I have been away from the markets and futures.io (formerly BMT) for the last few months to distance myself from trading. I have always been more of a lurker here, but i really love the community and the resources people are making available. My manual trading is not the best, but not the worst either. After my hiatus i wanted to come back to trading more from an automated point of view.
Wave59's hive designer gave me some good ideas on what i wanted to tackle as a first challenge in automated strategy building and trading. I started building my own framework - which after a month is growing to a pretty advanced level. Since i am a software developer and engineer by profession, i am very keen on building stable software that is easy to maintain. It has already many abstraction layers and getting the complete picture in my head proofs increasingly difficult.
I also built my own simple bare bones tester and result analyzer, but to get it to a satisfying level it would take too much time off my hands. So i began searching, and i discovered that MC.NET has advanced significantly and is even offering a free edition which is enough for my current needs.
The setup will look like this: build a MC strategy that uses my custom framework for direction determination (market data in, long/short/flat out) and makes trades based on that. My first goal is to get a very simple strategy working so i can use MC's backtester, which presents me with all the data i need.
Some clarifications:
my framework is developed in C# 5 / .net 4.5, which allows me to make heavy use of the new async keyword which makes multithreading a charm
strategy calculations are entirely made by the framework, and MC will not know anything about it. This allows me to be independent in terms of multithreading and also switch backtest / trading platforms, because those only get signals and convert them to trades.
i will not publish the inner workings of my code anytime soon, mostly because it is still in it's infancy and there is a ton of work to do.
All that text, and i still do not know what you want with this thread
I want to discuss and share personal progress, quirks, pitfalls and everything else related to automated strategies in MC.NET, and in particular running sophisticated .net assemblies from within a MC strategy.
Hopefully the stuff i post here is of value to some body :)
I intend to start with the MC stuff next week, this initial post is just here to warn you :becky: