

4.1.4.1. EMAService.java

This is the main Java-class containing the Business Logic.

The references to the Services provided by the AlgoTrader Server (e.g. OrderService, PositionService,
etc.) will be auto injected on startup by the Spring Framework

public class EMAService extends StrategyService {

private @Value("#{@emaConfigParams.accountId}") long accountId;

private @Value("#{@emaConfigParams.securityId}") long securityId;
private @Value("#{@emaConfigParams.orderQuantity}") long orderQuantity;

@Override
public void onStart(final LifecycleEventVO event) {
getSubscriptionService().subscribeMarketDataEvent(getStrategyName(), this.securityId, FeedType.I
}

public void sendOrder(Side side) {

MarketOrderVO order = MarketOrderVOBuilder.create()

.setStrategyId(getStrategy().getId())
.setAccountId(this.accountId)
.setSecurityId(this.securityId)

39
 CONFIDENTIAL Generated Artifacts Esper Archetype

.setQuantity(this.orderQuantity)
.setSide(side)
.build();

getOrderService().sendOrder(order);
}

The class EMAService method contains the following items:

Gets references to settings defined in conf-ema.properties

Once the strategy has reached the START live cycle phase subscribe to the security needed for this strategy
Construct an Order Value Object using the MarketOrderVOBuilder. The OrderVO contains a reference
to the strategy, the security, the account as well as the quantity and the order side.
Send the Order to the market via the OrderService

4.1.4.2. module-ema.epl

This Esper module contains the Esper statements for signal generation

The statement MOVING_AVERAGE generate signals by using the moving average function.

the statement SEND_ORDER calls the EMAService.sendOrder() whenever there is a moving average crossover
on the indicators. The Tag @Subscriber is used to instruct the EsperEngine to attach the Subscriber to this
statement. This way the sendOrder method is called whenever there is a signal.

@Name('MOVING_AVERAGE')
insert into
Indicator
select
ema(currentValue, movingAveragePeriodShort) -
ema(currentValue, movingAveragePeriodLong) as value
from
TickVO;

@Name('SEND_ORDER')
@Subscriber(className='emaService#sendOrder')
select
case when indicator.value > 0 then Side.BUY else Side.SELL end as side
from
pattern [every indicator=Indicator]
where
(indicator.value > 0 and prior(1, indicator.value) <= 0)
or
(indicator.value < 0 and prior(1, indicator.value) >= 0)

40
 CONFIDENTIAL Generated Artifacts Esper Archetype

4.1.4.3. conf-ema.properties
This configuration file contains the parameters of the strategy:

#{"type":"Integer","label":"Account ID"}
accountId = 1

#{"type":"Integer","label":"Security ID"}
securityId = 1

#{"type":"Integer","label":"Default Order Quantity"}

orderQuantity = 100000

#{"type":"Integer","label":"Moving Average Period Short"}

movingAveragePeriodShort = 10

#{"type":"Integer","label":"Moving Average Period Long"}

movingAveragePeriodLong = 20

This file uses special JSON comments that are used by the AlgoTrader Config Editor, see Section 10.2.3,
“AlgoTrader Configuration Editor”

4.1.4.4. esper-ema.cfg.xml
The esper configuration file looks like this:

<?xml version="1.0" encoding="UTF-8"?>

<esper-configuration xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xmlns="http://espertech.com/schema/esper"
xsi:schemaLocation="http://espertech.com/schema/esper
http://espertech.com/schema/esper/esper-configuration-4-0.xsd">

<variable name="movingAveragePeriodShort" type="int" constant="true"/>

<variable name="movingAveragePeriodLong" type="int" constant="true"/>

</esper-configuration>

The above file configures the required variables along with their type. The actual values for the variables are
taken from conf-ema.properties.

4.1.4.5. applicationContext-client-ema.xml
A typical Spring Configuration File looks like this:

<?xml version="1.0" encoding="UTF-8"?>

<beans xmlns="http://www.springframework.org/schema/beans"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"

41
 CONFIDENTIAL Generated Artifacts Esper Archetype

xmlns:p="http://www.springframework.org/schema/p"
xsi:schemaLocation="http://www.springframework.org/schema/beans
http://www.springframework.org/schema/beans/spring-beans-3.0.xsd">

<bean id="emaConfigParams"
class="ch.algotrader.config.spring.CustomConfigParamsFactoryBean" >
<property name="global" ref="configParams"/>
<property name="resource">
<value>classpath:/conf-ema.properties</value>
</property>
</bean>

<bean id="emaEngine"
class="ch.algotrader.esper.EngineFactoryBean">
<property name="strategyName" value="EMA"/>
<property name="configResource" value="esper-ema.cfg.xml"/>
<property name="configParams" ref="emaConfigParams"/>
<property name="initModules" value="test"/>
</bean>

<bean id="emaService"
class="ch.algotrader.EMAService" autowire="byName">
<property name="strategyName" value="EMA"/>
<property name="engine" ref="emaEngine"/>
</bean>

</beans>

This file contains the following Spring Bean Definitions:

contains a Map of all properties based on settings defined in conf-ema.properties

Creates the Esper Engine based on strategyName, configResource, configParams and initModules
and optional runModules definitions
Creates the Strategy Service based on strategyName definition and engine reference. All dependencies
of the ch.algotrader.service.StrategyService will be injected automatically through auto wiring

4.1.4.6. mysql-ema.sql

The MySQL database script contains the following items:

INSERT INTO `strategy` (`ID`, `NAME`, `AUTO_ACTIVATE`, `VERSION`) VALUES

(2, 'EMA', True, 0);

The file contains an entry in the table strategy. The column AUTO_ACTIVATE means that the strategy will be
automatically run in simulation mode.

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 CONFIDENTIAL Generated Artifacts Esper Archetype

4.1.4.7. pom.xml

The Maven pom.xml file contains the Maven project definition as well as Maven dependencies:

<?xml version="1.0" encoding="UTF-8"?>

<project xmlns="http://maven.apache.org/POM/4.0.0" xmlns:xsi="http://www.w3.org/2001/
XMLSchema-instance" xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://
maven.apache.org/xsd/maven-4.0.0.xsd">
<modelVersion>4.0.0</modelVersion>
<groupId>algotrader</groupId>
<artifactId>algotrader-ema</artifactId>
<version>0.0.1-SNAPSHOT</version>
<name>ema strategy</name>

<build>
<plugins>
<plugin>
<artifactId>maven-compiler-plugin</artifactId>
<configuration>
<source>${java.version}</source>
<target>${java.version}</target>
</configuration>
</plugin>
</plugins>
</build>

<dependencies>
<dependency>
<groupId>algotrader</groupId>
<artifactId>algotrader-core</artifactId>
<version>...</version>
</dependency>
</dependencies>

<properties>
<java.version>1.8</java.version>
</properties>

</project>

4.1.4.8. Dockerfile

The Dockerfile contains all relevant information to build a Docker container:

FROM docker.algotrader.ch/algotrader/algotrader:latest

43
 CONFIDENTIAL Building a Trading Strategy

ENV STRATEGY_NAME=EMA

WORKDIR /usr/local/strategy
ADD target/*.jar lib/

ENTRYPOINT ["/usr/local/algotrader/bin/docker-strategy-run.sh"]
CMD ["-e"]

4.2. Building a Trading Strategy

Execute the following Maven command to start a Maven build of the trading strategy:

mvn install

The Maven modules can now be deployed to a Maven repository (e.g. Sonatype Nexus) using:

mvn deploy

1
For further details regarding a maven deploy please visit the Maven deploy plug-in page

Execute the following Docker command to create a Docker image of the trading strategy that can be used for
productive deployments:

docker build -t xyz .

Please replace xyz with the name of the trading strategy.

The Docker image can now be pushed to a Docker repository (e.g. Docker Hub, Sonatype Nexus or Amazon
ECR). For further details on pushing to a Docker repository please visit:

2
• Docker Hub
3
• Sonatype Nexus 3.0
4
• Amazon ECR

4.3. Hints for Strategy Development

It is possible to develop trading strategies purely in Java for simplicity. Very often it is though helpful to use
Esper for Market Data Analysis and Signal Generation in addition to Java code. The following sections will
provide hints on developing strategies both in Java and Esper.

1
https://maven.apache.org/plugins/maven-deploy-plugin/
2
https://docs.docker.com/docker-hub/repos/#pushing-a-repository-image-to-docker-hub
3
https://support.sonatype.com/hc/en-us/articles/360000761828
4
https://docs.aws.amazon.com/AmazonECR/latest/userguide/docker-push-ecr-image.html

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 CONFIDENTIAL Java based Strategies

4.3.1. Java based Strategies

Java bases Strategies typically consist of a single Java class where all logic is implemented inside event
handler methods (e.g. onInit, onBar, onTick, onOrderStatus, etc.)

4.3.1.1. Strategy starters

The following two Starters are available to start a trading strategy in embedded and in distributed mode.

StrategyStarter
StrategyStarter starts a strategy in stand-alone mode running in a separate JVM process. The strategy
will use ActiveMQ message broker to receive market data and other events from the server JVM process.
The server JVM process is expected to be running before the strategy JVM is started.

EmbeddedStrategyStarter
EmbeddedStrategyStarter starts a strategy in single JVM (embedded) mode, when server and strategy
run in the same process. Market data and other events are delivered directly to the strategy instances by
a single event dispatcher.

4.3.1.2. Event Handler Methods

AlgoTrader is an event based system. All strategy related events are propagated to strategies as event objects
(e.g. Order, OrderStatus, Tick, Bar, etc.). Inside strategies these events are made available through event
handler methods, e.g.:

@Override
public void onBar(BarVO bar) {
// do something
}

4.3.1.3. Life-Cycle Events

Strategy classes can provide listeners for life-cycle events in order to receive notifications about strategy life-
cycle phase transitions and execute custom life-cycle dependent logic

@Override
public void onInit(final LifecycleEventVO event) {
// do something
}

@Override
public void onPrefeed(final LifecycleEventVO event) {
// do something

45
 CONFIDENTIAL Java based Strategies

For further information on life-cycle events please visit Section 22.2, “Session life-cycle events”

4.3.1.4. State based Strategy

Often a strategy has several states that it runs through during execution (e.g. FLAT, PENDING_LONG,
PENDING_SHORT, LONG, SHORT, etc.). For these situations it is advisable to use a Java Enum, e.g.:

package ch.algotrader.strategy;

public enum State {

FLAT, PENDING_LONG, PENDING_SHORT, LONG, SHORT;
}

In case a strategy trades multiple instruments and each instrument has its own state it is suggested to create a
Metrics object for each instrument. The Metrics object is a simple Java POJO that holds the state per instrument
and potential other information regarding the instrument (e.g. values of technical indicators):

public class Metrics implements Serializable {

private static final long serialVersionUID = 5972079135237671512L;

private long securityId;

private State state;
private double ema; // exponential moving average

public Metrics(long securityId, State state, double ema) {

this.securityId = securityId;
this.state = state;
this.ema = ema;
}

// getters and setters

}

4.3.1.5. Prevent an action from happening multiple times

Often a Java Action is triggered multiple times by a certain situation, because the underlying cause takes a
finite amount of time to be resolved.

Example: The current market level exceeds a defined stop, which triggers a closing order. However during
the time the order is being executed at the market, additional market data events are received. Because the
position is not yet closed by that time, another undesired closing order might get placed.

46
 CONFIDENTIAL Java based Strategies

To prevent actions from happening multiple times a state object mentioned in the previous section is again
very helpful.

Whenever the predefined signal condition is met the state will be set to PENDING.

Below is an example implementation of a state based strategy.

@Component
public class ABCService extends StrategyService {

private final long[] securityIds = { 1, 2, 3, 4, 5 };

private Map<Long, Metrics> metricsMap = new HashMap<>();

@Override
public void onInit(final LifecycleEventVO event) {

for (long securityId : securityIds) {

metricsMap.put(securityId, new Metrics(securityId, State.FLAT));
}
}

@Override
public void onTick(TickVO tick) {

long securityId = tick.getSecurityId();

Metrics metrics = metricsMap.get(securityId);

if (metrics.getEma() > ... && State.FLAT == metrics.getState()) {

metrics.setState(State.PENDING_LONG);
sendOrder(securityId);
}
}

private void sendOrder(long securityId) {

// create and send the order
}

@Override
public void onOrderStatus(OrderStatusVO orderStatus) {

if (Status.EXECUTED == orderStatus.getStatus()) {

Order order = getOrderService().getOrderByIntId(orderStatus.getIntId());

Metrics metrics = metricsMap.get(order.getSecurity().getId());
metrics.setState(State.LONG);
}

47
 CONFIDENTIAL Java based Strategies

}
}

List the securityIds the strategy wants to use

Store a Map of Metrics keyed by securityId
Create one Metrics object per securityId
Once a trigger was met (based on the trading logic) and the current State is FLAT set the State to PENDING
Send the order. Since the LONG_TRIGGER statement only triggers if the state is FLAT it will not trigger again
once the state has been set to PENDING_LONG.
Once the order got fully executed set the State to EXECUTED. As an alternative to using the onOrderStatus
method a Section 8.4.8.2, “Trade callback” could be used.

4.3.1.6. Tagging of orders

Strategies that trade multiple securities at the same time often have the requirement to associate a particular
order with a certain strategy. It is therefore often necessary to "tag" an order with additional meta data. This can
be accomplished using order properties, see Section 17.1.3, “Order Properties”. In tagging orders using order
properties it is also possible to distinguish automatically placed orders from manually placed orders (through
AlgoTrader client or external broker GUI).

4.3.1.7. Using Base Strategy Names

Typically a strategy running corresponds to one entry in the database table strategy. In certain situations it
may be necessary for a running strategy to place orders into separate entries in the database table strategy.
Reasons for this might be:

• A strategy wants to have of multiple positions on the same instrument (i.e. long and short positions at the
same time)

• A strategy needs to track positions for different accounts

For this purpose it is possible to use so called Base Strategy Names.

Example:

A strategy named EXAMPLE would like to interact with the two separate entries in the database named LONG
and SHORT. For this purpose the strategy needs to be started with the strategyName set to EXAMPLE inside the
fileconf-cng.properties . Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

strategyName = EXAMPLE

In addition one needs to create the two entries EXAMPLE|LONG and EXAMPLE|SHORT in the database table
strategy. the | separator causes strategy events like OrderStatusVO, FillVO and TransactionVO are
propagated to the running strategy EXAMPLE.

48
 CONFIDENTIAL Java based Strategies

Note

Using other characters than | will not work and will cause strategy events not to arrive in the
EXAMPLE strategy.

4.3.1.8. Rolling of Futures and Options

Due to the expiring nature of Futures and Options, corresponding Positions have to be rolled prior to the
Expiration Date. Typically, this would involve the following steps:

1. Close the Front-Month Position

2. Unsubscribe the Front-Month Future/Option

3. Subscribe the Back-Month Future/Option

4. On First Tick (see Section 8.4.8.1, “First tick callback”) open a new Position

When dealing with futures one has to decide on when to roll from the Front-Month future into the Back-Month
future. For this different philosophies exist:

• Roll on a fixed day prior to the expiration date or the first notice date

• Roll when the Back-Month future starts having a higher traded volume than the Front-Month future

• Use the constant maturity method as described in the following section

Since Futures have an expiration date and are therefore not continuous, it is often not possible to base
indicators on them. There are several method for dealing with this situation:

• use the raw data and ignore the fact that price time series will have jumps

• On the rollover day, add the difference between yesterdays closing price of the Back-Month future and
yesterdays closing price of the Front-Month future to the combined time series. Alternatively one can use
the difference between today's opening price of the Back-Month future and yesterdays closing price of the
Front-Month future if only the time series for the generic 1st future is available. This method can be used for
P&L calculation it might however lead to negative prices on long time series.

• Instead of using addition as mentioned in the previous item use multiplication. This method however cannot
be used for P&L calculations. Depending on the indicator in use either addition or multiplication will be
adequate.

• Use the constant maturity method as described in the following section

Please see Section 5.7, “Multi Security Simulations” for options on how to back test futures and options based
strategies that require multiple securities to be subscribed and unsubscribed during the back test.

49
 CONFIDENTIAL Java based Strategies

4.3.1.9. Synchronizing system clock

Many strategies require that the local system clock is in sync with the remote server clock. Unfortunately it is
not possible to directly sync the local time with the remote server clock. However most servers are using NTP
or some other time sync mechanism to make sure there local clock is in sync with the official time defined by
NTP servers. As a result local system clock should also be synchronized with NTP servers. In most cases this
can be done directly through the operating system (e.g. Windows Time Service). For Windows Servers there
5
is also the time sync tool available which tends to be more precise than the Windows Time Service.

4.3.1.10. Prevent LazyInitializationException

Strategy code running runs outside of Hibernate Sessions. Traversal along the Object Tree beyond what is
already loaded into the Hibernate session will throw a LazyInitializationException. All n-to-1 associations
(e.g. Position.getStrategy) will be fetched eagerly so no LazyInitializationException will be throws.

The LazyInitializationException can still occur on rare occasions. To handle those

situations there is a corresponding method to fully initialize the association inside
each Entity association (e.g. Transaction.initializeSecurity(Initializer initializer) or
Combination.initializeComponents(Initializer initializer)). The method takes a reference to an
Initializer. In strategies the CacheManager can be passed as an Initializer and in server-side services
the HibernateInitializer can be used. Subsequent calls to the same association will then get access to
the already initialized Entity or Collection.

Traverse of an uninitialized relation from Position to Security in strategy code would look like this:

Position position = ...

position.initializeSecurity(getCacheManager()); // initialize security
position.getSecurity(); // security is now initialized

4.3.1.11. Comparing CSV files

Sometimes one needs to compare output data files to verify a trading strategy or to find a problem during
strategy development. CSV files can be imported into Microsoft Excel for the purpose of comparing them.
Comparing two files however remains tricky and repeated exporting/importing and comparing in Excel can be
cumbersome.

AlgoTrader provides a Java utility to compare ("diff") CSV files and assert the contents of the two files. For
example the following statement compares a backtesting output file actual.csv with an expected result file
expected.csv:

CsvDiff.diffAndLogAssertionErrors(fileDiffer,
new File("expected.csv"), new File("actual.csv"));

5
http://www.timesynctool.com/

50
 CONFIDENTIAL Java based Strategies

The fileDiffer argument instructs the tool how to perform the diff operation. It can be constructed as follows:

FileDiffer fileDiffer = new FileDiffer(expectedDef, actualDef, differ);

In the above statement, expectedDef and actualDef define the columns of the two files; the differ gives
exact instructions on how to perform the comparison of the files.

The columns of a CSV file are provided as implementations of CsvColumn which can be done with an enum:

public enum OrderReport implements CsvColumn {

Date(new DateConverter("dd.MM.yyyy HH:mm:ss")),

Instrument(SymbolConverter.INSTANCE),
Side(StringConverter.INSTANCE),
OrderType(StringConverter.INSTANCE),
Size(LongConverter.INSTANCE),
Limit(DoubleConverter.INSTANCE);

private OrderReport(ValueConverter<?> converter) {

this.converter = converter;
}
private final ValueConverter<?> converter;

@Override
public int index() {
return ordinal();
}

@Override
public ValueConverter<?> converter() {
return converter;
}
}

An example CSV file definition is then created as follows:

boolean hasHeaderLine = true;

CsvDefinition orderReportDef = new CsvDefinition(hasHeaderLine, OrderReport.values());

After defining the columns of both CSV files via CsvDefinition as indicated above we need to give instructions
on how to perform the actual diff operation itself. In the simplest case we just compare the CSV files line by
line and assert all or selected columns of the two files:

51
 CONFIDENTIAL Java based Strategies

SimpleDiffer differ = new SimpleDiffer.Builder()

.assertEqual(OrderReport.Date, OrderReport.Date)
.assertEqual(OrderReport.Instrument, OrderReport.Instrument)
.assertEqual(OrderReport.Side, OrderReport.Side)
.assertEqual(OrderReport.Size, OrderReport.Size)
.build();

The diff can also contain more complex instructions. For instance assume that we have exactly one BUY/SELL
order per instrument and day but the ordering of instrument and side within a given date may be random. To
align the correct rows for comparison, we must provide grouping and sorting hints for this case:

SimpleDiffer simpleDiffer = new SimpleDiffer.Builder()

.assertEqual(OrderReport.Date, OrderReport.Date)
.assertEqual(OrderReport.Instrument, OrderReport.Instrument)
.assertEqual(OrderReport.Side, OrderReport.Side)
.assertEqual(OrderReport.Size, OrderReport.Size)
.build();

SortingDiffer sortingDiffer = new SortingDiffer.Builder()

.add(OrderReport.Instrument, OrderReport.Instrument)
.add(OrderReport.Side, OrderReport.Side)
.build(simpleDiffer);

GroupDiffer differ = new GroupDiffer.Builder()

.add(OrderReport.Date, OrderReport.Date)
.build(sortingDiffer);

Now we are ready to run the CsvDiff.diffAndLogAssertionErrors(..) statement from above. The result
may look similar to the following:

[..FAILED] 2 diffs at lines[exp/act]=45/51 in columns[exp/act]=[Size/Size] {exp-

file=...}
[..FAILED] files: exp=OrderReport.csv, act=OrderReport_20141112_034538.csv
[..FAILED] lines: exp=45, act=51
[..FAILED] group: [13.01.2014]
[..FAILED]
===========================================================================
[..FAILED] NUM | COLUMN(S) | EXPECTED | ACTUAL | MESSAGE
[..FAILED]
----|--------------|--------------|--------------|-------------------------
[..FAILED] (1) | Size | 2023769 | 2023762 | Values don't match ...
[..FAILED]
----|----------------------------------------------------------------------
[..FAILED] (1) | exp-line: [45] 13.01.2014 22:00:00,NYSE:PEP,BUY,Market,2023769,22.38

52
 CONFIDENTIAL Esper based Strategies

[..FAILED] | act-line: [51] 13.01.2014

22:00:00,NYSE:PEP,BUY,Market,2023762,22.382
[..FAILED]
===========================================================================

4.3.2. Esper based Strategies

When developing strategies using Esper in addition to Java code it is generally recommended to do Time-
based Market Data Analysis and Signal Generation inside Esper Statements. Procedural actions like placing
an order or subscribing to a Security are predominantly done inside Java Code.

4.3.2.1. Print Statement Selects

By means of the TestSubscriber, selected values of a Statement can be printed to the Console.

@Name('TEST')
@Subscriber(className='ch.algotrader.esper.subscriber.TestSubscriber')
@SimulationOnly
select
valueA,
valueB,
valueC
from
TestEvent;

4.3.2.2. Logging values of an Indicator to a log file

Often strategies are based on a technical indicator. During simulation it is often desirable to log the values of
such an indicator to a log file. This can be done with the following statement:

@Name('INSERT_INTO_INDICATOR')
@Listeners(classNames={'ch.algotrader.esper.listener.IndicatorListener'})
select
dateTime.toDate() as dateTime,
valueA,
valueB
valueC
from
Indicator;

Above statement will log dateTime, valueA, valueB and valueC to a the file files/report/
IndicatorReport.csv

53
 CONFIDENTIAL Esper based Strategies

4.3.2.3. Access to Esper Variables

Esper has a sophisticated variable management functionality. It is possible to access those variables from Java
through the following methods:

// set variable value

engine.setVariableValue("target", target);

// retrieve variable value

Double target = (Double) engine.getVariableValue("target");

6
For further details on Esper Variables please visit the Esper Documentation

4.3.2.4. Esper Utility classes

Complex computations should be handled outside Esper. For this purpose, it is often easier to create a small
Utility class and use its methods inside the statement. Example:

package ch.algotrader.strategy;

public class MyUtil {

public static double calculate(BigDecimal last) {

return ...; // add calculation here

}
}

This Utility class also needs to be declared in the file esper-...xml:

<auto-import import-name="ch.algotrader.strategy.MyUtil"/>

Now, the Utility class can be used in an Esper Statement like this to adjust a trailing stop loss:

select
tick.last,
value
from
TickVO as tick,
method:MyUtil.calculate(tick.last) as value

6
http://esper.espertech.com/release-5.5.0/esper-reference/html/epl_clauses.html#variables_overview

54
 CONFIDENTIAL Esper based Strategies

7
For further details on using static methods please visit the Esper documentation

4.3.2.5. Prioritizing Statements

If two statements are based on the same Event, it is necessary to set a priority for each statement to make
sure, the system behaves deterministically:

@Name('STATEMENT_1')
@Priority(2)
select * from A;

@Name('STATEMENT_2')
@Priority(1)
select * from A;

8
For further details on statement priorities please visit the Esper documentation

4.3.2.6. Market Data Event Pre-feeding

When starting up a strategy in Live Trading Mode, it is often necessary to initialize technical indicators that
have a look-back period. This initialization is done by feeding historical market data into the Esper Engine.

A typical pre-feed method will look like this:

@Override
protected void onPrefeed(final LifecycleEventVO event) {
switch (event.getOperationMode()) {
case REAL_TIME:
feedMarketData();
break;
}
}

public void feedMarketData() {

Date date = DateUtils.addHours(new Date(), -1);
Collection<TickVO> ticks = getHistoricalDataService().getTicksByMinDate(securityId, date, 1);
getEngine().initCoordination();
getEngine().coordinate(new CollectionInputAdapter(ticks, "dateTime"));
getEngine().startCoordination();
}

This method will load all ticks for the security (defined by securityId) for the last hour. It will then feed all of
them sequentially to the local EsperEngine.

7
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 CONFIDENTIAL Esper based Strategies

9
For further details on Esper Coordination please visit the Esper documentation

Note
Feeding of live market data only starts in the START live cycle phase. This prevents mix-up of
historical pre-feed data and live market data.

4.3.2.7. State based Strategy

Often a strategy has several states that it runs through during execution (e.g. FLAT, PENDING_LONG,
PENDING_SHORT, LONG, SHORT, etc.). For these situations it is advisable to use a Java Enum, e.g.:

package ch.algotrader.strategy;

public enum State {

FLAT, PENDING_LONG, PENDING_SHORT, LONG, SHORT;
}

In addition a corresponding Esper Variable has to be configured:

<variable name="state" type="ch.algotrader.strategy.State"/>

If the variable needs to have an initial value, the variable has to be declared with a statement.

@Name('CREATE_VAR_STATE')
create variable ch.algotrader.enumeration.State state = State.FLAT;

It is now possible to query current state inside Esper statements like this:

select * from ... where state = State.FLAT;

10
In case a strategy trades multiple instruments and each instrument has its own state an Esper Named Window
can be used instead of an Esper Variable.

@Name('METRICS_WINDOW')
create window
MetricsWindow.std:lastevent()

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 CONFIDENTIAL Esper based Strategies

as
Metrics;

@Name('INSERT_INTO_METRICS_WINDOW')
insert into
MetricsWindow
select
*
from
Metrics;

The first statement creates the Named Window and the second statements inserts all Metrics events into the
Named Window.

The Metrics object is a simple Java POJO that holds the state per instrument (and potential other information
regarding the instrument):

public class Metrics implements Serializable {

private static final long serialVersionUID = 5972079135237671512L;

private long securityId;

private State state;

public Metrics(long securityId, State state) {

this.securityId = security;
this.state = state;
}

// getters and setters

}

To initialize the Named Window one Metrics event per instrument has to be sent into the Esper Engine upon
startup of the strategy

public void onInit(final LifecycleEventVO event) {

getEngine().sendEvent(new Metrics(securityId, State.FLAT));

}

It is now possible to query current state inside Esper statements like this:

select state from MetricsWindow where securityId = ...;

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 CONFIDENTIAL Esper based Strategies

4.3.2.8. Prevent an action from happening multiple times

Often a Java Action is triggered multiple times by a certain situation, because the underlying cause takes a
finite amount of time to be resolved.

Example: The current market level exceeds a defined stop, which triggers a closing order. However during
the time the order is being executed at the market, additional market data events are received. Because the
position is not yet closed by that time, another undesired closing order might get placed.

To prevent actions from happening multiple times a state object mentioned in the previous section is again
very helpful .

Whenever the predefined signal condition is met the state will be set to PENDING

@Name('LONG_TRIGGER')
on
//trigger event (can also be the MetricsWindow itself)
update
MetricsWindow as metricsWindow
set
state = State.PENDING_LONG
where
// condition
and
metricsWindow.state = State.SHORT or metricsWindow.state = State.FLAT

@Name('SEND_ORDER')
@Subscriber(className='xyzService#sendOrder')
select
state
from
MetricsWindow
where
state = State.PENDING_LONG
or
state = State.PENDING_SHORT;

Once the state has been changed to PENDING_LONG the statement SEND_ORDER will trigger an order to be sent.
Since the LONG_TRIGGER statement only triggers if the state is either SHORT or FLAT it will not trigger again once
the state has been set to PENDING_LONG.

Once the order has been fully executed (potentially using a Section 8.4.8.2, “Trade callback”) the state needs
to be changed to LONG

getEngine().executeQuery("update MetricsWindow set state = State.LONG where securityId =

" + securityId);

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 CONFIDENTIAL Esper based Strategies

4.3.2.9. Creation of Bars based on Ticks

Often strategies rely on indicators that are based on OHLC Bars. Since Live Market Data (i.e. Ticks) are not
delivered in the format of Bars, it is often necessary to create Bars from arriving Ticks. Section 18.1, “Creation
of Bars based on Ticks” explains how to do this.

4.3.2.10. Reacting upon a newly subscribed security

Especially for Option and Future based strategies it is often not possible to subscribe to the entire Option
or Futures Chain in advance. Therefore the actual Security the strategy is interested in, is evaluated and
subscribed to at runtime. There are often steps that should take place immediately after the first market data
event has arrived for such a security.

Section 8.4.8.1, “First tick callback” explains how to use a FirstTickCallback for this purpose

4.3.2.11. Reacting upon an order executions

A common use case is to wait for the full execution or cancellation of an order and then take some additional
action.

Section 8.4.8.2, “Trade callback” explains how to use a TradeCallback for this purpose.

In this context it is also important to remember that when trying to close a position there might still be open
orders associated with the corresponding security and strategy. It is suggested to cancel all corresponding
orders, attach a TradeCallback to the cancellation and only close the position once all cancels have been
confirmed.

Also keep in mind that an order might receive multiple fills in live trading. For example if one wants to send a
Stop Order for each executed Order it is important to use the filled quantity and not on the original order quantity.

In handling partial fills the TargetPositionOrder can be useful, please see: Chapter 23, Execution Algos

4.3.2.12. Waiting on market data session upon strategy startup

Upon system startup strategies run through the life cycle phases as defined in Section 3.2, “Live Trading
Mode”. At the same time market data connections are established. Due to the asynchronous nature of these
two processes it is not predetermined which one will complete first. Typically within the START life cycle phase
market data is subscribed. This however will fail if the market data adapter has not reached its SUBSCRIBED
state by that time. To circumvent this issue the following Esper patter can be used, which waits for both the
first LifecycePhaseVO and SessionEventVO to arrive before it fires:

select *
from pattern[LifecycleEventVO(phase=LifecyclePhase.`START`)
and SessionEventVO(state=ConnectionState.SUBSCRIBED)];

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 CONFIDENTIAL Esper based Strategies

4.3.2.13. Execute an action once a day at a certain time

@Subscriber(className='OrderService#cancelAllOrders')
select
null
from
pattern [every (timer:at(0, 18, *, *, 1:5)];

The above statement will cancel all open orders at 18:00:00 Mo-Fri.

4.3.2.14. Handle Constant Maturity Futures

With the constant maturity approach positions both in the Front-Month future as well as in the Back-Month
future are established at all times. The weighting between the two positions is adjusted on a daily basis so that
the combined time-to-expiration stays constant (e.g. 30 days)

With the following statements it is possible to calculate a constant maturity market value:

@Name('INSERT_INTO_FRONT_FUTURE_TICK')
insert into
FrontFutureTick
select
tick.*
from
TickVO as tick unidirectional,
method:lookupService.getSecurity(tick.securityId) as security
where
cast(security.duration?, int) = 1;

@Name('INSERT_INTO_BACK_FUTURE_TICK')
insert into
BackFutureTick
select
tick.*
from
TickVO as tick unidirectional,
method:lookupService.getSecurity(tick.securityId) as security
where
cast(security.duration?, int) = 2;

@Name('CONSTANT_MATURITY')
select
ConstantMaturityUtil.getConstantMaturityValue(front, back) as value
from
pattern [every(
(front=FrontFutureTick -> (back=BackFutureTick where timer:within(1 hour)))
or

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 CONFIDENTIAL Strategy life-cycle events

(back=BackFutureTick -> (front=FrontFutureTick where timer:within(1 hour)))

)];

The actual static method to calculate the constant maturity value looks like this:

public static double getConstantMaturityValue(TickVO frontTick, TickVO backTick) {

Future frontFuture = (Future) frontTick.getSecurity();

Future backFuture = (Future) backTick.getSecurity();

double weight = (double) (backFuture.getExpiration().getTime()

- DateUtil.getCurrentEPTime().getTime() - Duration.MONTH_1.getValue()))
/ ((double) (backFuture.getExpiration().getTime()
- frontFuture.getExpiration().getTime());

return weight * frontTick.getCurrentValueDouble()

+ (1 - weight) * backTick.getCurrentValueDouble();
}

4.3.2.15. Prevent Memory leaks

All trading strategies allocate a certain amount of memory to objects. If however those object allocations are
never released the corresponding memory will not get freed which will lead to a memory leak. This is especially
a concern for strategies that are kept running for an extended period of time.

In addition one has to be careful with Esper statements not to introduce memory leaks. For example the
following statement is potentially dangerous since it just keeps all Tick Events it receives:

select * from TickVO.win:keepall();

4.4. Strategy life-cycle events

The system provides life-cycle events to strategies when switching to another phase in the strategy life-cycle.

In addition the AlgoTrader life cycle manager supports two modes of operation: REAL_TIME and SIMULATION.
In both modes all strategies transition through the same life-cycle phases. Depending on the operation mode
not all phases may be relevant.

Table 4.1. Strategy life-cycle phase

Phase Description
INIT Called after deploying all modules of the Server Engine but before deploying the init
modules of the Strategy Engines.

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 CONFIDENTIAL Strategy Groups

Phase Description
PREFEED Called after deploying the init modules with Engine#deployInitModules() of Strategy
Engines but before deploying their run modules and before feeding any market data events.
START Called after deploying the run modules of all Engines. At this time Market data events start
feeding into strategy engines.
EXIT In SIMULATION mode this event occurs after finishing the simulation and before sending an
EndOfSimulationVO event and before publishing simulation results. In REAL_TIME operation
mode an EXIT life cycle event occurs when the virtual machine begins its shutdown.

Strategies can subscribe to these life-cycle events be overwriting the corresponding live-cycle method of the
StrategyService:

@Override
public void onInit(final LifecycleEventVO event) {

...
}

4.5. Strategy Groups

AlgoTrader provides extensive support for strategy groups. In simulation mode multiple strategies can be run
simultaneously as part of a strategy group. It is even possible to run multiple instances of the same strategy
(with different parameters).

For this purpose AlgoTrader provides support for strategy and engine templates as well as strategy groups
based on Spring XML configuration and abstract Spring beans. This enables strategy developers to define
abstract templates for strategy engines and strategy services and then define concrete instances of those
strategies with custom configuration.

Definition of strategy templates and engine templates typically look like this..

<bean id="boxServiceTemplate" class="ch.algotrader.strategy.box.BoxService" abstract="true">

<property name="lookupService" ref="lookupService"/>
<property name="marketDataCacheService" ref="marketDataCacheService"/>
<property name="portfolioService" ref="portfolioService"/>
<property name="positionService" ref="positionService"/>
<property name="measurementService" ref="measurementService"/>
<property name="orderService" ref="orderService"/>
<property name="subscriptionService" ref="subscriptionService"/>
<property name="commonConfig" ref="commonConfig"/>
</bean>

<bean id="boxEngineTemplate" class="ch.algotrader.esper.EngineFactoryBean" abstract="true">

<property name="configResource" value="esper-box.cfg.xml"/>

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 CONFIDENTIAL Strategy Groups

<property name="initModules" value="box-init"/>

<property name="runModules" value="current-values, box-run"/>
</bean>

Based on these templates concrete strategy instances can be configured.

<at:strategy name="box-narrow"
configClass="ch.algotrader.strategy.box.BoxConfig"
engineTemplate="boxEngineTemplate"
serviceTemplate="boxServiceTemplate"
resourceName="box-narrow.properties" />

<at:strategy name="box-wide"
configClass="ch.algotrader.strategy.box.BoxConfig"
engineTemplate="boxEngineTemplate"
serviceTemplate="boxServiceTemplate"
resourceName="box-wide.properties" />

Only parameters configClass, engineTemplate, and serviceTemplate attributes are mandatory.

Configuration can be further simplified if configuration resources follow the convention <strategy-
name>.properties.

<?xml version="1.0" encoding="UTF-8"?>

<beans xmlns="http://www.springframework.org/schema/beans"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xmlns:at="https://www.algotrader.com/schema/spring/config"
xsi:schemaLocation="http://www.springframework.org/schema/beans http://
www.springframework.org/schema/beans/spring-beans-3.1.xsd
https://www.algotrader.com/schema/spring/config https://www.algotrader.com/schema/
spring/config/algotrader.xsd">

<at:strategy name="box-narrow"
configClass="ch.algotrader.strategy.box.BoxConfig"
engineTemplate="boxEngineTemplate"
serviceTemplate="boxServiceTemplate" />

<at:strategy name="box-wide"
configClass="ch.algotrader.strategy.box.BoxConfig"
engineTemplate="boxEngineTemplate"
serviceTemplate="boxServiceTemplate" />

</beans>

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 CONFIDENTIAL Strategy Groups

Note

AlgoTrader strategy groups use custom XML namespace at. To enable this name space above
xmlns has to be added to the document definition.

Multiple strategy instances can be grouped together and assigned individual weights in the group. Strategy
groups can executed as one unit using provided Spring profile.

<beans profile="simpleGroup">
<at:strategyGroup id="simpleGroup">
<at:strategyItem name="box-narrow" weight="0.2"/>
<at:strategyItem name="box-wide" weight="0.8"/>
</at:strategyGroup>
</beans>

To start the simpleGroup activate the Spring profile through the following Section 2.3, “VM Arguments”

-Dspring.profiles.active=...,simple

The AlgoTrader Eclipse IDE provides a visual editor for strategy groups, for further details please see
Section 10.2.3, “AlgoTrader Configuration Editor”

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Chapter 5. CONFIDENTIAL

Strategy Backtesting
For back testing historical data can be provided to strategies either via .csv files or via Section 19.1, “InfluxDB”.

Securities specified within the table subscription or securities subscribed to via the SubscriptionService are
fed to the Strategy.

To feed data from CSV files during a back test the following property needs to be set inside conf.properties.
Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

# should market data events be feed from CSV files

dataSource.feedCSV = true

For further details on file format and storage location of CSV files please see Section 19.7, “Market Data File
Format”.

Note
When feeding historical data with CSV files it is not possible to set a particular time range for
the simulation. If this is a requirement please feed data through InfluxDB

To feed data from InfluxDB during a back test the following properties need to be set inside conf.properties.
Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

# should market data events be feed from the database

dataSource.feedDB = true

# the back test start date when feeding from InfluxDB

dataSource.feedMinDate = 2016-01-01

# the back test end date when feeding from InfluxDB

dataSource.feedMaxDate = 2016-12-31

The tables Subscription, Position, Combination, Component & Property have a field persistent which
has the following meaning:

• persistent = true: the corresponding entry will NOT be deleted before the start of a backtest

• persistent = false: the corresponding entry will be deleted before the start of a backtest

5.1. Exchange Simulator

The system provides an Exchange Simulator that is mainly used in back testing mode, but can also be used
in live trading. The Exchange Simulator executes Orders by using an ExecutionModel. An Execution Model
contains the logic which decides whether an order gets executed under the current market situation and

65
 CONFIDENTIAL Exchange Simulator

what portion of the order gets executed. In addition the ExecutionModel also contains the logic to calculate
commissions and fees that should be added to an order.

AlgoTrader contains a DefaultExecutionModel which provides a reasonable default logic for executing
orders. The DefaultExecutionModel provides the following properties inside the file conf.properties where
they can be changed. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

# percent slippage that will be added to an order

#{"type":"Double","label":"Percent Slippage"}
execution.slippagePct = 0.0

# execution commission per order

#{"type":"Double","label":"Commission Per Order"}
execution.commissionPerOrder = 0.0

# execution commission per contract

#{"type":"Double","label":"Commission Per Contract"}
execution.commissionPerContract = 0.0

# execution commission in percent of the order amount (i.e. quantity x price)

#{"type":"Double","label":"Commission In Percent"}
execution.commissionInPercent = 0.0

For further details on the DefaultExecutionModel please consult the JavaDoc.

It is possible to replace the DefaultExecutionModel with a custom implementation that implements the
interface ExecutionModel. The custom Execution Model needs to be registered as a Spring Bean in the
following locations:

• For simulation: /META-INF/applicationContext-client-xxx.xml in the strategy project under src/main/

resources.

• For live trading (to be used globally): /META-INF/applicationContext-env.xml. This file needs to be in
the classpath, e.g. in the conf project under src/main/resources.

During the simulation process transaction as well as position and cash_balance updates are executed in
the database. It is therefore possible to use a standard database reporting tool to perform additional analysis
on it, provided you are not running vs. the H2 in-memory database (Spring profile embeddedDataSource).

To use the Exchange Simulator the Spring profile simulation has to be used, e.g.

-Dspring.profiles.active=simulation...

Note
Note than when using the Exchange Simulator in live trading, order will be executed against
live data internally and will not get sent to the external Broker or Exchange. If the Spring Profile
simulation is enabled all other external Order Services will be disabled.

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 CONFIDENTIAL Simulation Process

-Dsimulation=true denotes a back test and will effectively disable external MarketData
services, so if the intention is to run exchange simulator against live market data, make sure
that this parameter is set to false

All external order services must be disabled, e.g. Spring profiles like bFX, bFL etc must be
inactive

5.2. Simulation Process

During a simulation process the following steps are executed sequentially by the SimulationExecutorImpl:

1. Create strategy entries in the database

2. The database is reset to its original state via the ResetService

3. An initial amount (USD 1'000'000 per default) is allocated to each strategy (the initial amount can be changed
through the simulation.initialBalance setting inside conf.properties)

4. All server Esper modules are deployed

5. The life cycle phase INIT is broadcasted to all strategies. During this phase potential initiation steps can
be invoked.

6. All strategy initModules Modules are deployed (if using Esper based strategies)

7. The life cycle phase PREFEED is broadcasted to all strategies. During this phase technical indicators can be
initialized using historical data

8. All strategy runModules Modules are deployed (if using Esper based strategies)

9. Market data subscriptions are initialized based on entries in the table subscription

10.The life cycle phase START is broadcasted to all strategies. During this phase eventual actions like security
subscriptions can be taken care of

11.At that time the actual simulation starts and market data events are starting to be sent into the Esper Engines

12.The life cycle phase EXIT is broadcasted to all strategies. During this phase eventual cleanup actions can
be taken care of

13.At the end of each simulation run, metrics are printed to the console (if enabled), see Chapter 28, Metrics

14.All open orders are cancelled

15.All open positions are closed

16.An EndOfSimulationVO event is sent to all strategies

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 CONFIDENTIAL Single Run Simulation

17.SimulationResults are retrieved from the strategies

18.Esper Engines are re-initialized

19.The In-Process Exchange Simulator is reset

20.The Market Data Cache is flushed

21.The second-level cache is cleared

22.All reports are closed

23.The Excel based back test report is created and statistics are displayed to the console, see Section 5.5,
“Performance Statistics”

5.3. Single Run Simulation

To run a strategy in Simulation Mode with the currently defined parameters use the procedure defined in
Section 3.1, “Simulation Mode”.

5.4. Automated Parameter Optimization

The system allows running multiple simulations in parallel. Using cloud based servers thousands of simulation
runs can be carried out in a matter of a few hours. For additional information please visit the full blog post on
1
cloud based trading strategy optimization using algotrader and Amazon Elastic MapReduce .

Using Numerical Optimization functions (i.e. Brent & Newton) optimal parameter ranges can be determined
in an automated fashion.

The following options exist (set in program arguments):

simulateBySingleParam

One Simulation run with a parameter set to the defined value. The example below will do one run with parameter
a set to 0.8

simulateBySingleParam a:0.8

simulateByMultiParam

One Simulation run with multiple parameters set to defined values. The example below will do one run with
parameter a set to 0.8 and b set to 12.0

simulateByMultiParam a:0.8,b:12.0

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 CONFIDENTIAL Automated Parameter Optimization

optimizeSingleParamLinear

Multiple Simulation runs by incrementing the value of one parameter within a defined interval. The example
below will increment the value of parameter a starting at 0.1 to 0.9, incrementing by 0.1 for each run

optimizeSingleParamLinear a:0.1:0.9:0.1

optimizeSingleParamByValues

Multiple Simulation runs by iterating the value of one parameter according to defined list. The example below
will iterate the value of parameter a through the following list: 0.2, 0.8, 0.9 and 1.2

optimizeSingleParamByValues a:0.2:0.8:0.9:1.2

optimizeSingleParam

Multiple Simulation runs by setting the value of one parameter within the defined range and trying to find the
maximum Sharpe Ratio. The optimizer being used is UnivariateRealOptimizer. The example below will set
the value of parameter a between 0.1 and 1.0 (accuracy 0.01).

optimizeSingleParam a:0.1:1.0:0.01

optimizeMultiParamLinear

Multiple Simulation runs by doing a matrix Optimization of 2 or 3 parameters by incrementing their values within
a defined intervals. The example below will iterate through all possible combinations by incrementing the value
of parameter a starting at 0.1 to 0.9 (increment: 0.1), and incrementing the value of parameter b starting at
10.0 to 100.0 (increment: 5.0)

optimizeMultiParamLinear a:0.1:0.9:0.1 b:10.0:100.0:5.0

optimizeMultiParam

Multiple Simulation runs by adjusting the value of multiple parameters around their start values and trying to
find the maximum Sharpe Ratio. The example below will start the optimization by setting the value of parameter
a to 85.0 and parameter b to 150.0

optimizeMultiParam a:85.0 b:150.0

In order to process parameters with the correct decimal scale the following property needs to be updated inside
conf.properties. Alternatively the property can be changed via Section 2.3, “VM Arguments”:

# the number of digits all portfolio balances will be displayed with

misc.portfolioDigits = 2

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 CONFIDENTIAL Performance Statistics

Note

In order for the parameter optimization to work the following properties need to be updated
inside conf.properties. Alternatively the properties can be changed via Section 2.3, “VM
Arguments”:

# if set to true, writing to CSV reports will be disabled

report.disabled = true

# if set to true, the Excel back test report will open at the end of a
simulation
report.openBackTestReport = true

Note

Before each back test run the Esper Engines will be reset. However Strategy services are not
reset. Due to this any state that is maintained within the Strategy service needs to be reset
within the onInit method.

Note

The values of Esper variables as well as Java properties get initialized on startup using Spring.
The actual optimization only happens once the Spring context is fully initialized. Due to this it
is necessary to overwrite the default values in the onInit from system. properties. This can be
done as follows for Esper variables:

getEngine().setVariableValue("propertyA", System.getProperty("propertyA"));

And like this for Java properties

this.propertyB = System.getProperty("propertyB");

5.5. Performance Statistics

At the end of each single simulation run, a CSV and Excel based back test report with performance statistics
is created.

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 CONFIDENTIAL Performance Statistics

Figure 5.1. Back Test Report

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 CONFIDENTIAL Performance Statistics

The following 4 files are created in the sub-folder /files/report :

• BackTestReport.xlsm: the Excel based back test report (see image above)

• MetricReport.csv: contains key performance metrics

• PortfolioReport.csv: contains daily portfolio values (i.e. netLiqValue, marketValue, realizedPL,

unrealizedPL, cashBalance, openPositons & leverage)

• TradeReport.csv: contains all trades including their profit

The Excel based back test report can be modified in terms of formatting and layout if needed.

In addition when running a single simulation run, statistics will be displayed to the console in the following
format:

execution time (min): 2.43

dataSet: eurusd-1min-20111218-20130121
netLiqValue=1'229'714.00
month-year: Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12
Aug-12 Sep-12 Oct-12 Nov-12 ...
monthlyPerformance: 0.58% 4.03% 2.66% -0.19% 2.80% -1.96% 2.44% 3.23%
0.66% -0.58% 3.67% 2.31% ...
year: 2011 2012 2012
yearlyPerformance: 0.58% 22.33% -0.06%
posMonths=10 negMonths=4 posYears=2 negYears=1
avgM=1.50% stdM=1.79% avgY=19.39% stdY=6.21% sharpeRatio=3.12
maxMonthlyDrawDown=1.96% bestMonthlyPerformance=4.03% maxDrawDown=4.49%
maxDrawDownPeriod=46.00days colmarRatio=4.32
WinningTrades: count=428(53.97%) totalProfit=1'277'201.37 avgProfit=2'984.12
avgProfitPct=0.23%
LoosingTrades: count=365(46.03%) totalProfit=-1'047'487.34 avgProfit=-2'869.83
avgProfitPct=-0.26%
AllTrades: count=793(100.00%) totalProfit=229'714.04 avgProfit=289.68
avgProfitPct=0.00%

When running parameter optimizations, statistics will be displayed in the following summary format showing
the current parameter values as well as corresponding performance statistics of one run on one single line:

a=90 avgY=39.86% stdY=20.16% sharpe=1.97 maxDDM=11.29% bestMP=8.35% ...

a=105 avgY=34.60% stdY=20.33% sharpe=1.69 maxDDM=11.56% bestMP=8.39% ...

In addition to above General Performance statistics, strategy specific performance statistics are printed to the
console. These are retrieved by calling the method StrategyService.getSimulationResults of the strategy.

The amount of output during the simulation can be adjusted by setting the Log Level according to Chapter 29,
Logging.

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 CONFIDENTIAL In-Process Exchange Simulator

5.6. In-Process Exchange Simulator

Executing all transactions in the database during simulation is useful for reporting purposes but also incurs
additional processing time. For trivial strategies that do not need to perform any sort of sophisticated querying
based on transaction data, an additional in-process / in-memory exchange simulator is available that uses
Hash Maps as the underlying storage mechanism. This will allow for significantly faster processing of orders
during simulation. The in-process exchange simulator can be used as follows within strategies:

Order order = new MarketOrder.Factory.newInstance();

order.setSecurity(security);
order.setStrategy(strategy);
order.setQuantity(qty);
order.setSide(Side.BUY);

getSimulator().sendOrder(order);

Position position = getSimulator().findPositionByStrategyAndSecurity(strategy, security);

Important

As the simulator is not integrated with the database any lookup regarding Order, OrderStatus,
Transaction, Position & CashBalance through the LookupService and PortfolioService
will return nothing. Also Execution Algos are currently not supported with the In-Process
Exchange Simulator

5.7. Multi Security Simulations

By default, only those securities will be considered for simulations which have been subscribed to in the INIT
or PREFEED phase.

Some strategies that are based on multiple securities need to subscribe and unsubscribe securities during the
simulation. A typical example for this would be a Futures bases strategy that needs to unsubscribe an expiring
Future and at the same time subscribe to the next Future in the chain. To be able to subscribe and unsubscribe
securities during a simulation the following two options exist:

• Changing the following property inside the fileconf.properties will cause all CSV files present in the dataset
directory to be used for the simulation. (However, strategies still only receive market data for securities they
have subscribed to). Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

# should all files in the dataSetLocation be used or just the ones corresponding to
defined subscriptions
dataSource.feedAllMarketDataFiles = true

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 CONFIDENTIAL Multi Security Simulations

• subscribe to all securities required in the INIT or PREEFEED phase, and then unsubscribes securities in the
START phase, that are only need later in the simulation.

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Chapter 6. CONFIDENTIAL

Architecture
The architecture of AlgoTrader is composed of the following components.

Figure 6.1. Architecture

The AlgoTrader Server provides the infrastructure for all strategies running on top of it. The AlgoTrader Server
holds the main Esper Complex Event Processing (CEP) engine. It is responsible for all domain model objects
and their persistence in the database. Different market data adapters are available to process live and historical
market data. On the other end adapters for different execution brokers and exchanges are available, which are
responsible for placing orders and receiving executions.

The AlgoTrader Server also provides business components for back testing, parameter optimization, analysis,
execution management, risk management, reporting, reconciliation and hedging.

On top of the AlgoTrader Server any number of strategies can be deployed. Strategies can either be coded
purely in Java or in a combination of Java and Esper code. Esper based strategies make use of a dedicated
Esper CEP engine. A strategy can deploy any number of SQL-like Esper statements for time-based market
data analysis and signals generation. Esper statements can invoke any number of procedural actions, such
as placing an order or closing a position, which are coded in Java. The combination of Esper statements and
Java Code provides a best-of-both-worlds approach.

For management and monitoring of the system different GUI clients exist. The AlgoTrader HTML5 Frontend
provides trading related functionality like charting, orders, positions & market data. Eclipse or IntelliJ IDE's are
used for strategy development.

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 CONFIDENTIAL

For productive installations and deployment AlgoTrader uses Docker.

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Chapter 7. CONFIDENTIAL

Domain Model
The following sections describe the Domain Model of the system using UML (unified modeling language).

7.1. Entities

Figure 7.1. Entities Overview

The Main Entities of the system are specified within the following table:

Table 7.1. Entities

Entity Description
Strategy Each object of this class represents a running strategy within the system
Security This is the base class of all securities in the system
SecurityFamily A group of Securities (e.g. all S&P 500 Futures)
Subscription Market Data Subscriptions of a Strategy for a particular Security are represented
by this class. For every Subscription the Strategy will receive Live Market Data
for the corresponding Security
MarketDataEvent Represents any type of market data related to a particular Security
Order An Order for a particular Security
Account An account held with an external Broker / Bank

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 CONFIDENTIAL Entities

Entity Description
Transaction Each Fill is recorded as a transaction in the database using this entity. In addition
the table transaction also stores transactions like interest, debit, credit & fees
Position Represents an exposure to a certain Security on the Market
Exchange An electronic exchange or venue

A full list of all Entities of the system will be discussed throughout the next sections. Entities of the system can
be categorized into the following three areas:

Reference Data
Represent static referential data like:

Strategy, Security, SecurityFamily, SecurityReference, Account, Property, OrderPreference and

related Entities

Market Data
Represent external events (Tick and Bar) coming from market data providers or internal events (Generic
Events) coming from another trading strategy. Market Data is typically immutable and of only momentary
interest to the trading strategies. Market Data Events are available as Value Objects only (but not as
Entities):

MarketDataEventVO and its subclasses TickVO, BarVO, QuoteVO, BidVO, AskVO, TradeVO and
GenericTickVO as well as any type of GenericEventVO

Transaction Data
Represent the financial state of trading strategies. Some of them (e.g. Transactions and Measurements)
are immutable whereas others (e.g. Positions and Balances) are mutable and change their values while
Orders are getting executed:

Order, Transaction, Position, CashBalance, Measurement, PortfolioValue and related Entities

Besides providing Getters and Setters all Entities provide the following common features:

VO Converter
The static inner Converter class can be used to automatically convert the Entity to its corresponding Value
Object, see Section 7.3, “Value Object”

Factory
The static inner Factory class can be used to create new instances of an Entity

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 CONFIDENTIAL Strategy

7.1.1. Strategy

Figure 7.2. Strategy

The strategy entity represents an individual strategy running inside AlgoTrader.

Regarding the question "what is 1 productive strategy?". It essentially up to the user, what he would like to
consider as one strategy. A strategy can have one or multiple instruments. And also regarding trading logic
there is no limitation.

However please note that the entire performance and reporting functionality of AlgoTrader happens on the
strategy level. So if one would like to see performance metrics on an instrument level one would have to
instantiate multiple strategies. Also, if it is a requirement to start and stop individual functions separately, it is
best to put them into two separate strategies.

On the technical side each separate strategy allocates a certain amount of overhead (memory and CPU). For
that reason it is best to combine functionality into as few strategies as possible if there are no good reasons
not to separate them.

The field autoActivate means that if a strategy is set to active corresponding market data subscriptions are
initiated automatically upon startup of the system. This is usesful in distributed mode when stragtegies and the
server run in different processes. If you restart the server in this scenario, subscriptions for the strategies are
automatically loaded again (without having to restart the strategies).

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There are several classes that are directly related to the strategy

Table 7.2. Strategy Classes

Class Description
PortfolioValue On regular time intervals certain portfolio values (e.g. NetLiqValue,
CashBalance, etc.) are saved to the database for every strategy.

Measurement Custom Measurements (e.g. current value of a custom indicator) related to a

strategy can be saved using this class
CashBalance A CashBalance represents the current cash amount of a particular strategy
in a particular currency

Table 7.3. Portfolio Value Details

Attribute Description
cashBalance Market value of all open forex positions + cash amount available to the
strategy
marketValue Market value of all open (non-forex) positions
netLiqValue Cash balance + market value
realizedPL Realized P&L of all positions
unrealizedPL Unrealized P&L of all positions

All valuations (strategy and position level) can be queried via the PortfolioService. Fees are considered in
the calculations if properly configured.

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7.1.2. Security

Figure 7.3. Securities

The above UML Class diagram shows all available Security classes

Table 7.4. Security Types

Entity Description
Option A tradeable Option
Future A tradeable Future
Forex A Foreign Exchange Currency (FX) or Crypto Currency
Stock A Single Stock
Fund An ETF, Mutual Fund, etc.
Index An Index (e.g. Equity, Volatility, Commodity)

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 CONFIDENTIAL Security

Entity Description
GenericFuture A virtual Future with a fixed duration
IntrestRate Any type of Interest Rate
Bond A corporate or government Bond
Commodity A physical Commodity (e.g. Energy, Metals, Agriculture or Livestock). For
Commodity Futures use Future.
Combination A synthetic security composed of one or many Components (see Chapter 24,
Synthetic Securities and Derivative Spreads)
SecurityReference A generic link between one security and another

A Security Family contains common information about an entire family of securities (i.e. all general information
about options on S&P500 are stored using this class). The class provides fields like exchange, currency, and
tick size.

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 CONFIDENTIAL Security

Figure 7.4. Securities

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 CONFIDENTIAL Market Data Events

The above UML Class diagram shows all available SecurityFamily classes

Table 7.5. Security Types

Entity Description
OptionFamily Represents an Option chain associated with a single underlying
FutureFamily Represents a Futures chain associated with a single underlying
GenericFutureFamily Represents a GenericFutures chain associated with a single underlying
BondFamily Represents a chain of Bonds associated with a single underlying

The definition of the attributes of the classes Security and SecurityFamily are documented in the AlgoTrader
1
JavaDoc

The class EasyToBorrow Contains information about how many contracts of a particular Stock can be shorted
through a specific Broker.

SecurityReference Is a generic link between one security the owner and another the target. Using this class
it is possible for a Security to have links to multiple other Securities.

7.1.3. Market Data Events

Market Data Events are available as Value Objects only but not as Entities:

Figure 7.5. Market Data Event

There are three different kinds of Market Data Events:

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 CONFIDENTIAL Order

Table 7.6. Market Data Types

Entity Description
BarVO Open-High-Low-Close Price Bars, also containing volumes and volume weighted
average prices
TickVO Snapshot of the market at a particular point in time, containing information like
last price, last time, bid, ask, volume, etc..
QuoteVO Its subclasses represent the current best bid and offer BidVO and AskVO
TradeVO An actual order that was executed on the market, containing information like last
price, last size and volume
GenerickTickVO Represents additional price information made available by market data providers
(e.g. open price, close price, vwap price)

For simulation purposes Bars and Ticks can be supplied through CSV files (see Section 19.7, “Market Data
File Format”) or through InfluxDB (see Chapter 19, Historical Data). In live trading Trades, Bids and Asks are
received by the broker specific MarketDataService.

For conversion between Ticks and Bars please see Section 18.1, “Creation of Bars based on Ticks”.

7.1.4. Order

Figure 7.6. Orders

The following UML Class diagram shows the Order and its related subclasses.

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Table 7.7. Order Classes

Entity Description
Order Base Class for all Order Types
OrderStatus Order Status changes received back from the Broker (e.g.
PARTIALLY_EXECUTED or CANCELLED) are represented by this class

OrderCompletition Similar to Order Status but only gets created once an order is fully
executed or cancelled and all corresponding database activity has been
completed.
OrderProperty An arbitrary property that can be attached to an Order. Through the type
attribute the OrderProperty can be marked as internal only or as fix
property or as IB property.
Fill Filled orders are represented by this Class
Transaction Each Fill is recorded as a transaction in the database using this entity.
In addition the table transaction also carries transactions like INTREST,
DEBIT, CREDIT & FEES

SimpleOrder An Order that can be sent directly to the market

MarketOrder Predefined SimpleOrder types
LimitOrder

StopOrder

StopLimitOrder

AlgoOrder A composite order that will generate multiple SimpleOrders. An

AlgoOrder cannot be sent directly to the market

TWAPOrder This algorithm aims to match the Time-Weighted Average Price

VWAPOrder This algorithm aims to match the Volume-Weighted Average Price
TargetPositionOrder This algorithm automatically manages orders to reach the specified
target quantity.
TrailingLimitOrder This algorithm submits an order directly to the exchange, with a limit
price set a fixed distance from the current market price.
SlicingOrder An AlgoOrder, that will split a large order into multiple child orders. The
size of the child order, time in the market and delay between orders are
randomized within the specified range.

Note

AlgoOrders and Order parent/child associations are not persisted to the database. After a
system restart AlgoOrders will therefore not continue execution automatically and will need to
be restarted manually.

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7.1.5. Account

Figure 7.7. Account

An Account represents either an actual account, an account group (IB specific) or an allocation profile (IB
specific). An account is assigned to a particular orderServiceType (e.g. IB_NATIVE or FXCM_FIX) which
identifies the OrderService to use for this account. In addition the field sessionQualifier which is needed to
define the actual session in place (for FIX Connections). With this setup, it is possible to have multiple Sessions
(session qualifiers) per OrderServiceType and to have multiple Accounts per Session. If the field active is
set to true a potential corresponding Fix session will be activated.

Optionally an accountServiceType (e.g. IB_NATIVE or BFX) can be added which identifies the
AccountService to use for this account.

Accounts have an optional dependency to Exchange for cases when an account can only be used to trade on
one single Exchange (typical for Crypto Currency Exchanges).

Note

Orders sent to the market will always contain Account related information in an adequate way
(e.g. as a FIX Tag 1). Also Transactions which are based on an actual order will have an
association with a particular Account. However Positions do not hold any information regarding
Accounts. It is thus possible that a Position holds aggregated Quantities from several external
Accounts. Also it is possible to open a position through on account but then close it through
another (i.e. when using separate execution and clearing brokers). With this setup Strategies
do not have to worry about the actual Accounts the funds are located in. This way, a strategy
will always only see one Position per Security.

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 CONFIDENTIAL Transaction

7.1.6. Transaction

Figure 7.8. Transaction

Each Fill is recorded as a transaction in the database using this entity. In addition the table transaction also
stores transactions like INTREST, DEBIT, CREDIT & FEES. A transaction is immutable and contains all relevant
information like dateTime, quantity, price, commissions as well as references to Account, Strategy, Security
and Position.

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 CONFIDENTIAL Position

7.1.7. Position

Figure 7.9. Position

For any Strategy holding a particular Security a Position is created in the database. Even if this position is later
on closed (i.e. quantity = 0) the position will still remain in the database, because the associated Transactions
still have references to it.

In general, position values (e.g. marketPrice, marketValue, averagePrice, cost, unrealizedPL &
realizedPL) are calculated per actual strategy related position and show the price that would need to payed
if the position was closed at this moment

Table 7.8. Position Valuation Details

Attribute Description
realizedPL Total profit of closed parts of a position (parts of a position might still be open)
unrealizedPL Profit of the currently open part of a position
cost Total cost incurred to open the current position (potentially through multiple
orders). These values are based on the fee configurations

All valuations (strategy and position level) are available through the Section 7.2.12, “Portfolio Service”.

7.1.8. Cash Balance

A CashBalance represents the current cash amount of a particular strategy in a particular currency.

Warning

Cash Balances are derived by taking all Transactions of the given Security and Strategy
into account. It is therefore important not to modify Cash Balance entries directly in the

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 CONFIDENTIAL Subscription

database. In case transactions are added or modified manually to the database, please the
management action reset position and cash balances in the Figure 10.3, “AlgoTrader HTML5
Client Management”

7.1.9. Subscription

Figure 7.10. Subscription

Market Data Subscriptions of a Strategy for particular Securities are represented by this class. For every
Subscription the Strategy will receive Live Market Data for the corresponding Security

7.1.10. Exchange

Figure 7.11. Exchange

Exchanges around the world have different trading hours. Quit often there are different trading hours even for
different securities trading on the same exchange. In addition each exchange typically has different holidays
or days where trading starts late or trading stops early. Especially for futures trading there are often small
gaps between different trading periods of the same trading date. FX trading is often available 24 hours a day
without any gaps.

All of these scenarios are captured and maintained through the Entities Exchange, TradingHours and Holiday:

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Table 7.9. Exchange

Entity Description
Exchange Represents an individual Security, a group of Securities or an entire Exchange
(if all Securities have the same trading hours). An Exchange has a name, a code
(typically MIC) as well as a timezone.
TradingHours Defines an individual trading period (e.g. 09:00am to 16:30pm). In addition
TradingHours identify the weekdays they are valid for.

Holiday Identifies a holiday of a specific exchange. In addition a Holiday can identify a

late opening or early closing of trading on a particular trading day.

7.1.11. Property

Figure 7.12. Properties and PropertyHolders

The classes Strategy, Position, Subscription and OrderPreference are derived from the abstract class
PropertyHolder. One or more Properties can be assigned to them. A Property can be of type Integer, Double,
Money (BigDecimal), Text (String), Date or Boolean (but only one at a time).

Important
Because PropertyHolders use Hibernate Union-Subclass strategy, Id's of different
PropertyHolder tables may not overlap. When Entities are saved through AlgoTrader unique
Id's will be enforced by Hibernate. But when saving rows in the database directly (within the
tables strategy, position, subscription or order_preference) one has to manually ensure there
are no overlapping Ids.

The following SQL script can be used to check whether a certain Id is already in use:

select id from strategy

union select id from position
union select id from subscription
union select id from order_preference;

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7.1.12. Order Preference

Figure 7.13. Order Preference

Table 7.10. Order Preference

Class Description
OrderPreference This class allows definition of order default values (e.g. account, order type,
delays, etc.). Except for the order type, all values have to be defined through
Properties.

for further details see Section 17.1.1, “Order Preferences”

7.2. Services
The system is based on a Service Oriented Architecture (SOA). All operations of the system are provided as
Spring Services / Beans. The following groups of services exist:

1. Main Services, are available to both the AlgoTrader Server and Strategies

2. Client Services, which will be instantiated by each Strategy (and the AlgoTrader Server itself)

3. Private Services, which are only used by the AlgoTrader Server

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 CONFIDENTIAL Main Services

Inside strategies all service are injected by the Spring Framework and can be accessed as follows withing the
strategy service:

// subscribe for live market data

getSubscriptionService().subscribeMarketDataEvent(strategyName, securityId, feedType);

// lookup a instrument by symbol

getLookupService().getSecurityBySymbole(symbol);

// send an order to the broker or exchange

getOrderService().sendOrder(order);

7.2.1. Main Services

Table 7.11. Main Services

Service Description
AccountService Responsible for retrieval of account balances an initiation of withdrawals
CalendarService Responsible for information about Exchange trading hours and holidays
CombinationService Responsible for handling all Combination / Component related DB-
Operations.
FutureService Responsible for all future specific operations
HistoricalDataService Responsible for the retrieval of historical data from Historical Data
Providers
MarketDataService Responsible for the retrieval of market data as well as Subscription
Management.
MeasurementService Responsible for persistence and retrieval of Measurements related to
Strategy
OptionService Responsible for all option specific operations
OrderService Responsible for sending orders to the Market via defined Broker
Interface
PortfolioService Responsible for providing portfolio values
PositionService Responsible for management of positions, e.g. close position and
reduce position
PropertyService Responsible for persistence of Properties related to a PropertyHolder
ReferenceDataService Responsible for the download of option and future chains

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7.2.2. Client Services

Table 7.12. Client Services

Service Description
MarketDataCacheService Provides a strategy local cache of market data and FX conversion rates
LookupService Provides general data lookup operations to other services
ConfigAwareStrategyService Base class for all strategy services which has references to all necessary
services and implements all event listener interfaces. In addition the
service receives a reference to the strategy config
StrategyService Base class for all strategy services which has references to all necessary
services and implements all event listener interfaces
SubscriptionService This service is used by the strategy for subscription management. The
actual DB related operations are carried out by the MarketDataService.
The MarketDataService should not be called directly by strategies.

7.2.3. Account Service

The AccountService interface defines a method for retrieving account balances as well as the initiation of
crypto withdrawals for crypto exchanges. For further details see Chapter 21, Account Data.

7.2.4. Calendar Service

The CalendarService is responsible for providing information about Exchange trading hours and holidays.

Especially when trading multiple exchanges around the globe the CalendarService becomes very useful. It
provides convenient methods like:

• isOpen (is the specified exchange open at the current time or at the specified date time). Will return true if
no TradingHours are defined

• isTradingDay (is the current day or the specified day a trading day at the specified exchange)

• getOpenTime (gets the open time of the specified exchange on the current day or the specified day)

• getCloseTime (gets the close time of the specified exchange on the current day or the specified day)

• getNextOpenTime (gets the next open time of the specified exchange after the current date time or the
specified date time)

• getNextCloseTime (gets the close open time of the specified exchange after the current date time or the
specified date time)

In addition the Calendar service provides methods to identify a particular trading day, which will be important
to associate a particular order for clearing and reconciliation. If a trading session overlaps from one day to
another (e.g. starts on Sunday 23:00pm), the trading day will be considered the day when the session ends (e.g.

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 CONFIDENTIAL Combination Service

Monday). However in this example Monday would need to be set to true in the corresponding TradingHours
object.

Note

All dates and times in the CalendarService are converted to the system time, e.g. the market
opens at 09:30 EST but the system timezone is CET then the market opening time in the
CalendarService will be 15:30.

When trading one single exchange it is usually easiest to set the system time to the same
timezone of the exchange.

When trading exchanges in different timezones one has the choice of setting the system to
clock to the same timezone as one of the exchanges or leave the system time set to the local
timezone.

7.2.5. Combination Service

AlgoTrader supports Synthetic Securities & Derivative Spreads. A Combination consists of one or many
Components. For further details see Chapter 24, Synthetic Securities and Derivative Spreads.

7.2.6. Future Service

AlgoTrader has full support for Future based trading strategies. For further details see Chapter 14, Options
& Futures

7.2.7. Historical Data Service

AlgoTrader provides several Historical Data Interfaces out-of-the-box. The system can store historical data in
the integrated Section 19.1, “InfluxDB” and feed stored or recorded historical data to strategies during back
tests. The system also integrates a feature for live data recording as well as live tick-to-bar aggregation. For
further details please see Chapter 19, Historical Data

7.2.8. Market Data Service

AlgoTrader provides several Market Data Interfaces out-of-the-box. Live market data is available to trading
strategies running within the system. Fur further details please see Chapter 18, Market Data

7.2.9. Measurement Service

The MeasurementService allows storage of arbitrary measurements in the database. Measurements contain
a name, a time stamp and a value of type Integer, Double, Money (BigDecimal), Text (String) or Boolean.
In addition a Measurement also needs to have a reference to a strategy.

A Measurement can be created as follows whereas the time stamp will be set according to the current system
time:

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 CONFIDENTIAL Option Service

getMeasurementService().createMeasurement(strategyName, "myMeasurement", 12.12345);

In addition a Measurement can also be created by providing an explicit time stamp:

getMeasurementService().createMeasurement(strategyName, "myMeasurement",
DateUtil.dateForYMD(2018, 7, 20), 12.12345);

A Measurement can be deleted by using the following method:

getMeasurementService().deleteMeasurement(measurementId);

To read Measurements from the database the Section 7.2.17, “Lookup Service” has to be used which provides
various Measurement lookup methods, e.g. getMeasurementByMaxDate or getAllMeasurementsByMaxDate.

7.2.10. Option Service

AlgoTrader has full support for Option based trading strategies including an Option pricing engine. For further
details see Chapter 14, Options & Futures

7.2.11. Order Service

The OrderService is responsible for sending orders to brokers and exchanges in live trading as well as
sending orders to the internal Section 5.1, “Exchange Simulator” during back tests. For further details please
see Chapter 17, Order Management

7.2.12. Portfolio Service

Financial valuations (strategy and position level) are available through the PortfolioService.

Since some values (e.g. market value) depend on whether the position is long or short, aggregated position
values of different strategies for the same security cannot be retrieved just by adding position values from the
corresponding strategies. Example:

• Security: VIX Dec 2012

• Current Bid: 16.50

• Current Ask: 16.60

• Strategy A: quantity +10 -> market value: 10 * 1000 * 16.50 = 165'000

• Strategy B: quantity -10 -> market value: 10 * 1000 * 16.60 = -166'000

The sum of above market values would be -1'000 which is obviously wrong.

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As a consequence the PortfolioDAO provides lookup-methods that aggregate positions from the same
security (of different strategies) in the correct manner (e.g. findOpenPositionsAggregated).

Warning

Positions are derived by taking all Transactions of the given Security and Strategy into account. It
is therefore important not to modify Position entries directly in the database. In case transactions
are added or modified manually to the database, please the management action reset position
and cash balances in the Figure 10.3, “AlgoTrader HTML5 Client Management”

7.2.13. Position Service

The PositionService provides the following position related methods:

• closePosition closes a single position

• closeAllPositions closes all positions in the system

• reducePosition reduces a position by the specified quantity

• transferPosition transfers a position from one strategy to another

• resetPositions calculates all Position based on Transactions in the database and makes adjustments if
necessary.

Note

Closing and Reducing a position through the PositionService requires the definition of an
order_preference with the name DEFAULT. Fur further details see Section 17.1.1, “Order
Preferences”

The default order preference also includes an account, which means this feature is typically
only usable with one account/adapter. If more than one account is in use, positions should be
closes through the Section 7.2.11, “Order Service” by sending an order with a quantity that will
offset the current position.

7.2.14. Property Service

The PropertyService can be used to assign arbitrary properties to the classes Strategy, Position,
Subscription and OrderPreference. These classes are derived from the abstract class PropertyHolder.
One or more Properties can be assigned to them. A Property can be of type Integer, Double, Money
(BigDecimal), Text (String), Date or Boolean (but only one at a time).

A Property can be created as follows.:

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 CONFIDENTIAL Reference Data Service

getPropertyService().addProperty(propertyHolderId, "myPropertyName", 12.12345, true);

A Property can be deleted by using the following method:

getPropertyService().removeProperty(propertyHolderId, "myPropertyName");

Properties are available on the corresponding PropertyHolder objects as follows:

Strategy strategy = getLookupService().getStrategyByName("myStrategy");

double doubleValue = strategy.getDoubleProperty("myDoubleProperty");
String textValue = strategy.getTextProperty("myTextProperty");

7.2.15. Reference Data Service

Amongst others reference Data consists of static data like Security, SecurityFamily, SecurityReference,
Account Entities. Reference Data can either be configured in the database directly through the corresponding
tables or one can use the ReferenceDataService and corresponding ReferenceDataStarter. For further
details see Chapter 20, Reference Data

7.2.16. Market Data Cache Service

The MarketDataCacheService is intended to provide current market data and exchange rates to the strategy.
the MarketDataCacheService keeps a local copy of each subscribed Security.

To access the last traded price of an instrument one can use the following code inside strategies:

TickVO tick = (TickVO)getMarketDataCacheService().getCurrentMarketDataEvent(securityId);

BigDecimal lastPrice = tick.getLast();

To access the access the current exchange rate between USD and EUR one can use the following code inside
strategies:

double rate = getMarketDataCacheService().getForexRate(Currency.USD, Currency.EUR);

7.2.17. Lookup Service

the LookupService provides a large number of lookup methods for all objects available in the database.
Examples:

• getSecurityBySymbol gets a security by its symbol

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Strategy Service & Config Aware Strategy Service

• getExchangeByCode gets an Exchange by its exchange code

• getPositionBySecurityAndStrategy gets a Position by Security and Strategy

• getOpenPositionsByStrategy gets open Positions for the specified Strategy

• getAccountByName gets an Account by its name

In addition to standard lookup methods above the LookupService also provides the following the generic
lookup methods find and findUnique that can be used in situations where a standard lookup method is not
available. These methods can be used as follows:

String query = "from StrategyImpl where name = :strategyName";

NamedParam param = new NamedParam("strategyName", "ABC");

Strategy strategy = getLookupService().find(Strategy.class, query, QueryType.HQL, false,

param);

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Please consult the JavaDoc for a full list of available methods.

In order to minimize the number of hits to the database the LookupService uses various levels of caching
when reading from the database.

7.2.18. Strategy Service & Config Aware Strategy Service

All strategy main classes need to either extend StrategyService or ConfigAwareStrategyService. The
ConfigAwareStrategyService provides the same functionality as the StrategyService but in addition also
provides a reference to the strategy config object. For further details see Chapter 4, Strategy Development.

7.2.19. Subscription Service

The Subscription service allows a strategy to subscribe for market data. For that purpose the service provides
several methods:

To subscribe for market data use the following method:

getSubscriptionService().subscribeMarketDataEvent(strategyName, securityId, feedType);

Note

The feedType specifies the adapter to use when subscribing for market data (e.g. IB_NATIVE
specifies the InteractiveBrokers native API adapter)

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 CONFIDENTIAL Reconciliation Services

Upon subscription market data will be feed to the trading strategy that initiated the market data subscription.
Market data will be feed to the corresponding Section 4.3.1.2, “Event Handler Methods” (e.g. onBar and onTick)
and also into the Esper Engine (if using Esper) where they are available as Bar and Tick events.

To unsubscribe market data use the following method:

getSubscriptionService().unsubscribeMarketDataEvent(strategyName, securityId, feedType);

The SubscriptionService also supports the subscription for GenericEvents, see Section 18.5, “Generic
Events”

7.2.20. Reconciliation Services

Every broker interface that needs automated reconciliation has to derive a ReconciliationService from the
abstract ReconciliationService. For further information see Chapter 15, Reconciliation

7.2.21. Reset Service

The ResetService can be used to reset the state of the database to a pre-defined state either before a
simulation or if a reset of live trading is required.

To reset a live trading system multiple types of resets can be specified to the reset method using the
Enumeration ResetType

TRADES
deletes all transactions (except the initial CREDIT)

resets all cash balances (except the one associated with the initial CREDIT)

deletes all non-persistent positions and resets all persistent ones

ORDERS
delete all orders, order stati as well as order properties

SUBSCRIPTION
deletes non-persistent subscriptions

COMBINATIONS_AND_COMPONENTS
deletes non-persistent combinations and components

PROPERTIES
deletes non-persistent properties

MEASUREMENTS
deletes measurements

PORTFOLIO_VALUES
deletes portfolio values

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 CONFIDENTIAL Value Object

OPTIONS
deletes all options

FUTURES
deletes all futures

MARKET_DATA
deletes all bar and tick data

The method resetSimulation will reset the following items before each Simulation: Trades, Subscriptions,
Combinations/Components, Properties, Options (if option prices are simulated) and Futures (if future prices
are simulated).

7.3. Value Object

In contrast to Entities which are used to persist information, Value Objects are typically used for transmitting
objects (e.g. via JMS or RMI). For each Entity a corresponding Value Object is generated. Value Objects are
immutable (i.e. all fields are final and need to be set through the constructor)

Each Entity contains an inner Converter class that can be used to convert the Entity to its corresponding Value
Object.

In addition to Value Objects ValueObjectBuilders exist which help creating Value Objects. Example:

MarketOrderVO order = MarketOrderVOBuilder.create()

.setStrategyId(strategyId)
.setAccountId(accountId)
.setSecurityId(securityId)
.setQuantity(quantity)
.setSide(side)
.build();

4
For a full list of all Value Objects please visit our JavaDoc

7.4. Enumerations
For selectable items with a fixed number of choices AlgoTrader contains Java 5 Enumerations. For a full list
5
of all Enumerations please visit our JavaDoc

4
http://doc.algotrader.ch/javadoc/ch/algotrader/vo/package-frame.html
5
http://doc.algotrader.ch/javadoc/ch/algotrader/enumeration/package-frame.html

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Chapter 8. CONFIDENTIAL

Esper Engine
1
AlgoTrader uses the CEP (Complex Event Processing) engine Esper . AlgoTrader based strategies can
optionally make use of a dedicated Esper engine in addition to the Esper engine used by the AlgoTrader server.

8.1. Esper Introduction

2
Esper is an Event Stream Processing (ESP) and event correlation engine (CEP, Complex Event Processing).
Targeted to real-time Event Driven Architectures (EDA), Esper is capable of triggering custom actions written
as Plain Old Java Objects (POJO) when event conditions occur among event streams. It is designed for high-
volume event correlation where millions of events coming in would make it impossible to store them all to later
query them using classical database architecture.

A tailored Event Processing Language (EPL) allows expressing rich event conditions, correlation, possibly
spanning time windows, thus minimizing the development effort required to set up a system that can react to
complex situations.

Esper is a lightweight kernel written in Java which is fully embeddable into any Java process. It enables rapid
development of applications that process large volumes of incoming messages or events.

8.1.1. Introduction to event streams and complex events using Esper

Information is critical to make wise decisions. This is true in real life but also in computing, and especially in
the finance and trading area. Information flows in from different sources in the form of messages or events
(e.g. market data events), giving a hint on the state at a given time such as stock price. That said, looking at
those discrete events is most of the time meaningless. A trader needs to look at the stock trend over a period,
possibly combined with other information to make the best deal at the right time.

While discrete events when looked one by one might be meaningless, event streams (i.e. an infinite set of
events) considered over a sliding window and further correlated, are highly meaningful, and reacting to them
with the minimal latency is critical for effective action and competitive advantage.

Relational databases or message-based systems such as JMS make it really hard to deal with temporal data
and real-time queries. Indeed, databases require explicit querying to return meaningful data and are not suited
to push data as it changes. JMS systems are stateless and require the developer to implement the temporal
and aggregation logic himself. By contrast, the Esper engine provides a higher abstraction and intelligence
and can be thought of as a database turned upside-down: instead of storing the data and running queries
against stored data, Esper allows applications to store queries and run the data through. Response from the
Esper engine is real-time when conditions occur that match user defined queries. The execution model is thus
continuous rather than only when a query is submitted.

In Esper, a tailored EPL allows registering queries in the engine. A listener class, which is basically a POJO,
will then be called by the engine when the EPL condition is matched as events flow in. The EPL enables to

1
http://www.espertech.com/esper/
2
Most of this section has been reproduced from the Esper website

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 CONFIDENTIAL Event representations

express complex matching conditions that include temporal windows, joining of different event streams, as
well as filtering, aggregation, and sorting. Esper statements can also be combined together with "followed by"
conditions thus deriving complex events from more simple events. Events can be represented as JavaBean
classes, legacy Java classes, XML document or java.util.Map, which promotes reuse of existing systems
acting as messages publishers.

A trivial yet meaningful example is as follow: assume a trader wants to buy Google stock as soon as the price
goes below some floor value, not when looking at each tick but when the computation is done over a sliding
time window, say of 30 seconds. Given a TickVO event bean with a last price field and a reference to a Security
ID and the following EPL, a listener POJO would get notified as ticks come in to trigger the buy order:

select
avg(last)
from
TickVO.win:time(30 sec)
where
securityId=12

8.1.2. Event representations

Java classes are a simple, rich and versatile way to represent events in Esper. Java classes offer inheritance
and polymorphism via interfaces and super-classes, and can represent a complex business domain via an
object graph. In AlgoTrader event class like TickVO, BarVO, OrderVO, OrderStatusVO etc. are made available
to Esper engines by default. In addition any arbitrary java class can be used inside Esper engines after declaring
them.

In addition to Java classes, Maps and XML are an alternative way of representing events.

8.1.3. Event Stream Analysis

EPL statements derive and aggregate information from one or more streams of events, to join or merge event
streams, and to feed results from one event stream to subsequent statements.

EPL is similar to SQL in it's use of the select clause and the where clause. However EPL statements instead
of tables use event streams and a concept called views. Similar to tables in an SQL statement, views define
the data available for querying and filtering. Views can represent windows over a stream of events. Views can
also sort events, derive statistics from event properties, group events or handle unique event property values.

This is a sample EPL statement that computes the average of the last price for the last 30 seconds of Tick
events:

select
avg(last)
from
TickVO.win:time(30 sec)

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 CONFIDENTIAL
Combining Pattern Matching with Event Stream Analysis

A sample EPL that returns the average of the last price per symbol for the last 100 Ticks.

select
securityId
avg(last) as averagePrice
from
TickVO.win:length(100)
group by
securityId

This example joins 2 event streams. The first event stream consists of Bar events for which we keep the last
30 minutes (1800 seconds). The second stream is Tick events for which we consider the last 30 seconds. The
streams are joined on securityId.

select
bar.securityId as securityId,
max(bar.high) as maxHigh,
min(bar.low) as minLow,
last(tick.last) as lastPrice
from
BarVO.win:time(30 min) as bar,
TickVO.win:time(30 sec) as tick
where
bar.securityId = tick.securityId

8.1.4. Combining Pattern Matching with Event Stream Analysis

Patterns match when a sequence (or absence) of events is detected. Pattern match results are available for
further analysis and processing.

The pattern below detects a situation where an OrderStatus event is not followed by another OrderStatus
event corresponding to the same internal order id within 10 seconds. The statement further counts all such
occurrences grouped per internal order id.

select
a.intId,
count(*)
from
pattern [every a=OrderStatus
-> (timer:interval(10 sec) and not OrderStatus(intId=a.intId)]
group by
id

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 CONFIDENTIAL Named windows

8.1.5. Named windows

A named window is a global data window that can take part in many statement queries, and that can be
selected-from, inserted- into and deleted-from by multiple statements. Named windows are similar to a table
in a relational database system.

One can create a named window for example as follows:

create window
SecurityWindow
as
(symbol String, triggerPrice double)

One can trigger a select, update or delete when an event arrives. Here we show a select that simply counts
the number of rows:

on
TriggerEvent
select
count(*)
from
SecurityWindow

Named windows can also be queried with fire-and-forget queries through

ch.algotrader.esper.Engine.executeQuery and
ch.algotrader.esper.Engine.executeSingelObjectQuery.

8.1.6. Variables
A variable is a scalar, object or event value that is available for use in all statements including patterns. Variables
can be used in an expression anywhere in EPL.

8.2. Esper Quick Start Guide

3
This quick start guide provides step-by-step instructions for using Esper inside AlgoTrader.

8.2.1. Event Types

Java classes are a good choice for representing events, however Map-based or XML event representations
can also be good choices depending on the architectural requirements.

AlgoTrader provides a number of Value Objects that can be used as Esper Events (e.g. TickVO, BarVO,
OrderStatusVO, etc.)

3
Most of this section has been reproduced from the Esper website.

105
 CONFIDENTIAL Creating a Statement

8.2.2. Creating a Statement

A statement is a continuous query registered with an Esper engine instance that provides
results to listeners as new data arrives, in real-time, or on demand via the iterator API ( see
ch.algotrader.esper.Engine.executeQuery ).

The next code snippet shows an Esper module containing a continuous query. The query returns the average
price over all TickVO events that arrived in the last 30 seconds:

select
avg(price) as avgPrice
from
TickVO.win:time(30 sec)

Each of the Esper engines inside AlgoTrader can contain several modules. Modules specified through the
initModules and runModules attribute of the Esper Engine Spring Bean Definition are loaded automatically
on start-up.

<bean id="testEngine" class="ch.algotrader.esper.EngineFactoryBean">

<property name="strategyName" value="TEST"/>
<property name="configResource" value="esper-test.cfg.xml"/>
<property name="configParams" ref="testConfigParams"/>
<property name="initModules" value="market-data"/>
<property name="runModules" value="order-handling"/>
</bean>

Note

A module definition of market-data will look for a module file called module-market-data.epl.

Additional modules can be deployed at runtime using the method Engine.deployModule.

8.2.3. Adding a Subscriber

A subscriber object is a direct binding of query results to a Java object. The object, a POJO, receives statement
results via method invocation. The subscriber class does not need to implement an interface or extend a
superclass. Only one subscriber object may be set for a statement.

Subscriber objects have several advantages over listeners. First, they offer a substantial performance benefit:
Query results are delivered directly to the Java method(s) through Java virtual machine method calls, and there
is no intermediate representation (EventBean). Second, as subscribers receive strongly-typed parameters, the
subscriber code tends to be simpler.

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 CONFIDENTIAL Adding a Listener

The subscriber class must provide a public method to receive events. The number and types of parameters
declared by the update method must match the number and types of columns as specified in the select clause,
in the same order as in the select clause.

For the following statement:

@Subscriber(className='ch.algotrader.listener.MySubscriber#process)
select
orderId, price, count(*)
from
OrderEvent;

the Subscriber class looks as follows:

public class MySubscriber {

public void process(String orderId, double price, long count) {
System.out.println("orderId=" + orderId + ",price=" + price + ",count=" + count);
}
}

8.2.4. Adding a Listener

Listeners are invoked by the engine in response to one or more events that change a statement's result set.
Listeners implement the UpdateListener interface and act on EventBean instances as the next code snippet
outlines:

public class MyListener implements UpdateListener {

public void update(EventBean[] newEvents, EventBean[] oldEvents) {
System.out.println("avg=" + newEvents[0].get("avgPrice"));
}
}

By attaching the listener to the statement via the following annotation the engine provides the statement's
results to the listener:

@Listeners(classNames={'ch.algotrader.listener.MyListener'})
select
avg(price) as avgPrice
from
TickVO.win:time(30 sec)

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 CONFIDENTIAL Sending events

8.2.5. Sending events

The runtime API accepts events for processing. As a statement's results change, the engine indicates the new
results to listeners right when the events are processed by the engine.

Incoming market data events (e.g. Ticks), submitted Orders, OrderStatus events, received Fills, etc are
automatically sent into the corresponding Esper engines.

Additionally custom events can be sent into an Esper engine. The following code snipped creates an arbitrary
event and sends it into the Esper engine instead an AlgoTrader strategy named EXAMPLE.

MyEvent event = new MyEvent("TEST_EVENT");

engine.sendEvent(event);

8.2.6. Configuration
Esper Configuration helps make statements more readable and provides the opportunity to plug-in extensions.

Each Esper Engine loads the default esper-common.cfg.xml file. In addition strategies load all Esper
configuration files named esper-xxx.cfg.xml in the class path. This configuration file defines settings like:

• Event Types

• Auto Import Classes & Packages

• Custom Aggregation Functions

• Variables

• General Engine Settings

8.3. Esper Documentation

4
Esper provides in depth documentation .

The following chapters of the Esper Documentation are relevant for developing trading strategies with
AlgoTrader based on Esper:

5
• 2. Event Representations
6
• 3. Processing Model
7
• 5. EPL Reference: Clauses

4
http://esper.espertech.com/release-5.5.0/esper-reference/html/index.html
5
http://esper.espertech.com/release-5.5.0/esper-reference/html/event_representation.html
6
http://esper.espertech.com/release-5.5.0/esper-reference/html/processingmodel.html
7
http://esper.espertech.com/release-5.5.0/esper-reference/html/epl_clauses.html

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 CONFIDENTIAL AlgoTrader specific Esper Artifacts

8
• 6. EPL Reference: Patterns
9
• 8. EPL Reference: Operators
10
• 9. EPL Reference: Functions
11
• 12. EPL Reference: Views
12
In addition Esper Examples, Tutorials, Case Studies are available.

8.4. AlgoTrader specific Esper Artifacts

8.4.1. Engine & EngineManager
Inside AlgoTrader Esper engine instances are wrapped by the EngineImpl which implements the Engine
interface. Individual Engine instances can be located through the EngineManager singleton.

8.4.1.1. Engine
The Engine interface has methods available for the following tasks:

• deployment / un-deployment of Esper statements and modules

• sending events

• execute fire-and-forget queries

• retrieve current statement state

• management of the Esper clock

• synchronized processing (coordination) of events from different sources into the Esper engine

• management of Esper variables

• adding Section 8.4.8, “Callbacks”

For further information please visit the relevant JavaDoc.

For testing purposes there is an abstract do-nothing implementation of the Engine interface available named
AbstractEngine.

8.4.1.2. EngineManager
The EngineManager interface represents the main entry point to different Engines running inside the JVM. The
EngineManager has methods available for the following tasks:

8
http://esper.espertech.com/release-5.5.0/esper-reference/html/event_patterns.html
9
http://esper.espertech.com/release-5.5.0/esper-reference/html/epl-operator.html
10
http://esper.espertech.com/release-5.5.0/esper-reference/html/functionreference.html
11
http://esper.espertech.com/release-5.5.0/esper-reference/html/epl-views.html
12
http://esper.espertech.com/release-5.5.0/esper-reference/html/examples.html

109
 CONFIDENTIAL Modules

• Lookup of available Engines

• Query of the current Engine time

• Management of statement metrics

For further information please visit the relevant JavaDoc.

Note
Engine instances are managed and configured through Spring configuration. Engines are
standard Spring managed beans that get automatically registered with EngineManager upon
startup.

8.4.2. Modules

8.4.2.1. AlgoTrader Server Modules

The AlgoTrader Server contains the following Esper modules:

Table 8.1. AlgoTrader Server modules

Tag Description
module-algo-xxx.epl Each Execution Algo has its own module
module-combination.epl Combination / Component related functionality (see Chapter 24,
Synthetic Securities and Derivative Spreads)
module-current-values.epl Store current market data values
module-cng.epl Coinigy specific statements
module-ib.epl IB specific statements
module-market-data.epl Statements related to market data
module-metrics.epl Statements needed for Engine Metrics
module-performance.epl Evaluation of performance metrics
module-portfolio.epl Portfolio management functions
module-prepared.epl Prepared Statements available to strategies
module-server-prepared.epl Server Side prepared Statements
module-trades.epl Statements related to orders and executions

Note
init and run modules of the AlgoTrader Server can be defined through config properties in
conf-core.properties.

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 CONFIDENTIAL Tags

8.4.2.2. Strategy Modules

Strategies are completely free in the definition of their Esper Statements. Examples of Statements used by
strategies are:

• Creation of technical indicators (e.g. Moving Average, Bollinger Bands, ATR, etc.)

• Creation of trade signals

• Trend evaluation

• Open / Close / Increase / Reduce Positions

• Roll Positions (for Options and Futures)

• Pattern recognition

Note
It is generally recommended to use Esper statements for anything up to signal generation but
then use Java for execution of actions (e.g. send and order, set a stop or close a position)

8.4.3. Tags
13
In addition to the Esper standard tags the following tags are available:

Table 8.2. Esper tags

Tag Description
@Condition(key='xxx') Statement is only deployed if defined configuration parameter is set
to "true"
@SimulationOnly Statement is only deployed in simulation
@RunTimeOnly() Statement is only deployed in Live-Trading mode
@Listeners(classNames={'...'}) attaches one or multiple listeners to the statement
@Subscriber(className='...') attaches a subscriber to the statement

8.4.4. Subscribers
The system provides the following Subscribers out-of-the-box:

IndicatorSubscriber
Prints all values as a comma-separated-list (CSV) to the file files/report/IndicatorReport.csv
(Headers are not available).

13
http://esper.espertech.com/release-5.5.0/esper-reference/html/epl_clauses.html#epl-syntax-annotation

111
 CONFIDENTIAL Listeners

TestSubscriber
Prints all values to the Log by using the toString method of the event object.

VoidSubscriber
Do-nothing subscriber, useful when select clauses call static methods

ExceptionSubscriber
Prints a value as an Error to the Log.

Any public method of a component defined in the Spring application context can potentially be used as a
subscriber provided the parameter signature of the method can be supported by Esper: One can define a
subscriber by specifying a Spring bean name followed by hash (#) followed by a method name exposed by
this bean.

@Name('TAKE_PROFIT')
@Subscriber(className='boxService#takeProfit')

The syntax also support property placeholder expansion. This can especially useful when using multiple
instances of the same strategy in the same JVM process.

@Name('TAKE_PROFIT')
@Subscriber(className='${strategyName}Service#takeProfit')

8.4.5. Listeners
The system provides the following Listeners out-of-the-box:

IndicatorListener
Prints all values as a comma-separated-list (CSV) to the file files/report/IndicatorReport.csv.
Headers will be extracted from the supplied Statement.

RendererListener:
Prints all values to the Log in XML format.

TestListener
Prints all values to the Log by using the toString method of the event object.

StatementAwareTestListener
Prints all values including the statement name to the Log by using the toString method of the event object.

8.4.6. Service method invocation in Esper scripts

AlgoTrader Esper statements can access standard platform services directly

By default AlgoTrader exposes the following services to Esper statements, which strategies can make use of:

112
 CONFIDENTIAL Aggregation Functions

• LookupService

• PortfolioService

• CalendarService

• OrderService

• PositionService

• MarketDataService

• OptionService

Here are some examples. To retrieve a security based on its securityId one can use the following statement:

select
bar,
security
from
BarVO as bar unidirectional,
method:lookupService.getSecurity(bar.securityId) as security;

To retrieve an open order by its intId on can use the following statement:

select
fill,
openOrder
from
FillVO as fill unidirectional,
method:orderService.getOrderByIntId(fill.orderIntId) as openOrder;

8.4.7. Aggregation Functions

The system provides the following custom aggregation functions:

8.4.7.1. ExponentialMovingAverage

The ExponentialMovingAverageFunction can be used to construct an exponential moving average of a time

series, e.g.:

The AggregationFunction can be used in an Esper statement like this:

select ema(last, 10) from TickVO;

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 CONFIDENTIAL Aggregation Functions

This will create a 10-period exponential moving average of the Tick last price.

8.4.7.2. GenericTALibFunction
14
The GenericTALibFunction is a portation of ta-lib to AlgoTrader. It supports all TA-Lib operations.
15
Please consult TA-Lib for a list of all TA-Lib methods and their parameters.

If the TA-Lib Function returns just one value, the value is directly exposed by the AggregationFunction.

Example: The TA-Lib function movingAverage has just one double typed return value which can be accessed
directly.

insert into MovingAverage

select talib("movingAverage", close.doubleValiue(), 30, "Sma") as result
from BarVO;

select result
from MovingAverage;

If the TA-Lib Function returns multiple-values, a dynamic class will be generated on the fly, which gives access
to properly typed return-values. All return value names are lower-case!

Example: The TA-Lib function stochF has return values: outFastK and outFastD. The returned dynamic class
will have double typed properties by the name of: fastk and fastd (all lowercase).

insert into Stochastic

select talib("stochF", high.doubleValiue(), low.doubleValiue(), close.doubleValiue(), 3,
2, "Sma") as result
from BarVO;

select result.fastk, result.fastd

from Stochastic;

Some functions are influenced by the entire range of the past data. These functions are sometimes called
functions with memory. An example is the EMA (Exponential Moving Average). For these functions an optional
unstable period parameter can be specified. The following statement will create a 30 period moving average
with an unstable period of 10.

insert into MovingAverage

select talib("movingAverage", close.doubleValue(), 30, "Ema", 10) as result
from BarVO;

14
http://ta-lib.org/
15
http://doc.algotrader.ch/ta-lib.html

114
 CONFIDENTIAL Callbacks

16
For further details about the unstable period please see: SetUnstablePeriod
17
For additional information please visit the corresponding JavaDoc .

Note
As an alternative to the ta-lib based exponential moving average function the Esper aggregation
function Section 8.4.7.1, “ExponentialMovingAverage” can be used which keeps the entire
history an not just the unstable period.

8.4.8. Callbacks

8.4.8.1. First tick callback

A BiConsumer<String, List<TickVO>> function can be registered with the Esper engine using the
Engine#addFirstTickCallback() method. Whenever at least one Tick of each specified security has arrived
the consumer will be executed receiving the name of the strategy and a list of ticks as input.

A typical use case of a first tick callback looks like this:

engine.addFirstTickCallback(securityIds, (strategyName, ticks) -> {

...
});

for (long securityId : securityIds) {

getSubscriptionService().subscribeMarketDataEvent(strategyName, securityId);
}

8.4.8.2. Trade callback

A BiConsumer<String, List<OrderStatusVO>> function can be registered with the Esper engine using
the Engine#addTradeCallback() method. Whenever all corresponding orders have been fully executed or
canceled the consumer will be executed receiving the name of the strategy and a list of order status messages
as input.

In order to correctly associate the trade callback with a specific order an orderId has to be retrieved from the
order service and set onto the order before attaching the trade callback.

A typical use case of a trade callback looks like this:

String orderId = getOrderService().getNextOrderId(order.getClass(), accountId);

16
http://ta-lib.org/d_api/ta_setunstableperiod.html
17
http://doc.algotrader.ch/javadoc/ch/algotrader/esper/aggregation/GenericTALibFunction.html

115
 CONFIDENTIAL Callbacks

order.setIntId(orderId);

engine.addTradeCallback(Collections.singleton(orderId), (strategyName, orderStati) -> {

...
});

getOrderService().sendOrders(orders);

The Engine#addFullExecutionCallback() method can be used to register a callback logging an error if the
order did not execute fully.

String orderId = getOrderService().getNextOrderId(order.getClass(), accountId);

order.setIntId(orderId);

engine.addFullExecutionCallback(Collections.singleton(orderId));

getOrderService().sendOrders(orders);

Note
With Fix based Broker connections the TradeCallback only works with the initial order but not
with any subsequent order modifications.

8.4.8.3. Trade persisted callback

A Consumer<List<OrderCompletionVO>> function can be registered with the Esper engine using the
Engine#addTradePersistedCallback() method. Whenever all corresponding orders have been fully
executed and all corresponding database transactions (e.g. OrderStatus, Transaction and Position) have
been fully executed the consumer will be executed receiving a list of OrderCompletionVO objects as input.

This callback is particularly useful for situations where one needs to have a guarantee that all order related
database transactions have been fully executed before continuing with next steps, e.g. to retrieve the current
position quantity after an order has been executed. If using a regular trade callback for this, the Position Entity
might not have been fully persisted by the time the consumer is executed. However when using the trade
persisted callback it is guaranteed that the Position Entity has been fully updated in the database.

In order to correctly associate the trade callback with a specific order an orderId has to be retrieved from the
order service and set onto the order before attaching the trade callback.

A typical use case of a trade persisted callback looks like this:

String orderId = getOrderService().getNextOrderId(order.getClass(), accountId);

116
 CONFIDENTIAL Callbacks

order.setIntId(orderId);

engine.addTradePersistedCallback(Collections.singleton(orderId), orderCompletions -> {

...
});

getOrderService().sendOrders(orders);

Note
The Trade persisted callback is only supported in runtime mode but it is not supported in
simulation mode. It is recommended to use the Section 8.4.8.2, “Trade callback” instead in
simulation mode. The Trade persisted callback will only get executed if there has been at least
one (partial) execution but not if an order has been cancelled or rejected before there has been
any execution.

8.4.8.4. Open / close position callback

A Consumer<PositionMutationVO> function can be registered with the Esper engine using the
Engine#addOpenPositionCallback() or Engine#addClosePositionCallback() methods. Whenever a
corresponding transaction causes a new position to open / close the consumer will be executed receiving
PositionMutationVO as input.

engine.addOpenPositionCallback(securityId, positionMutation -> {

...
});

engine.addClosePositionCallback(securityId, positionMutation -> {

...
});

Note
It is guaranteed that the position is fully persistent to the database by the time the consumer
is called.

8.4.8.5. Timer callback

A Consumer<Date> function can be registered with the Esper engine using the Engine#addTimerCallback()
method. Whenever the system time has reached the specified time the consumer will be executed receiving the
actual time as input. To distinguish multiple timers from each other an additional name parameter is available
to name each timer instance.

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 CONFIDENTIAL Esper Threading

LocalDateTime time = DateTimeLegacy.toLocalDateTime(LocalDateTime.now().plusHours(1));

engine.addTimerCallback(time, "in one hour", date -> {

...
});

8.5. Esper Threading

18
Esper has several options for enabling a multi-threaded environment, see Esper API Threading

In Live-Trading Mode AlgoTrader uses outbound threading with 3 threads by default. This means that all
Subscriber / Listener Tasks are handled by a thread-pool of 3 threads. The number of outbound threads can
be changed inside conf.properites or via Section 2.3, “VM Arguments”:

# number of Esper outbound threads to be used in Live Trading Mode for the Server
Engine
misc.outboundServerEngineThreads = 3

# number of Esper outbound threads to be used in Live Trading Mode for the Strategy
Engines
misc.outboundStrategyEngineThreads = 3

For debugging reasons AlgoTrader logs the name of the thread using log4j, see Chapter 29, Logging

18
http://esper.espertech.com/release-5.5.0/esper-reference/html/api.html#api-threading

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Chapter 9. CONFIDENTIAL

Database
1 2
AlgoTrader uses MySQL to store transaction data. In addition an embedded in-memory H2 database can
be used for simulations.
3
AlgoTrader uses the database migration library flyway to keep databases in-line with the current version of
AlgoTrader

The directory /bootstrap/conf contains all relevant database files:

• flyway/sql contains the flyway migration scripts that will be executed to initialize and update the MySQL
database

• src/main/resources/db-samples/h2 and src/main/resources/db-samples/mysql database sample

data for accounts, exchanges, securities (FX majors, S&P 500 & EURO STOXX 50 stocks), future families
and order preferences.

With the embedded database H2 all H2 scripts that are available in the class path under the following wild card
pathname will be loaded by the system: h2/h2-*.sql and /db/h2/h2-*.sql.

9.1. Data Source

AlgoTrader provides different Data Source for different scenarios. One of the available Data Sources needs
to be configured via the following VM argument:

-Dspring.profiles.active=<dataSource>

dataSource can be one of the following

4
• pooledDataSource: A Data Source that uses connection pooling based on C3P0

• singleDataSource: A Data Source that uses one single database connection and no connection pooling.
5
• embeddedDataSource: An H2 based in-memory / in-process Data Source that is ideal for simulation of
strategies. Using the embeddedDataSource reduces the duration of back-test runs by 30%-50% and allows
multiple parallel simulations on the same machine without needing to installing a physical database.

1
https://www.mysql.com/
2
http://www.h2database.com/
3
https://flywaydb.org/
4
https://www.mchange.com/projects/c3p0/
5
http://www.h2database.com/

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Chapter 10. CONFIDENTIAL

Client
AlgoTrader provides different types of clients all of which are targeting a different audience and use case:

• HTML5 Client: Trading related Management Client

• Eclipse IDE: Contains the Strategy Creation Wizard, the Config Editor as well as the strategy simulation
environment

10.1. HTML5
The AlgoTrader HTML 5 provides the following features.

• Live Market Data updated in real-time.

• Tables showing current Orders, Transactions, Positions and Market Data.

• All tables provide (multicolumn) sorting, filtering, column selection and reordering, and scrolling.

• Display of Alarms and Notifications in case something unexpected happens.

• Supports multiple currencies and automatic currency conversion.

• Since the frontend is based on HTML 5, it can easily be integrated into corporate IT infrastructures using
firewalls, VPNs, and remote locations.

• Auto-completion feature for security selection.

When AlgoTrader server starts, it automatically opens the client.

To manually open the client, point the browser to one of the following URL.

http://localhost:9090

10.1.1. Header

Figure 10.1. AlgoTrader HTML5 Client Header

Using the strategy selection menu located at the top of the screen (to the right), one can select either an
aggregated view over the entire system or a strategy specific view.

When a single strategy is selected the client will show orders, transactions, positions and market data
subscriptions related to the selected strategy only. When ALL is selected the client will show orders,
transactions, positions and market data subscriptions for all strategies.

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 CONFIDENTIAL Header

The header tiles show general figures (like Net Liquidity, Unrealized P&L, Cash, etc.). The default
valuation currency is USD. You can change it by updating the misc.portfolioBaseCurrency value in the
conf.properties file.

If one opens a menu on top right corner (hamburger menu) one can see Settings link which opens the settings
form. The following settings are available there:

1. Tiles: one can configure the visibility of general figures in header

2. Order defaults: default order related values like default quantity and default time-in-force

3. Tables update throttling in ms - sets the update interval of all tables, e.g. if the interval is 333ms, the tables
will buffer all data updates and only make display changes every 333ms. Increasing that parameter may
help if the UI is displaying a lot of data (>100 rows) and becomes unresponsive, e.g. reacts slowly to clicking
on buttons, sorting columns etc.

4. Use Trading View historical data - when checked means that the historical data for chart will be coming
from TradingView's own data source, if unchecked the chart will take historical data from data source the
Algotrader back end is configured with

Figure 10.2. AlgoTrader HTML5 Client Header Settings

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 CONFIDENTIAL Header

To open the general management form, click on the management menu on the top of the screen (to the left).

Figure 10.3. AlgoTrader HTML5 Client Management

The management menu provides the following operations:

Figure 10.4. AlgoTrader HTML5 Client Management Form

Notifications are displayed in the lower left hand side of the screen

Figure 10.5. AlgoTrader HTML5 Client Notification

In case of an Alert an icon will appear at the top right of the screen.

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 CONFIDENTIAL Order Table

Figure 10.6. AlgoTrader HTML5 Client Alert

To open the list of all Alerts click on the bell icon. Alerts can be removed from the list by clicking on the close icon

Figure 10.7. AlgoTrader HTML5 Client Alert List

10.1.2. Order Table

The orders will appear in the Order Table in real time. Executed orders are removed from the table after a
preset number of seconds which can be configured through the Settings Dialog.

Figure 10.8. AlgoTrader HTML5 Client Order Table

Manual orders can be entered using the order entry form. After entering the order (by specifying security, trade
side, order type, quantity, strategy and account), click the Submit button.

Figure 10.9. AlgoTrader HTML5 Client Manual Order Entry

To specify additional manual order parameters (e.g. time in force and exchange), click the Details button
and adjust the order .

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 CONFIDENTIAL Transaction Table

Figure 10.10. AlgoTrader HTML5 Client Manual Order Detail

To cancel all open orders, click the Cancel All button at the top right of the Order Table.

To cancel a specific open order, click the Cancel icon besides the order.

To modify an open order, click the Modify icon besides the order.

Figure 10.11. AlgoTrader HTML5 Client Manual Order Modification

10.1.3. Transaction Table

The executed trades are listed in the Transactions Table. Since strategies can produce a lot of transactions, only
the most recent 50 are shown on startup. All transactions can of course be seen/exported from the database.

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 CONFIDENTIAL Positions Table

Figure 10.12. AlgoTrader HTML5 Client Transaction Table

To manually add a transaction, click the Add button at the top right of the Transaction Table.

Figure 10.13. AlgoTrader HTML5 Client Transaction Entry

10.1.4. Positions Table

Open positions are listed within the Positions Table.

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 CONFIDENTIAL Market Data Table

Figure 10.14. AlgoTrader HTML5 Client Position Table

To close all positions, click the Close All button at the top right of the Position Table.

To close a specific position, click the Close icon besides the position.

To reduce a position by a certain quantity, click the Reduce icon besides the position.

To open a position's security chart, click the Chart icon besides the position.

Note

Closing and Reducing a position through this table requires the definition of an
order_preference with the name DEFAULT. Fur further details see Section 17.1.1, “Order
Preferences”

The default order preference also includes an account, which means this feature in the positions
table is only usable with one account/adapter. If you are using more than one, you have to use
the order entry in the order table to close positions.

10.1.5. Market Data Table

Shows market data in real time.

Figure 10.15. AlgoTrader HTML5 Client Market Data Table

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 CONFIDENTIAL Column Selection and Grouping

To subscribe for a security's market data, click the Subscribe button at the top right of the Market Data Table.

Figure 10.16. AlgoTrader HTML5 Client Market Data Subscribe

To unsubscribe to a security's market data, click the Unsubscribe icon besides the security.

For any given strategy, it is only possible to unsubscribe from securities the strategy has no position. The
unsubscribe icon will only be enabled if the corresponding strategy has no position for the given security.

Figure 10.17. AlgoTrader HTML5 Client Market Data Unsubscribe

The security's chart can be opened by clicking the Chart icon besides the security.

10.1.6. Column Selection and Grouping

All Tables have a configuration button at the top right of the table. Click the settings button to select which
columns to show. See the following example for the Transaction Table.

To see all columns of a certain type (e.g. Transaction or Strategy) please click on the expand button.

One can also automatically adjust columns' width by clicking on Auto-size columns button in Table actions
section.

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 CONFIDENTIAL Column Selection and Grouping

Figure 10.18. AlgoTrader HTML5 Client Transaction Column Selection

In every table, any column can be sorted (ascending or descending) by clicking on the column header.

A filter can be applied to any column by clicking at the far right part of the column header. The following image
shows the transaction table filtered by a specific symbol.

Figure 10.19. AlgoTrader HTML5 Client Column Filter

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 CONFIDENTIAL CSV Export

10.1.7. CSV Export

All Tables have a Export CSV button at the top right of the table. Clicking the button will initiate the export
of all the data visible in given table into a csv file. Exported files will get unique names with table name and
the export date.

10.1.8. Chart Widget

The AlgoTrader frontend also comes with the interactive TradingView chart library.

TradingView has regular and advanced chart types and it comes with a massive library of over 100 pre-built
technical indicators covering the most popular trading concepts.

The chart widget is useful during strategy development (for initial idea generation, validation, etc.) and for
monitoring.

Note

TradingView widget can work in two modes. It can either use data provided by TradingView
itself, or it can use custom market data adapters which are configured in AlgoTrader.

In case of TradingView market data source there might be slight differences between market
data shown in the market data table and the chart widget.

1
Please, see the TradingView documentation .

Figure 10.20. AlgoTrader HTML5 Client Chart Widget

To switch market data source between TradingView and custom ones, open settings panel.

1
https://www.tradingview.com/wiki/Main_Page

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 CONFIDENTIAL Chart Widget

Figure 10.21. AlgoTrader HTML5 Client Chart Widget settings

To select particular security to be displayed in the chart, click on the chart icon in the operations column in
Market Data or Positions grids.

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 CONFIDENTIAL Technologies

Figure 10.22. AlgoTrader HTML5 Client Chart Widget - selecting security

10.1.9. Technologies
The HTML5 client is based on the following technologies/architectures:

• HTML5
2
• React
3 4
• STOMP over WebSockets

• RESTful Web services

5
• Bootstrap

2
https://reactjs.org/
3
https://stomp.github.io/
4
http://www.websocket.org/
5
http://getbootstrap.com/

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 CONFIDENTIAL HTML5 Custom Widgets

6
• TradingView chart component

7
• AGGrid component

10.1.10. HTML5 Custom Widgets

It is possible to extend the HTML5 UI with custom widgets in order to visualize strategy specific data or let the
user interact with strategy specific functionality (e.g. modify parameters or change the state of a strategy). the
following screen shot shows an example of the custom widget in use by the Appendix B, Example Strategy
"Box":

Figure 10.23. HTML5 Custom Widget Example

HTML5 custom widgets use WebSockets over STOMP to communicate with the strategy.

To integrate the HTML5 custom widget into the main HTML5 front end the following items need to be created
inside the strategy. The examples are based on the Appendix B, Example Strategy "Box".

6
https://www.tradingview.com/
7
https://www.ag-grid.com/

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 CONFIDENTIAL HTML5 Custom Widgets

/src/main/resources/html5/index.html
This file contains the layout of the main HTML5 screen including the HTML5 custom widget. The custom
widget needs to be included similar to the following code snippet:

<head>
<meta charset="utf-8">
<title>AlgoTrader</title>
<script src="/charting_library/charting_library.min.js"></script>
<script src="https://s3.tradingview.com/tv.js"></script>
<script src="https://ajax.googleapis.com/ajax/libs/jquery/2.1.4/jquery.min.js"></
script>
</head>

...

<!-- strategy Column -->

<div class="col col-xs-2">
<div class="row row-xs-12">
<div class="col col-xs-12">
<div id="box"></div>
</div>
</div>
</div>
<!-- End of strategy column -->

Please not that the total of all columns and the total of all rows needs to equal 12 (e.g. col-xs-5, col-xs-5
and col-xs-2).

As the code snippet shows it is necessary to also include the jquery and stomp JavaScript libraries.

/src/main/resources/html5/box.html
This file contains the HTML code for the custom widget. Individual tags will be referenced by JavaScript
code through tag ids.

<h3>Box Strategy</h3>
<table class="table table-striped ">
<thead>
<tr>
<th>Name</th>
<th>Value</th>
</tr>
</thead>
<tbody>
<tr>
<td>State</td>
<td id="box_state"></td>
</tr>

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 CONFIDENTIAL HTML5 Custom Widgets

</tbody>
</table>
<button id="box_terminate" class="btn btn-danger btn-xs" role="button">
TERMINATE TRADE
</button>

/src/main/resources/html5/box.js
This file contains the JavaScript code for the custom widget:

$.get("box.html", function(result){

$("#box").html(result);

$.get(document.documentURI + "rest/broker/url/ws", function(wsURI){

var ws = new WebSocket(wsURI, "stomp");

var stompClient = Stomp.over(ws);
stompClient.connect({}, function(frame) {

stompClient.subscribe('/topic/strategy.box.metrics', function(message){
var metrics = JSON.parse(message.body));
$("#box_state").text(metrics.state);
}, { "activemq.retroactive" : true});

$('#box_terminate').on('click', function(event) {
stompClient.send("strategy.box.terminate", {})
});
});
});
});

Loads the html content

Populate the <div id="box"> tag inside index.html with the html content
Requests the WebSocket URI via REST call
Connects to STOMP of WebSocket
Subscribes for metrics updates of the strategy which are sent to the topic strategy.box.metrics.
Setting {"activemq.retroactive" : true} will allow the custom widget to get the last metrics event
from the strategy.box.metrics topic upon subscription
Populates the content tags with the contents of the metrics events
Sets button actions. Clicking the terminate button will send an empty message to the
strategy.box.terminate topic.

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 CONFIDENTIAL AlgoTrader Eclipse IDE

/src/main/java/ch/algotrader/strategy/box/BoxService.java
The strategy service class is responsible for sending events to the custom widget and for processing
incoming events from the custom widget.

Strategy service classes can send events to the custom widget by using the JsonTemplate available inside
the strategy service. The following code snippet will send a box event to the topic strategy.box.metrics:

getJsonTemplate().convertAndSend("strategy.box.metrics", box);

Strategy service class methods can be annotated with the JmsListener annotation in order to receive
incoming events from the custom widget. The following code snippet will attache the terminateSeries
method to the topic strategy.box.terminate:

@JmsListener(destination = "strategy.box.terminate")
public void terminateSeries() {
...
}

To see the full source code of above examples please see the corresponding source code of the Appendix B,
Example Strategy "Box". Additional HTML5 custom widgets are available inside the example strategies
Appendix D, Example Strategy "IPO" and Appendix C, Example Strategy "Pairs Trading".

10.2. AlgoTrader Eclipse IDE

The AlgoTrader Eclipse IDE provides a perspective (AlgoTrader perspective) which is ideal for quantitative /
none technical users of AlgoTrader as it hides all code related artifacts. In addition the AlgoTrader Eclipse IDE
contains the Strategy Wizard and the AlgoTrader Configuration Editor.

See section Section 2.1, “Development Environment Installation” for instructions on how to install the
AlgoTrader Eclipse IDE.

10.2.1. AlgoTrader Perspective

Quantitative users can use this perspective to modify configurations of the system and trading strategies and
start the system with different configurations. Code artifacts (java classes, config files etc.) are not visible in
this perspective. However all log-files and reports are shown.

The perspective shows AlgoTrader projects only, i.e. projects that have the AlgoTrader nature
(ch.algotrader.quant.ui.algotradernature) defined inside the .project file:

<?xml version="1.0" encoding="UTF-8"?>

<projectDescription>
<name>...</name>

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 CONFIDENTIAL Strategy Wizard

<comment></comment>
<projects>
</projects>
<buildSpec>
<buildCommand>
<name>org.eclipse.jdt.core.javabuilder</name>
<arguments>
</arguments>
</buildCommand>
<buildCommand>
<name>org.eclipse.m2e.core.maven2Builder</name>
<arguments>
</arguments>
</buildCommand>
</buildSpec>
<natures>
<nature>org.eclipse.jdt.core.javanature</nature>
<nature>org.eclipse.m2e.core.maven2Nature</nature>
<nature>ch.algotrader.quant.ui.algotradernature</nature>
</natures>
</projectDescription>

It offers the following main capabilities:

• By right clicking on an AlgoTrader project the AlgoTrader Configuration Editor can be opened. This action
is available under the AlgoTrader/Configuration menu item.

• By right clicking on an AlgoTrader project an AlgoTrader project can be duplicated. This action is available
under the AlgoTrader/Duplicate menu item.

• By right clicking on an AlgoTrader a back test of the strategy can be started. This action can be performed
by clicking the AlgoTrader/Run Strategy menu item. This context-menu item is only enabled for strategies
that do not contain strategy groups.

Note

There is no new operation. Quantitative users of the system can duplicate projects but they
cannot create new ones. Creation of new projects needs to be done by developers through the
regular Java perspectives.

10.2.2. Strategy Wizard

The Strategy Wizard provides an easy way to automatically create all artifacts necessary for an AlgoTrader
based trading strategy. Internally the Strategy Wizards makes use of the AlgoTrader Archetype, see
Section 4.1.1, “AlgoTrader Strategy Wizard”.

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 CONFIDENTIAL AlgoTrader Configuration Editor

10.2.3. AlgoTrader Configuration Editor

The AlgoTrader Configuration Editor provides an editor for AlgoTrader configuration files. For more information
on the AlgoTrader configuration functionality please see: Chapter 26, Configuration and Preferences API and
Section 4.5, “Strategy Groups”.

To open the AlgoTrader Configuration Editor, right click on an AlgoTrader project, then click the menu item
AlgoTrader/Configuration. The AlgoTrader/Configuration menu will only be available if a file with the name
applicationContext-client-xxx.xml exists in the project class path. If that file does not exits, the menu
item will be disabled and the editor cannot be opened.

Furthermore, the AlgoTrader Configuration Editor behaves differently depending on the content of the
applicationContext-client-xxx.xml file. If the configuration file contains strategy group definitions according to
Section 4.5, “Strategy Groups” the editor will show three tabs.

10.2.3.1. Strategy Group Tab

The tab Strategy Group allows modification of strategy group definitions.

Figure 10.24. AlgoTrader Configuration Editor

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 CONFIDENTIAL AlgoTrader Configuration Editor

The image above shows a strategy group configuration file opened in the AlgoTrader Configuration Editor.

On the left hand side of the Strategy Group Tab all available configurations are list and grouped by their Config
Class (e.g. Box for ch.algotrader.strategy.box.BoxConfig).

The buttons "New" and "Edit" (1) can be used to add and modify individual configuration items.

Figure 10.25. Strategy Data

The "New" and "Edit" dialog contains the following elements (for details visit: Section 4.5, “Strategy Groups”):

• Name: the name of the .properties file

• Config Class: the name of the ConfigBean linked to the .properties file

• Service Template: The Spring Service Template to use

• Engine Template: The Spring Esper Template to use

• Engine Name: The name of the Esper Engine (not editable)

In addition it is possible to rename, duplicate and delete individual items (2). When selecting a configuration
the corresponding .properties file will open in the lower part of the Strategy Group Tab (4)

On the right hand side of the Strategy Group Tab individual configurations can be added (5) to different strategy
groups where they can be back tested in parallel. Items from the left hand side can be added to multiple groups

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 CONFIDENTIAL AlgoTrader Configuration Editor

on the right hand side. When adding an item to a strategy group an allocation weight has to be assigned. When
adding multiple items to a strategy group the total weight of the strategy group must be 100%.

The right hand side of the Strategy Group Tab contains buttons to "Create", "Edit", "Rename" and "Delete"
strategy groups (3). The button "Run" will start a backtest of the selected strategy group (see Section 10.2.3.4,
“Starting Back Tests”)

Both lists in the Strategy Group Tab have moving (6), collapsing/expanding (7), sorting (8) and full text filtering
(9) of items. Also there is a function to filter by selected strategy item (10). In addition it is possible to change
the orientation between horizontal and vertical (11).

10.2.3.2. Properties Tab

The tab Properties shows a list of all .properties file in the class path which can be edited here

Figure 10.26. Configuration file without strategy groups

When a property file is selected, the content of that file is shown in a table viewer. The table viewer has two
columns: key and value.

The AlgoTrader Configuration Editor supports in-place editing of cells under value column.

In addition to the standard key=value pairs, the AlgoTrader Configuration Editor interprets special comments.
These comments provide the AlgoTrader Configuration Editor with the information needed to display the
key=value data (i.e. the type of data, the widget class it should use for an in-place editor etc.).

Example:

139
 CONFIDENTIAL AlgoTrader Configuration Editor

#{"type":"String","label":"Last name:"}
lastName = Mustermann

#{"type":"String","label":"First name:"}
surName = Joe

#{"type":"Date","required":"false","label":"Date of birth:"}
dateOfBirth = 1980-01-01

The AlgoTrader Configuration Editor remembers association of each key=value pair with it's special comment.
When the editor saves properties back to the .properties, all key=value pairs are written with their special
comments.

Each special comment is essentially a JSON object with three attributes: type, required and label. All three
attributes are optional.

• type attribute is string and describes the data type of the key=value pair. It defaults to "String". Each data
type is implicitly (via separate configuration) mapped to the widget class, which is used for in-place editing.

• label attribute is string and describes text label for representing the key=value pair in the table viewer. It
defaults to key

• required attribute is boolean (true|false) and describes whether the key=value pair requires a non-empty
value. It defaults to true.

The AlgoTrader Configuration Editor also supports separators/subtitles. To add a separator, a special comment
needs to be defined in the Source tab as follows:

#{"type":"String","label":"Strategy Name"}
strategyName=BOX

#{"type":"Separator"}

#{"type":"Integer","label":"Maximum Units"}
maxUnits=16

#{"type":"Integer","label":"Box Length (in Minutes)"}

boxLength=90

#{"type":"Separator", "label":"Time Settings"}

#{"type":"Integer","label":"Last Day of Trading (6=Friday)"}

endDay=6

#{"type":"Integer","label":"Latest Hour on last Day to enter a new position"}

endHour=16

#{"type":"Integer","label":"Hour on last Day to terminate the series"}

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 CONFIDENTIAL AlgoTrader Configuration Editor

terminateHour=22

The content of this properties file will be rendered in the Properties tab as follows:

Figure 10.27. Titles and Separators in a property file

10.2.3.2.1. Out-of-the-box types

The AlgoTrader Configuration Editor supports the following data types and widget mappings out-of-the-box:

Table 10.1. out-of-the-box types

Type Widge Style RegEx Pattern

String swt.Text SWT.SINGLE
Integer swt.Text SWT.SINGLE ^\d*$
Double swt.Text SWT.SINGLE ^\d*(\.\d*)?$
Time nebula.CDateTime CDT.DROP_DOWN HH:mm:ss
Date nebula.CDateTime CDT.DROP_DOWN yyyy-MM-dd
DateTime nebula.CDateTime CDT.DROP_DOWN yyyy-MM-dd HH:mm:ss
Boolean swt.Button SWT.CHECK
Enumeration swt.Combo SWT.READ_ONLY
Email swt.Text SWT.SINGLE ^.+@.+\.[a-z]{2,4}$
URL swt.Text SWT.SINGLE ^(https?&#124;ftp&#124;file)://[-a-
zA-Z0-9+&amp;@#/%?
=~_&#124;!:,.;]*[-a-zA-
Z0-9+&amp;@#/%=~_&#124;]$
URI swt.Text SWT.SINGLE ^(([^:/?#]+):)?(//([^/?#]*))?([^?#]*)
(\?([^#]*))?(#(.*))?

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10.2.3.2.2. Enum types support

The AlgoTrader Configuration Editor supports editing of properties of enum types.

Let's suppose, the program contains Enum type definition:

package ch.algotrader;

public enum Color {

RED, GREEN, BLUE
}

A new property type for this enum type can be defined as follows:

<extension point="ch.algotrader.config-editor.PropertyDef">
<PropertyDef id="Color"
dataType="somepackage.Color"
cellEditorFactory="ch.algotrader.configeditor.editingsupport.EnumCellEditorFactory">
</PropertyDef>
</extension>

When such a property type is defined in "plugin.xml" of some plugin and when this plugin is packaged/installed
together with the program, the program can read, edit and save new property type in .properties file:

#{"type":"Color"}
backgroundColor=BLUE

Note

the plugin containing PropertyDef extension must have the following line in "MANIFEST.MF":

Require-Bundle: ch.algotrader.config-editor

otherwise the AlgoTrader Config Editor will not be able to access the class designated by
dataType attribute and will throw ClassNotFoundException.

10.2.3.2.3. Input validation

The AlgoTrader Configuration Editor implements RegEx based input validation (one expression per data type).
When user input does not conform to the specified regular expression, the AlgoTrader Configuration Editor
shows explanatory error message and does not allow to save the file(s).

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 CONFIDENTIAL AlgoTrader Configuration Editor

10.2.3.2.4. Property definitions

The AlgoTrader Configuration Editor provides an extension point, which allows the definition of new property
types:

<extension point="ch.algotrader.config-editor.PropertyDef">
<PropertyDef id="Email"
dataType="java.lang.String"
regex="^.+@.+\.[a-z]{2,4}$"
regexErrorMessage="The input {0} is not a valid e-mail"
cellEditorFactory="ch.algotrader.configeditor.editingsupport.TextCellEditorFactory">
</PropertyDef>
</extension>

Detailed explanation of PropertyDef extension point attributes:

• id: string, required. Property type identifier, must match the attribute type in property comment

• dataType: fully qualified java class name, required. Internal type of de serialized property or implementation
of ch.algotrader.configeditor.IPropertySerializer interface.

• regex: string, optional. Regular expression for validating user input.

• regexErrorMessage: string, optional. Error message shown to the user when input does not validate against
the specified Regex. When omitted, the default message is shown: "User input {0} does not satisfy pattern
{1}" where {0} is a placeholder for user input and {1} is a placeholder for the regular expression.

• cellEditorFactory: fully qualified java class name, required. Factory creating cell editor, must implement
ch.algotrader.configeditor.CellEditorFactory interface.

10.2.3.3. Source Tab

Furthermore, the AlgoTrader Configuration Editor provides a Source tab, which shows the content of the file
applicationContext-client-xxx.xml.

10.2.3.4. Starting Back Tests

As described in the Section 10.2.1, “AlgoTrader Perspective” section, it is possible to start a back test of a
strategy by right clicking on the strategy and selecting AlgoTrader/Run Strategy (this option is only available
for strategies that are not using strategy groups).

Back Tests can also be started from within the AlgoTrader Configuration Editor:

• For strategies without strategy group definitions there is only one possible configuration that can be back
tested. To start a back test please click the "Run" button at the top of the Properties tab.

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 CONFIDENTIAL Esper Colorer

• For strategies with strategy group definitions multiple configurations exist which can be back tested
separately. To start a back test please select the desired strategy group on the right hand side of the Strategy
Group Tab and click the "Run" button.

10.2.4. Esper Colorer

8
AlgoTrader provides a custom Esper EPL Syntax Highlighter based on the Colorer Library.
9
Together with the Eclipse Colorer Plugin it provides the following features:

• Automatic Code Outlining

• Pairs/Brace Matching

• Automatic Code Folding

• Present different colors for:

• Reserved Keywords

• Symbols

• Comments

• Literals

• Numbers

Figure 10.28. Syntax Highlighter

Note

The Syntax Highlighter does not provide Code Completion or Syntax Checking!

8
http://colorer.sourceforge.net/
9
http://colorer.sourceforge.net/eclipsecolorer/index.html

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Chapter 11. CONFIDENTIAL

Performance Measurement
AlgoTrader provides a sophisticated Performance Measurement functionality that consists of the following
components:

• Portfolio Value logging to the database in Live-Trading Mode

• Portfolio Value logging to a .csv file in Simulation Mode

• Back test report and performance statistics display at the end of a simulation run (see Section 5.5,
“Performance Statistics”)

• Portfolio Value Restoration Feature

All Performance Measurement features depend mainly on the Entity Portfolio Value which has the following
attributes

• dateTime

• netLiqValue

• marketValue

• realizedPL

• unrealizedPL

• cashBalance

• openPositions

• leverage

• cashFlow (optional)

11.1. Portfolio Value Logging

In Live-Trading Mode Portfolio Values are recorded to the database for all running strategies on an hourly basis.
In addition Portfolio Values are recorded every time a transaction occurs that influences performance. For the
AlgoTrader Server these are Credits and Debits and for strategies, these are Rebalances. The corresponding
value of the transaction is recorded in the optional attribute cashFlow of the Portfolio Value.

In Simulation Mode Portfolio Values are recorded to the file PortfolioReport.csv through the
PortfolioReport class on a daily-basis using the AlgoTrader Reporting Functionality, see: Chapter 30,
Reporting.

11.2. Portfolio Value Restoration Feature

In case a transaction that influences performance needs to be recorded for a prior period in time, all Portfolio
Values since that time period are invalid and need to be restored. Usage of this feature is quite common in

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 CONFIDENTIAL Portfolio Value Restoration Feature

Reconciliation where a Cash Transaction has to be recorded for the last trading day as soon as the external
reconciliation file arrives.

Through the class RestorePortfolioValueStarter which uses

PortfolioPersistenceService.restorePortfolioValues() Portfolio Values can be restored for the
specified strategy and time period. For the restoration of each Portfolio Value all corresponding transactions
up to that time have to be evaluated.

Note

The Portfolio Value restoration can take a considerable amount of time to complete.

146
Chapter 12. CONFIDENTIAL

Risk Management
Using the provided functionality of the system, the following risk metrics can be enforced by AlgoTrader based
strategies:

• Fixed and/or Trailing Stop-Loss Limit for each Position

• Minimum Cash-Balance

• Maximum Loss per Position

• Maximum Leverage of the Portfolio

• Maximum Monthly Draw-Down

• Maximum Market Exposure

• etc.

In addition client specific pre-trade checks can be enforced by AlgoTrader based strategies :

• Maximum order quantity

• Maximum orders per time period (e.g. per day)

• etc.

Note

Enforcing these rules requires coding and is not available through configuration only.

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Chapter 13. CONFIDENTIAL

Forex Handling
The System provides full Forex and Currency Exchange Management. FX Rates can be retrieved in real-time.
All portfolio figures are calculated based on up-to-date FX-Rates.

FX conversion is provided through the MarketDataService. When subscribing for a non-base currency
instrument the system will automatically subscribe the Forex instrument necessary to convert the non-base
currency balance (e.g. realized PnL and market value) into the base currency. In some cases multiple Forex /
Currency Pairs (based on the same base and transaction currency) are available in the system which are
traded through different brokers / exchanges.

For those cases a special setting misc.defaultMarketFeeds defines the priority in which market feeds and
exchanges are used. The default value is the following:

misc.defaultMarketFeeds =
BMEX:CNG,OKEX:CNG,BINA:CNG,BITF:CNG,BTHM:CNG,HITB:CNG,GDAX:CNG,
BITMEX:CNP,OKEX:CNP,BINANCE:CNP,HUOBI:CNP,BITFINEX:CNP,BITHUMB:CNP,HITBTC:CNP,KRAKEN:CNP,
BINA:BNC,BITF:BFX,BITS:BTS,FLYR:BFL,BMEX:BMX,IDEALPRO:IB

This is a comma separated list of preferred <exchange>:<feedType>. Exchange code is taken from
the database security.exchange_code value and feed type is ch.algotrader.enumeration.FeedType.
Optional specific security pairs are also supported, using '@' symbol, e.g. 'BTCUSD@BITF:CNG'. When the
platform needs to make a conversion for a given forex, it will iterate over this list and determine the first match.
Match means all of the below:

• if currency pair is specified, it should match the symbol of the Forex

• This currency pair is traded on given exchange

• Current feed type is active, e.g. it's Spring profile is enabled (e.g. if cNGMarketData is active then 'CNG' will
be matched for Coinigy securities)
To change the default settings the following property needs to be updated inside conf.properties.
Alternatively the properties can be changed via Section 2.3, “VM Arguments”

# default exchanges/feed types to use for market data.

<SYMBOL>@<EXCHANGE_CODE>:<FEED_TYPE>
-Dmisc.defaultMarketFeeds=IDEALPRO:IB

For example, -Dmisc.defaultMarketFeeds=BTCUSD@BITF:CNG,BITF:BFX means that for BTCUSD

conversions Bitmex via Coinigy will be used, for all others direct Bitfinex connection will be used (assuming
both Coinigy and Bitfinex adapters are running).

13.1. Currency Handling

In most cases securities are attributed in their currency (as defined by SecurityFamily). Their market value
is attributed towards Market Value.

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 CONFIDENTIAL Futures

There are however the following exceptions.

13.1.1. Futures

• Futures are fully margined, that's why buying a Future does not actually influence cash but only the margin
requirement.

• AlgoTrader however treats Futures as regular Securities (i.e. add Future Market Value to System Market
Value and deduct Transaction Price from cash)

Note

InteractiveBrokers handles Forex slightly different than AlgoTrader:

• IB displays Future Unrealized P/L under Cash.

• To compare AlgoTrader Balances to IB Balances (if there are Future Positions), one has to
compare the Net Liquidation Value and not Cash / Market Value individually

13.1.2. Forex

• Forex (e.g. EUR.USD) consists of the Base Currency (e.g. EUR) and Transaction Currency (e.g. USD)

• In Balances Forex are attributed towards Cash (and not system Market Value) in the Base Currency

• The gross value of a transaction is booked in the Transaction Currency, whereas the commission is booked
in the Base Currency.

Note

The TWS Trades Window displays commissions in Trade Currency, but IB Flex Reports displays
commissions correctly in the Base Currency.

13.1.3. Currency Attribution

The following table describes Currency Attribution of Positions. The logic is implemented by
Position.getAttribution()

Table 13.1. Position Currency Attribution

General Security Forex Future on Forex

attributed to Market Value Cash Market Value

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 CONFIDENTIAL Forex-Hedging

General Security Forex Future on Forex

Currency Currency of Security Based Currency Based Currency of underlying
of Forex Forex
Amount quantity * contract size * price quantity quantity * contract size

The following table describes Currency Attribution of Transactions. The logic is implemented by
Transaction.getAttributions()

Table 13.2. Transaction Currency Attribution

General Security Forex

Gross Value Transaction Currency Transaction Currency
Execution Transaction Currency Portfolio Currency
Commission
Clearing Transaction Currency Transaction Currency
Commission

13.2. Forex-Hedging
The system provides automatic Forex-Hedging by the Service ch.algotrader.service.ForexService. This
service will maintain multiple FX Positions to hedge all non base currency balances. For actual Forex-Hedging
the following two options exist

13.2.1. Virtual FX Positions (IB only)

InteractiveBrokers offer virtual FX Positions, which are convenient for Hedging purposes. Depending on the
current exposure, a corresponding virtual FX spot position is maintained.

13.2.2. FX Future
The second option for FX Hedging is by means of FX Futures which is a subclass of Future.

For some FX future families there are multiple FX FutureFamilies available with different contract sizes (e.g.
12'500, 62'500 and 125'000 for EUR.USD). Because of this the hedgingFamily has to be defined as a Property
on the EUR.USD subscription.

Since FX Futures expire, the Hedging Position has to be rolled before Expiration, which is also done
automatically based on configured parameters.

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Chapter 14. CONFIDENTIAL

Options & Futures

14.1. Expiration
Both Options and Futures implement the interface ExpirableI which has a property expiration that
represents the expiration date.

In addition to the expiration date (sometimes also called lastTradingDay) Futures also have the following
two fields:

• firstNoticeDay: this is the day on which the buyer of a futures contract can be called upon by the exchange
to take delivery

• maturityMonthYear. The contract month & year of a future

Note

expiration and maturityMonthYear do not necessarily need to be within the same month.
e.g. maturityMonthYear: 2015-12, expiration: 2015-11-30

The following table contains references on how these three fields are used by different market data providers

Table 14.1. Bar Data Format

Field InteractiveBrokers Bloomberg

maturityMonthYear m_maturityMonthYear FUT_MONTH_YR

firstNoticeDay not available FUT_NOTICE_FIRST

expiration m_expiry LAST_TRADEABLE_DT

For an detailed explanation between lastTradingDay and firstNoticeDay please visit this page on futures
1
expiration

Note

IB also shows an expiration date in TWS which is either the same day or the next day after
the last trading day

14.2. Leverage & Exposure

AlgoTrader uses the following definitions for Leverage & Exposure:

1
http://www.futurestradingpedia.com/futures_expiration.htm

151
 CONFIDENTIAL Symbol, ISIN & RIC

Figure 14.1. Leverage & Exposure

CS
Contract Size

CV
Current Value

S
Underlying Spot price

D
Delta

Q
Quantity

Note

AlgoTrader uses the Delta-adjusted Option Leverage as Option Leverage.

14.3. Symbol, ISIN & RIC

The two classes FutureSymbol and OptionSymbole provide static methods for generating the Symbol, ISIN
and RIC for Futures and Options. Both Symbol and ISIN use the property symbolRoot of the SecurityFamly.
The RIC on the other side uses the property ricRoot.

14.4. Delta Hedging

Automatic Delta Hedging is provided by the Service ch.algotrader.service.OptionService. The method
hedgeDelta will calculate the delta adjusted market value for all securities based on one particular underlying.
The method will subsequently build up a hedging position based on the nearest Future of the same underlying.

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 CONFIDENTIAL Option & Future Chain Download

Since some underlyings have more than one Futures Chain based on them, the property hedgingFamily needs
to be defined on the Subscription of the underlying. In addition the method hedgeDelta can also be invoked
with the ServerManagementService.

14.5. Option & Future Chain Download

Te ReferenceDataService can be used to download all currently traded and past Options and/or Futures into
the database, see Chapter 20, Reference Data.

14.6. Option Greeks

The following Option Greeks are available through the Class OptionUtil:

• option price (through Black-and-Scholes)

• implied volatility (through Black-and-Schooles, Newton Rapson Method and SABR Surface)

• intrinsic value

• delta

• vega

• theta

• forward price

• moneyness

• strike by delta

14.7. Option Pricing Engine

The system provides a sophisticated option pricing engine which is developed around the SABR volatility Model.

Based on historical Volatility at different Moneyness levels (e.g. ATM, ATM +10%, ATM +20%, ATM -10% &
ATM-20%) or Delta levels (e.g. 50%, 35%, 75%) volatility parameters are calculated (=calibration) and used
for option pricing.

14.7.1. SABR Calibration

The OptionService is responsible for SABR calibration. The calibration process happens for one specific
expiration and takes an array of strikes with their corresponding array of volatilities. the calibration process
returns a SABRSmile ValueObject, which basically contains the three parameters rho, volVol and alpha (in
addition to the time-to-expiration and at-the-money volatility). The actual calibration happens through the class
SABR.

SABR Calibration can be done either by actual Option Prices or directly by the Implied Volatility. Also there
are methods to do a SABR Calibration just for one expiration (returning one SABR Smile Value Object) or

153
 CONFIDENTIAL Option Pricing

for an entire Volatility Surface (returning a SABRSurface ValueObject which consist of multiple SABRSmile
ValueObjects)

The SABR Calibration depends on different Implied Volatilities (a subclass of Security) being defined in the
database. A Implied Volatility needs to define either a moneyness or a delta (in addition to Duration and Option
Type).

14.7.2. Option Pricing

Based on the SABR Calibration the actual option pricing takes place. This is handled through the class
OptionUtil with the method getImpliedVolatilitySABR. This method takes SABRSurface parameter. The
actual option pricing happens in two steps:

1. For all available expirations a volatility is calculated for the requested strike

2. Using spline interpolation the volatility for the requested expiration is calculated

14.7.3. References

2
• Hedging under SABR Model, Refined risk management under the SABR model.
3
• A summary of the approaches to the SABR model for equity derivative smiles

14.8. OTC Options

Since OTC Options do not have a predefined chain definition, the OptionService contains a method
createOTCOption to create an OTC option based on the specified expirationDate, strike and type.

2
http://www.lesniewski.us/papers/published/HedgingUnderSABRModel.pdf
3
http://www.riskworx.com/insights/sabr/sabr.html

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Chapter 15. CONFIDENTIAL

Reconciliation
15.1. Partner Systems
Reconciliation is the automated process for comparing the status of the system with external partner systems
(e.g. executed trades, current positions, cash transactions).

Reconciliation can for example be based on files received via email or retrieved via FTP. For every partner
a sub class of ReconciliationService has to be created. This class has to contain at least the method
reconcile() which receives the file being processed. Depending on the file format used by the partner different
mechanisms for parsing the files are available:

1
• xml: Xalan (using XPath )
2
• csv: SuperCSV

The actual process of receiving files via email or FTP, storing them in a directory and passing them along to
3
the ReconcilicationServices is typically implemented through Spring Integration .

The entire process is configured inside the file applicationContext-reconciliation.xml.

15.2. Email Handling

The MAIL section MAIL of applicationContext-reconciliation.xml consists of the following components:

• ImapIdleChannelAdapter: receives email messages in an asynchronous fashion via IMAP Idle and sends
them to the InputChannel

• Disposition: a Set of Rules (email-from, email-subject) and their corresponding ReconciliationService

and directory (where the files should be stored)

• InputChannel: a DirectChannel for received email messages

• InputChain: a HandlerChain invoking the following components sequentially and sending the final
messages to the OutputChannel

• EmailDispatcher: adds directory and reconciliation service header based on defined Dispositions

• Filter: will only process email messages that contain above assigned directory header

• EmailTransfomer: Parses the email message and converts contained attachment into a List of
EmailFragments

• EmailSplitter: Splits messages with List of EmailFragments into individual EmailFragment messages

1
http://xml.apache.org/xalan-j/
2
http://super-csv.github.io/super-csv/
3
http://projects.spring.io/spring-integration/

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 CONFIDENTIAL FTP Handling

• OutputChannel: a PublishSubscribeChannel for EmailFragment messages

• FileOutputChannelAdapter: saves the actual file content of EmailFragments into the assigned directory

• ServiceActivator: invokes the assigned ReconcilationService with the actual file content

15.3. FTP Handling

Spring Integration supports plain FTP as well as SFTP (SSH File Transfer Protocol) and FTPS (FTP over SSL).
FTP Reconciliation needs to be configured on a project specific basis inside applicationContext-env.xml.
A typical configuration might look like this:

<bean id="sftpSessionFactory"
class="org.springframework.integration.sftp.session.DefaultSftpSessionFactory">

<property name="host" value="${sftp.host}"/>

<property name="user" value="${sftp.user}"/>
<property name="password" value="${sftp.password}"/>
</bean>

<int:poller
default="true"
fixed-rate="600000"
max-messages-per-poll="-1"/>

<int:channel id="receiveChannel"/>

<int-sftp:inbound-channel-adapter
channel="receiveChannel"
session-factory="sftpSessionFactory"
local-directory="file:files/sftp"
remote-directory="/transactions"
/>

<int:channel id="processChannel"/>

<int-file:outbound-gateway
request-channel="receiveChannel"
reply-channel="processChannel"
directory="files/reconciliation"
mode="REPLACE"
delete-source-files="true"/>

<int:service-activator
input-channel="processChannel"
expression="@reconciliationService.reconcile(payload)"/>

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Chapter 16. CONFIDENTIAL

Broker/Exchange Interfaces
The System provides generic interface functions to connect AlgoTrader to different brokers / exchanges.

The following broker / exchange specific interfaces are currently available:

• Fix Interfaces

• InteractiveBrokers

• Trading Technologies (TT)

• EzeSoft/RealTick

• Currenex

• JP Morgan

• SocGen

• UBS

• DukasCopy

• FXCM

• Fortex

• LMAX

• Nexus Prime

• PrimeXM

• Bitstamp

• Native Interfaces

• Interactive Brokers

• Crypto REST/WebSocket Adapters

• Binance

• Bitfinex

• Bitflyer

• BitMEX

• Coinigy

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 CONFIDENTIAL

1
AlgoTrader uses QuickFix/J for all fix interfaces.

For further details on Broker/Exchange adapters please see Chapter 22, Adapters

1
https://www.quickfixj.org/

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Chapter 17. CONFIDENTIAL

Order Management
17.1. Place Order
Before sending an Order, it is advised to call the validate method on the order. This will validate the order
regarding limits, amount, quantity, etc. In case validation fails an Exception will be thrown and the order can
be modified.

Note
The validate method will be called (again) inside the sendOrder method, in case the validation
fails an Exception will be thrown.

The method sendOrder of the OrderService is responsible for placing Orders. This method takes an Order
Entity or Order Value Object as parameter.

Sending an order using and Order Entity looks like this:

MarketOrder order = MarketOrder.Factory.newInstance();

order.setStrategy(strategy);
order.setAccount(account);
order.setSecurity(security);
order.setQuantity(orderQuantity);
order.setSide(Side.BUY);

getOrderService().sendOrder(order);

The associated Entities (i.e. strategy, account and security) can be retrieved via the LookupService.

Sending an order using Order Value Objects looks like this:

MarketOrderVO order = MarketOrderVOBuilder.create()

.setStrategyId(strategyId)
.setAccountId(accountId)
.setSecurityId(securityId)
.setQuantity(orderQuantity)
.setSide(Side.BUY)
.build();

getOrderService().sendOrder(order);

Sending of AlgoTrader orders is currently only supported via Order Entities. Creating and sending an
AlgoOrder looks like this:

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 CONFIDENTIAL Order Preferences

SlicingOrder order = new SlicingOrder();

order.setStrategy(strategy);
order.setAccount(account);
order.setSecurity(security);
order.setQuantity(orderQuantity);
order.setSide(Side.BUY);
order.setMinQuantity(BigDecimal.valueOf(10));
order.setMaxQuantity(BigDecimal.valueOf(100));
order.setMinVolPct(0.01);
order.setMaxVolPct(0.1);
order.setMinDuration(1);
order.setMaxDuration(5);
order.setMinDelay(1);
order.setMaxDelay(5);

getOrderService().sendOrder(order);

The broker / exchange specific SimpleOrderExecService will create the broker / exchange specific order,
assign an intId if none has been assigned yet and send the order to the broker / exchange.

After sending the Order to the broker / exchange, the order object is propagated to the AlgoTrader Server
Esper service instance (running inside the AlgoTrader Server) as well as to the Esper service instance of the
corresponding strategy (where potential actions like cancel order or modify order can be executed).

Open orders are kept in an internal order book until their full execution or cancellation. Completed
orders remain in the book and are accessible through OrderService until evicted. Algotrader evicts
completed orders at 24:00 local time daily by default. One can also manually evict orders by calling
OrderService#evictExecutedOrders() method.

The actual exchange an Order is sent to will be retrieved from the associated Security/SecurityFamily.
Alternatively it is possible to assign an Exchange to an Order Entity or Order Value Object directly.

17.1.1. Order Preferences

As AlgoOrders typically have a lot of parameters (e.g. minQuantity, maxQuantity for the SlicingOrder) it is
possible to save a set of settings using the OrderPreference Entity. The following OrderPreference SLICING
is contained within the db-samples (/algotrader-conf/src/main/resources/db-samples/mysql/mysql-
data.sql):

INSERT INTO `order_preference` (`ID`, `NAME`, `ORDER_TYPE`, `DEFAULT_ACCOUNT_FK`,

`VERSION`) VALUES
(201,'SLICING','SLICING',100,0);

INSERT INTO `property` (`ID`, `NAME`, `PERSISTENT`, `INT_VALUE`, `DOUBLE_VALUE`,

`TEXT_VALUE`, `PROPERTY_HOLDER_FK`, `VERSION`) VALUES
(37,'minVolPct',1,NULL,0.2,NULL,201,0),

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 CONFIDENTIAL Trade Suggestions

(39,'maxVolPct',1,NULL,1,NULL,201,0),
(40,'maxQuantity',1,20,NULL,NULL,201,0),
(41,'minDuration',1,NULL,1,NULL,201,0),
(42,'maxDuration',1,NULL,2,NULL,201,0),
(43,'minDelay',1,NULL,2,NULL,201,0),
(44,'maxDelay',1,NULL,3,NULL,201,0);

The OrderPreference SLICING defines default settings for the Slicing Order. Through the column
DEFAULT_ACCOUNT_FK it is also possible to define a default account for the AlgoOrder. With this information
available in the database an order can now be created as follows:

Order order = getOrderService().createOrderByOrderPreference("SLICING");

order.setStrategy(strategy);
order.setSecurity(security);
order.setQuantity(orderQuantity);
order.setSide(Side.BUY);

getOrderService().sendOrder(order);

17.1.2. Trade Suggestions

In addition to the OrderService#sendOrder method there is a OrderService#suggestOrder method, which
will not send out an order to the broker / exchange but instead create an Email with a Trade Suggestion sent
to the registered Email addresses. This allows for manual confirmation of automatically generated Signals.

17.1.3. Order Properties

Even though the Order Entity already contains commonly used properties like side, quantity, time-in-force, etc.
it is possible to attach additional arbitrary properties to an Order. Order properties have a name, a value and
a type.

Order properties of type INTERNAL are kept inside the system and are not propagated to external brokers.

If the type of an Order property is FIX it is assigned to an outgoing Fix order as an additional fix tag. It is
therefore mandatory that the name of the order property is a number (representing the fix tag).

If the type of an Order property is IB the system will try to find an IB order field corresponding to the IB order
1 2
property name . In case no matching field is found the order property is added as an AlgoParams )

An internal order property can be attached to an order as follows:

order.addProperty("test", "XYZ", OrderPropertyType.INTERNAL);

1
http://interactivebrokers.github.io/tws-api/classIBApi_1_1Order.html
2
http://interactivebrokers.github.io/tws-api/classIBApi_1_1Order.html

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 CONFIDENTIAL Receive Fills

An Fix order property can be attached to an order as follows:

order.addProperty("4000", "XYZ", OrderPropertyType.FIX);

An IB order property can be attached to an order as follows:

order.addProperty("faGroup", "group1", OrderPropertyType.IB);

Note
OrderProperties are only supported on Order Entities but not on Order value objects.

17.2. Receive Fills

Whenever order status events and fills are received back from the broker / exchange, OrderStatus and Fill
objects / events are created and propagated to the AlgoTrader Server Esper service Instance.

The Fill events trigger the creation of a Transaction object (a persistent Record in the database). In addition
the Fill and corresponding Transactions are also propagated to the strategy, where actions can be taken upon.

Note
Fills and Transactions are separated from each other for the following reason. A Fill contains all
the information received from the broker / exchange (and a reference to the Order). Whereas
a Transaction contains all the information related to accounting (i.e. references to position and
strategy). In addition to Transactions related to Fills, there are Transactions that are independent
of Fills (i.e. Deposits, Withdrawals, Interest, etc.).

Like Fills and Transactions the OrderStatus event will also be propagated to the corresponding strategy.

If an order does not receive either an Acknowledgment or Fill within a configurable time period (default: 1
sec) after sending the Order, an Exception is thrown, as there might be a problem with the broker / exchange
connection. This is enforced by the NOTIFY_MISSING_ORDER_REPLY statement which can be turned of by
changing the following property inside conf-core.properties. Alternatively the properties can be changed
via Section 2.3, “VM Arguments”

# notify in case there is no reply on an order

statement.notifyMissingOrderReply = false

Once all fills corresponding to an Order are fully persisted an OrderCompletionVO event is generated and
propagated to the Strategy. By the time an OrderStatus event is received by the strategy, corresponding

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 CONFIDENTIAL Handling of Fees and Commissions

database activity might not have been completed yet. However by the time an OrderCompletionVO event is
received, it is guaranteed that all database activity has been completed. It is therefore save to invoke any sort
of the database lookup at this time. For further details see Section 8.4.8, “Callbacks”.

17.3. Handling of Fees and Commissions

AlgoTrader supports handling of the following three types of fees and commissions:

• Exchange Fees

• Execution Commissions (typically charged by executing brokers)

• Clearing Commissions (typically charged by clearing brokers)

All three types are available in the database table transaction. As most adapter do not provide fee information
on execution messages AlgoTrader does not currently import and fee or commission information provided by
the broker or exchange at the time of execution. Instead AlgoTrader uses the internal Execution Model (see
Section 5.1, “Exchange Simulator”) to assign fees and commissions based on configuration (e.g. commission-
per-contract).

17.4. Internal Order Id Format

intId is the internally assigned order identifier whereas extId is the id assigned by the external broker /
exchange.

In general the internal order identifier has the following format:

<session_qualifier><id>.<version>

Example: lmax1.1

• session_qualifier: each Fix session has a unique session qualifier

• id: an integer which is auto-incremented per session. For Fix, the last id is retrieved from the order table
during start up

• version: The number of modifications that took place on the Order, starting with 0 when the order is first
submitted.

By default AlgoTrader automatically assigns an IntId value to all outgoing orders. Open and executed orders
can be identified and looked up by their IntId.

Especially when using a Section 8.4.8.2, “Trade callback” it is necessary to generate and assign an IntId
value to the order prior to submitting it to the order service. The OrderService#getNextOrderId() method
can be used to generate a unique IntId value per session associated with an Account record.

String orderId = getOrderService().getNextOrderId(order.getClass(), accountId);

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 CONFIDENTIAL Symbology

order.setIntId(orderId);

engine.addTradeCallback(Collections.singleton(orderId), (strategyName, orderStati) -> {

...
});

getOrderService().sendOrders(orders);

Note

Please note that care must be taken when using OrderService#getNextOrderId() with the IB
order service. The IB native interface expects orders to be sent with their order ids in ascending
order. The Class IBOrderIdSynchronizer is responsible to make sure order ids are actually
in ascending order. In case an order id is skipped the IBOrderIdSynchronizer will wait for up
to maxOrderSyncTime milliseconds for the order with the correct order id to arrive.

17.5. Symbology
In the electronic trading domain there are different ways to identify a security, some of which are:

• Symbol

• Bloomberg ID

• For options: underlying, expiration, strike & type

• etc.

Different Brokers employ different types of Symbology to identify a security. For this purpose AlgoTrader
provides the notion of SymbologyResolver which is responsible for assigning appropriate information to
outgoing broker communication. These SymbologyResolvers can be extended on a per broker basis.

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Chapter 18. CONFIDENTIAL

Market Data
AlgoTrader provides Market Data Interfaces with the following market data providers:

• Fix Interfaces

• Trading Technologies (TT)

• Currenex

• DukasCopy

• Fortex

• FXCM

• LMAX

• Nexus Prime

• PrimeXM

• Bitstamp

• Native Interfaces

• Bloomberg

• Interactive Brokers

• QuantHouse

• Crypto REST/WebSocket Interfaces

• Binance

• Bitfinex

• Bitflyer

• BitMEX

• CoinAPI

• Coinigy

AlgoTrader allows having multiple market data interfaces active at the same time so market data received from
different market data providers can be compared in real-time.

To enable either of those Market Data Interfaces the following two steps have to be executed:

1. The correct Spring Profile has to be activated according to Section 25.1, “Starter Classes”

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 CONFIDENTIAL Creation of Bars based on Ticks

2. For Bloomberg market-data-bb and for InteractiveBrokers market-data-ib has to be added to the VM
argument server-engine.init when running the AlgoTrader server.

Market Data Events itself are available in different types:

• BarVO Open-High-Low-Close Price Bars, also containing volumes and volume weighted average prices

• TickVO: Snapshot of the market at a particular point in time, containing information like last price, last time,
bid, ask, volume, etc.

• QuoteVO: Its subclasses represent the current best bid and offer BidVO and AskVO

• TradeVO: An actual order that was executed on the market, containing information like last price, last size
and volume

• GenericTickVO: Represents additional price information made available by market data providers (e.g. open
price, close price, vwap price)

As the following diagram shows, market data providers deliver Price Events (TradeVO, BidVO & AskVO) or
individual TickVO Fields.

In back testing AlgoTrader supports both Ticks or Bars. In both live trading and back testing Price events and
Tick events can be aggregated into Bar events

Figure 18.1. Market Data Event Types

Inside each strategy the MarketDataCacheService keeps a copy of the last MarketDataEvent for each
Security. For further details see Section 7.2.16, “Market Data Cache Service”.

18.1. Creation of Bars based on Ticks

In both Simulation and Live Trading, Bars can be generated from Ticks or Price Events through the use of
Esper Statements: use the time_batch to create bars:

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 CONFIDENTIAL Numeric Precision

select
first(last) as open,
max(last) as high,
min(last) as low,
last(last) as close
from
TickVO.win:time_batch(1 min)
group by
securityId;

and expr_batch for constant volume bars:

select
max(last) as high,
min(last) as low,
first(last) as open,
last(last) as close
from
TickVO.win:expr_batch(sum(volume) > 1000)
group by
securityId;

Warning
Some market data providers (e.g. Interactive Brokers) will only provide market data snapshots
at regular time intervals. This can cause deviations in the bar high and low price.

Due to clock differences between the local machine and the market data provider's servers there
might be slight deviations in the bar open and close price. It is therefore important to enable
system clock synchronization on the server where AlgoTrader is installed.

18.2. Numeric Precision

In General different Securities are traded with different numeric precision (e.g. S&P Futures prices are two
digits, whereas FX prices are usually 5-6 digits and crypto currencies are up to 8 digits). To accommodate
different numeric precisions, AlgoTrader provides the following fields inside the class SecurityFamily:

• minQty: The minimum tradeable quantity

• maxQty: The maximum tradeable quantity

• qtyIncr: Minimum quantity increase

• minPrice: The minimum price

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 CONFIDENTIAL Price normalization

• maxPrice: The maximum price

• priceIncr: Minimum price increase

• minNotional: Minimum order value (quantity x price)

18.3. Price normalization

Price normalization comes into play when multiple market data and/or trading adapters are in use that use
different price multipliers / contract sizes for the same instrument. For example one adapter might quote prices
in dollars with a contract size of 10 where as another one might quote them in cents with a contract size of 1000.
The default contract size will be stored in the security_family table with all other cases (i.e. exceptions)
stored using the broker_parameters table.

18.4. Market Data Gap Checking

Since a continuous data feed of market data is essential for most trading strategies, AlgoTrader contains a
feature that automatically warns if no market data has been received for a prolonged period of time. For this
purpose the class SecurityFamily has a property maxGap, that defines the maximum number of minutes
allowed without any market data updates. This is enforced by the CHECK_SECURITY_TICK_GAPS statement
which can be turned on by changing the following property inside conf-core.properties. Alternatively the
properties can be changed via Section 2.3, “VM Arguments”

# enables security tick gap check

statement.securityTickGap = true

Crypto currency exchanges are typically using web sockets to deliver market data. Web socket connections
are typically not very stable and it can happen that a web socket connection disconnects or suddenly stops
receiving data. For this purpose AlgoTrader has a feature that automatically reconnects the corresponding
adapter if no market data has been received for a prolonged period of time. This is enforced by the
CHECK_ADAPTER_TICK_GAP statement which can be turned on by changing the following property inside conf-
core.properties. Alternatively the properties can be changed via Section 2.3, “VM Arguments”

# enables adapter tick gap check

statement.adapterTickGap = true

18.5. Generic Events

In addition to MarketDataEvents (i.e. TickVOs and BarVOs) there are general purpose Generic Events that
can contain any type of information (e.g. virtual market data, signals, exposure values, etc.). In contrary
to MarketDataEvents, which are sent from the AlgoTrader Server to subscribed strategies, these Generic
Events are sent from one strategy to one or more receiving strategies. A Generic Event class has to subclass
GenericEventVO. Subscription to Generic Events is based on the class of the Generic Event.

Example: To subscribe to a Generic Event of type Signal (which is a subclass of GenericEventVO), the following
needs to be done:

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 CONFIDENTIAL Generic Tick Events

getSubscriptionService().subscribeGenericEvents(Collections.singleton(Signal.class));

To send a GenericEvent, use the following method:

getEventDispatcher().broadcast(signal, EventRecipient.REMOTE_ONLY);

GenericEvents are automatically propagated to the Strategy Esper Engine where they can be accessed as
follows (the event type Signal needs to be added to the Esper config file):

select * from Signal;

In addition it is possible to handle incoming GenericEvents through the onGenericEvents method:

@Override
public void onGenericEvent(GenericEventVO event) {
...
}

It is also possible to feed Generic Events via CSV Files in Simulation Mode. To enable this, the following
property inside conf.properties has to be updated. Alternatively the properties can be changed via
Section 2.3, “VM Arguments”

# should generic events be feed

dataSource.feedGenericEvents = true

The file name of the CSV File has to be according to this schema:

<className>.<rank>.csv

• className is the fully qualified class name (e.g. ch.algotrader.event.Signal)

• rank is the sort order for situations where there are multiple GenericEvent types for the same time stamp

18.6. Generic Tick Events

In contrast to Section 18.5, “Generic Events” the system also provides Generic Tick Events (class
GenericTickVO). A Generic Tick Event represents additional price information on a particular instrument made
available by market data providers (e.g. open price, close price, vwap price).

As GenericTickVO is a subclass of MarketDataEventVO a strategy will automatically gen Generic Tick Events
delivered when it has subscribed to the corresponding instrument.

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 CONFIDENTIAL Generic Tick Events

A Generic Tick has a TickType which can be one of OPEN, HIGH, LOW, CLOSE, OPEN_INTEREST, IMBALANCE or
VWAP. A Generic Tick Event can hold either a BigDecimal, Double or Integer value.

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Chapter 19. CONFIDENTIAL

Historical Data
AlgoTrader provides Historical Data Interfaces with the following market data providers:

• Native Interfaces

• Bloomberg

• Interactive Brokers

• Quandl

• Crypto REST/WebSocket Interfaces

• CoinAPI

• CoinMarketCap

1
AlgoTrader uses the time series database InfluxDB for storage of historical data. InfluxDB is an open
source database written in Go specifically designed to handle time series data with high availability and high
performance requirements.

In addition the platform also provides a feature for downloading historical data from external market data
providers. This historical data can be used for strategy simulations or for any type of analysis.

The HistoricalDataService provides all relevant functions for historical data:

• Retrieval: e.g. getTicksByMaxDate, getLastNBarsBySecurityAndBarSize, etc.

• Storage: storeHistoricalBars

• Download: e.g. downloadHistoricalBars, downloadHistoricalTicks, etc.

To use the Historical Data Service the corresponding Spring profiles have to be added via VM argument:

Bloomberg Historical Data Service:

-Dspring.profiles.active=influxDB,bBHistoricalData

InteractiveBrokers Historical Data Service:

-Dspring.profiles.active=influxDB,iBHistoricalData

Quandl Historical Data Service:

1
https://www.influxdata.com/time-series-platform/influxdb/

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 CONFIDENTIAL InfluxDB

-Dspring.profiles.active=influxDB,qDLHistoricalData

CoinAPI Historical Data Service:

-Dspring.profiles.active=influxDB,cNPHistoricalData

CoinMarketCap Historical Data Service:

-Dspring.profiles.active=influxDB,cMCHistoricalData

Noop Historical Data Service:

-Dspring.profiles.active=influxDB,noopHistoricalData

Note

The Noop Historical Data Service does not have a connection to an external data source. It can
be used during Simulation to access existing historical data from InfluxDB.

19.1. InfluxDB
2
For detailed information on InfluxDB please have a look at the InfluxDB Documentation .

InfluxDB can be installed locally or using Docker, please see Chapter 2, Installation and Deployment.

InfluxDB provides both a command line client (CLI) as well as a REST based client which is used by various
3
client side libraries. AlgoTrader uses the influxdb-java library to communicate with InfluxDB. For all operations
that involve the time series database InfluxDB, the following spring profile has to be specified via VM argument:

-Dspring.profiles.active=influxDB

If InfluxDB is installed locally, the influx command should be available via the command line. Executing
influx will start the CLI and automatically connect to the local InfluxDB instance. The output should look like
this:

$ influx -precision rfc3339

Connected to http://localhost:8086 version 1.1.x
InfluxDB shell 1.1.x
>

2
https://docs.influxdata.com/influxdb/
3
https://github.com/influxdata/influxdb-java

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 CONFIDENTIAL InfluxDB

Note

• The InfluxDB HTTP API runs on port 8086 by default. Therefore, influx will connect to port
8086 and localhost by default. If these defaults need to be altered please run influx --
help.

• The -precision argument specifies the format/precision of any returned timestamps. In the
4
example above, rfc3339 tells InfluxDB to return timestamps in RFC3339 format (YYYY-MM-
DDTHH:MM:SS.nnnnnnnnnZ).

The command line is now ready to take input in the form of the Influx Query Language (a.k.a InfluxQL)
statements. To exit the InfluxQL shell, type exit and hit return.

Most InfluxQL statements must operate against a specific database. The CLI provides a convenience
statement, USE <db-name>, which will automatically set the database for all future requests. To use the
algotrader database please type:

> USE algotrader

Using database algotrader
>

Now future commands will only be run against the algotrader database.

At this point SQL-like queries can be executed against the database. In InfluxDB tables are called
measurements. AlgoTrader uses the two measurements tick and bar. Columns that hold actual data (e.g.
open or high) are called fields, and columns holding static data (e.g. barSize) are called tags.

As an example the following query shows all current bars in the database:

> select * from bar

name: bar
time barSize close feedType high low open
securityId vol
---- ------- ----- -------- ---- --- ----
---------- ---
2017-01-02T16:48:05Z MIN_1 116.41 IB 116.42 116.41 116.42 104
0
2017-01-02T16:49:05Z MIN_1 116.44 IB 116.44 116.4 116.41 104
91
2017-01-02T16:50:04Z MIN_1 116.44 IB 116.44 116.44 116.44 104
93
2017-01-02T16:59:00Z MIN_1 116.49 IB 116.51 116.44 116.44 104
0

4
https://www.ietf.org/rfc/rfc3339.txt

173
 CONFIDENTIAL InfluxDB

5
For an in depth description of the query syntax please visit the InfluxDB query language documentation .

To import existing data into InfluxDB please use the following command:

> influx -import -path <path-to-file>

To import bar data the import file has to be formatted as follows.

# DML
# CONTEXT-DATABASE: algotrader

bar,securityId=25,feedType=IB,barSize=MIN_1
open=1.30319,high=1.30402,low=1.30319,close=1.30367,vol=0 1324245720000000000
bar,securityId=25,feedType=IB,barSize=MIN_1
open=1.30369,high=1.30369,low=1.30351,close=1.30352,vol=0 1324245780000000000
bar,securityId=25,feedType=IB,barSize=MIN_1
open=1.30353,high=1.30383,low=1.30353,close=1.30382,vol=0 1324245840000000000
bar,securityId=25,feedType=IB,barSize=MIN_1
open=1.30381,high=1.30411,low=1.30373,close=1.30373,vol=0 1324245900000000000
bar,securityId=25,feedType=IB,barSize=MIN_1
open=1.30378,high=1.30428,low=1.30376,close=1.30425,vol=0 1324245960000000000
bar,securityId=25,feedType=IB,barSize=MIN_1
open=1.30426,high=1.30426,low=1.30396,close=1.30399,vol=0 1324246020000000000
bar,securityId=25,feedType=IB,barSize=MIN_1
open=1.30401,high=1.30411,low=1.30371,close=1.30378,vol=0 1324246080000000000

To import tick data the import file has to be formatted as follows:

# DML
# CONTEXT-DATABASE: algotrader

tick,securityId=25,feedType=IB
last=1.303670,lastDateTime=1324245720000,bid=1.303670,ask=1.303670,volBid=0,volAsk=0,vol=0
1324245600000000000
tick,securityId=25,feedType=IB
last=1.303670,lastDateTime=1324245720000,bid=1.303670,ask=1.303670,volBid=0,volAsk=0,vol=0
1324245660000000000
tick,securityId=25,feedType=IB
last=1.303670,lastDateTime=1324245720000,bid=1.303670,ask=1.303670,volBid=0,volAsk=0,vol=0
1324245720000000000
tick,securityId=25,feedType=IB
last=1.303520,lastDateTime=1324245780000,bid=1.303520,ask=1.303520,volBid=0,volAsk=0,vol=0
1324245780000000000
tick,securityId=25,feedType=IB
last=1.303820,lastDateTime=1324245840000,bid=1.303820,ask=1.303820,volBid=0,volAsk=0,vol=0
1324245840000000000

5
https://docs.influxdata.com/influxdb/v1.1/query_language/

174
 CONFIDENTIAL InfluxDB

tick,securityId=25,feedType=IB
last=1.303730,lastDateTime=1324245900000,bid=1.303730,ask=1.303730,volBid=0,volAsk=0,vol=0
1324245900000000000
tick,securityId=25,feedType=IB
last=1.304250,lastDateTime=1324245960000,bid=1.304250,ask=1.304250,volBid=0,volAsk=0,vol=0
1324245960000000000

6
For further information on InfluxDB import please visit the InfluxDB documentation

Note

• The last column in the import file represents the time stamp, which needs to be defined in
nanoseconds since the 1970-01-01

• It is also possible to gz compress import files. In this case the command line switch -
compressed has to be used when importing files.

To export bar data from InfluxDB into the AlgoTrader CSV file format (see Section 19.7, “Market Data File
Format”) please use the following command:

> influx -execute "SELECT time as dateTime,open,high,low,close,vol FROM bar" -database

"algotrader" -format csv -precision ms > bar.csv

To export tick data from InfluxDB please use the following command:

> influx -execute "SELECT time as dateTime,last,lastDateTime,volBid,volAsk,bid,ask,vol

FROM tick" -database "algotrader" -format csv -precision ms > tick.csv

Note
The InfluxDB export adds an extra column named "name" as the first column. In order to use the
exported .csv file for simulations one has to remove the first column of the file. The following
Linux command can be used to accomplish this:

cut --complement -f 1 -d, tick.csv > tick-new.csv

To convert an AlgoTrader CSV file into an InfluxDB import file the following two Utility classes can be used:

ch.algotrader.util.influxdb.CSVBarToInfluxDBConverter
ch.algotrader.util.influxdb.CSVTickToInfluxDBConverter

6
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 CONFIDENTIAL Live Data Recording

19.2. Live Data Recording

Using InfluxDB it is possible to store tick-level live data for all subscribed instruments while the system is
running. To enable this feature the following properties inside conf-core.properties has to be enabled.
Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

# enables market data persistence

statement.persistMarketData = true

In addition recorded tick-level data can be aggregated into bar-data on the fly by using the following properties
inside conf-core.properties. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

# enables market data persistence

statement.aggregateBars = true

# the bar size used for tick-to-bar aggregation and end-of-day historical bar download
historicalData.barSize = MIN_1

In case a certain instrument provides trade information (e.g. Equities and Crypto Currencies) the last traded
price is used to calculate the Bar values. In case no trading information is available (e.g. Forex and Indices)
the midpoint price (average of bid and ask) is used. The bar aggregation feature will also create bars for time
periods when no market data arrives, in this case open, high, low and close will be equal to the previous bars
close price.

19.3. Historical Data Download

The storeHistoricalBars method of the Historical Data Service saves historical bars directly into InfluxDB.
If the parameter replace is set to false the method storeHistoricalBars will save newly retrieved Bars after
the last Bar currently in the database. Bars before the current last Bar will not be touched. If the parameter
replace is set to true the method storeHistoricalBars however will replace all current Bars in the database
within the specified time period

Download and storage of historical data can be invoked via the HistoricalDataStarter.

HistoricalDataStarter replaceBars startDate endDate marketDataEventType barSize

securityId(s)

For example:

HistoricalDataStarter true 2016-01-01 2016-12-31 TRADES DAY_1 10 11 12

AlgoTrader also provides features to download missing historical data for all subscribed instruments either on
startup or at a specific time of the day. For these functions the following properties are available inside conf-
core.properties where they can be changed. Alternatively the properties can be changed via Section 2.3,
“VM Arguments”:

176
 CONFIDENTIAL Interactive Brokers Historical Data Download

# enables end-of-day historical bar download

statement.downloadHistoricalDataEOD = true

# the bar size used for tick-to-bar aggregation and end-of-day historical bar download
historicalData.barSize = MIN_1

# the market data event type used by the end-of-day historical bar download
historicalData.marketDataEventType = MIDPOINT

# Hour-of-Day when the end-of-day historical bar download takes place

historicalData.downloadHour = 2

# enables historical bar download on startup

historicalData.downloadHistoricalDataOnStartup = true

Depending on whether InteractiveBrokers, Bloomberg or Quandl is used for the historical data download the
corresponding marketData profile has to be specified via VM argument.

InteractiveBrokers:

-Dspring.profiles.active=influxDB,iBHistoricalData

Bloomberg:

-Dspring.profiles.active=influxDB,bBHistoricalData

Quandl:

-Dspring.profiles.active=influxDB,qdlHistoricalData

19.4. Interactive Brokers Historical Data Download

7
The Historical Data Download incorporates historical data limitations in place by Interactive Brokers.

With IB API the following conditions can lead to pacing violations:

• Making six or more historical data requests for the same Contract, Exchange and Tick Type within two
seconds.

• Making more than 60 historical data requests in any ten-minute period.

The AlgoTrader Historical Data Download can optionally avoid potential pacing violation by separating
subsequent download requests by 10 seconds. This feature can be enabled via the following property inside
conf-ib.properties has to be updated. Alternatively the properties can be changed via Section 2.3, “VM
Arguments”

7
http://interactivebrokers.github.io/tws-api/historical_limitations.html

177
 CONFIDENTIAL Quandl Historical Data Download

# ensures 10 seconds delay between historic data requests

ib.pacingViolationGuard = true

8
The Historical Data Download also takes the Valid Duration and Bar Size Settings for Historical Data Requests
into account and splits large requests into subsequent smaller requests.

19.5. Quandl Historical Data Download

9
Quandl is a public service that provides a wide range of financial, economic and alternative data. AlgoTrader
allows downloading historical data from Quandl. For more information please visit section Section 22.16,
“Quandl”.

19.6. Google Finance Historical Data Download

10
To download historical data from Google Finance the following two classes are available: The class
ch.algotrader.starter.GoogleDailyDownloader is available to download daily closing prices and the class
ch.algotrader.starter.GoogleIntradayDownloader can be used to download intraday prices.

19.7. Market Data File Format

When using CSV files for the back test all data files are placed inside the following directory structure:

/<baseDir>/<eventType>/<dataSet>/<filename>.csv

• baseDir is the parent directory where all market data files are stored. This is either the files/ directory
under the project algotrader-core or an arbitrary directory defined via the following property inside
conf.properties has to be updated. Alternatively the properties can be changed via Section 2.3, “VM
Arguments”

# alternate dataSetLocation (default is <working-dir>/files/ i.e. usually

<algotrader>/core/files/ )
dataSource.dataSetLocation = files

• eventType is either tickData, barData or genericData (see Section 18.5, “Generic Events”).

• dataSet is the name of the dataset used for the simulation run. This can be defined via the following property
inside conf.properties has to be updated. Alternatively the properties can be changed via Section 2.3,
“VM Arguments”

# name of dataSet to be used for simulations and market data persistence

8
http://interactivebrokers.github.io/tws-api/historical_limitations.html
9
https://www.quandl.com/
10
https://www.google.com/finance/historical?q=aapl

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 CONFIDENTIAL Tick Data Files

dataSource.dataSet = current

• filename can be either of the following values followed by .csv

• isin

• symbol

• bbgid

• ric

• conid

• securityId

An alternative approach is to feed market data for multiple securities using one file. E.g. it is possible to feed
market data for futures using market data from the corresponding generic future. In this approach an additional
column security has to be added to the market data file which will be used to identify the actual Security.

The first line within the file is the header row.

The file name for Section 18.5, “Generic Events” follows a different logic.

19.7.1. Tick Data Files

The Format of the Tick Data Files is based on a standard CSV Structure:

• dateTime

• last

• lastDateTime

• volBid

• volAsk

• bid

• ask

• vol

• security (optional)

dateTime and lastDateTime values are expected to be in the yyyy-MM-dd HH:mm:ss format and to represent
local time. Alternatively one can also use long values that represent Java milliseconds since 1970.

Example:

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 CONFIDENTIAL Bar Data Files

Table 19.1. Tick Data Format

dateTime last lastDateTime volBid volAsk bid ask vol

2016-01-01 14:00:01 188 2016-01-01 14:00:01 47 52 178.1 183.2 20
2016-01-01 14:00:02 188 2016-01-01 14:00:02 47 52 177.2 182.9 20

19.7.2. Bar Data Files

The Format of the Bar Data Files is based on a standard CSV Structure:

• dateTime

• open

• high

• low

• close

• vol

• vwap (optional)

• security (optional)

dateTime values are expected to be in the yyyy-MM-dd HH:mm:ss format and to represent local time.
Alternatively one can also use long values that represent Java milliseconds since 1970.

Example:

Table 19.2. Bar Data Format

dateTime open high low close vol

2016-01-01 14:00:00 1.29366 1.29369 1.29360 1.29369 2000
2016-01-01 14:01:00 1.29367 1.29389 1.29367 1.29378 2500

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Chapter 20. CONFIDENTIAL

Reference Data
Amongst others reference Data consists of static data like Security, SecurityFamily, SecurityReference,
Account Entities.

Reference Data can either be configured in the database directly through the corresponding tables or one can
use the ReferenceDataService and corresponding ReferenceDataStarter.

Depending on the Reference Data Adapter in use the following download options are available for download:

• All Future of all Future Families

• All Futures of a particular Future Family

• All Options of all Option Families

• All Options of a particular Option Family

• All Stocks of a particular Security Family

• All items available through the particular Reference Data Adapter

For further details please see the JavaDoc of the ReferenceDataStarter class.

Example: To download missing Futures of a specified Future Families use the following command

ReferenceDataStarter futures futureFamilyId1 futureFamilyId2 ...

It is recommended to run this Service in the interval of Option / Future Expirations to make sure that the entire
chain is available to strategies.

Depending on the Reference Data Adapter in use the corresponding referenceData profile has to be specified
via VM argument.

Note

For Bitstamp, BitFlyer, Bitfinex, CoinMarketCap, Binance and BitMEX - an account and an
exchange corresponding to the adapter must be setup in the database prior to running. It can
be achieved by executing the sample database script samples/db/mysql/mysql-data.sql

Bloomberg:

-Dspring.profiles.active=bBReferenceData

InteractiveBrokers:

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 CONFIDENTIAL

-Dspring.profiles.active=iBReferenceData

Trading Technologies:

-Dspring.profiles.active=tTReferenceData

Binance:

-Dspring.profiles.active=bNCReferenceData

Bitfinex:

-Dspring.profiles.active=bFXReferenceData

Bitflyer:

-Dspring.profiles.active=bFLReferenceData

BitMEX:

-Dspring.profiles.active=bMXReferenceData

Bitstamp:

-Dspring.profiles.active=bTSReferenceData

CoinAPI:

-Dspring.profiles.active=cNPReferenceData

Coinigy:

-Dspring.profiles.active=cNGReferenceData

CoinMarketCap:

-Dspring.profiles.active=cMCReferenceData

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Chapter 21. CONFIDENTIAL

Account Data
AlgoTrader provides Account Data Service for the following adapters:

• Interactive Brokers via Native API

1
• Binance via Binance API

2
• Bitfinex via Bitfinex API

3
• Bitflyer via Bitflyer API

4
• BitMEX via BitMEX API

5
• Bitstamp via Bitstamp API

6
• Coinigy via Coinigy API

The AccountService interface defines a method for retrieving account balances for the specified account ID.
A list of NamedCurrencyAmountVO items is returned. The retrieveAccountBalances method can be called
from the strategy like this:

List<NamedCurrencyAmountVO> balances = getAccountService().retrieveAccountBalances(accountId);

The AccountService interface also defines a method for the initiation of crypto withdrawals for crypto
exchanges. The withdraw method can be called from the strategy like this:

WithdrawStatusVO status = getAccountService().withdraw(accountId, currency, amount, withdrawContext)

The withdrawContext parameter contains additional information that might be required by certain exchanges
(e.g. address and/or paymentId). The method returns a WithdrawStatusVO which contains information like
message and externalId.

Depending on the Account Data Adapter in use the corresponding account profile has to be specified via VM
argument.

InteractiveBrokers:

1
https://github.com/binance-exchange/binance-java-api
2
https://docs.bitfinex.com/docs
3
https://bitflyer.com/api
4
https://www.bitmex.com/app/apiOverview
5
https://www.bitstamp.net/api/
6
https://coinigy.docs.apiary.io/

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 CONFIDENTIAL

-Dspring.profiles.active=iBAccount

Coinigy:

-Dspring.profiles.active=cNGAccount

Bitfinex:

-Dspring.profiles.active=bFXAccount

Bitflyer:

-Dspring.profiles.active=bFLAccount

Bitstamp:

-Dspring.profiles.active=bTSAccount

Binance:

-Dspring.profiles.active=bNCAccount

BitMEX:

-Dspring.profiles.active=bMXAccount

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Chapter 22. CONFIDENTIAL

Adapters
The following sections give a detailed overview of the different adapters available for AlgoTrader.

22.1. Fix Interface

1
AlgoTrader uses QuickFix/J for it's Fix connections and currently supports FIX 4.2 and 4.4. Because FIX
messages are not compatible between different version, the two distinct services Fix42OrderService and
Fix44OrderService exist. Incoming messages are handled by their corresponding Fix42MessageHandler
and Fix44MessageHandler.

To configure a Fix trading connection the following steps have to be taken care of:

• Add the corresponding fix trading profile to the VM argument spring.profiles.active (e.g. cNXFix):

-Dspring.profiles.active=live,pooledDataSource,cNXFix,embeddedBroker,html5,InfluxDB

• Add the fix session to /algotrader/core/src/main/resources/fix.cfg (Use the fix-template.cfg file

as basis - do not delete the default section):

[session]
SessionQualifier=CNXT
BeginString=FIX.4.4
SenderCompID=xxx
TargetCompID=CNX
SocketConnectHost=dret-fix-ssl.currenex.com
SocketConnectPort=443
SocketUseSSL=Y
Username=xxx
Password=xxx
ValidateIncomingMessage=N
ResetOnLogon=Y
Inactive=Y

• Make sure there is an entry in the MySQL account table where the column ORDER_SERVICE_TYPE matches
the type of the fix interface (e.g. CNX_FIX), the column SESSION_QUALIFIER matches the SessionQualifier
specified in the file fix.cfg and the ACTIVE column is set to 1.

If market data is also received through a Fix interface the following items need to be added as well:

• Add the corresponding fix market data profile to the VM argument spring.profiles.active (e.g. cNXFix):

-
Dspring.profiles.active=live,pooledDataSource,cNXMarketData,embeddedBroker,html5,InfluxDB

1
https://www.quickfixj.org/

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 CONFIDENTIAL Fix Interface

• Add the fix session to /algotrader/core/fix.cfg (an example file fix-template.cfg is provided in the
same directory):

[session]
SessionQualifier=CNXMD
BeginString=FIX.4.4
SenderCompID=xxx
TargetCompID=CNX
SocketConnectHost=dret-fix-ssl.currenex.com
SocketConnectPort=443
SocketUseSSL=Y
Username=xxx
Password=xxx
ValidateIncomingMessage=N
ResetOnLogon=Y
Inactive=Y

• When making subscriptions add the FeedType corresponding to the Fix interface (e.g. CNX)

Important

Please make sure to have the setting Inactive=Y in both trading and market-data sections.
Without this setting the fix session will be initialized before the remaining system has been fully
initialized and might cause either trading or market data to malfunction.

2
For further information regarding QuickFix/J configuration please visit the QuickFix/J documentation

Per default Fix interfaces uses the following items to identify a particular instrument:

Options
Exchange IB_CODE

SecurityFamily CURRENCY

SecurityFamily SYMBOL_ROOT

Option STRIKE

Option TYPE

Option EXPIRATION

SecurityFamily CONTRACT_SIZE

Future
SecurityFamily CURRENCY

2
https://www.quickfixj.org/usermanual/1.6.4//usage/configuration.html

186
 CONFIDENTIAL FIX configuration

Exchange IB_CODE

SecurityFamily SYMBOL_ROOT

Future EXPIRATION

SecurityFamily CONTRACT_SIZE

Forex
SecurityFamily CURRENCY

Exchange IB_CODE

Forex BASE_CURRENCY

Stock
SecurityFamily CURRENCY

Exchange IB_CODE

Stock SYMBOL

Fund
SecurityFamily CURRENCY

Exchange IB_CODE

Index SYMBOL

22.1.1. FIX configuration

All FIX configurations are stored in fix.cfg file by default.

The file fix-template.cfg contains default parameters suggested by AlgoTrader for all FIX sessions. The
individual [session] blocks should be added after the [default] block.

[default]
ConnectionType=initiator
HeartBtInt=30
ReconnectInterval=5
FileStorePath=files/fix
FileLogPath=log
FileLogHeartbeats=N
FileIncludeMilliseconds=Y
FileIncludeTimeStampForMessages=Y
SLF4JLogHeartbeats=N

Details of individual FIX sessions are expected to be provided by the brokerages.

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 CONFIDENTIAL FIX logging

3
For further information regarding QuickFix/J configuration please visit the QuickFix/J documentation

22.1.2. FIX logging

In addition to stock QuickFix/J configuration capabilities AlgoTrader provides a custom option to select a logging
back-end out of those supported by QuickFix/J per individual session through custom Logimpl parameter.

Supported parameter values are:

file (default)
Log to QuickFix/J standard file logger.

slf4j
Log to the Simple Logging Facade for Java (SLF4J). Log entries will be committed to the logging back-
end configured by SLF4J.

screen
Log to QuickFix/J standard console logger.

none
Disable logging. No FIX session events or messages will be logged.

The last option might be especially useful for volume intensive market data sessions where persistent message
log could be unnecessary or even excessive. Custom Fix logging options can be configured as follows:

[session]
SessionQualifier=FIXMD
BeginString=FIX.4.4
...
LogImpl=none

22.1.3. FIX message persistence

One can use standard QuickFix/J facilities to store FIX messages either in a local file or in a relational database
through JDBC DataSource interface. For details please refer to the QuickFix/J documentation. For further
4
details please visit the QuickFix/J documentation

22.1.4. FIX Drop-copy support

LMAX and Trading Technologies interfaces provide support for so called drop-copy mode wherein the adapter
can receive order status and fill messages from orders initiated externally (usually by external applications such
as native trading front-ends). By default external fills get recorded as transactions of the SERVER strategy and
allocated to the external account specified in the original execution report message. One, however, can provide
a custom implementation of DropCopyAllocator interface in order to apply custom transaction allocation logic.

3
https://www.quickfixj.org/usermanual/1.6.4//usage/configuration.html
4
https://www.quickfixj.org/usermanual/1.6.4//usage/configuration.html#Storage

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 CONFIDENTIAL Session life-cycle events

22.2. Session life-cycle events

All trading interface adapters generate session events, which enable the server engine as well as individual
strategies to listen for and react to session events such as session being fully established or temporary loss
of connectivity.

@Override
public void onChange(final SessionEventVO event) {
switch (event.getState()) {
case CONNECTED:
// session connected but not yet authenticated
break;
case LOGGED_ON:
// session connected and authenticated
break;
case DISCONNECTED:
// session disconnected
break;
}
}

22.3. Crypto Exchange interfaces

AlgoTrader provides several crypto currency exchange adapters which are based on REST, Web Socket or
REST.

When trading crypto currencies it is recommended to update the following properties inside conf.properties.
Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

# the currency all portfolio balances will be calculated in

misc.portfolioBaseCurrency=BTC

# the number of digits all portfolio balances will be displayed with

misc.portfolioDigits=8

22.3.1. Crypto Exchange vs. Margin Trading

Most crypto exchanges support both exchange account and margin accounts.

Exchange accounts allow you to exchange on crypto/fiat to another (e.g. USD to BTC). When trading exchange
accounts. Exchange accounts do not allow short trades.

Margin accounts allow you to have long and short positions on any pair (e.g. long BTC/USD or short ETH/BTC).

The SimpleOrder property exchangeOrder (which is false per default) drives which account you are trading
against:

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 CONFIDENTIAL Custom currency mapping

• exchangeOrder = true means use the exchange account

• exchangeOrder = false means use the margin account

Note
Note that every exchange differs on how to submit exchange account vs. margin account orders.

Some require you to use different securities (e.g. Bitflyer), others different order types or price
types.

Please refer to the various exchange documentation sections for details.

22.3.2. Custom currency mapping

Not all exchanges use the same names for the same coins (e.g. BTC or XBT for Bitcoin). So that the system
recognises it's the same instrument and trades it properly across exchanges, there is a mapping algotrader/
bootstrap/conf/src/main/resources/currency-code-mappings.csv. If the matching entry exists in that
file (adapter code, exchange code and adapter currency code), then the defined AlgoTrader currency code
will be used throughout the system and the adapter specific name will be used while communicating with the
exchange.

22.4. Bloomberg
The Bloomberg interface supports Market Data, Historical Data as well as Reference Data.

The Bloomberg interface provides both synchronous connections and asynchronous connections.
Asynchronous connections are generally used for live market data whereas synchronous connections are used
for retrieval of historical data as well as retrieval of reference data.

If market data is received through the Bloomberg interface the following items need to be added:

• Add the profile bBMarketData to the VM argument spring.profiles.active:

-
Dspring.profiles.active=live,pooledDataSource,bBMarketData,embeddedBroker,html5,InfluxDB

• When making subscriptions add the FeedType BB

Bloomberg uses the BBGID field of the Security table to identify instruments.
5
For further details on the Bloomberg interface please visit the Bloomberg Open API

22.5. Currenex
The main features of the Currenex platform are

5
https://www.bloomberg.com/professional/support/api-library/

190
 CONFIDENTIAL DukasCopy

• Live tradeable rates

• Liquidity in all the major currency pairs

• Straight through processing of order executions

The Currenex implementation of the FIX/4.4 protocol has some peculiarities

• Requires additional acknowledgement TradingSessionStatus message indicating the trading session is

fully initialized

• Supports only subset of standard Order Expiry (Time in Force) types

• Uses FOREX_MARKET (type C) and FOREX_LIMIT (type F) for Market and Limit orders

Currenex uses the columns Forex BASE_CURRENCY and SecurityFamily CURRENCY to identify an instrument.

22.6. DukasCopy
The DukasCopy interface supports Market Data as well as Order Processing.

Since the DukasCopy Fix Implementation does not follow the Fix Standard very closely, a few customizations
had to be made:

• usage of Stop Limit for Limit orders

• usage of Price for Stop orders instead of StopPx

• does not support Securitytype

• does not use ExecType instead it uses only OrdStatus

• requires OrderID (tag 37) for order modifications

• does not return OrigClOrdID

• does not use OrderStatus PARTIALLY_FILLED

• does not use LastPx but only AvgPx

DukasCopy uses the columns Forex BASE_CURRENCY and SecurityFamily CURRENCY to identify an instrument.

The DukasCopy Fix interface uses an SSL encrypted connection which is supported by QuickFix/J using Mina.
In addition the DukasCopy interface requires username and password to be send with the Logon message.
For this purpose the class DCLogonMessageHandler is used as an outgoing MessageHandler.

22.7. EzeSoft / Real Tick

EzeSoft / RealTick provides connectivity to about 30 institutional and 10 retail brokers.

The EzeSoft / RealTick Fix interface currently supports only Order Processing.

The Fix Implementation of EzeSoft / RealTick is well conforming with the Fix Standard no customizations had
to be made.

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 CONFIDENTIAL Fortex

The IB Fix interface uses standard Fix instrument definitions mentioned at the end of section Section 22.1,
“Fix Interface”.

22.8. Fortex
Fortex uses almost vanilla Fix/4.4 protocol with a very customizations. It supports FX only.

• Supports GTC, IOC and FOK time-in-force parameters only

• Requires filled quantity to be included in order cancellation messages

Fortex uses the columns Forex BASE_CURRENCY and SecurityFamily CURRENCY to identify an instrument.

22.9. FXCM
FXCM interface FIX/4.4 protocol does not deviate much from the standard but has some peculiarities about
the way FIX sessions are established

• Unlike many other FIX connectivity providers who provide separate FIX sessions for market data and trading
interfaces FXCM by default offers one session for both market data feed and trading operations

• Uses extra UserRequest / UserResponse message exchange to authenticate the user and to fully initialize
the session

FXCM uses the columns Forex BASE_CURRENCY and SecurityFamily CURRENCY to identify an instrument.

22.10. IB Native Interface

The native IB Interface connects to the local Trader Workstation (TWS) or IB Gateway instance and uses
methods supplied by the IB client. The interface is fully capable of handling IB's Financial Advisor functionality
like Sub Accounts, Account Groups and Allocation Profiles.

The IB interface supports Market Data, Historical Data, Order Processing, Retrieval of account information as
well as Reference Data.

Note

You get market data for a minimum of 100 instruments with subscriptions (depends on your
commissions and assets with IB). You can buy up to 10 quote boosters for USD 30 each, which
provide 100 additional instruments each (max 1000). For details, consult the IB market data
6
fees.
7
Similar restrictions/extensions exist for historical data. Those details can be viewed here.

6
https://www.interactivebrokers.com/en/index.php?f=14193#market-data-fees
7
http://interactivebrokers.github.io/tws-api/historical_limitations.html#hd_availability

192
 CONFIDENTIAL IB Native Interface

To configure an IB connection the following steps have to be taken care of:

• Add the profile iBNative to the VM argument spring.profiles.active:

-
Dspring.profiles.active=live,pooledDataSource,iBNative,embeddedBroker,html5,InfluxDB

• Make sure there is an entry in the account database where the column ORDER_SERVICE_TYPE is set to
IB_NATIVE) .

If market data is also received through the IB interface the following items need to be added as well:

• Add the profile iBMarketData to the VM argument spring.profiles.active:

-
Dspring.profiles.active=live,pooledDataSource,iBMarketData,embeddedBroker,html5,InfluxDB

• When making subscriptions add the FeedType IB

The IB interface has the following options to identify a particular instrument:

• CONID specified in the security table

• Use instrument symbols and additional data depending on the instrument type:

Options
Exchange IB_CODE

SecurityFamily CURRENCY

SecurityFamily SYMBOL_ROOT

Option STRIKE

Option TYPE

Option EXPIRATION

SecurityFamily CONTRACT_SIZE

Future
SecurityFamily CURRENCY

Exchange IB_CODE

SecurityFamily SYMBOL_ROOT

Future EXPIRATION

SecurityFamily CONTRACT_SIZE

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 CONFIDENTIAL IB Native Interface

Forex
SecurityFamily CURRENCY

Exchange IB_CODE

Forex BASE_CURRENCY

Stock
SecurityFamily CURRENCY

Exchange IB_CODE

Stock SYMBOL

Index
SecurityFamily CURRENCY

Exchange IB_CODE

Index SYMBOL

Combination
SecurityFamily CURRENCY

Exchange IB_CODE

SecurityFamily BASE_SYMBOL

Security CONID of each Component

Component QUANTITY

In addition the following items apply to the IB Native interface

8
• The IB Native interface uses the RT_VOLUME events to process incoming trade events

• The IB Native interface propagates daily OPEN and CLOSE prices to strategies in case the following property
inside conf-ib.properties is enabled. Alternatively the properties can be changed via Section 2.3, “VM
Arguments”

# enables emission of generic open and close ticks

ib.emitOpenClose = true

• The IB Native interface propagates VWAP prices to strategies in case the following property inside conf-
ib.properties is enabled. Alternatively the properties can be changed via Section 2.3, “VM Arguments”

# enables emission of generic VWAP ticks

8
https://interactivebrokers.github.io/tws-api/tick_types.html#rt_volume

194
 CONFIDENTIAL IB Market Data Subscriptions

ib.emitVWAP = true

• The IB Native interface expects orders to be sent with their order ids in ascending order. The Class
IBOrderIdSynchronizer is responsible to make sure order ids are actually in ascending order. In case an
order id is skipped the IBOrderIdSynchronizer will wait for up to maxOrderSyncTime milliseconds for the
order with the correct order id to arrive.

• The IB Native interface supports trading of tradeable / non-synthetic combinations by placing BAG orders
through the IB interface.

• The IB Native interface reports volBid, volAsk and vol in lots of 100 contracts for US equities. Please see
9
the following page for further details on handling of Odd Lot Orders
10
For further details on the IB native interface please visit the IB API Reference Guide

22.10.1. IB Market Data Subscriptions

In the traditional financial sector (excluding cryptocurrencies) market data is not free and requires market data
subscriptions.

IB provides free 15min delayed data, but this will not be accessible through the IB API. In order to access both
real time market data as well as historical data, a corresponding market data subscription has to be in place.

Market data can be accessed both through the IB paper trading account as well as the live trading account.

Note

• The paper trading account has one single username assigned to it. The live trading account
can have multiple usernames.

• For each username (live account & paper trading account) only one session can exist at the
same time. If you login with the same username on a different machine the other session
will get logged out.

• If the live account username (that is sharing its market data subscription with the paper trading
account) is currently logged in, the paper trading account doesn't get market data until the
live account is again logged out.

• If a client wants to login to the live trading account at the same time that AlgoTrader is
connected to the paper trading account, he has to create a second username under the live
account and purchase additional market data subscriptions for that username.

11
To get a market data subscriptions one has to login to the IB account management with the live trading
account. Then follow these steps:

9
https://ibkr.info/node/1062
10
https://www.interactivebrokers.com/en/software/api/api.htm
11
https://gdcdyn.interactivebrokers.com/sso/Login

195
 CONFIDENTIAL IB Market Data Subscriptions

1. Select Settings / User Settings in the menu on the left. Then select Market Data Subscriptions on the right

2. Then click on the icon next to Current Subscriptions

3. Then select the region (e.g. North America)

4. On the next screen individual market data subscriptions can be selected

Figure 22.1. Market Data Subscriptions 1

Figure 22.2. Market Data Subscriptions 2

196
 CONFIDENTIAL IB Market Data Subscriptions

Figure 22.3. Market Data Subscriptions 3

Typical market data subscriptions are:

• IDEAL FX: free Forex market data

• NASDAQ (Network C/UTP): live market data for NASDAQ listed equities

• NYSE (Network A/CTA): live market data for NYSE listed equities

• US Securities Snapshot and Futures Value Bundle: live market data for US futures and snapshot data
for US equities (AT cannot process snapshot data, so in addition NASDAQ and NYSE has to be subscribed
as well)

197
 CONFIDENTIAL IB Market Data Subscriptions

Figure 22.4. Market Data Subscriptions 4

To use these market data subscriptions through the paper trading account follow these steps:

1. Select Settings / User Settings in the menu on the left. Then select Paper Trading Account on the right

2. Then select Yes next to Share real-time market data subscriptions with paper trading account

3. Then Select the username whose market data you want to share. This will share the market data
subscriptions of the live account with the paper trading account.

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 CONFIDENTIAL IB Fix Interface

Figure 22.5. Paper Trading Account 1

Figure 22.6. Paper Trading Account 2

Note

In case no market data arrives through the IB interface it is usually best to login to
InteractiveBrokers Trader Workstation (TWS) as there are usually warning messages that
indicate what might be the issue

22.11. IB Fix Interface

The IB Fix Interface provides the same Order Management features as the IB Native Interface. However Market
Data is not available through this interface.

The interface is fully capable of handling IB's Financial Advisor functionality like Sub Accounts, Account Groups
and Allocation Profiles.

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 CONFIDENTIAL JP Morgan

12
For further details on the IB Fix interface please visit the IB FIX/CTCI Users' Guide

The IB Fix interface uses standard Fix instrument definitions mentioned at the end of section Section 22.1,
“Fix Interface”.

22.12. JP Morgan
The JP Morgan Fix interface supports Order Processing only.

As the JP Morgan Fix Implementation is well conforming with the Fix Standard no customizations had to be
made

The JP Morgan Fix interface uses standard Fix instrument definitions mentioned at the end of section
Section 22.1, “Fix Interface”.

22.13. LMAX
Supports only a limited number of securities, mainly Forex

LMAX implementation of the FIX/4.4 protocol has some peculiarities

• Uses predefined contract modifiers for market data events and order quantities. The contract modifiers are
not included in FIX messages and have to be applied by the interface adaptor.

• Uses custom message dictionary

• Supports only IOC and FOK time-in-force parameters for market orders.

• Supports DAY, GTC, IOC and FOK time-in-force parameters for limit orders.

• Supports only DAY and GTC time-in-force parameters for stop orders.

• supports trading status signaling temporary suspension and resumption in trading of individual securities.

LMAX uses the column LMAXID of the security table to identify an instrument

22.14. Nexus Prime

13
Nexus Prime is a MetaTrader MT4 FIX interface provided by IS Risk Analytics. The Nexus Prime interface
uses Fix 4.4 and it supports FX only. Due to the underlying MetaTrader MT4 a few limitations apply.

• Market Data subscriptions cannot be cancelled

• Orders cannot be modified, instead one needs to cancel the current order first and then resend a new one.

12
https://www.interactivebrokers.com/en/index.php?f=4988
13
http://www.isriskanalytics.com/products/prime

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 CONFIDENTIAL PrimeXM

• Buy limit orders need to be placed below the market price. Sell limit orders need to be placed above the
market price

• Buy stop orders need to be placed above the market price. Sell stop orders need to be placed below the
market price.

• Minimum trade size allowed on most currency pairs is .01 lots which is 1000 notional
Nexus Prime uses the columns Forex BASE_CURRENCY and SecurityFamily CURRENCY to identify an
instrument.

22.15. PrimeXM
The PrimeXM FIX/4.4 interface implementation follows the Fix Standard closely, but uses MassQuote messages
for conveying the market data. Each MassQuote message has to be acknowledged by the FIX client.

Only Forex instruments are supported by the PrimeXM Fix Interface. Order modifications are not supported.

22.16. Quandl
14
Quandl is a public service that provides a wide range of financial, economic and alternative data. It is mostly
end of day data but also some intra-day(e.g. hourly) data. To find out if they have what you are looking for, check
15
their data products page. AlgoTrader allows downloading historical data from Quandl. For more information
16
about Quandl please have a look at the Quandl Docs/Help .

Data on Quandl is divided into databases. Each database contains multiple datasets. For instance EOD
database contains end-of-day data for all publicly-traded US stocks. Each database/dataset pair is uniquely
identified by database_code/dataset_code pair. For instance EOD/AAPL is the globally unique code for the
17
AAPL stock dataset within the EOD database. The Quandl database browser can be used to find suitable
databases for desired instrument type, region and data type.

The QdlHistoricalDataService is integrated with the AlgoTrader Historical Data Download and needs
to be enabled by specifying the qdlHistoricalData Spring profile (see section Section 19.3, “Historical
Data Download”). The QdlHistoricalDataService transforms retrieved Quandl data into AlgoTrader bars.
Transformation rules between the Quandl data format and AlgoTrader Bar format are defined in the file
quandl.yml. By default the file quandl.yml already contains the transformation rules for most commonly used
Quandl databases. Additional transformation rules can be added to the file as needed:

EOD:
barSize: DAY_1
columnMapping:
dateTime: Date

14
https://www.quandl.com/
15
https://www.quandl.com/search?query=
16
https://www.quandl.com/docs-and-help
17
https://www.quandl.com/search

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 CONFIDENTIAL QuantHouse

open: Open
high: High
low: Low
close: Close
vol: Volume

The Quandl database code

barSize supported by the Quandl database (e.g. DAY_1 or MIN_1)
Column mappings between Quandl data fields and AlgoTrader BarVO fields

The relevant properties for the Quandl adapter are defined inside the file conf-qdl.properties where they
can be changed. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

#{"type":"String","label":"API Key"}
qdl.apiKey = ATVxxxxxxxxxxxxx

To use the QdlHistoricalDataService please replace the property qdl.apiKey with the API Key that can
be retrieved through the Quandl Account Settings.

In terms of historical data download a mapping between the Quandl database and the SecurityFamily
entity is defined by the quandl_database field in the security_family table. Similarly a mapping between
the Quandl dataset and the Security entity is defined by the quandl_dataset field in the security table.
AlgoTrader sample data files (samples/db/mysql/mysql-data.sql and samples/db/mysql/h2-data.sql)
already contain quandl_database/quandl_dataset values for all sample security families and most sample
securities.

22.17. QuantHouse
The QuantHouse adapter is based on the QuantHouse ultra low latency market data feed QuantFEED. The
QuantHouse adapter supports live Market Data.

If market data is received through the QuantHouse interface the following items need to be added:

• Add the profile qHMarketData to the VM argument spring.profiles.active:

-
Dspring.profiles.active=live,pooledDataSource,qHMarketData,embeddedBroker,html5,InfluxDB

• When making subscriptions add the FeedType QH

QuantHouse uses the Exchange MIC and Security SYMBOL fields to identify instruments.

18
For further details on the QuantHouse interface please contact QuantHouse

18
https://www.quanthouse.com/

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 CONFIDENTIAL SocGen

22.18. SocGen
The SocGen FIX/4.2 interface supports Order Processing only.

The SocGen Fix Implementation follows the Fix Standard closely, but some minor customizations according
to the 'SocGen FIX Rules of Engagement' had to be made. Additionally exchange specific restrictions rules
defining the allowed order type / TIF combinations were added.

Only Future instrument orders are supported by the SocGen Fix Interface.

22.19. Trading Technologies (TT)

Supports a wide range of future and option contracts tradeable at multiple venues / exchanges.

• TT uses the column TTID of the security table to identify instruments

• Provides a reference data service that can be used to download contract definitions

• Supports drop-copy sessions

22.20. UBS
The UBS Fix interface supports Order Processing for futures and options only.

As the UBS Fix Implementation is well conforming with the Fix Standard no customizations had to be made

The UBS Fix interface uses standard Fix instrument definitions mentioned at the end of section Section 22.1,
“Fix Interface”.

22.21. Crypto-Adapter Order Constraints

There is a common mechanism for order validation. All security families contain 7 fields for constraints:

• MinQty - minimum amount of BaseCurrency

• MaxQty - maximum amount of BaseCurrency

• QtyIncr - quantity increment - minimum value step for quantity

• MinPrice - minimum price

• MaxPrice - maximum price

• PriceIncr - minimum step size for price

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 CONFIDENTIAL Crypto-Adapter Order Constraints

• MinValue - minimum value of the order. For example for limit order: Quantity * Limit price

Reference data loaders set such values depending on the information provided by the exchange.

There is one limitation for Reference data loaders - security family, once saved, is never updated automatically
- even if there is a change on the exchange. It must be fixed manually in the database or removed and loaded
again.

Below tables describe constraints for various AlgoTrader adapters:

Table 22.1. BitFinex constraints

Constraint Description
name
MinQty minimum_order_size
MaxQty maximum_order_ size
QtyIncr 0.00000001
MinPrice -
MaxPrice -
PriceIncr price_precision
MinValue -
Details

Lists of values specific for constraints:

19
Bitfinex

Table 22.2. BitMex constraints

Constraint Description
name
MinQty 1
MaxQty -
QtyIncr 1
MinPrice 1 Satoshi
MaxPrice -
PriceIncr 1 Satoshi
MinValue -
Details We trade perpetual contracts on BitMex. Usually it involves one contract for specific price
expresed in BTX/XBTC

19
https://api.bitfinex.com/v1/symbols_details

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 CONFIDENTIAL Crypto-Adapter Order Constraints

Table 22.3. BitStamp constraints

Constraint Description
name
MinQty 0.00000001
MaxQty -
QtyIncr 0.00000001
MinPrice 0.00001
MaxPrice -
PriceIncr 0.00001
MinValue 5 USD
Details

There is one simple rule for BitStamp - order value should be at minimum 5 USD.
The 5 USD value is calculated on BitStamp exchange with market prices and
involves all types of orders.
It is not validated on AlgoTrader side as it doesn't have live list of all pairs.
20
BitSampt limits

Table 22.4. Binance constraints

Constraint Description
name
MinQty minQty
MaxQty maxQty
QtyIncr stepSize
MinPrice minPrice
MaxPrice maxPrice
PriceIncr tickSize
MinValue minNotional
Details

Binance has a list of available constraints:

21
Trading-Rule
Reference data loader uses Filters to set up constraints for Binance
(which express trading rules more technically):
22
Filters

20
https://www.bitstamp.net/article/bitstamp-minimum-trade-changing-to-5/
21
https://support.binance.com/hc/en-us/articles/115000594711-Trading-Rule
22
https://github.com/binance-exchange/binance-official-api-docs/blob/master/rest-api.md#filters

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 CONFIDENTIAL Crypto-Adapter Order Constraints

Constraint Description
name
Binance has most of the constraints set. Names in this table
for particular constraint is the name of value from filter.

Table 22.5. BitFlyer constraints

Constraint Description
name
MinQty

BTC/JPY: 0.001
ETH/BTC: 0.01
FX: BTC/JPY: 0.01

MaxQty -
QtyIncr 0.00000001
MinPrice -
MaxPrice -
PriceIncr

1 JPY -
if transaction Currency is JPY

0.00001 BTC -
if transaction Currency is BTC

MinValue -
Details

BitFlyer limits described in FAQ:

23
BitFlyer amounts

Table 22.6. Coingy constraints

Constraint Description
name
MinQty -

23
https://bitflyer.com/en-jp/faq/4-5

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 CONFIDENTIAL Order Type Validation

Constraint Description
name
MaxQty -
QtyIncr -
MinPrice -
MaxPrice -
PriceIncr -
MinValue -
Details Assuming there is a "proxy" to other exchanges - It must meet target exchange limits

Below is simple table with the aggregated constraints in one place. It contains the same data as the tables
above (except for the details column).

Table 22.7. All exchanges and its constraints in one place

Exchange
MinQty MaxQty QtyIncr MinPrice MaxPrice PriceIncr MinValue
BitFinex
minimum maximum 0.00000001 - - price_precision-
order size order size
BitMex
1 - 1 1 Satoshi - 1 Satoshi -
BitStamp
0.00000001 - 0.00000001 0.00001 - 0.00001 5 USD
Binance
minQty maxQty stepSize minPrice maxPrice tickSize minNotional
BitFlyer - 0.00000001 - - 1 JPY - -
transaction
BTC/JPY:
Currency=JPY
0.001
ETH/BTC: 0.00001 BTC
0.01 - transaction
FX: BTC/ Currency=BTC
JPY: 0.01

Coingy
- - - - - - -

22.21.1. Order Type Validation

Following table contains valid order types per adapter

Table 22.8. Order type constraints

Exchange Market Limit Stop Stop Limit
BitFinex yes yes yes no
BitMex yes yes yes yes
BitStamp yes yes no no

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 CONFIDENTIAL Binance

Exchange Market Limit Stop Stop Limit

Binance yes yes no yes
BitFlyer yes yes no no
Coingy no yes no yes

22.22. Binance
24 25
Binance is a cryptocurrency exchange. Please see the API reference page for the technical details.

Binance provides Java library for interacting with Binance API. It supports REST requests to endpoint providing
orders functionality, account data and reference data. Support for market data is done using WebSocket API.

The relevant properties for the Binance adapter are defined inside the file conf-bnc.properties where they
can be changed. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

#{"type":"String","label":"API Key"}
bnc.apiKey = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"String","label":"API Secret"}
bnc.apiSecret = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"Boolean","label":"if true import all currencies, otherwise only those

defined in ch.algotrader.enumeration.Currency"}
bnc.importAllPairs = true

A Binance account is necessary in order to use Binance adapter. Unique apiKey and apiSecret settings must
be set to the actual values (either in the properties file or by setting a VM argument)

Note

Binance is very time sensitive , i.e. if your computer is ahead of the Binance system clock, the
API might reject your orders with an exception similar to

com.binance.api.client.exception.BinanceApiException: Timestamp for this

request was 1000ms ahead of the

server's time

To prevent these issues, we suggest synchronizing your system clock with an internet reference
26
time using e.g. this time sync tool .

Binance does not support margin trading.

24
https://www.binance.com/
25
https://github.com/binance-exchange/binance-java-api
26
http://www.timesynctool.com/

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 CONFIDENTIAL Bitfinex

AlgoTrader currently support market, limit and stop limit orders on Binance.

Note that Binance has restrictions to the amount of (algo) orders that can be placed on an instrument or
27
exchange. See the Binance API filter page for details.

22.23. Bitfinex
28
Bitfinex is a cryptocurrency exchange. The Bitfinex adapter provides order execution, market data, reference
29
data and account data functionality. Please see the Bitfinex API reference page for technical details about
the supported features.

The relevant properties for the Bitfinex adapter are defined inside the file conf-bfx.properties where they
can be changed. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

#{"type":"String","label":"API Key"}
bfx.apiKey = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"String","label":"API Secret"}
bfx.apiSecret = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"Integer","label":"REST API Rate Limit Milliseconds"}

bfx.rateLimit = 1500

#{"type":"Integer","label":"API-level constant'}
bfx.scale = 5

#{"type":"Boolean","label":"if true import all currencies, otherwise only those

defined in ch.algotrader.enumeration.Currency"}
bfx.importAllPairs = true

A Bitfinex account is necessary in order to use Bitfinex adapter. Unique apiKey and apiSecret settings must
be set to the actual values (either in the properties file or by setting a VM argument)

AlgoTrader supports Bitfinex exchange and margin trading.

Market, limit and stop orders are supported. For exchange account trading, different order types are used
(exchange market, exchange limit and exchange stop).

22.24. Bitflyer
30
Bitflyer is a cryptocurrency exchange. The Bitflyer adapter supports order execution, market data, reference
31
data and account data functionality. Please see the Bitflyer API reference page for technical details.

27
https://github.com/binance-exchange/binance-official-api-docs/blob/master/rest-api.md#filters
28
https://www.bitfinex.com/
29
https://docs.bitfinex.com/docs
30
https://bitflyer.com/en-jp/
31
https://bitflyer.com/api

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 CONFIDENTIAL Bitflyer

Note

At this point (April 2018), Bitflyer does not yet support cross-border trading, so trading vs. USD
is only possible with a US account.

The relevant properties for the Bitflyer adapter are defined inside the file conf-bfl.properties where they
can be changed. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

#{"type":"String","label":"API Key"}
bfl.apiKey = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"String","label":"API Secret"}
bfl.apiSecret = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"String","label":"PubNub Subscribe Key"}

bfl.pubNubSubscribeKey = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"Integer","label":"REST API Rate Limit Milliseconds"}

bfl.rateLimit = 1500

#{"type":"Boolean","label":"if true import all currencies, otherwise only those

defined in ch.algotrader.enumeration.Currency"}
bfl.importAllPairs = true

A Bitflyer account is necessary in order to use Bitflyer adapter. Unique apiKey, apiSecret as well as market
data subscription key settings must be set to the actual values (either in the properties file or by setting a VM
argument)

We support Bitflyer margin and exchange trading.

32
Bitflyer uses different instruments for exchange and margin trading (see Bitflyer margin trading. )

• Exchange: BTCJPY with security.DESCRIPTION "BTCJPY"

• Margin: BTCJPYwith security.DESCRIPTION "FX_BTCJPY"

Bitflyer supports market and limit orders.

Note

At this point (July 2018), Bitflyer does not support order modifications.

32
https://lightning.bitflyer.com/About-Fx?lang=en

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 CONFIDENTIAL BitMEX

22.25. BitMEX
33
BitMEX is a cryptocurrency futures exchange. The BitMEX adapter provides order execution, market data,
reference data and account data functionality through REST and WebSocket API. Please see the API
34
reference page for technical details about the supported features.

The relevant properties for the BitMEX adapter are defined inside the file conf-bmx.properties where they
can be changed. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

#{"type":"String","label":"API Key"}
bmx.apiKey = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"String","label":"API Secret"}
bmx.apiSecret = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"Integer","label":"REST API Rate Limit Milliseconds"}

bmx.rateLimit = 1000

#{"type":"Integer","label":"API-level constant'}
bmx.balanceScale = 8

A BitMEX account is necessary in order to use the BitMEX adapter. Unique apiKey and apiSecret settings
must be set to the actual values (either in the properties file or by setting a VM argument)

Table 22.9. Supported Instruments

Type Description
Future Regular future contracts expiring every 3 months. Please note that the XBT (BTC) contracts
35
have a variable contract size. For more information please see Futures Guide .
Forex Bitcoin perpetual contract XBTUSD (BTCUSD) is treated as a Forex cryptocurrency pair with
36
a variable contract size. For more information please see Perpetual Contract Specification .
37
Index For a complete list of supported indices please see Indices .

BitMEX supports regular and perpetual futures contracts.

The contract size is defined in the CONTRACT_SIZE field of the security_family table. It has to be updated
regularly for contracts with a variable contract size, which can be done either manually or through the BitMEX
Reference Data Service.

The minimum quantity for all contracts is 1 contract (lot size = 1). Only integer number of contracts are allowed.
The QUANTITY_SCALE for all securities is set to 0 and must not be changed.

33
https://www.bitmex.com/
34
https://www.bitmex.com/app/apiOverview
35
https://www.bitmex.com/app/futuresGuide
36
https://www.bitmex.com/app/contract/XBTUSD
37
https://www.bitmex.com/app/index/.BXBT

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 CONFIDENTIAL Bitstamp

Placing an order to buy one XBTUSD means buy the amount of Bitcoins worth 1 USD. For more information
38
please consult the BitMEX perpetual contract details page. .

Note
Due to high volume on the BitMEX exchange, placing an order on the exchange sometimes fails
with the following message: The system is currently overloaded. Please try again
39
later. For more information please see BitMEX Technology Scaling .

BitMex is a Futures exchange, so only margin trading is supported.

AlgoTrader support market, limit, stop and stop limit orders.

22.26. Bitstamp
40 41
Bitstamp is a cryptocurrency exchange. Please see the API reference page for the technical details.

Order and market data related functionality is provided via FIX/4.4 protocol. Account data and reference data
is provided via REST API.

Bitstamp FIX/4.4 interface follows the standard closely, but offers only one session for both market data feed
and trading operations. Bitstamp market data supports only limited number of cryptocurrency (Forex) securities.
Order modifications are not supported. For more information about the Bitstamp FIX specification please have
42
a look at the Bitstamp public FIX interface .

The relevant properties for the Bitstamp adapter are defined inside the file conf-bts.properties where they
can be changed. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

#{"type":"String","label":"API Key"}
bts.apiKey = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"String","label":"API Secret"}
bts.apiSecret = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"String","label":"Customer ID"}
bts.customerId = XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX

#{"type":"Integer","label":"REST API Rate Limit Milliseconds"}

bts.rateLimit = 1500

#{"type":"Boolean","label":"if true import all currencies, otherwise only those

defined in ch.algotrader.enumeration.Currency"}

38
https://www.bitmex.com/app/seriesGuide/XBT
39
https://blog.bitmex.com/bitmex-technology-scaling-part-1/
40
https://www.bitstamp.net/
41
https://www.bitstamp.net/api/
42
https://www.bitstamp.net/fix/

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 CONFIDENTIAL CoinAPI

bts.importAllPairs = true

A Bitstamp account is necessary in order to use Bitstamp adapter. Unique apiKey and apiSecret settings
must be set to the actual values (either in the properties file or by setting a VM argument)

Bitstamp does not support margin trading.

AlgoTrader supports market, limit and stop orders.

At this point (July 2018), Bitstamp does not support order modifications.

22.27. CoinAPI
43
CoinAPI is a market data gateway to multiple crypto exchanges. CoinAPI provides historical and live market
data. It also provides reference data for the supported instruments, however it doesn't provide trading related
44
functionality. Please see the API reference page for the technical details.

Historical data is available down to 1 second bars. Historical data availability varies by currency. Up to 100
45
daily requests can be placed for free. Consult their pricing if you require more.

Instruments and exchanges must have CNPID value setup in security and exchangedatabase tables.

The relevant properties for the CoinAPI adapter are defined inside the file conf-cnp.properties where they
can be changed. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

#{"type":"String","label":"API Key"}
cnp.apiKey = XXXXXXXXXXXXXXXXX

#{"type":"Integer","label":"REST API Rate Limit Milliseconds"}

cnp.rateLimit = 1500

#{"type":"Integer","label":"API-level constant'}
cnp.scale = 5

#{"type":"Boolean","label":"if true import all currencies, otherwise only those

defined in ch.algotrader.enumeration.Currency"}
cnp.importAllPairs = true

#{"type":"String[]","label":"can contain values: trade, quote, book20"}

cnp.websocketUpdates = trade,quote

Unique apiKey and apiSecret settings must be set to the actual values (either in the properties file or by
setting a VM argument)

43
https://www.coinapi.io/
44
https://docs.coinapi.io/
45
https://www.coinapi.io/pricing

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 CONFIDENTIAL Coinigy

22.28. Coinigy
Coinigy provides connectivity to 45+ of most popular cryptocurrency exchanges allowing to trade hundreds of
different crypto currencies. The Coinigy Interface connects to the Coinigy API endpoints via REST and Socket
Cluster protocols.

The Coinigy interface supports Market Data, Order Processing, Retrieval of account information as well as
Reference Data.

Currently the following limitations and known issues exist:

• Only Limit and Stop Limit orders are supported (margin and exchange trading)

• Order modifications are not supported

• Partial fills are not reported due to current limitations of certain exchanges with regards to partial fills

• For some exchanges order status updates are not immediately available

Coinigy uses the columns Security CNGID and Exchange CNGID to identify an instrument.
46
For further details on the Coinigy interface please visit the Coinigy API Documentation

22.28.1. Setup Instructions

To setup a connection to Coinigy the following steps have to be taken:

47
• Sign-up for a Coinigy account on Coinigy Sign up
48
• Enable two factor authentication (2FA) on the account following the 2FA Instructions

• In the API accounts settings add the API keys from all of the exchanges where an account is setup according
49
to these Instructions

• In the account preferences generate a new Coinigy API key and Secret Key set it inside conf-
cng.properties

• In the account preferences click the button 'Click to reveal my Private Channel ID (WebSocket API)' and set
the Private Channel ID inside conf-cng.properties

The relevant properties for the Coinigy adapter are defined inside the fileconf-cng.properties where they
can be changed. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

#{"type":"String","label":"WSS Private Channel"}

46
https://coinigy.docs.apiary.io
47
https://www.coinigy.com/auth/signup
48
https://support.coinigy.com/hc/en-us/articles/360001134694-How-do-I-enable-two-factor-authentication-2FA-on-my-account-
49
https://support.coinigy.com/hc/en-us/articles/360001137714-How-do-I-add-an-exchange-s-API-Key-to-Coinigy-

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 CONFIDENTIAL CoinMarketCap

cng.wssPrivateChannel = XXXXXXXX-XXXX-XXXX-XXXX-XXXXXXXXXXXX

#{"type":"String","label":"API Key"}
cng.apiKey = xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx

#{"type":"String","label":"API Secret"}
cng.apiSecret = xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx

#{"type":"String","label":"CNG reverse exchanges"}

cng.reverseExchanges = BITS,BTCC,PLNX

#{"type":"String","label":"CNG Default Exchange Codes"}

cng.defaultExchangeCodes = PLNX,BITF,KRKN,GDAX,BTCE,OK,BTRX,BT38,BITS,HUOB

# default exchanges/feed types to use for market data.

#{"type":"String","label":"Default market feeds"}
misc.defaultMarketFeeds=BMEX:CNG,OKEX:CNG,BINA:CNG

In order to populate the database with Coinigy Accounts, Exchanges, Security Families and Securities run
the ReferenceDataStarter with cNGReferenceData spring profile enabled and program argument: all. For
further details please visit Chapter 20, Reference Data.

22.29. CoinMarketCap
50
CoinMarketCap - Cryptocurrency Market Capitalizations is a website providing information about all existing
crypto currencies and exchanges. The CoinMarketCap interface connects to the website via HTML and REST
51
API .

The CoinMarketCap interface provides the publicly available daily historical data and reference data for all
listed crypto currencies. No account is necessary in order to use the CoinMarketCap adapter.

50
https://coinmarketcap.com/
51
https://coinmarketcap.com/api/

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Chapter 23. CONFIDENTIAL

Execution Algos
23.1. Existing Execution Algos
AlgoTrader provides several built-in Execution Algos.

SlicingOrder
The Slicing Algo is mostly recommended for Equities and derivatives. For cryptocurrencies, consider the
TWAP or VWAP algos.

Splits an order into several child orders. child order quantities and time in the market are randomized. The
SlicingOrder has the following order properties:

Table 23.1. SlicingOrder

Property Description Unit Default
Value
minQuantity Minimum quantity for each child order BigDecimal

maxQuantity Maximum quantity for each child order BigDecimal

minVolPct Minimum % of volBid / volAsk to take double 0%

maxVolPct Maximum % of volBid / volAsk to take double 100%
minDuration Minimum duration of each child order seconds 1.0
maxDuration Maximum duration of each child order seconds 1.0
minDelay Minimum delay between two child orders seconds 1.0
maxDelay Maximum delay between two child orders seconds 1.0

The quantity of each child order is randomized between minVolPct and maxVolPct of the current
volume offered at the exchange. In addition minQuantity and maxQuantity restriction can be imposed.
If maxVolPct is zero, then the current market volume will not be considered when sizing the order. If
maxQuantity is zero, then no maximum quantity will be enforced on top of the market volume restriction.
The SlicingOrder will make sure that the remainingQty for the next child order is greater than
minQuantity. Maximum quantity rules have precedence over minimum quantity rules.

Example:

minVolPct: 25%, minQuantity: 20, maxVolPct: 100%, maxQuantity: 100, BUY order, quantity: 40, vol
ask: 10

minimum quantity: Max(25% x 10, 20) = 20

maximum quantity: Min(100% x 10, 100) = 10

This will result in an order of quantity 10

Each order will stay in the market for minDuration to maxDuration seconds (if it is not filled before that).
Between each child order there will be a random delay of minDelay to maxDelay seconds. In addition, the

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 CONFIDENTIAL Existing Execution Algos

SlicingOrder has a sophisticated pricing logic. For a BUY order the first child order will be place 1 tick
below the Ask. For a SELL order the first tick will be placed one tick above the Bid. Depending on whether
a child order gets filled, the price of the next child order is adjusted. If a child order gets filled, the price of
the next child order will be reduced by one tick (for BUY orders) but it will always be at least one tick above
the Bid. If the child order does not get filled, the price of the next child order is increased by one tick (for
BUY orders) but it will never be higher than the ask. A SlicingOrder can be created and sent as follows :

SlicingOrder order = new SlicingOrder();

order.setStrategy(strategy);
order.setAccount(account);
order.setSecurity(security);
order.setQuantity(orderQuantity);
order.setSide(Side.BUY);
order.setMinQuantity(BigDecimal.valueOf(10));
order.setMaxQuantity(BigDecimal.valueOf(100));
order.setMinVolPct(0.01);
order.setMaxVolPct(0.1);
order.setMinDuration(1);
order.setMaxDuration(5);
order.setMinDelay(1);
order.setMaxDelay(5);

getOrderService().sendOrder(order);

Alternatively Section 17.1.1, “Order Preferences” can be used to create a SlicingOrder. The AlgoTrader
sample data contains an OrderPreference named SLICING (with the default values shown in the table
above) which allows placing a SlicingOrder as follows:

Order order = getOrderService().createOrderByOrderPreference("SLICING");

order.setStrategy(strategy);
order.setSecurity(security);
order.setQuantity(orderQuantity);
order.setSide(Side.BUY);

getOrderService().sendOrder(order);

VWAPOrder
1
The VWAPOrder seeks to achieve the Volume-Weighted Average price (VWAP) . VWAP is a trading
benchmark used by many institutional investors. VWAP is calculated by adding up the market value
traded for every transaction (price multiplied by number of contracts traded) and then dividing by the total
contract traded. The VWAPOrder is based on the AdaptiveOrder (see) below and uses its pricing logic.
The VWAPOrder has the following order properties in addition to the ones defined by the AdaptiveOrder.

1
https://en.wikipedia.org/wiki/Volume-weighted_average_price

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 CONFIDENTIAL Existing Execution Algos

Table 23.2. VWAPOrder

Property Description Unit Default
Value
look back period
lookbackPeriod days 5
bucketSize size of each historical volum bucket Duration MIN_15

The VWAPOrder retrieves historical prices for the number of days specified in the lookbackPeriod
parameter and splits the trading day into buckets with a length in minutes according to the bucketSize
parameter.

When a VWAPOrder is either fully-executed or cancelled a message containing the average price, the
benchmark price as well as the execution duration and number of executions is logged to the console.
For the VWAPOrder to work a historical data adapter will need to be enabled, see Section 7.2.7, “Historical
Data Service”.

A VWAPOrder can be created and sent as follows :

VWAPOrder order = new VWAPOrder();

order.setStrategy(strategy);
order.setAccount(account);
order.setSecurity(security);
order.setQuantity(orderQuantity);
order.setSide(Side.BUY);
order.setBucketSize(Duration.MIN_10);
order.setLookbackPeriod(10);
order.setDuration(600)
order.setSliceLength(10)
order.setCancelTime(0.5)
order.setTimeRand(0.25)
order.setQtyRand(0.25)
order.setIncrement(0.05)
order.setInitialOffset(0.8)
order.setMinOffset(0.05)
order.setMaxOffset(1.0)

getOrderService().sendOrder(order);

Alternatively Section 17.1.1, “Order Preferences” can be used to create a VWAPOrder. The AlgoTrader
sample data contains an OrderPreference named VWAP (with the default values shown in the table above)
which allows placing a VWAPOrder as follows:

Order order = getOrderService().createOrderByOrderPreference("VWAP");

order.setStrategy(strategy);
order.setSecurity(security);
order.setQuantity(orderQuantity);

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 CONFIDENTIAL Existing Execution Algos

order.setSide(Side.BUY);

getOrderService().sendOrder(order);

TWAPOrder
2
The TWAPOrder seeks to achieve the Time-Weighted Average price (TWAP) . TWAP is a trading
benchmark used by many institutional investors. TWAP is derived by calculating the average execution
price over a certain time period irrespective of the executed quantity.

The TWAPOrder is based on the AdaptiveOrder (see) below and uses its pricing logic. The TWAPOrder has
no additional order properties in addition to the ones defined by the AdaptiveOrder.

When a TWAPOrder is either fully-executed or cancelled a message containing the average price, the
benchmark price as well as the execution duration and number of executions is logged to the console.
As the reporting functionality needs historical data a historical data adapter will need to be enabled, see
Section 7.2.7, “Historical Data Service”. The TWAPOrder can still be used without historical data but not
report will be logged to the console.

A TWAPOrder can be created and sent as follows :

TWAPOrder order = new TWAPOrder();

order.setStrategy(strategy);
order.setAccount(account);
order.setSecurity(security);
order.setQuantity(orderQuantity);
order.setSide(Side.BUY);
order.setDuration(600)
order.setSliceLength(10)
order.setCancelTime(0.5)
order.setTimeRand(0.25)
order.setQtyRand(0.25)
order.setIncrement(0.05)
order.setInitialOffset(0.8)
order.setMinOffset(0.05)
order.setMaxOffset(1.0)

getOrderService().sendOrder(order);

Alternatively Section 17.1.1, “Order Preferences” can be used to create a TWAPOrder. The AlgoTrader
sample data contains an OrderPreference named TWAP (with the default values shown in the table above)
which allows placing a TWAPOrder as follows:

Order order = getOrderService().createOrderByOrderPreference("TWAP");

2
https://en.wikipedia.org/wiki/Time-weighted_average_price

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 CONFIDENTIAL Existing Execution Algos

order.setStrategy(strategy);
order.setSecurity(security);
order.setQuantity(orderQuantity);
order.setSide(Side.BUY);

getOrderService().sendOrder(order);

AdaptiveOrder
The AdaptiveOrder is the parent class of the VWAPOrder and TWAPOrder and defines the pricing logic for
those. However it is not possible to send an AdaptiveOrder directly. The AdaptiveOrder has the following
order properties

Table 23.3. AdaptiveOrder

Property Description Unit Default

Value
startTime start time of the algo Date

endTime end time of the algo Date

duration duration of the algo seconds 600

minSliceQty minimum child order quantity BigDecimal

maxVolPct maximum % of volBid / volAsk to take double

sliceLength average child order length seconds 10
cancelTime % of sliceLength when a child order gets cancelled % 50%
timeRand sliceLength and cancelTime randomization % 25%
qtyRand child order quantity randomization % 25%
increment price increment/decrement % 5%
initialOffsetinitial offset in % of the first child order % 80%
minOffset minimum offset % 5%
maxOffset maximum offset % 100%

The AdaptiveOrder uses a pricing logic similar to the Slicing Execution Algo.

The first child order will be placed at the initialOffset between the Bid and the Ask (e.g. at 80%).
Depending on whether a child order gets filled, the price of the next child order is adjusted. If the previous
child order got fully or partially filled, the price of the next child order will be reduced by increment % of
the spread. If the previous child order did not get filled, the price of the next child order is increased by
increment % of the spread. The limit price will always be adjusted within the following price range:

>= Bid price + minOffset and <= Bid price + maxOffset

The AdaptiveOrder will execute over a predefined time period which can be set by two of the following
arguments: startTime, endTime or duration.

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 CONFIDENTIAL Existing Execution Algos

New child orders will be sent in randomized time intervals:

Between sliceLength*(1-timeRand) and sliceLength*(1+timeRand)

In case a child order is not fully executed it will get cancelled after the following period of time:

Between sliceLength*cancelTime*(1-timeRand) and sliceLength*cancelTime*(1+timeRand)

The quantity of each child order is randomized in the following interval

between sliceQty*(1-qtyRand) and sliceQty*(1+qtyRand)

Calculated child order quantities respect the optional minSliceQty. In addition, the AdaptiveOrder also
respects the optional property maxVolPct which will cause to algo not to place child orders larger than the
current VolAsk (for Buy orders) or VolBid (for Sell orders).

As the Algo needs to be execute within a predefined time period the child order quantities are adjusted
throughout the order execution. Quantity adjustments take into consideration previously executed quantity
in order to fully executed the algo within its time constraints. No further quantity adjustments take place
once 90% of the order execution time has passed.

TargetPositionOrder
The TargetPositionOrder seeks to bring the actual position to an intended target quantity. The
TargetPositionOrder starts off by looking up the actual position quantity, calculating the delta between
the actual and target quantity and issuing a market order to fill the difference. In many cases the
TargetPositionOrder differs little from sending a simple market order. Orders can take some time to fully
execute. In the meantime the target position may change. The target quantity of a TargetPositionOrder
can be altered at any point of time which will cause the order to re-evaluate its actual state and cancel or
modify currently pending order and issue a new order if necessary to match the expected target position.
The order also reacts intelligently to stray fills that can occur.

By default TargetPositionOrder is considered to be fully executed once its target position has been
reached. The order is then removed from the order book. Often however strategies might want to maintain
a particular position over a longer period of time. TargetPositionOrder can be issued with keepAlive
attribute set to true to make the order active until explicitly canceled. The order will transition into
Status#TARGET_REACHED state once fully executed and will stay there until the target is adjusted or the
order is canceled. A TargetPositionOrder can be created and sent as follows :

TargetPositionOrder order = new TargetPositionOrder();

order.setStrategy(strategy);
order.setAccount(account);
order.setSecurity(security);
order.setQuantity(orderQuantity);
order.setSide(Side.BUY);
order.setKeepAlive(true);

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 CONFIDENTIAL Existing Execution Algos

order.setTarget(BigDecimal.valueOf(111.1));

getOrderService().sendOrder(order);

Alternatively OrderPreferences can be used to create a TargetPositionOrder.

TrailingLimitOrder
A TrailingLimitOrder submits an order directly to the exchange with a limit price set a fixed distance
away from the current market price. The limit price is adjusted relative to the market price when the market
moves in favor of the order. The TrailingLimitOrder is typically used when entering a position on an
instrument with a Bullish view.

For a BUY order the limit price will be set a specific amount (defined by the trailingAmount parameter)
below the current market price. In case the market price rises, the limit price is increased once the specified
minimum amount (defined by the increment parameter) is exceeded. If the market price falls, the limit
price stays untouched. If the market price falls below the limit price the order will get filled by the exchange
(depending on adequate liquidity).

For a SELL order the limit price will be set a specific amount (defined by the trailingAmount parameter)
above the current market price. In case the market price falls, the limit price is decreased once the specified
minimum amount (defined by the increment parameter) is exceeded. If the market price rises, the limit
price stays untouched. If the market price rises above the limit price the order will get filled by the exchange
(depending on adequate liquidity).

A TrailingLimitOrder can be created and sent as follows :

TrailingLimitOrder order = new TrailingLimitOrder();

order.setStrategy(strategy);
order.setAccount(account);
order.setSecurity(security);
order.setQuantity(orderQuantity);
order.setSide(Side.BUY);
order.setTrailingAmount(BigDecimal.valueOf(0.5));
order.setIncrement(BigDecimal.valueOf(0.1));

Alternatively OrderPreferences can be used to create a TrailingLimitOrder.

TickwiseIncrementalOrder
Sends the entire Order as one Slice. The price of the order is set according to the current market price.
The order is first set at startOffsetTicks ticks above the market (for BUY orders). If the order is not
filled within a defined period of time, the price of the order is increased by one tick up to a maximum of
endOffsetTicks ticks below the other side of the market.

VariableIncrementalOrder
Sends the entire Order as one Slice. The price of the order is set according to the current market price. The
order is first set at startOffsetPct (% of the spread) above the market (for BUY orders). If the order is

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 CONFIDENTIAL Existing Execution Algos

not filled within a defined period of time, the price of the order is increased by increment (%of the spread)
up to a maximum of endOffsetPct (% of the spread) below the other side of the market.

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Chapter 24. CONFIDENTIAL

Synthetic Securities and Derivative

Spreads

Figure 24.1. Combinations and Components

AlgoTrader supports Synthetic Securities & Derivative Spreads based on the two Entities Combination and
Component.

Combinations are handled like every other Security. A Combination consists of one or many Components.
Each component has a quantity.

When trading combinations there are two options:

• tradable / non-synthetic combinations

• synthetic / non-tradable combinations

For synthetic / non-tradable combinations the AlgoTrader Server generates Ticks based on the size of the
components of the combination and the current market values of the associated securities. This calculation is
handled by the module module-combination.epl which provides the Component Window.

Note

It is possible to trade tradable / non-synthetic combinations through the IB interface. For

combination orders AlgoTrader will place BAG orders through the IB interface. For this to work
it is necessary to have conids defined for all components of the combination.

On executions AlgoTrader will create fills for each component and for the combination itself. As
a consequence there will be positions on all components as well as the combination itself.

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 CONFIDENTIAL Combination Example

A Combination is available to all strategies and can be subscribed/unsubscribed in the usual manner.

24.1. Combination Example

Figure 24.2. Combination Example

The example above shows a Combination based on 11 ES Mini September 2018 Futures and 3 ES Mini
December 2018 Futures. The example shows that the market price of the combination is based on the total
prices of both components, e.g. for the ask price:

11 x 2773 + 3 x 2777 = 38834

24.2. Combination Service

The CombinationService is responsible for handling all Combination / Component related DB-Operations.

24.2.1. Create Combination

The following code example shows how to create a combination, add components to it, create a non-tradable
position based on it and subscribe to it:

Combination combination = getCombinationService().createCombination(

CombinationType.RATIO_SPREAD, securityFamilyId);

for (Security security : securities) {

getCombinationService().addComponentQuantity(
combination.getId(), security.getId(), quantity);
}

getSubscriptionService().subscribeMarketDataEvent(strategyName, combination.getId());

24.2.2. Update Component Quantity

The quantity of a Component can be set like this:

getCombinationService().setComponentQuantity(
combinationSecurityId, componentSecurityId, quantity);

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 CONFIDENTIAL Remove a Component

To add an amount to the current quantity of a Component:

getCombinationService().addComponentQuantity(
combinationSecurityId, componentSecurityId, quantity);

Important

If Components are modified directly in the database, it is necessary to clear the cache as
well as to call the method ServerManagementService.resetComponentWindow immediately
afterwards. If this is not done within a short period of time this might lead to miss-pricing of the
corresponding Cominbation. It is therefore preferable to modify Components via the AlgoTrader
Client or the CombinationService.

24.2.3. Remove a Component

getCombinationService().removeComponent(combinationSecurityId, componentSecurityId);

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Chapter 25. CONFIDENTIAL

Spring Services
25.1. Starter Classes
AlgoTrader provides the following starter classes to start up the system for the various operational modes

• Reference Data Starters

When downloading reference data (see Chapter 20, Reference Data) you need to have the following profiles
active: singleDataSource or pooledDataSource and the profile of the adapter you want to get reference
data from (see table below).

You can only have one adapter reference data profile enabled at a time.

• Historical Data Starters

When downloading historical data (see Section 19.3, “Historical Data Download”) you need to have the
following profiles active: singleDataSource or pooledDataSource, influxDB and the profile of the adapter
you want to get historical data from (see table below).

You can only have one adapter historical data profile enabled at a time.

• Simulation Starter

To run a back-test (see Chapter 5, Strategy Backtesting), you need to have the following profiles active: any
dataSource profile (although embeddedDataSource is recommended), simulation if you're back testing
with CSV files. If you are using InfluxDB for back testing, you also need to add influxDB.

• Embedded Strategy Starters

When running strategy in embedded mode (see Section 3.2.1, “Embedded Mode”), you need to have the
following profiles activate: singleDataSource or pooledDataSource, live, embeddedBroker and html5 (if
you want to see/use the UI) and the market data, trading profiles.

If account data (see Chapter 21, Account Data) is required you also need the account profile (see table
below).

The system can be run with several market data, trading and account profiles in the same process.

If historical data (see Chapter 19, Historical Data) is required you also need one historicalData profile (see
table below) and influxDB. If you do not have a historical data provider but still want to store and retrieve
historical data using InfluxDB, you need to set noopHistoricalData in addition to influxDB.

• Server Starters

When running the AlgoTrader server in distributed mode (see Section 3.2.2, “Distributed Mode”), you need
to have the following profiles activate: singleDataSource or pooledDataSource, live, embeddedBroker
and html5 (if you want to see/use the UI) and the market data, trading profiles.

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 CONFIDENTIAL Spring Profiles

If account data (see Chapter 21, Account Data) is required you also need the account profile (see table
below).

The system can be run with several market data, trading and account profiles in the same process.

If historical data (see Chapter 19, Historical Data) is required you also need one historicalData profile (see
table below) and influxDB. If you do not have a historical data provider but still want to store and retrieve
historical data using InfluxDB, you need to set noopHistoricalData in addition to influxDB.

• Strategy Starters

For strategies running in distributed mode (see Section 3.2.2, “Distributed Mode”), it is enough to activate
live. However, if additional services are required by the strategy running in distributed mode, 'special'
marker spring profiles must be specified. Strategy doesn't know which real services are running on the
server, so it needs to specify generic profiles - historicalData, referenceData and account in order to use
relevant services (HistoricalDataService, ReferenceDataService and AccountService), otherwise obtaining
a reference of any of the above mentioned services will result in NullPointerException

25.2. Spring Profiles

AlgoTrader is heavily relying on Spring Profiles to activate/deactivate various parts of the system based on
user requirements.

General Profiles

• simulation: Contains Spring Beans that are used for Back Tests or when using the Exchange Simulator,
e.g. SimulationExecutor, SimulationOrderService and ResetService

• live (client side): Contains Spring Beans needed by Strategies in Live Trading: Esper Engine,
LifecycleManager, CacheManager & LookupService

• live (server side) : Contains Spring Beans needed by the Server in Live Trading mode: e.g. Esper Engine

• noopHistoricalData: a no-operation HistoricalDataService. This profile is need for cases where you
want to store/retrieve historical data in InfluxDB but no historical data adapter is active.

• embeddedBroker: embedded ActiveMQ broker, which is required for sending messages to the UI and to
strategies running in distributed mode

• html5: the html5 UI

• influxDB: influxDB interface

Additional services profiles (used only by strategy running in distributed mode)

• historicalData: means the strategy will require historical data service

• referenceData: means the strategy will require reference data service

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 CONFIDENTIAL Spring Profiles

• account: means the strategy will require account service

Data Sources: only one data source can be configured

• pooledDataSource: c3p0 Pooled Data Source (typically used in live trading both in embedded and
distributed mode)

• singleDataSource: Spring Driver Manager Data Source (typically used by the Reference Data Starter and
Historical Data Starter)

• embeddedDataSource: H2 embedded in-memory Data Source (typically used when performing back tests)

Adapters

Table 25.1. Adapter Spring Profiles

Adapter Trading Market Data Historical Data Reference Data Account

Bloomberg bBMarketData bBHistoricalData
bBReferenceData

Currenex cNXFix cNXMarketData

DukasCopy dCFix dCMarketData

EzeSoft / rTFix
RealTick
Fortex fTXFix fTXMarketData

FXCM fXCMFix fXCMMarketData

InteractiveBrokersiBNative iBMarketData iBHistoricalData

iBReferenceDataiBAccount
&iBFix
JP Morgan jPMFix

LMAX lMAXFix lMAXMarketData

Nexus Prime nXSFix nXSMarketData

PrimeXM pXMFix pXMMarketData

Quandl qDLHistoricalData

QuantHouse qHMarketData

SocGen sGFix

Trading tTFix tTMarketData tTReferenceData

Technologies
UBS uBSFix

Binance bNC bNCMarketData bNCReferenceData

bNCAccount

Bitfinex bFX bFXMarketData bFXReferenceData

bFXAccount

Bitflyer bFL bFLMarketData bFLReferenceData

bFLAccount

BitMEX bMX bMXMarketData bMXReferenceData

bMXAccount

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 CONFIDENTIAL Spring Profiles

Adapter Trading Market Data Historical Data Reference Data Account

Bitstamp bTSFix bTSMarketData bTSReferenceData
bTSAccount

CoinAPI cNPMarketData cNPHistoricalData

cNPReferenceData

Coinigy cNG cNGMarketData cNGReferenceData

cNGAccount

CoinMarketCap cMCHistoricalData
cMCReferenceData

All other services not mentioned above are active in all profiles.

To enable a Profile on start-up, the following VM argument has to be used:

-Dspring.profiles.active=iBMarketData,iBNative

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Chapter 26. CONFIDENTIAL

Configuration and Preferences API

26.1. Configuration Files
The AlgoTrader Server contains the following two main configuration files.

conf.properties the main public configuration file:

• Dataset Configuration

• Simulation Settings

• Reporting Settings

• Order / Execution Settings

• RMI Settings

• ActiveMQ Settings

• Jetty Settings

conf-core.properties contains settings that are only used by the core project:

• Data Source Configuration

• Server Engine module definition

• Esper Statements

• Hedging Settings

• ActiveMQ Settings

• Jetty Settings

• SSL Settings

• Http Client Settings

• Mail Settings

• HTML5 Client Settings

In addition Broker Interfaces may have their own settings file. e.g.conf-ib.properties for IB and conf-
bb.properties for BB.

Configuration parameters can be changed inside the .properties files. As an alternative configuration
parameters can be provided as VM arguments in which case they will overwrite existing parameters inside
*.properties files.

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 CONFIDENTIAL Esper Variables

-Dstatement.closePosition=false

Most configuration parameters are prefixed with a namespace (e.g. dataSource, simulation, statement, misc,
etc.)

26.2. Esper Variables

The configuration files are also used to define values for Esper variables. Because the Esper Variable system
is strong typed, variables with their type have to be configured within the corresponding Esper configuration
files. e.g.

<variable name="simulation_eventsPerDay" type="long"/>

Note

Name spaces have to be specified using an underscore instead of a period. e.g.

simulation_eventsPerDay corresponds to simulation.eventsPerDay in the property file.

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Chapter 27. CONFIDENTIAL

Processes and Networking

27.1. SSL security
By default AlgoTrader is assumed to be running within a secure network segment wherein user authentication
and authorization as well SSL security are enforced by the runtime environment / operating system. The
AlgoTrader process, individual strategy process and browsers running the HTML5 front-end exchange data
unencrypted primarily to avoid overhead of encryption for maximal performance.

SSL security can be activated through the following property in conf.properties. Alternatively the properties
can be changed via Section 2.3, “VM Arguments”:

# TLS/SSL transport security

ssl.enabled = true

By default AlgoTrader ships with a self-signed certificate. It is strongly recommended to procure a certificate
from a major CA (certification authority) trusted by common browsers. As an alternative one can import the self-
signed certificate shipped with AlgoTrader into the browser. However this approach is strongly discouraged
for productive use.

To use SSL security please update the following properties in conf.properties. Alternatively the properties
can be changed via Section 2.3, “VM Arguments”:

# Keystore with SSL key

ssl.keystore = classpath://identity.jks

# Keystore type (JKS will be assumed by default)

ssl.keystoreType =

# Keystore password
ssl.keystorePassword = password

# Private key password

ssl.keyPassword = password

When running with TLS transport security turned on AlgoTrader also enforces BASIC user authentication with
a user name and a password when logging into the HTML5 front-end. User credentials can be provided in
conf.properties. Alternatively the properties can be changed via Section 2.3, “VM Arguments”:

# Web UI user name

jetty.user = myusername

# Web UI password
jetty.password = secret

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 CONFIDENTIAL Importing Certificate into Chrome Browser

27.1.1. Importing Certificate into Chrome Browser

1. On the page with the untrusted certificate, click Ctrl-Shift-I to open Developer Tools and go to Security

2. Click View Certificate / Details tab > Copy to File. Choose DER encoded binary (.CER)

• On MacOS drag&drop certificate icon to Finder window

3. Open up Chrome Settings > Show advanced settings > HTTPS/SSL > Manage Certificates.

4. Import the exported .CER file, save into "Trusted Root Certificate Authorities"

5. Check all boxes and click OK. Restart Chrome.

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Chapter 28. CONFIDENTIAL

Metrics
In Simulation Mode the performance objective of the system is high-throughput, whereas in Live Trading Mode
the objective is low latency. To pinpoint potential performance bottlenecks, AlgoTrader has a built-in metrics
functionality.

28.1. Configuration
To enable this feature:

• in conf.properties set misc.metricsEnabled to true

• add module metrics to all relevant strategy db records

• inside esper-common.cfg.xml, uncomment the following sections:

<event-type name="StatementMetric" class="ch.algotrader.vo.StatementMetricVO"/>

// in simulation
<metrics-reporting enabled="true" engine-interval="-1" statement-interval="86400000" />

// in live trading
<metrics-reporting enabled="true" engine-interval="-1" statement-interval="10000" />

28.2. Metrics Reporting

AlgoTrader Metrics Reporting logs a detailed summary of all metrics as well as statement time consumption to
the console. Displayed values are Execution time (in nano seconds) and Execution Count.

In Simulation Mode (if metrics are enabled) there will be a metrics report at the end of each simulation run

Note

Subscriber time consumption is not included in statement metrics, whereas static method
invocation is included.

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Chapter 29. CONFIDENTIAL

Logging
1
AlgoTrader logging is provided by Apache Log4j 2 framework. The Logging system is configured by means
of log4j2.xml file.

The log level can be changed through the following VM argument:

-DlogLevel=ERROR

29.1. log4j2.xml

Table 29.1. Default Log4j Appenders

Appender Description
StdOut Logs to Standard Out
StdErr Logs to Standard Error

29.2. Production log4j2.xml

For production usage it is recommended to adapt the log4j2.xml to client specific needs. Additional samples
for production use are available inside log4j2.xml.

Table 29.2. Production Log4j Appenders

Appender Description
StdOut Logs to Standard Out to the console
StdErr Logs to Standard Error to the console
File Logs to an appending file
Mail Sends Email Messages on Errors
LogEvent Custom UI appender. Sends log messages to UI

Note

• Problems with the Email Appender go to System.err (on server see nohup.log)

• To prevent saturation of the logs several loggers have been defined with a logging level higher
than the root log level

1
http://logging.apache.org/log4j/2.x/

236
 CONFIDENTIAL Production log4j2.xml

2
Detailed description of Log4j2 appenders and advanced configuration can be found at the Apache Logging
site.

2
http://logging.apache.org/log4j/2.x/manual/configuration.html

237
Chapter 30. CONFIDENTIAL

Reporting
AlgoTrader provides a convenient way to create custom CSV reports for strategy specific reporting. All relevant
classes are available inside the package ch.algotrader.report.

To use the reporting functionality create a class similar to this:

public class MyCustomReport {

private ListReporter reporter;

public OrderReport() {
String[] header = new String[] { "Date", "Symbol", "Quantity", "Signal" };
this.reporter = new ListReporter(Report.generateFile("OrderReport"), header);
}

public void write(Date date, String symbol, int quantity, String signal) {
this.reporter.write(date, symbol, quantity, signal);
}
}

This will create a .csv report named OrderReport.csv inside the directory /files/report/ which contains
the columns Date, Symbol, Quantity, Signal.

Some Reports are available out-of-the-box, for further details please see Section 5.5, “Performance Statistics”

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 CONFIDENTIAL

Appendix A. Example Strategy

"BreakOut"
A.1. Trading Idea

Warning

The purpose of this Strategy is to demonstrate capabilities of AlgoTrader. Do not use it with
a Live Trading Account and real Money! The strategy might lead to large losses. Even when
modifying or extending the Strategy use caution before trading it Live.

The Strategy trades the EUR.USD FX Market and is based on a simple Breakout Indicator.

The Strategy opens a long (short) position when the current price exceeds (falls below) the maximum
(minimum) of the last n bars. After a new position is opened, a profit target price is set as well as a stop loss.
If either profit target or stop is reached, the position is closed. If neither stop nor profit target is reached until
the end of n-bars, the position is closed.

Positions are sized based on a defined leverage and the current Net Liquidation Value. All Orders are placed
as Market Orders. The initial account size is EUR 1'000'000.

A.2. Example
The following 5-min bar chart gives an example of the BreakOut strategy. At 10:20 an aggregation of the last
5 bars between 09:55 and 10:20 is created, based on which the upper limit at 1113.85 and the lower limit at
1110.53 are calculated. At 10:22:37 the upper limit is crossed for the first time and a long position is entered
and both a profit target at 1116.40 and a stop loss at 1111.49 are set automatically. At 10:31:52 the profit target
is reached and the position is automatically closed.

Note

This example strategy is a good example of combining a bar based strategy with tick-by-tick
based actions. The creation of the upper and lower limits are based on the five 5-min bars but the
opening and closing of the position takes place as soon as the limits are reached without waiting
for the current bar to finish. This is one of the unique features of AlgoTrader that distinguishes
it form other trading platforms that operate exclusively based on bars.

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 CONFIDENTIAL Implementation

Figure A.1. BreakOut Strategy Example

A.3. Implementation
The main artifacts needed for the Implementation of a new Strategy are described in Chapter 4, Strategy
Development.

The following list will give an overview of the specific artifacts implemented by the BreakOut Strategy (Note:
Most of the functionality is documented via Javadoc or Esper comments):

/src/main/java/ch/algotrader/strategy/breakOut/BreakOutService.java
The strategy service class providing the main entry method invoked by the Esper ENTRY_LONG and
ENTRY_SHORT statements:

/src/main/java/ch/algotrader/strategy/breakOut/BreakOutConfig.java
Contains all strategy configuration items

/src/main/resources/module-breakOut.epl
Esper Module containing all statements for this strategy:

• INSERT_INTO_BAR: Creates High/Low Bars

• INSERT_INTO_BOUND: Calculates minimum and maximum of last n bars

• ON_BOUND_SET_TRIGGERS: sets the upperTrigger and lowerTrigger based on the minimum and
maximum of the last n bars

• ENTRY_LONG / ENTRY_SHORT: open position if last tick is higher (lower) than previous n bars.

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 CONFIDENTIAL Installation & Startup

• CLOSE_LONG_POSITION / CLOSE_SHORT_POSITION: Close position if last tick is higher (lower) than target
or lower (lower) than stop

• CLOSE_OPEN_POSITION: Close position if neither target nor stop are reached before the end of n-bars

/src/main/resources/breakOut-default.properties
Contains default parameters used by the strategy (e.g. lengthOfBar and numberOfBars)

/src/main/resources/META-INF/esper-breakOut.cfg.xml
Contains event-types definitions (i.e. CurrentValue), variables (e.g. lengthOfBar and numberOfBars) .

/src/main/resources/META-INF/applicationContext-client-breakOut.xml
Contains the Spring Bean definitions for breakOutConfigParams, breakOutConfig, breakOutEngine,
breakOutService.

/src/main/resources/db/mysql/mysql-breakout.sql
Contains the MySQL database records. Needs to be imported into the database before running the strategy
with the MySQL database.

To start the Strategy please see the explanations in Chapter 3, Starting AlgoTrader.

A.4. Installation & Startup

To setup the strategy for back testing and live trading on a development workstation please execute the
following steps:

Git Clone
Perform a Git clone from the command line:

git clone https://gitlab.algotrader.ch/general/examples.git

Import the projects breakOut into Eclipse via File / Import / Maven / Existing Maven Projects:

Deploy Tick Data File

download file:

1
eurusd-1min-20111218-20130121.zip

to:

breakOut/files/tickdata/eurusd-1min-20111218-20130121/EURUSD.csv

Start the Simulation

launch the Eclipse Run Configuration: SimulationStarter-simulate-breakOut

To start the strategy in live trading mode on a development workstation please execute the following steps:

1
https://repo.algotrader.ch/tickdata/eurusd-1min-20111218-20130121.zip

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 CONFIDENTIAL Installation & Startup

Initialize the database

load the db-samples script into the MySQL database: /algotrader-conf/src/main/resources/db-
samples/mysql/mysql-data.sql

load the strategy specific script into the MySQL database: /breakOut/src/main/resources/db/mysql/
mysql-data.sql

Start the Strategy

invoke the Eclipse Run Configuration: EmbeddedStarter-breakOut

To start the strategy in live trading mode on a productive server please execute the following steps:

Copy docker compose file

Copy the following file to the server and make changes as needed:

https://gitlab.algotrader.ch/general/examples/blob/master/breakOut/docker-compose.yml

Run docker compose

Invoke the following command inside the directory where the docker-compose.yml file is located:

docker-compose up -d

Note

Prior to starting the strategy for the very first time please start the AlgoTrader server by itself
by executing the following command inside /algotrader-launch. this will load the MySQL
sample data

docker-compose up -d mysql ibgateway algotrader

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Appendix B. Example Strategy "Box"

B.1. Trading Idea

Warning
The purpose of this Strategy is to demonstrate the capabilities of AlgoTrader. Do not use it with
a Live Trading Account and real Money! Due to frequent Draw Downs, it might lead to large
losses. Even when modifying or extending the Strategy use caution before trading it Live.

The Strategy trades the EUR.USD FX Market and is based on the Stairstep Breakouts (SSBO) Indicator
1 2
that is presented on www.forexfactory.com by forexhard .

The Trading Idea behind the Strategy is the following: Markets will often stay within a trading range for
a considerable amount of time before they break-out in either direction. The following Chart shows some
examples of trading ranges.

Figure B.1. Box Trading Ranges

After a break-out markets might return back into the trading range but will eventually make a major move in
one direction.

According to the defined settings, the Strategy looks for a trading range with a minimum length in Minutes (e.g.
90 Minutes) and a maximum width in Pips (e.g. 30 Pips). The chart below displays a typical trading range in
dark blue color.

1
https://www.forexfactory.com/showthread.php?t=302007
2
https://www.forexfactory.com/forexhard

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 CONFIDENTIAL Trading Idea

Figure B.2. Box Strategy

As soon as trading range has been built according to these parameters, the Strategy waits for the first break-
out to happen. The strategy enters the market in the direction of the breakout as soon as a small margin called
buffer (dashed red line, e.g. 5 Pips) has been crossed. In the example above, this happened at 10:48.

The Strategy will set a stop at the opposite side of the box (e.g. 1.3618 = 39 Pips) and a target with the same
distance (e.g. 1.3544 = 39 Pips).

If the target is reached, the Strategy resets itself and waits for a new Box to build itself.

If the Position gets stopped out (at the opposite side of the Box), The Strategy waits for the next break-out to
happen (on the same Box) and enters the market again after the buffer-line has been crossed. This time the
size of the position is doubled in order to cover the losses of the first entry, in case the target is reached this
time around. Position size is doubled up to a defined maximum. Because of this doubling the system can be
3
categorized as a Martingale Strategy (see Martingale Betting System ).

The following State Chart Diagram depicts the different states the Strategy will pass through:

3
https://en.wikipedia.org/wiki/Martingale_%28betting_system%29

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 CONFIDENTIAL Trading Idea

Figure B.3. Box States

The default setting of the Strategy will go up to level 5 which will result in a position size of 16 times the original
size. So the individual sizes on the different levels will be: 1, 2, 4, 8 & 16. Each successful series will therefor
present a profit of 1 unit. Very often series will be successful on a level that is below the maximum level (e.g.
below level 5). However if the Strategy has a loosing set, which will be terminated at the maximum level (e.g.
at level 5), there will be a loss of 16 times the original position size.

The Strategy will often have multiple successful series in a row before having one major draw down. A typical
performance chart will therefore look like this:

Figure B.4. Box Strategy Performance

To prevent having open positions over the weekend the Strategy does not create any new boxes after a defined
time on Friday (e.g. 4PM). Also, it will terminate a potential ongoing series at a defined time on Friday (e.g.
10PM)

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 CONFIDENTIAL Implementation

B.2. Implementation
The main artifacts needed for the Implementation of a new Strategy are described in Chapter 4, Strategy
Development.

The following list will give an overview of the specific artifacts implemented by the Box Strategy. Most of the
functionality is documented via Javadoc or Esper comments:

/src/main/java/ch/algotrader/strategy/box/BoxService.java
The strategy service class providing the main methods invoked by different Esper statements.

/src/main/java/ch/algotrader/strategy/box/BoxConfig.java
Contains all strategy configuration items

/src/main/java/ch/algotrader/strategy/box/Box.java
A POJO class representing all properties of a Box (e.g. top, bottom, startDateTime and endDateTime)

/src/main/java/ch/algotrader/strategy/box/State.java
A Java Enum representing the different States the Strategy can pass through (INIT, CREATED, LONG, SHORT,
FLAT)

/src/main/resources/module-box-init.epl
Esper Module containing statements for capturing market data, creating variables and creating Boxes. In
Live Trading, these statements will be deployed before the pre feeding.

/src/main/resources/module-box-run.epl
Esper Module containing statements that invoke the business actions on the BoxService (entry,
takeProfit, closePosition, reverse and terminateSeries). In Live Trading these statements will be
deployed after pre-feeding is finished.

/src/main/resources/box-default.properties
Contains parameters used by the strategy (e.g. boxLength and boxRange)

/src/main/resources/META-INF/esper-box.cfg.xml
Contains event-types definitions (i.e. CurrentValue), imports (i.e. Box and State), variables (e.g.
boxLength and boxRange)

/src/main/resources/META-INF/applicationContext-client-box.xml
Contains the Spring Bean definitions for boxConfigParams, boxConfig, boxEngine, boxService within
the Spring profile standalone .

/src/main/resources/db/mysql/mysql-box.sql
Contains the MySQL database records. Needs to be imported into the database before running the strategy
with the MySQL database.

/src/main/resources/html5
HTML5 and JavaScript files needed for the strategy custom web UI

To start the Strategy please see the explanations in Chapter 3, Starting AlgoTrader.

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 CONFIDENTIAL Strategy Monitoring

B.3. Strategy Monitoring

The Box strategy is equipped with an HTML5 custom widget that displays current metrics like State, Units,
Upper Target, etc. The custom widget also contains a button to terminate the current series

Figure B.5. Box HTML5 Custom Widget Example

Note

It might be necessary to fully reload the browser on first startup to show the custom widget using
Ctrl + Shift + R.

B.4. Installation & Startup

To setup the strategy for back testing and live trading on a development workstation please execute the
following steps:

Git clone
Perform a Git clone from the command line:

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 CONFIDENTIAL Installation & Startup

git clone https://gitlab.algotrader.ch/general/examples.git

Import the projects box into Eclipse via File / Import / Maven / Existing Maven Projects:

Deploy Bar Data File

download file:
4
eurusd-1min-20111218-20130121.zip

and unpack to:

box/files/bardata/eurusd-1min-20111218-20130121/EURUSD.csv

Start the Simulation

launch the Eclipse Run Configuration: SimulationStarter-simulate-box

To start the strategy in live trading mode on a development workstation please execute the following steps:

Initialize the database

load the db-samples script into the MySQL database: /algotrader-conf/src/main/resources/db-
samples/mysql/mysql-data.sql

load the strategy specific script into the MySQL database: /box/src/main/resources/db/mysql/mysql-
data.sql

Start the Strategy

invoke the Eclipse Run Configuration: EmbeddedStarter-box

To start the strategy in live trading mode on a productive server please execute the following steps:

Copy docker compose file

Copy the following file to the server and make changes as needed:

https://gitlab.algotrader.ch/general/examples/blob/master/box/docker-compose.yml

Run docker compose

Invoke the following command inside the directory where the docker-compose.yml file is located:

docker-compose up -d

Note

Prior to starting the strategy for the very first time please start the AlgoTrader server by itself
by executing the following command inside /algotrader-launch. this will load the MySQL
sample data

4
https://repo.algotrader.ch/bardata/eurusd-1min-20111218-20130121.zip

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 CONFIDENTIAL Installation & Startup

docker-compose up -d mysql ibgateway algotrader

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 CONFIDENTIAL

Appendix C. Example Strategy "Pairs

Trading"
C.1. Trading Idea

Warning
The purpose of this Strategy is to demonstrate capabilities of AlgoTrader. Do not use it with
a Live Trading Account and real Money! The strategy might lead to large losses. Even when
modifying or extending the Strategy use caution before trading it Live.

1
The Pairs Trading strategy uses the web service www.pairtradinglab.com to trade pairs of US equities

C.1.1. What Is Pairs Trading?

Pairs trading is a well-known market neutral trading strategy, that gives traders the ability to profit from
practically any market conditions. Whether conditions reflect an uptrend, downtrend, or sideways movement,
traders can take advantage of the current market using pairs trading. This type of strategy is typically
categorized as a statistical arbitrage trading strategy.

The strategy works by monitoring the performance of two historically correlated securities. When the correlation
between those two securities demonstrate a temporary weakness, a pairs trade can be conducted by shorting
the outperforming stock and going long on the under performing stock. Basically, one is betting that the spread
between the two will converge eventually.

C.1.2. Pair Trading Lab

Pair Trading Lab offers tools to assist in setting up and backtesting a pairs trading portfolio. Along with a
database of more than 10 million pre-analyzed pairs, Pair Trading Lab offers the following:

• Advanced online back tester

• Online co-integration analyzer

• Private repository of backtests, studies, and pairs

• Portfolio organizer and portfolio backtester

C.1.3. AlgoTrader - Pair Trading Lab Integration

With the integration between AlgoTrader and Pair Trading Lab, it is possible take advantage of the capabilities
of both systems in combination:

1
https://www.pairtradinglab.com/

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 CONFIDENTIAL Implementation

Pair Trading Lab will be used to:

• Create backtests of pairs

• Verify a pair trading idea and inspect the behavior and robustness of pairs

• Test pairs for co-integration

• Search the PTL database of more than 10 million pre-analyzed U.S. market pairs using complex filters

• Create and maintain lists of interesting pairs, rate them, and tag them

• Create, maintain, and backtest portfolios of pair strategies

Then the AlgoTrader - Pair Trading Lab integration can be used to download selected pairs and/or portfolio of
pairs from Pair Trading Lab into AlgoTrader where they can then be traded automatically

2
The AlgoTrader based pairs trading strategy implementation is based on the Ratio Model

C.2. Implementation
The main artifacts needed for the Implementation of a new Strategy are described in Chapter 4, Strategy
Development.

The following list will give an overview of the specific artifacts implemented by the Pairs Trading Strategy (Note:
Most of the functionality is documented via Javadoc or Esper comments):

/src/main/java/ch/algotrader/strategy/pairstrading/service/PairsTradingService.java
The strategy service class providing the main trading logic

/src/main/java/ch/algotrader/strategy/pairstrading/csv/CsvImporter.java
Import utility to download pairs from Pair Trading Lab and configure them in AlgoTrader

/src/main/java/ch/algotrader/strategy/pairstrading/util/PairsTradingConfig.java
Contains all strategy configuration items

/src/main/java/ch/algotrader/strategy/pairstrading/util/PairsTradingCalc.java
Contains the logic of the ratio model

/src/main/resources/module-pairstrading.epl
Esper Module containing all statements for this strategy:

• PAIR_WINDOW: Contains all current pair definitions

• SIGNAL_WINDOW: Contains current signals (will be updated on each tick)

2
https://wiki.pairtradinglab.com/wiki/Pair_Trading_Models#Ratio_Model

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 CONFIDENTIAL Installation & Startup

• LAST_TICK, INSERT_LATEST_TICK, UPDATE_LATEST_TICK_1 & UPDATE_LATEST_TICK_2: keep track of

current prices for all pairs

• UPDATE_HISTORICAL_BARS & DAILY_RECALC: daily triggers for downloading historical data and updating
entry thresholds

• INSERT_ZSCORE: calculates the z-score for each new price update

• INSERT_INTO_SIGNAL_EVENT & ON_SIGNAL: create and propagate SignalEvents in case an entry or

exit trigger is reached

/src/main/resources/conf-pairstrading.properties
Contains default parameters used by the strategy

/src/main/resources/META-INF/esper-pairstrading.cfg.xml
Contains event-types definitions (i.e. PairEvent and SignalEvent)

/src/main/resources/META-INF/applicationContext-client-pairstrading.xml
Contains pairsTradingParams, pairsTradingConfig, pairsTradingEngine, pairsTradingService
as well as the strategy specific beans csvImporter, orderSubmissionService and
pairsTradingLabNavigator.

/src/main/resources/db/h2/h2-pairstrading.sql
Contains the H2 database records needed to simulate the strategy with the embedded in-memory database
H2.

/src/main/resources/db/mysql/mysql-pairstrading.sql
Contains the MySQL database records. Needs to be imported into the database before running the strategy
with the MySQL database.

/src/main/resources/html5
HTML5 and JavaScript files needed for the strategy custom web UI

To start the Strategy please see the explanations in Chapter 3, Starting AlgoTrader.

C.3. Installation & Startup

Before using the strategy please execute the following steps:

Pair Trading Lab account sign-up

3
Sign up for a free account at Pair Trading Lab

Create a pair portfolio

4
create a pair portfolio and add some pairs

3
https://www.pairtradinglab.com/index.php?command=register
4
https://www.pairtradinglab.com/portfolio-manager

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 CONFIDENTIAL Installation & Startup

Extract Portfolio ID
csvImportPortfolio needs to be extracted from the URL when clicking on pair in the PTL Trader / Portfolio
Manager

Figure C.1. Pair Trading Portfolio ID

To start the strategy in live trading mode on a development workstation please execute the following steps:

Git Clone
Perform a Git clone from the command line:

git clone https://gitlab.algotrader.ch/general/examples.git

Import the projects pairstrading into Eclipse via File / Import / Maven / Existing Maven Projects:

Deploy MySQL data

Load the file /src/main/resources/db/mysql/mysql-data.sql into MySQL

Configure Pair Trading Lab Credentials

Inside the file conf-pairstrading.properties the following items need to be configured. Alternatively
the properties can be changed via Section 2.3, “VM Arguments”:

#{"type":"String","required":"false","label":"Pair Trading Lab Portfolio ID"}

csvImportPortfolio = xyz

#{"type":"String","required":"false","label":"Pair Trading Lab Username"}

csvImportUser = user

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 CONFIDENTIAL Strategy Monitoring

#{"type":"String","required":"false","label":"Pair Trading Lab Password"}

csvImportPassword = password

csvImportPortfolio needs to be extracted from Pair Trading Lab (see above)

Start the Strategy in Live Trading Mode

launch the Eclipse Run Configuration: EmbeddedStarter-pairstrading

To start the strategy in live trading mode on a productive server please execute the following steps:

Copy docker compose file

Copy the following file to the server and make changes as needed:

https://gitlab.algotrader.ch/general/examples/blob/master/pairstrading/docker-compose.yml

Configure Pair Trading Lab Credentials

inside the docker-compose.yml file update the VM_ARGUMENTS environment variable and set the correct
values for csvImportPortfolio, csvImportUser & csvImportPassword:

VM_ARGUMENTS: "-DcsvImportPortfolio= -DcsvImportUser= -DcsvImportPassword="

csvImportPortfolio needs to be extracted from Pair Trading Lab (see above)

Run docker compose

Invoke the following command inside the directory where the docker-compose.yml file is located:

docker-compose up -d

Note

Prior to starting the strategy for the very first time please start the AlgoTrader server by itself
by executing the following command inside /algotrader-launch. this will load the MySQL
sample data

docker-compose up -d mysql ibgateway algotrader

C.4. Strategy Monitoring

The Pairs Trading strategy is equipped with a separate HTML5 management page . The page is available
through the path /pairstrading.html, e.g.:

http://localhost:9090/pairstrading.html

254
 CONFIDENTIAL Strategy Monitoring

Figure C.2. Pairs Trading HTML5 Custom Widget Example

Note

It might be necessary to fully reload the browser on first startup to show the custom widget using
Ctrl + Shift + R.

The HTML5 management page provides the following controls:

• PairInfo & Pairs: current pair definitions as downloaded from Pair Trading Lab. movingAvg and
standardDev are calculated on a daily basis (by the Esper statement UPDATE_HISTORICAL_BARS) using
historical closing prices

• Signals: intraday pair values based on live data. ratio shows the current price ratio between individual
instruments of a pair. zScore shows the current ratio relative to the Bollinger band around the ratio time
series. When the zScore hits the zScoreEntry threshold a position is entered, and when the zScore hits
the zScoreExit threshold the position is closed. If the zScore happens to be above zScoreMax (e.g. after
a large overnight gap) no new position will be opened. The signal field shows the current state of a pair
(i.e. LONG, SHORT, EXIT & HOLD)

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 CONFIDENTIAL Strategy Monitoring

• The action Import Historical Bars is used to import historical closing prices of all instruments for the
relevant look back period. This action is automatically executed once a day. In addition it can be invoked
manually at any time.

• The action Re-Calc Entry Thresholds is used to update movingAvg and standardDev based on historical
data in the database. This action is automatically executed once a day. In addition it can be invoked manually
at any time.

• The action Import Pairs imports and/or update pairs from Pair Trading Lab.

256
 CONFIDENTIAL

Appendix D. Example Strategy "IPO"

D.1. Trading Idea

Warning

The purpose of this Strategy is to demonstrate capabilities of AlgoTrader. Do not use it with
a Live Trading Account and real Money! The strategy might lead to large losses. Even when
modifying or extending the Strategy use caution before trading it Live.

The strategy trades US equity IPOs (initial public offering). When a new stock is launched on the exchange
for the first time the strategy tries to realize trading profits of the first trading day. New IPOs are announced on
1
web pages like IPOScoop together with an indicative open price.

D.2. Strategy Monitoring

The IPO strategy is equipped with the following HTML5 custom widget which displays currently active IPOs
and allows adding and removing IPOs while the strategy is running

1
https://www.iposcoop.com/

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 CONFIDENTIAL Strategy Monitoring

Figure D.1. IPO HTML5 Custom Widget Example

Note

It might be necessary to fully reload the browser on first startup to show the custom widget using
Ctrl + Shift + R.

Inside the custom widget the user can enter a new IPO to be traded by populating the following fields:

• Symbol to be traded

• SecurityFamily the symbol belongs to

• Limit The maximum limit price of the initial order

• Multiplier to be applied to the opening price for secondary orders (see below)

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 CONFIDENTIAL Implementation

For each symbol entered, the strategy will place orders at a configurable time in the morning (e.g. 4:30am).

Note

Trading of IPOs usually starts within 2-3 hours after the official market open

Definitions:

• Cash commitment = starting capital / number of symbols to be traded

• Quantity per symbol = cash commitment / user-defined limit price

The strategy will place a limit-at-the-open order at user-defined limit price for the entry quantity specified above.
Using a limit-at-the-open order will cause the order to participate in the opening auction of the IPO.

Immediately following the open of regular trading, the strategy will check to see if the entire cash commitment
for the given symbol has been exhausted.

1. If it has been exhausted, no further action will be taken

2. If the cash commitment has not been exhausted and the stock opened above the LIMIT PRICE, the unfilled
quantity will be cancelled, and no further action will be taken by the strategy.

3. Otherwise, if the cash commitment for the name has NOT been exhausted a secondary limit order is placed
as per below:

• Remaining cash = Cash commitment - cash used on current position

• Quantity per symbol = Remaining cash / opening price

• Limit price = opening price * MULTIPLIER (e.g. 1.02)

If the secondary order is not filled by a configurable end time (e.g. 3:30pm), it will be cancelled by the system.

Immediately after executing any buy orders, the strategy will place a market-on-close order for the entire
position.

D.3. Implementation
The main artifacts needed for the Implementation of a new Strategy are described in Chapter 4, Strategy
Development.

The following list will give an overview of the specific artifacts implemented by the IPO Strategy (Note: Most of
the functionality is documented via Javadoc or Esper comments):

/src/main/java/ch/algotrader/strategy/ipo/IPOService.java
The strategy service class providing the main trading logic

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 CONFIDENTIAL Installation & Startup

/src/main/java/ch/algotrader/strategy/ipo/IPO.java
Java POJO class representing a single IPO

/src/main/resources/module-ipo.epl
Esper Module containing all statements for this strategy:

• SEND_ATO_ORDERS: sends out at-the-open orders at the configured

• SEND_LIMIT_ORDERS: triggers the secondary order service once the at-the-open order has been fully
executed and the official open price (via GenericTickVO) has been disseminated. An Esper Join is used
for this since either one of those events can arrive first

• CLOSE_OPEN_ORDERS : cancels all orders at the configured time

• DAILY_CLEAN_UP: unsubscribes all market data and resets the list of IPOs an initial capital

/src/main/resources/conf-ipo.properties
Contains default parameters used by the strategy

/src/main/resources/META-INF/esper-ipo.cfg.xml
Contains Esper variables for the strategy

/src/main/resources/META-INF/applicationContext-client-ipo.xml
Contains ipoConfigParams, ipoEngine & ipoService.

/src/main/resources/db/mysql/mysql-ipo.sql
Contains the MySQL database records. Needs to be imported into the database before running the strategy
with the MySQL database.

/src/main/resources/html5
HTML5 and JavaScript files needed for the strategy custom web UI

To start the Strategy please see the explanations in Chapter 3, Starting AlgoTrader.

D.4. Installation & Startup

To start the strategy in live trading mode on a development workstation please execute the following steps:

Git Clone
Perform a Git clone from the command line:

git clone https://gitlab.algotrader.ch/general/examples.git

Import the projects ipo into Eclipse via File / Import / Maven / Existing Maven Projects:

Deploy MySQL data

Load the file /src/main/resources/db/mysql/mysql-data.sql into MySQL

Start the Strategy in Live Trading Mode

launch the Eclipse Run Configuration: EmbeddedStarter-ipo

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 CONFIDENTIAL Installation & Startup

To start the strategy in live trading mode on a productive server please execute the following steps:

Copy docker compose file

Copy the following file to the server and make changes as needed:

https://gitlab.algotrader.ch/general/examples/blob/master/ipo/docker-compose.yml

Run docker compose

Invoke the following command inside the directory where the docker-compose.yml file is located:

docker-compose up -d

Note

Prior to starting the strategy for the very first time please start the AlgoTrader server by itself
by executing the following command inside /algotrader-launch. this will load the MySQL
sample data

docker-compose up -d mysql ibgateway algotrader

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 CONFIDENTIAL

Appendix E. Example Strategy "EMA"

E.1. Trading Idea

Warning

The purpose of this Strategy is to demonstrate capabilities of AlgoTrader. Do not use it with
a Live Trading Account and real Money! The strategy might lead to large losses. Even when
modifying or extending the Strategy use caution before trading it Live.

The Strategy is a simple example without Esper that trades the EUR.USD FX Market and is based on two
exponential moving averages.

The Strategy sends a BUY order when shorter moving average (e.g. 10-days) crosses above the longer moving
average (e.g. 20-days) and it sends a SELL order when shorter moving average crosses below the longer
moving average.

Figure E.1. EMA Strategy Example

E.2. Implementation
The main artifacts needed for the Implementation of a new Strategy are described in Chapter 4, Strategy
Development.

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 CONFIDENTIAL Installation & Startup

1
The strategy uses the TA4J library which provides over 100 technical indicator that are computed on a
continuous basis.

The EMA Strategy consist of one single Java class only:

/src/main/java/ch/algotrader/strategy/ema/EMAService.java
The strategy service class providing onStart and onBar method containing the trading logic

To start the Strategy please see the explanations in Chapter 3, Starting AlgoTrader.

E.3. Installation & Startup

To setup the strategy for back testing and live trading on a development workstation please execute the
following steps:

Git Clone
Perform a Git clone from the command line:

git clone https://gitlab.algotrader.ch/general/examples.git

Import the projects ema into Eclipse via File / Import / Maven / Existing Maven Projects:

Deploy Bar Data File

download file:
2
eurusd-1min-20111218-20130121.zip

and unpack to:

ema/files/bardata/eurusd-1min-20111218-20130121/EURUSD.csv

Start the Simulation

launch the Eclipse Run Configuration: SimulationStarter-simulate-ema

To start the strategy in live trading mode on a development workstation please execute the following steps:

Initialize the database

load the db-samples script into the MySQL database: /algotrader-conf/src/main/resources/db-
samples/mysql/mysql-data.sql

load the strategy specific script into the MySQL database: /ema/src/main/resources/db/mysql/mysql-
data.sql

Start the Strategy

invoke the Eclipse Run Configuration: EmbeddedStarter-ema

1
https://github.com/mdeverdelhan/ta4j-origins
2
https://repo.algotrader.ch/bardata/eurusd-1min-20111218-20130121.zip

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 CONFIDENTIAL Installation & Startup

To start the strategy in live trading mode on a productive server please execute the following steps:

Copy docker compose file

Copy the following file to the server and make changes as needed:
3
https://gitlab.algotrader.ch/general/examples/blob/master/ema/docker-compose.yml

Run docker compose

Invoke the following command inside the directory where the docker-compose.yml file is located:

docker-compose up -d

Note

Prior to starting the strategy for the very first time please start the AlgoTrader server by itself
by executing the following command inside /algotrader-launch. this will load the MySQL
sample data

docker-compose up -d mysql ibgateway algotrader

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 CONFIDENTIAL

Appendix F. Example Strategy "Random"

F.1. Trading Idea

Warning

The purpose of this Strategy is to demonstrate capabilities of AlgoTrader. Do not use it with
a Live Trading Account and real Money! The strategy might lead to large losses. Even when
modifying or extending the Strategy use caution before trading it Live.

The Strategy is a simple example that places random orders at regular intervals. The Random strategy is used
1
for the AlgoTrader HTML5 Demo .

The Strategy sends a BUY order when shorter moving average (e.g. 10-days) crosses above the longer moving
average (e.g. 20-days) and it sends a SELL order when shorter moving average crosses below the longer
moving average.

F.2. Implementation
The main artifacts needed for the Implementation of a new Strategy are described in Chapter 4, Strategy
Development.

The Random Strategy consist of the following artifacts:

/src/main/java/ch/algotrader/strategy/random/RandomService.java
The strategy service class providing the main methods invoked by different Esper statements.

/src/main/java/ch/algotrader/strategy/random/RandomConfig.java
Contains all strategy configuration items

/src/main/resources/module-random.epl
Esper Module containing statements to place and cancel orders as well as update subscriptions once a day.

/src/main/resources/conf-random.properties
Contains parameters used by the strategy (e.g. positionMax and orderMax)

/src/main/resources/META-INF/esper-random.cfg.xml
Contains variables (i.e. placeOrderInterval and cancelOrderInterval)

/src/main/resources/META-INF/applicationContext-client-random.xml
Contains the Spring Bean definitions for randomConfigParams, randomConfig, randomEngine,
randomService.

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 CONFIDENTIAL Installation & Startup

/src/main/resources/db/mysql/mysql-data.sql
Contains the MySQL database records. Needs to be imported into the database before running the strategy
with the MySQL database.

To start the Strategy please see the explanations in Chapter 3, Starting AlgoTrader.

F.3. Installation & Startup

To setup the strategy for back testing and live trading on a development workstation please execute the
following steps:

Git Clone
Perform a Git clone from the command line:

git clone https://gitlab.algotrader.ch/general/examples.git

Import the projects random into Eclipse via File / Import / Maven / Existing Maven Projects:

To start the strategy in live trading mode on a development workstation please execute the following steps:

Initialize the database

load the db-samples script into the MySQL database: /algotrader-conf/src/main/resources/db-
samples/mysql/mysql-data.sql

load the strategy specific scrip into the MySQL database: /random/src/main/resources/db/mysql/
mysql-data.sql

Start the Strategy

invoke the Eclipse Run Configuration: EmbeddedStarter-random

To start the strategy in live trading mode on a productive server please execute the following steps:

Copy docker compose file

Copy the following file to the server and make changes as needed:

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https://gitlab.algotrader.ch/general/examples/blob/master/random/docker-compose.yml

Run docker compose

Invoke the following command inside the directory where the docker-compose.yml file is located:

docker-compose up -d

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 CONFIDENTIAL Installation & Startup

Note

Prior to starting the strategy for the very first time please start the AlgoTrader server by itself
by executing the following command inside /algotrader-launch. this will load the MySQL
sample data

docker-compose up -d mysql ibgateway algotrader

267