I've been a little
slow getting this report out this
month as I have been spending all
available hours writing what is, for
all intents and purposes, my third
API. As most will know I'm a
fully automated trader who trades
24x7 (markets and counterparties
being open, that is). This
means that every aspect of the
trading and decision making process
has to be encapsulated in code, as
there is no manual discretion or
oversight.
This latest API connects to an
interbank platform and is, in many
respects, the most complex yet.
Whereas the OANDA API, is packed
full of invaluable features one can
easily take for granted, such as
NAV, trade, order and positional
information retrieval, most of the
interbank platforms don't have any
on this information available via
API. They are pure order entry
API's (and not very sophisticated
ones at that*). This
means that all the supporting
information that one requires to
trade has to be maintained by
oneself, and in a fully auditable
fashion. Miss a single
message, and you could be in big
trouble.
Another area of difference is
price data. There is no
concept of 'bars'. Prices are
pushed as the latest tick.
Miss it and it's gone forever.
If you want say 5 minute bars for
trading support or analysis, you
have to create them yourselves.
In addition interbank API's tend
to be multi-threaded, with the order
creation process and the order
confirmation process completely
different processes. This lack
of 'B' directly follows 'A', in
itself, complicates programming
quite considerably.
* Even things you would consider
fundamental to order entry,
like binding T/P and S/L information
to an opening order are sadly
lacking - you have to manage it
yourself.
Still, at OANDA one is always a
price taker, whereas on the
interbank market you can bid and
offer as you wish. The
hope is that I'll improve my fills
by around 1 pip a trade, and that
will make a huge positive difference
to the bottom line.
For the technical minded, I'm
writing the new API in Java (again),
with an underlying SQL Server
database. When
this is all over I think I'll set-up
a boot-camp for API developers!
. . . . .
Last month I did +0.55%
