As a newcomer I am curious to know what is your preferred stack to run custom blackbox strategies ?
Here are my starting points for you to comment / advise on :
- I am assuming that calling C++ libraries from R or Python code is good for research purpose. When it comes to production code and assuming the need for low latency execution, I am "happy" translating the scripting bits into their C++ equivalents.
- How do you approach redundancy / failover of your running strategies ?
- Would you use one of the so-called "R|R+|Diamond APIs" offered by Rithmic for fast order execution ?
- I'm not sure if the best way to monitor trades and portfolio performance in real time is to build, buy or lease (any of the major software suites out there such as NT, Sierra, X_Trader etc) ?
- Unsure about broker / FCM (leaning towards Optimus at the moment)
- Haven't explored licensing fees for data - Am I correct thinking relying on CME data involves paying the non-display fee ? Does that apply to individual traders with non-pro status?
- I'd rather run the core system on Linux, happy to spin a windows VM for monitoring and charting
- Any recommendable VPS / dedicated hosting out there in the Chicago area ?
- At this point i just want to start crunching data, what are your favorite sources of historical tick and minute data ? What are the costs involved to get these ? In my FX experience I was used to rely on free feeds exposed by brokers but I would like to create strategies based on the same quality feeds I will be using in production (IQFeed or Kinetic).
Apologies if this has been said over and over, do not hesitate to point me to other threads if any easier !