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Full-time Portfolio Level Trading Software

at Tim Gray (Anywhere)

Does you have experience developing financial / trading software?

If not, please explain why you think you are qualified for this project.

If yes, how many financial / trading projects & what level of sophistication?

COMMUNICATION MUST BE via Skype (klahhane2003) BETWEEN 9:30 AM TO 2:30 PM PST (Los Angeles Time) M-F

This project requires the Software Code (C++, .Net, Java) to interface with both:

1) Very Large Historical Data (example, 30 Symbols @ 1 minute bar interval with 7 pieces of data per bar (open, high, low, close, volume, upticks, downticks) with 390 minutes in a day, 252 trading days per year, 20 years of history = 412.8 millions pieces of data. Fortunately we already have this clean data via Trade Station, but we need to be able to manipulate this on a “Portfolio wide” basis which is not currently allowed without using DLLs.
2) Send risk controlled entry & exit signals to the broker (via API) for execution with constant feedback.
3) Need a Custom Solution for Two (2) Equity Curve Filters for each Strategy (referring to the Original Strategy’s Equity Curve “I_ClosedEquity” as the “Raw” Equity Curve), Basket Execution, & Portfolio Mgmt-Risk Control:
4) Trend Equity Curve Filter (i.e. stops trading any individual Strategy on any One Symbol after “x”% draw down, or a drop below the Equity Curve’s Moving Average or Trailing Low, and the Strategy may start again once the System recovers by a certain %, crosses back above “x” MA or “x” high, – length of MA, H-L, %DD, %Recover should be inputs)

5) Dynamic Position Sizing Equity Curve Filter [i.e. say the “Base” percentage risk is 0.5% of Equity based on a Fixed Fraction of the Account Value, but depending on the recent Equity Curve vs. its “X” MA (Deviation from Trend) the position size taken may “overweight” or “underweight” (i.e. 1.0% or 0.2%).
6) This requires “bins” to be created based on historical %returns from the “Raw” Equity Curve (i.e. 5 bins that sort where the Strategy is based on its current Equity in relation to its MA – Length of Moving Average, Number of Bins, Bin cutoff points (based on Historical Percentiles), amount under / over weight should all be inputs.
7) *Strategy only executes if Equity is above Trend Equity Curve AND then Dynamic Position Sizing will weight the percent to risk.
8) Need the ability to Execute a Basket of instruments (equities, futures, forex) for any Strategy on any Time-Frame (individual execution based on each symbol’s signal – not “all at once” basket trading) with the above Trend & Dynamic Position Sizing Equity Filters without having to have 100+ charts running at the same time on Trade Station.
9) Portfolio Management / Risk Control (Single Screen) to control “Base” percentage risk, implement Constraints (i.e. max number of positions, max 35% Margin to Equity, Portfolio & Strategy dependent Trend Equity Curve Stop Loss Tool – same as #1 above but for Basket-wide Strategies, System Groups, & Entire Portfolio).
10) Open to executing through MB Trader, Interactive Brokers, or Trade Station and will do beta runs on “paper trading” account to work out any bugs before project is complete.
11) Interested in one or more of the above being completed (prefer all). Do NOT need portfolio back-testing (already have that).
12) All Easy Language or other code (C++, Java, whatever is needed to make it work) must be open and accessible.

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Published at 18-05-2011
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