Construindo um sistema automatizado de negociação de ações excel

Negociação automatizada com florestas aleatórias ponderadas por desempenho e sazonalidade ☆
Destaques.
Descrevemos um modelo para negociação de ações sazonais usando um novo conjunto de abordagem de florestas aleatórias.
Nós exploramos a eficácia de várias técnicas e métodos de regressão para ponderação de especialistas.
Florestas aleatórias são encontradas para produzir os melhores resultados fora da amostra.
A média das previsões dos especialistas ponderada por seu desempenho recente fornece o maior retorno ajustado ao risco.
Efeitos de sazonalidade e regularidades empíricas em dados financeiros têm sido bem documentados na literatura de economia financeira há mais de sete décadas. Este artigo propõe um sistema especialista que usa novas técnicas de aprendizado de máquina para prever o retorno de preço sobre esses eventos sazonais e, em seguida, usa essas previsões para desenvolver uma estratégia comercial lucrativa. Embora abordagens simples para negociar essas regularidades possam se mostrar lucrativas, tais negociações levam a grandes rebotes em potencial (queda de pico de um investimento medido como uma porcentagem entre o pico e o vale) no lucro. Neste artigo, introduzimos um sistema de negociação automatizado baseado em conjuntos ponderados de desempenho de florestas aleatórias que melhora a lucratividade e a estabilidade dos eventos de sazonalidade de negociação. Uma análise de várias técnicas de regressão é realizada, bem como uma exploração dos méritos de várias técnicas para ponderação de especialistas. O desempenho dos modelos é analisado usando uma grande amostra de estoques do DAX. Os resultados mostram que os conjuntos ponderados em tempo real de florestas aleatórias produzem resultados superiores em termos de rentabilidade e precisão de previsão em comparação com outras técnicas de conjunto. Verifica-se também que o uso de efeitos de sazonalidade produz resultados superiores do que não tê-los modelados explicitamente.
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Este trabalho foi apoiado por um subsídio do Centro de Treinamento de Doutorado do EPSRC (EP / G03690X / 1).

Stat-Grinding & amp; Scan-Building & # 8211; Bandeira de touro pt.6.
A atualização de hoje enfoca a transposição de código bem-sucedida da bandeira do touro para a bandeira do urso no mesmo período, usando as taxas de amostra, mas cálculos invertidos. Isso causou algumas dores de cabeça no fim de semana, mas uma explosão de raciocínio lógico nesta manhã levou a que a ponte fosse atravessada com entusiasmo.
A razão para fazer a varredura de baixa é que, obviamente, os mercados vão para cima e para baixo e durante as correções como a que vimos na semana passada, onde houve dois dias de distribuição pesada, 3 configurações se tornarão mais difíceis (se não impossíveis) para encontrar como a maioria iria recuar após a regra de empate de 30% da faixa em qualquer venda decente. Ter o inverso funciona melhor quando o mercado está vendendo e oferece uma gama maior de configurações para cobertura.
Algumas mudanças básicas & # 8211; vamos dividi-los e ver o que eles são;
Diferenças de código & # 8211; estas são as principais áreas de função do operador.
Estou satisfeito que a quebra desse código faça com que o código pareça bem simples. Além das variáveis ​​de entrada e das funções de plotagem, isso é essencialmente tudo o que a configuração de sinalizador desce e nesse pedaço de código existem 6 das 7 condições que precisam ser verdadeiras para o sinalizador acionar.
Duas outras pequenas mudanças incluem TrailingStop = c + drawdown (em vez de c-drawdown) e Target = c & # 8211; targetlevel (em vez de c + targetlevel).
Teste de plotagem.
Agora que o código deve funcionar, podemos verificá-lo primeiro folheando algumas bandeiras recentes de ursos (fora do topo da minha cabeça);
Traçar sucesso no TAP.
Plotar sucesso no MRK.
Analise de regressão.
Podemos então fazer uma varredura para este indicador usando plot foo = Function (); em thinkorswim stock hacker. Aqui estão os tickers que saíram hoje:
Eu destaquei em verde os tickers que eu mais preferiria trocar. Esta verificação não leva em conta o suporte ou o acúmulo antes do intervalo de expansão, portanto, talvez seja necessário verificar e usar a discrição nas entradas, mas ainda usar as regras de negociação automatizadas para obter seus valores de parada, destino e limite final. Estou especialmente interessado em AKS LCC ELN CMI HPT BMRN WBC & amp; A CNH, como todas estas, mostrou formações de reversão recentes ou está violando os níveis de suporte.
Se você estiver interessado, havia apenas dois resultados para a verificação de bula de hoje. Eu não fiquei surpreso ao ver que a primeira foi a CVX (mencionada ontem como provável) e sua contraparte em serviços petrolíferos XOM. CVX parece um pouco melhor e o sistema de negociação automatizado deve ficar muito tempo no final da sessão, a menos que haja um rasgo para cima ou para baixo hoje. O indicador disparado na abertura & # 8211; mas isso ocorre porque o volume teria sido essencialmente zero, o que significa que, é claro, a taxa EXPCON seria maior que o valor do filtro.
Sistema de negociação automatizado para uma bandeira de urso.
Vamos automatizar o processo agora, tornando a função, se verdadeira condição, o sinal de entrada. O stop-loss e o target já estão definidos dentro do código, tudo o que resta é inverter o recurso de trailing stop. No exemplo da bandeira do urso, a parada móvel foi definida como.
ts = Cruzes (simplemovingavg (alto, 3), (c & # 8211; empate), crossingType == crossingType. above)
Precisamos inverter isso, então o cálculo para o trailing stop em um flag de bear deve ter todos menos o tipo invertido (low, c +).
Vamos verificar novamente alguns exemplos para ver o que o ATS diz sobre isso;
HPQ parando em parada fixa em 30% de rebaixamento.
MRK fechando na parada móvel.
Parece funcionar muito bem, certo? Agora, tudo o que resta para o comerciante discricionário fazer é iniciar a digitalização quando faltam cerca de 30 minutos para a sessão. Digite longo ou curto, dependendo da configuração, o mais próximo do sino quanto possível e espere, em seguida, deixe a estratégia automatizada fazê-lo. A digitalização perto do final do dia significa que você tem melhores métricas de volume para trabalhar, de modo que os resultados sejam melhores.
Próximos passos.
Agora vem a fase de testes. Durante a próxima quinzena, eu entrarei em todas as negociações automatizadas em uma planilha do Excel para obter algumas estatísticas sobre o desempenho desses padrões. Uma vez que isso tenha sido concluído, estarei em uma posição muito melhor para avaliar se esse tipo de estratégia é ou não sempre lucrativo. Fique de olho nesse post.
É uma experiência interessante e valiosa nos últimos dias. O projeto tomou uma decisão própria após o dia 2, pois eu originalmente planejava apenas ter uma idéia de como essas formações se formavam, em vez de acabar com um indicador ou sistema automatizado de gerenciamento de comércio.
Eu acho que o fator principal no porque eu acho que esse tipo de algoritmo funciona é porque há um período de tempo definido e um relacionamento definido entre as duas faixas de preço & # 8211; diferente de algo como uma formação de cabeça e ombros ou uma cunha descendente, onde os eixos horizontais podem se estender por dias ou meses sem que existam proporções internas tão fortes.
Naturalmente, os períodos de contração ou expansão podem durar 2 dias ou 5 dias também, mas torná-lo uma ciência exata é tudo o que você realmente precisa fazer porque tem tempo para verificar 200 resultados de verificação todos os dias? Eu preferiria ter uma lista de resultados de um único dígito para especificações exatas e singulares do que ter resultados de três dígitos de 3 ou 4 variações diferentes sobre o mesmo tema. A análise técnica é toda sobre a qualidade sobre a quantidade e há muito a ser obtido a partir de apenas as configurações de maior probabilidade.
Se você quiser fazer um projeto semelhante, aqui está um pouco de como fazer e uma lista de necessidade de saber. Antes de consultar isso, vale a pena conferir como cheguei aqui vendo as partes 1, 2, 3, 4 & amp; 5 desta série.
Tenha uma boa compreensão do tipo de padrão ou conjunto de condições para o qual você deseja desenvolver um sistema de varredura ou de negociação. Saber como identificá-los rapidamente em um gráfico nu e ter alguma experiência em negociar a configuração com discrição o ajudará bastante no futuro. Familiarize-se com a plataforma que você usa e, antes de começar, verifique o máximo possível do código-fonte dos estudos técnicos existentes (especialmente os que você conhece) para obter alguns conhecimentos básicos sobre como codificar. Visite alguns sites de codificação que lidam especificamente com essa plataforma; Como eu estava usando o Thinkorswim, eu usei o Read the Prospectus, o Thinkscripter e o TOS Users & # 8217; Grupo Yahoo para ajuda de código. Tenha uma compreensão decente de matemática e operadores lógicos # 8211; a maior parte do tempo você precisará calcular porcentagens no código ou ter instruções como; if then or else (também sabe sobre & lt; & gt ;, = & gt ;, & amp; & amp; etc). Encontre tantos exemplos da configuração quanto possível e, em seguida, baixe os dados em algum software de planilha (eu uso o Excel). Geralmente, você só precisará dos valores de abertura / alta / baixa / fechamento e volume, mas se o seu sistema envolver outros indicadores, você precisará obter esses valores para o dia em que eles foram plotados. Divida o padrão em fases, se puder, isso ajudará a identificar as relações entre os níveis de preço e volume à medida que o padrão se desenvolve. Por exemplo, eu queria 3 dias de volume alto,% de preço alto e 3 dias de baixo volume baixo% de movimento, então consegui separá-lo em fases de expansão e contração e calcular as razões de preço e volume de lá. Essa foi a base da minha lógica de varredura e de indicador. Identifique os padrões nessas proporções, etc., que definem um sucesso do padrão, pois esses blocos de construção formarão a maior parte de sua estratégia. Escreva, em linguagem simples, quais condições precisam ser atendidas para que o padrão seja verdadeiro; por exemplo & # 8220; Deve fechar mais de 2% por 3 dias consecutivos & # 8221 ;.
Deixe-nos respirar & # 8230;
Converta estas declarações escritas em declarações de tipo lógico, por exemplo: Verdadeiro se Fechar [hoje] & gt; Fechar [ontem] E Fechar [ontem] & gt; Fechar [2daysago] E Fechar [2daysago] & gt; Fechar [3daysago]. Converta as instruções da etapa 8 em definições de código do tipo lógica ou de indicador, definindo primeiro o fechamento & # 8211; define up = close & gt; close [1]; defineup3days = up & amp; & amp; para cima [1] & amp; & amp; para cima [2]. Usando esses tipos de instruções, construa todo o processo de código a partir de sentenças em inglês em expressões codificadas. Construa uma função de plotagem para exibir no gráfico quando o conjunto de critérios for verdadeiro. Backtest usando exemplos conhecidos, depurar os dados e parâmetros quando você sabe que deveria ter traçado, ou seja, a porcentagem foi muito alta? O volume estava muito baixo? Backtest mais e otimizar. Depurar. Converta isso em uma varredura; Agora, você deve saber o suficiente sobre as etapas de codificação de sua plataforma para importar essa função e exibir resultados quando true. Familiarize-se com o seu sistema de comércio baseado em regras de sistema & # 8211; como usar o indicador para acionar uma entrada longa e quando sair de uma negociação etc. Esta etapa também deve ser fácil para aqueles com um dia de habilidades de codificação de indicadores. Construa seu sistema de negociação automatizado usando seu enredo, se verdadeiro como seu ponto de entrada. Durante as etapas 5 e 6, você deve ter encontrado relações para movimentos ou paradas medidas (em média). Estas são a base do seu lucro / perda tendo regras e são um elemento-chave. Desenvolva uma estratégia de trailing stop para configurações que funcionem positivamente por um tempo, mas depois inverta e acerte sua parada por completo risco. Os levantamentos são para os tolos, eliminá-los introduzindo um stop para proteger qualquer ganho que o seu comércio faça. Não faça isso muito extremo. Backtest. Backtest mais. Otimizar. Obtenha o sistema negociando os mercados ao vivo e registre todos os negócios acionados em papel por pelo menos quinze dias antes de avaliar o sistema.
O trabalho duro no seu ATS será recompensado.
Evitando armadilhas comuns.
Quando se trata de sistemas de negociação, os melhores (na minha opinião) são derivados de um número tão pequeno de variáveis ​​ou outros indicadores quanto possível. Este código indicador específico foi projetado inteiramente em torno de preço e participação (embora a estratégia de saída dependa de médias móveis muito rápidas & # 8211; mas isso não é uma variável indicadora). Da mesma forma, as estratégias de Arnie e DeathFromAbove que codifiquei para a negociação de futuros são todas construídas em torno de derivativos de preço e participação (mercados internos). Esses tipos de indicadores ou preços não ficam defasados ​​e, portanto, são excelentes para projetar um sistema de negociação, porque o indicador não irá desfazer & # 8221; depois de ter sido impressa.
Você não deve estar projetando um sistema de negociação ao vivo que use os cruzamentos MACD ou Stochastics ou MA, pois esses dados muitas vezes se desfazem dependendo do que acontecer nos próximos dias. Naturalmente, eles geralmente proporcionam ótimos resultados durante o backtesting, mas isso é apenas porque eles são "perfeitos" # 8221; Variáveis ​​de dados fechadas que não repetem as mesmas estatísticas no comércio real devido à natureza variável de seus cálculos. Acontece frequentemente que estes retardatários irão cruzar & # 8221; no início da sessão, desencadeando uma onda de posições automatizadas, apenas para um rasgamento ou mergulho para entrar mais tarde no & # 8220; uncross & # 8221; - los e deixar essas negociações inválidas.
Os leitores freqüentes devem saber que eu desprezo os indicadores por causa desse fenômeno. Meu estilo de negociação é construído em torno da análise de preço e participação (padrões, velas, tendências e volume) com foco em gerenciamento de risco, portanto, não estou interessado nesses osciladores. Dito isso, tenho certeza de que existem milhares desses algoritmos que são máquinas lucrativas!
Se você é um usuário do Thinkorswim e deseja uma cópia das varreduras ou indicadores de bandeira bear ou bull, deixe um comentário aqui ou na minha conta do Twitter @tslr_.
Atualização de abril de 2014:
Eu notei que esta página está recebendo muito tráfego de várias fontes e o número de consultas relacionadas à verificação refletiu isso.
Aqui está um tutorial sobre como criar uma varredura / lista de observação personalizada com base no meu código de exemplo.
Aqui está a versão mais simples do código de bandeira do touro.
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melhor o best. will este trabalho no intraday 5min? como isso está ligado ao Excel?
Se você copiar e colar o código do thestudentloanranger. files. wordpress / 2011/09 / bullflagtos. doc em um novo estudo no Thinkorswim, as condições serão plotadas em qualquer período de tempo do gráfico, incluindo os 5 minutos.
Se você criar uma nova varredura e copiar o código do thestudentloanranger. files. wordpress / 2011/09 / bullflagscan. doc e, em seguida, pressionar o ícone ao lado do campo & # 8216; D & # 8216; D & # 8216; você pode selecionar para digitalizar gráficos de 5 minutos.
A resolução mais baixa em que eu escaneei é de 1 hora, por isso não sei se as verificações do Thinkorswim são rápidas ou eficazes em 5 minutos & # 8211; Sugiro que você clique na interseção "&" com "& # 8217; menu e escolha S & amp; P500 ou uma lista personalizada de ações de maior volume para você começar.
O código em si não está diretamente vinculado ao Excel. Para estudar como a formação é formada, encontrei manualmente vários exemplos e depois analisei seu preço e volume quando o padrão estava em vigor. A partir disso, encontrei certos relacionamentos e proporções que tendem a criar um sinalizador e fizeram o indicador e a varredura desses números.
Se você tiver mais alguma dúvida sobre o código, deixe-me outro comentário!
Obrigado pela visita (:
PS o código para os scans e indicadores de alta e baixa estão no thestudentloanranger. wordpress / downloads /
Estou recebendo um erro abaixo da determinada linha do código Bulls Flag Scan.
traçar Yo = Ultimate_BullFlagScan_1 ();
Mensagem de erro: esperado duplo em 44.6.
e sem essa função: Ultimate_BullFlagScan_1 ();
Oi Preet, obrigado por deixar um comentário.
Se você se dirigir ao thestudentloanranger. wordpress / downloads / e obter o código de verificação do sinalizador, copie & amp; colá-lo em um novo estudo e salvá-lo como Ultimate_BullFlagScan_1, então ele deve funcionar corretamente quando referenciado na varredura.
Deixe-me saber se ainda não funciona e eu vou verificar se há algum problema com o código no meu final!
Eu estou recebendo este erro quando eu copiar e colar o código de bandeira de urso em ThinkorSwim estoque hacker editor de thinkcript de estudo personalizado.
com. devexperts. tos. thinkscript. exceptions. IllegalStatementException: Instrução inválida: exatamente um gráfico esperado.
Fiz o upload de um novo código bullflag e escrevi um tutorial rápido sobre como converter o estudo em uma varredura.
Você pode usar o mesmo guia para converter qualquer outro em uma varredura do Thinkorswim.
Obrigado pela visita!
Steve, obrigado pelo código e instruções. Muito apreciado.
Este é um excelente trabalho. Estou realmente interessado em descobrir os resultados usando esta verificação se você estiver disposto a compartilhar. Ultimamente eu tenho negociado padrões de bandeira exclusivamente e tenho visto uma alta taxa de sucesso, mas tenho lutado para encontrar uma varredura ou código que me permita filtrar estoques por tais padrões. Estou ansioso para usar isso na próxima semana.
Blogroll.
Me tweet @tslr_.
Erro: o Twitter não respondeu. Por favor, aguarde alguns minutos e atualize esta página.

Arquitetura de pregão.
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Índice.
Arquitetura de pregão.
Visão geral executiva.
Maior concorrência, maior volume de dados de mercado e novas exigências regulatórias são algumas das forças motrizes por trás das mudanças na indústria. As empresas estão tentando manter sua vantagem competitiva mudando constantemente suas estratégias de negociação e aumentando a velocidade de negociação.
Uma arquitetura viável precisa incluir as tecnologias mais recentes dos domínios de rede e de aplicativo. Tem que ser modular para fornecer um caminho gerenciável para evoluir cada componente com o mínimo de interrupção no sistema geral. Portanto, a arquitetura proposta por este artigo é baseada em uma estrutura de serviços. Examinamos serviços como mensagens de baixíssima latência, monitoramento de latência, multicast, computação, armazenamento, virtualização de dados e aplicativos, resiliência comercial, mobilidade comercial e thin client.
A solução para os complexos requisitos da plataforma de negociação da próxima geração deve ser construída com uma mentalidade holística, cruzando as fronteiras de silos tradicionais como negócios e tecnologia ou aplicativos e redes.
O principal objetivo deste documento é fornecer diretrizes para a criação de uma plataforma de negociação de baixíssima latência e, ao mesmo tempo, otimizar o rendimento bruto e a taxa de mensagens para dados de mercado e ordens de negociação FIX.
Para conseguir isso, estamos propondo as seguintes tecnologias de redução de latência:
• Interconexão de alta velocidade - conectividade InfiniBand ou 10 Gbps para o cluster de negociação.
• Barramento de mensagens de alta velocidade.
• Aceleração de aplicativos via RDMA sem re-código do aplicativo.
• Monitoramento de latência em tempo real e redirecionamento do tráfego de negociação para o caminho com latência mínima.
Tendências e Desafios da Indústria.
As arquiteturas comerciais da próxima geração precisam responder às crescentes demandas por velocidade, volume e eficiência. Por exemplo, espera-se que o volume de dados do mercado de opções dobre após a introdução da negociação de centavos de opções em 2007. Também há exigências regulatórias para a melhor execução, que exigem o manuseio de atualizações de preço a taxas que se aproximam de 1 milhão de msg / seg. para trocas. Eles também exigem visibilidade do frescor dos dados e prova de que o cliente obteve a melhor execução possível.
No curto prazo, a velocidade de negociação e inovação são os principais diferenciais. Um número crescente de negociações é tratado por aplicativos de comércio algorítmico colocados o mais próximo possível do local de execução da negociação. Um desafio com estes "black-box" mecanismos de negociação é que eles compõem o aumento de volume emitindo ordens apenas para cancelá-los e reenviá-los. A causa desse comportamento é a falta de visibilidade sobre qual local oferece a melhor execução. O comerciante humano é agora um "engenheiro financeiro" um "quant" (analista quantitativo) com habilidades de programação, que podem ajustar os modelos de negociação em tempo real. As empresas desenvolvem novos instrumentos financeiros, como derivativos climáticos ou negociações entre classes de ativos, e precisam implantar os novos aplicativos rapidamente e de forma escalável.
No longo prazo, a diferenciação competitiva deve vir da análise, não apenas do conhecimento. Os principais traders do futuro assumem riscos, obtêm uma visão verdadeira do cliente e batem consistentemente no mercado (fonte IBM: www-935.ibm/services/us/imc/pdf/ge510-6270-trader. pdf).
A resiliência dos negócios tem sido uma das principais preocupações das empresas de trading desde 11 de setembro de 2001. As soluções nesta área variam desde centros de dados redundantes localizados em diferentes geografias e conectados a múltiplos locais de negociação até soluções de negociadores virtuais oferecendo aos operadores de mercado a maior parte da funcionalidade de uma plataforma de negociação em um local remoto.
O setor de serviços financeiros é um dos mais exigentes em termos de requisitos de TI. O setor está passando por uma mudança arquitetônica em direção à Arquitetura Orientada a Serviços (SOA), serviços da Web e virtualização de recursos de TI. A SOA aproveita o aumento da velocidade da rede para permitir a vinculação dinâmica e a virtualização de componentes de software. Isso permite a criação de novos aplicativos sem perder o investimento em sistemas e infraestrutura existentes. O conceito tem o potencial de revolucionar a forma como a integração é feita, permitindo reduções significativas na complexidade e no custo de tal integração (gigaspaces / download / MerrilLynchGigaSpacesWP. pdf).
Outra tendência é a consolidação de servidores em farms de servidores de data center, enquanto as mesas de operação possuem apenas extensões KVM e clientes ultra-thin (por exemplo, SunRay e HP blade solutions). As redes de área metropolitanas de alta velocidade permitem que os dados de mercado sejam multicast entre locais diferentes, permitindo a virtualização do pregão.
Arquitetura de alto nível.
A Figura 1 descreve a arquitetura de alto nível de um ambiente comercial. A fábrica de tickers e os mecanismos de negociação algorítmica estão localizados no cluster de negociação de alto desempenho no data center da empresa ou na bolsa de valores. Os comerciantes humanos estão localizados na área de aplicativos do usuário final.
Funcionalmente, há dois componentes de aplicativos no ambiente comercial corporativo, editores e assinantes. O barramento de mensagens fornece o caminho de comunicação entre editores e assinantes.
Existem dois tipos de tráfego específicos para um ambiente de negociação:
• Dados de mercado - carrega informações sobre preços para instrumentos financeiros, notícias e outras informações de valor agregado, como análises. É unidirecional e muito sensível à latência, normalmente entregue em multicast UDP. É medido em atualizações / seg. e em Mbps. Os dados de mercado fluem de um ou vários feeds externos, provenientes de provedores de dados de mercado, como bolsas de valores, agregadores de dados e ECNs. Cada provedor tem seu próprio formato de dados de mercado. Os dados são recebidos por manipuladores de feeds, aplicativos especializados que normalizam e limpam os dados e os enviam para os consumidores de dados, como mecanismos de preços, aplicativos de comércio algorítmico ou comerciantes humanos. As empresas do lado da venda também enviam os dados do mercado para seus clientes, empresas compradoras, como fundos mútuos, fundos de hedge e outros gerentes de ativos. Algumas empresas de buy-side podem optar por receber feeds diretos das trocas, reduzindo a latência.
Figura 1 Arquitetura de negociação para uma empresa do lado de compra / venda.
Não existe um padrão da indústria para formatos de dados de mercado. Cada troca tem seu formato proprietário. Provedores de conteúdo financeiro, como Reuters e Bloomberg, agregam diferentes fontes de dados de mercado, normalizam e adicionam notícias ou análises. Exemplos de feeds consolidados são RDF (Reuters Data Feed), RWF (Reuters Wire Format) e Bloomberg Professional Services Data.
Para fornecer dados de mercado de latência mais baixa, os dois fornecedores lançaram feeds de dados de mercado em tempo real que são menos processados ​​e têm menos análises:
- Bloomberg B-Pipe - Com o B-Pipe, a Bloomberg separa seu feed de dados de mercado de sua plataforma de distribuição porque um terminal Bloomberg não é necessário para obter o B-Pipe. Wombat e Reuters Feed Handlers anunciaram o apoio ao B-Pipe.
Uma empresa pode decidir receber feeds diretamente de uma troca para reduzir a latência. Os ganhos na velocidade de transmissão podem variar entre 150 milissegundos e 500 milissegundos. Esses feeds são mais complexos e mais caros e a empresa precisa construir e manter sua própria fábrica de tickers (financetech / featured / showArticle. jhtml? ArticleID = 60404306).
• Ordens de negociação - esse tipo de tráfego transporta as negociações reais. É bidirecional e muito sensível à latência. É medido em mensagens / seg. e Mbps. Os pedidos são originários de uma empresa de buy side ou sell side e são enviados para plataformas de negociação como uma Exchange ou ECN para execução. O formato mais comum para o transporte de pedidos é o FIX (Financial Information eXchange - fixprotocol /). Os aplicativos que manipulam mensagens FIX são chamados de mecanismos FIX e interagem com sistemas de gerenciamento de pedidos (OMS).
Uma otimização para o FIX é chamada de FAST (correção adaptada para streaming), que usa um esquema de compactação para reduzir o tamanho da mensagem e, com efeito, reduzir a latência. O FAST é voltado mais para a entrega de dados de mercado e tem o potencial de se tornar um padrão. O FAST também pode ser usado como um esquema de compactação para formatos de dados de mercado proprietários.
Para reduzir a latência, as empresas podem optar por estabelecer o Acesso Direto ao Mercado (Direct Market Access - DMA).
DMA é o processo automatizado de roteamento de uma ordem de títulos diretamente para um local de execução, evitando assim a intervenção de terceiros (towergroup / research / content / glossary. jsp? Page = 1 & glossaryId = 383). O DMA requer uma conexão direta com o local de execução.
O barramento de mensagens é um software de middleware de fornecedores como a Tibco, a 29West, a Reuters RMDS ou uma plataforma de código aberto, como o AMQP. O barramento de mensagens usa um mecanismo confiável para entregar mensagens. O transporte pode ser feito via TCP / IP (TibcoEMS, 29West, RMDS e AMQP) ou UDP / multicast (TibcoRV, 29West e RMDS). Um conceito importante na distribuição de mensagens é o & quot; stream de tópico & quot; que é um subconjunto de dados de mercado definidos por critérios como símbolo de ticker, indústria ou uma determinada cesta de instrumentos financeiros. Os inscritos participam de grupos de tópicos mapeados em um ou vários subtópicos para receber apenas as informações relevantes. No passado, todos os comerciantes recebiam todos os dados do mercado. Nos volumes atuais de tráfego, isso seria sub-ótimo.
A rede desempenha um papel crítico no ambiente de negociação. Os dados de mercado são transportados para o pregão onde os comerciantes humanos estão localizados através de uma rede de alta velocidade Campus ou Metro Area. Alta disponibilidade e baixa latência, bem como alta taxa de transferência, são as métricas mais importantes.
O ambiente comercial de alto desempenho possui a maioria de seus componentes no farm de servidores do Data Center. Para minimizar a latência, os mecanismos de negociação algorítmica precisam estar localizados próximos aos manipuladores de feeds, mecanismos FIX e sistemas de gerenciamento de pedidos. Um modelo de implantação alternativo possui os sistemas de negociação algorítmica localizados em uma troca ou um provedor de serviços com conectividade rápida para várias trocas.
Modelos de implantação.
Existem dois modelos de implantação para uma plataforma de negociação de alto desempenho. As empresas podem optar por ter uma mistura dos dois:
• Data Center da empresa de trading (Figura 2) - Este é o modelo tradicional, onde uma plataforma de negociação completa é desenvolvida e mantida pela empresa com links de comunicação para todas as plataformas de negociação. A latência varia com a velocidade dos links e o número de saltos entre a empresa e os locais.
Figura 2 Modelo de Implantação Tradicional.
• Co-location na plataforma de negociação (bolsas, prestadores de serviços financeiros (FSP)) (Figura 3)
A empresa comercial implanta sua plataforma de negociação automatizada o mais próximo possível dos locais de execução para minimizar a latência.
Figura 3 Modelo de Implantação Hospedada.
Arquitetura de Negociação Orientada a Serviços.
Estamos propondo uma estrutura orientada a serviços para a construção da arquitetura comercial de próxima geração. Essa abordagem fornece uma estrutura conceitual e um caminho de implementação com base na modularização e minimização de interdependências.
Essa estrutura fornece às empresas uma metodologia para:
• Avalie seu estado atual em termos de serviços.
• Priorizar serviços com base em seu valor para o negócio.
• Evolua a plataforma de negociação para o estado desejado usando uma abordagem modular.
A arquitetura de negociação de alto desempenho conta com os seguintes serviços, conforme definido pela estrutura de arquitetura de serviços representada na Figura 4.
Figura 4 Estrutura de Arquitetura de Serviço para Negociação de Alto Desempenho.
Tabela 1 Descrições e Tecnologias de Serviço.
Mensagens de latência ultra baixa.
Instrumentação - appliances, agentes de software e módulos roteadores.
Virtualização de SO e E / S, RDMA (Remote Direct Memory Access), TOE (TCP Offload Engines)
Middleware que paraleliza o processamento de aplicativos.
Middleware que acelera o acesso a dados para aplicativos, por exemplo, armazenamento em cache na memória.
Replicação multicast assistida por hardware através da rede; otimizações multicast Camada 2 e Camada 3.
Virtualização de hardware de armazenamento (VSANs), replicação de dados, backup remoto e virtualização de arquivos.
Resiliência comercial e mobilidade.
Balanceamento de carga local e local e redes de campus de alta disponibilidade.
Serviços de aplicativos de área ampla.
Aceleração de aplicativos em uma conexão WAN para comerciantes residindo fora do campus.
Serviço de cliente fino.
Desacoplamento dos recursos de computação dos terminais voltados para o usuário final.
Serviço de Mensagens de Latência Ultra-Baixa.
Esse serviço é fornecido pelo barramento de mensagens, que é um sistema de software que resolve o problema de conectar muitos-para-muitos aplicativos. O sistema consiste em:
• Um conjunto de esquemas de mensagens predefinidos.
• Um conjunto de mensagens de comando comuns.
• Uma infraestrutura de aplicativos compartilhados para enviar as mensagens para os destinatários. A infraestrutura compartilhada pode ser baseada em um intermediário de mensagem ou em um modelo de publicação / assinatura.
Os principais requisitos para o barramento de mensagens da próxima geração são (fonte 29West):
• menor latência possível (por exemplo, menos de 100 microssegundos)
• Estabilidade sob carga pesada (por exemplo, mais de 1,4 milhões de msg / segundo)
• Controle e flexibilidade (controle de taxa e transporte configurável)
Há esforços no setor para padronizar o barramento de mensagens. O AMQP (Advanced Message Queuing Protocol) é um exemplo de um padrão aberto promovido pelo J. P. Morgan Chase e apoiado por um grupo de fornecedores como Cisco, Envoy Technologies, Red Hat, TWIST Process Innovations, Iona, 29West e iMatix. Dois dos principais objetivos são fornecer um caminho mais simples para a interoperabilidade de aplicativos escritos em plataformas diferentes e modularidade para que o middleware possa ser facilmente desenvolvido.
Em termos muito gerais, um servidor AMQP é análogo a um servidor de E-mail, com cada troca agindo como um agente de transferência de mensagens e cada fila de mensagens como uma caixa de correio. As ligações definem as tabelas de roteamento em cada agente de transferência. Os editores enviam mensagens para agentes de transferência individuais, que encaminham as mensagens para caixas de correio. Os consumidores recebem mensagens de caixas de correio, o que cria um modelo poderoso e flexível que é simples (fonte: amqp / tikiwiki / tiki-index. php? Page = OpenApproach # Why_AMQP_).
Serviço de Monitoramento de Latência.
Os principais requisitos para este serviço são:
• Granularidade de medidas de sub-milissegundos.
• Visibilidade em tempo quase real sem adicionar latência ao tráfego de negociação.
• Capacidade de diferenciar a latência do processamento de aplicativos da latência de trânsito da rede.
• Capacidade de lidar com altas taxas de mensagens.
• Fornecer uma interface programática para aplicativos de negociação para receber dados de latência, permitindo que os mecanismos de negociação algorítmica se adaptem às condições variáveis.
• Correlacionar eventos de rede com eventos do aplicativo para fins de solução de problemas.
A latência pode ser definida como o intervalo de tempo entre o momento em que uma ordem de negociação é enviada e quando a mesma ordem é reconhecida e aceita pela parte receptora.
Abordar a questão da latência é um problema complexo, exigindo uma abordagem holística que identifique todas as fontes de latência e aplique diferentes tecnologias em diferentes camadas do sistema.
A Figura 5 mostra a variedade de componentes que podem introduzir latência em cada camada da pilha OSI. Ele também mapeia cada fonte de latência com uma possível solução e uma solução de monitoramento. Essa abordagem em camadas pode oferecer às empresas uma maneira mais estruturada de atacar a questão da latência, em que cada componente pode ser considerado como um serviço e tratado de forma consistente em toda a empresa.
A manutenção de uma medida precisa do estado dinâmico desse intervalo de tempo em rotas e destinos alternativos pode ser de grande ajuda nas decisões de negociação tática. A capacidade de identificar a localização exata dos atrasos, seja na rede de borda do cliente, no hub de processamento central ou no nível do aplicativo de transação, determina significativamente a capacidade dos provedores de serviços de cumprir seus acordos de nível de serviço (SLAs). Para os formulários buy-side e sell-side, bem como para os sindicatos de dados de mercado, a rápida identificação e remoção de gargalos traduz-se diretamente em melhores oportunidades e receitas comerciais.
Figura 5 Arquitetura de Gerenciamento de Latência.
Ferramentas de monitoramento de baixa latência da Cisco.
As ferramentas tradicionais de monitoramento de rede operam com minutos ou segundos de granularidade. As plataformas de negociação da próxima geração, especialmente aquelas que suportam o comércio algorítmico, exigem latências inferiores a 5 ms e níveis extremamente baixos de perda de pacotes. Em uma LAN Gigabit, uma microburst de 100 ms pode causar 10.000 transações a serem perdidas ou excessivamente atrasadas.
A Cisco oferece aos seus clientes uma variedade de ferramentas para medir a latência em um ambiente de negociação:
• Gerente de Qualidade de Largura de Banda (BQM) (OEM da Corvil)
• Cisco AON-based Financial Services Latency Monitoring Solution (FSMS)
Bandwidth Quality Manager.
Bandwidth Quality Manager (BQM) 4.0 is a next-generation network application performance management product that enables customers to monitor and provision their network for controlled levels of latency and loss performance. While BQM is not exclusively targeted at trading networks, its microsecond visibility combined with intelligent bandwidth provisioning features make it ideal for these demanding environments.
Cisco BQM 4.0 implements a broad set of patented and patent-pending traffic measurement and network analysis technologies that give the user unprecedented visibility and understanding of how to optimize the network for maximum application performance.
Cisco BQM is now supported on the product family of Cisco Application Deployment Engine (ADE). The Cisco ADE product family is the platform of choice for Cisco network management applications.
BQM Benefits.
Cisco BQM micro-visibility is the ability to detect, measure, and analyze latency, jitter, and loss inducing traffic events down to microsecond levels of granularity with per packet resolution. This enables Cisco BQM to detect and determine the impact of traffic events on network latency, jitter, and loss. Critical for trading environments is that BQM can support latency, loss, and jitter measurements one-way for both TCP and UDP (multicast) traffic. This means it reports seamlessly for both trading traffic and market data feeds.
BQM allows the user to specify a comprehensive set of thresholds (against microburst activity, latency, loss, jitter, utilization, etc.) on all interfaces. BQM then operates a background rolling packet capture. Whenever a threshold violation or other potential performance degradation event occurs, it triggers Cisco BQM to store the packet capture to disk for later analysis. This allows the user to examine in full detail both the application traffic that was affected by performance degradation ("the victims") and the traffic that caused the performance degradation ("the culprits"). This can significantly reduce the time spent diagnosing and resolving network performance issues.
BQM is also able to provide detailed bandwidth and quality of service (QoS) policy provisioning recommendations, which the user can directly apply to achieve desired network performance.
BQM Measurements Illustrated.
To understand the difference between some of the more conventional measurement techniques and the visibility provided by BQM, we can look at some comparison graphs. In the first set of graphs (Figure 6 and Figure 7), we see the difference between the latency measured by BQM's Passive Network Quality Monitor (PNQM) and the latency measured by injecting ping packets every 1 second into the traffic stream.
In Figure 6, we see the latency reported by 1-second ICMP ping packets for real network traffic (it is divided by 2 to give an estimate for the one-way delay). It shows the delay comfortably below about 5ms for almost all of the time.
Figure 6 Latency Reported by 1-Second ICMP Ping Packets for Real Network Traffic.
In Figure 7, we see the latency reported by PNQM for the same traffic at the same time. Here we see that by measuring the one-way latency of the actual application packets, we get a radically different picture. Here the latency is seen to be hovering around 20 ms, with occasional bursts far higher. The explanation is that because ping is sending packets only every second, it is completely missing most of the application traffic latency. In fact, ping results typically only indicate round trip propagation delay rather than realistic application latency across the network.
Figure 7 Latency Reported by PNQM for Real Network Traffic.
In the second example (Figure 8), we see the difference in reported link load or saturation levels between a 5-minute average view and a 5 ms microburst view (BQM can report on microbursts down to about 10-100 nanosecond accuracy). The green line shows the average utilization at 5-minute averages to be low, maybe up to 5 Mbits/s. The dark blue plot shows the 5ms microburst activity reaching between 75 Mbits/s and 100 Mbits/s, the LAN speed effectively. BQM shows this level of granularity for all applications and it also gives clear provisioning rules to enable the user to control or neutralize these microbursts.
Figure 8 Difference in Reported Link Load Between a 5-Minute Average View and a 5 ms Microburst View.
BQM Deployment in the Trading Network.
Figure 9 shows a typical BQM deployment in a trading network.
Figure 9 Typical BQM Deployment in a Trading Network.
BQM can then be used to answer these types of questions:
• Are any of my Gigabit LAN core links saturated for more than X milliseconds? Is this causing loss? Which links would most benefit from an upgrade to Etherchannel or 10 Gigabit speeds?
• What application traffic is causing the saturation of my 1 Gigabit links?
• Is any of the market data experiencing end-to-end loss?
• How much additional latency does the failover data center experience? Is this link sized correctly to deal with microbursts?
• Are my traders getting low latency updates from the market data distribution layer? Are they seeing any delays greater than X milliseconds?
Being able to answer these questions simply and effectively saves time and money in running the trading network.
BQM is an essential tool for gaining visibility in market data and trading environments. It provides granular end-to-end latency measurements in complex infrastructures that experience high-volume data movement. Effectively detecting microbursts in sub-millisecond levels and receiving expert analysis on a particular event is invaluable to trading floor architects. Smart bandwidth provisioning recommendations, such as sizing and what-if analysis, provide greater agility to respond to volatile market conditions. As the explosion of algorithmic trading and increasing message rates continues, BQM, combined with its QoS tool, provides the capability of implementing QoS policies that can protect critical trading applications.
Cisco Financial Services Latency Monitoring Solution.
Cisco and Trading Metrics have collaborated on latency monitoring solutions for FIX order flow and market data monitoring. Cisco AON technology is the foundation for a new class of network-embedded products and solutions that help merge intelligent networks with application infrastructure, based on either service-oriented or traditional architectures. Trading Metrics is a leading provider of analytics software for network infrastructure and application latency monitoring purposes (tradingmetrics/).
The Cisco AON Financial Services Latency Monitoring Solution (FSMS) correlated two kinds of events at the point of observation:
• Network events correlated directly with coincident application message handling.
• Trade order flow and matching market update events.
Using time stamps asserted at the point of capture in the network, real-time analysis of these correlated data streams permits precise identification of bottlenecks across the infrastructure while a trade is being executed or market data is being distributed. By monitoring and measuring latency early in the cycle, financial companies can make better decisions about which network service—and which intermediary, market, or counterparty—to select for routing trade orders. Likewise, this knowledge allows more streamlined access to updated market data (stock quotes, economic news, etc.), which is an important basis for initiating, withdrawing from, or pursuing market opportunities.
The components of the solution are:
• AON hardware in three form factors:
– AON Network Module for Cisco 2600/2800/3700/3800 routers.
– AON Blade for the Cisco Catalyst 6500 series.
– AON 8340 Appliance.
• Trading Metrics M&A 2.0 software, which provides the monitoring and alerting application, displays latency graphs on a dashboard, and issues alerts when slowdowns occur (tradingmetrics/TM_brochure. pdf).
Figure 10 AON-Based FIX Latency Monitoring.
Cisco IP SLA.
Cisco IP SLA is an embedded network management tool in Cisco IOS which allows routers and switches to generate synthetic traffic streams which can be measured for latency, jitter, packet loss, and other criteria (cisco/go/ipsla).
Two key concepts are the source of the generated traffic and the target. Both of these run an IP SLA "responder," which has the responsibility to timestamp the control traffic before it is sourced and returned by the target (for a round trip measurement). Various traffic types can be sourced within IP SLA and they are aimed at different metrics and target different services and applications. The UDP jitter operation is used to measure one-way and round-trip delay and report variations. As the traffic is time stamped on both sending and target devices using the responder capability, the round trip delay is characterized as the delta between the two timestamps.
A new feature was introduced in IOS 12.3(14)T, IP SLA Sub Millisecond Reporting, which allows for timestamps to be displayed with a resolution in microseconds, thus providing a level of granularity not previously available. This new feature has now made IP SLA relevant to campus networks where network latency is typically in the range of 300-800 microseconds and the ability to detect trends and spikes (brief trends) based on microsecond granularity counters is a requirement for customers engaged in time-sensitive electronic trading environments.
As a result, IP SLA is now being considered by significant numbers of financial organizations as they are all faced with requirements to:
• Report baseline latency to their users.
• Trend baseline latency over time.
• Respond quickly to traffic bursts that cause changes in the reported latency.
Sub-millisecond reporting is necessary for these customers, since many campus and backbones are currently delivering under a second of latency across several switch hops. Electronic trading environments have generally worked to eliminate or minimize all areas of device and network latency to deliver rapid order fulfillment to the business. Reporting that network response times are "just under one millisecond" is no longer sufficient; the granularity of latency measurements reported across a network segment or backbone need to be closer to 300-800 micro-seconds with a degree of resolution of 100 ì seconds.
IP SLA recently added support for IP multicast test streams, which can measure market data latency.
A typical network topology is shown in Figure 11 with the IP SLA shadow routers, sources, and responders.
Figure 11 IP SLA Deployment.
Serviços de computação.
Computing services cover a wide range of technologies with the goal of eliminating memory and CPU bottlenecks created by the processing of network packets. Trading applications consume high volumes of market data and the servers have to dedicate resources to processing network traffic instead of application processing.
• Transport processing—At high speeds, network packet processing can consume a significant amount of server CPU cycles and memory. An established rule of thumb states that 1Gbps of network bandwidth requires 1 GHz of processor capacity (source Intel white paper on I/O acceleration intel/technology/ioacceleration/306517.pdf).
• Intermediate buffer copying—In a conventional network stack implementation, data needs to be copied by the CPU between network buffers and application buffers. This overhead is worsened by the fact that memory speeds have not kept up with increases in CPU speeds. For example, processors like the Intel Xeon are approaching 4 GHz, while RAM chips hover around 400MHz (for DDR 3200 memory) (source Intel intel/technology/ioacceleration/306517.pdf).
• Context switching—Every time an individual packet needs to be processed, the CPU performs a context switch from application context to network traffic context. This overhead could be reduced if the switch would occur only when the whole application buffer is complete.
Figure 12 Sources of Overhead in Data Center Servers.
• TCP Offload Engine (TOE)—Offloads transport processor cycles to the NIC. Moves TCP/IP protocol stack buffer copies from system memory to NIC memory.
• Remote Direct Memory Access (RDMA)—Enables a network adapter to transfer data directly from application to application without involving the operating system. Eliminates intermediate and application buffer copies (memory bandwidth consumption).
• Kernel bypass — Direct user-level access to hardware. Dramatically reduces application context switches.
Figure 13 RDMA and Kernel Bypass.
InfiniBand is a point-to-point (switched fabric) bidirectional serial communication link which implements RDMA, among other features. Cisco offers an InfiniBand switch, the Server Fabric Switch (SFS): cisco/application/pdf/en/us/guest/netsol/ns500/c643/cdccont_0900aecd804c35cb. pdf.
Figure 14 Typical SFS Deployment.
Trading applications benefit from the reduction in latency and latency variability, as proved by a test performed with the Cisco SFS and Wombat Feed Handlers by Stac Research:
Application Virtualization Service.
De-coupling the application from the underlying OS and server hardware enables them to run as network services. One application can be run in parallel on multiple servers, or multiple applications can be run on the same server, as the best resource allocation dictates. This decoupling enables better load balancing and disaster recovery for business continuance strategies. The process of re-allocating computing resources to an application is dynamic. Using an application virtualization system like Data Synapse's GridServer, applications can migrate, using pre-configured policies, to under-utilized servers in a supply-matches-demand process (networkworld/supp/2005/ndc1/022105virtual. html? page=2).
There are many business advantages for financial firms who adopt application virtualization:
• Faster time to market for new products and services.
• Faster integration of firms following merger and acquisition activity.
• Increased application availability.
• Better workload distribution, which creates more "head room" for processing spikes in trading volume.
• Operational efficiency and control.
• Reduction in IT complexity.
Currently, application virtualization is not used in the trading front-office. One use-case is risk modeling, like Monte Carlo simulations. As the technology evolves, it is conceivable that some the trading platforms will adopt it.
Data Virtualization Service.
To effectively share resources across distributed enterprise applications, firms must be able to leverage data across multiple sources in real-time while ensuring data integrity. With solutions from data virtualization software vendors such as Gemstone or Tangosol (now Oracle), financial firms can access heterogeneous sources of data as a single system image that enables connectivity between business processes and unrestrained application access to distributed caching. The net result is that all users have instant access to these data resources across a distributed network (gridtoday/03/0210/101061.html).
This is called a data grid and is the first step in the process of creating what Gartner calls Extreme Transaction Processing (XTP) (gartner/DisplayDocument? ref=g_search&id=500947). Technologies such as data and applications virtualization enable financial firms to perform real-time complex analytics, event-driven applications, and dynamic resource allocation.
One example of data virtualization in action is a global order book application. An order book is the repository of active orders that is published by the exchange or other market makers. A global order book aggregates orders from around the world from markets that operate independently. The biggest challenge for the application is scalability over WAN connectivity because it has to maintain state. Today's data grids are localized in data centers connected by Metro Area Networks (MAN). This is mainly because the applications themselves have limits—they have been developed without the WAN in mind.
Figure 15 GemStone GemFire Distributed Caching.
Before data virtualization, applications used database clustering for failover and scalability. This solution is limited by the performance of the underlying database. Failover is slower because the data is committed to disc. With data grids, the data which is part of the active state is cached in memory, which reduces drastically the failover time. Scaling the data grid means just adding more distributed resources, providing a more deterministic performance compared to a database cluster.
Multicast Service.
Market data delivery is a perfect example of an application that needs to deliver the same data stream to hundreds and potentially thousands of end users. Market data services have been implemented with TCP or UDP broadcast as the network layer, but those implementations have limited scalability. Using TCP requires a separate socket and sliding window on the server for each recipient. UDP broadcast requires a separate copy of the stream for each destination subnet. Both of these methods exhaust the resources of the servers and the network. The server side must transmit and service each of the streams individually, which requires larger and larger server farms. On the network side, the required bandwidth for the application increases in a linear fashion. For example, to send a 1 Mbps stream to 1000recipients using TCP requires 1 Gbps of bandwidth.
IP multicast is the only way to scale market data delivery. To deliver a 1 Mbps stream to 1000 recipients, IP multicast would require 1 Mbps. The stream can be delivered by as few as two servers—one primary and one backup for redundancy.
There are two main phases of market data delivery to the end user. In the first phase, the data stream must be brought from the exchange into the brokerage's network. Typically the feeds are terminated in a data center on the customer premise. The feeds are then processed by a feed handler, which may normalize the data stream into a common format and then republish into the application messaging servers in the data center.
The second phase involves injecting the data stream into the application messaging bus which feeds the core infrastructure of the trading applications. The large brokerage houses have thousands of applications that use the market data streams for various purposes, such as live trades, long term trending, arbitrage, etc. Many of these applications listen to the feeds and then republish their own analytical and derivative information. For example, a brokerage may compare the prices of CSCO to the option prices of CSCO on another exchange and then publish ratings which a different application may monitor to determine how much they are out of synchronization.
Figure 16 Market Data Distribution Players.
The delivery of these data streams is typically over a reliable multicast transport protocol, traditionally Tibco Rendezvous. Tibco RV operates in a publish and subscribe environment. Each financial instrument is given a subject name, such as CSCO. last. Each application server can request the individual instruments of interest by their subject name and receive just a that subset of the information. This is called subject-based forwarding or filtering. Subject-based filtering is patented by Tibco.
A distinction should be made between the first and second phases of market data delivery. The delivery of market data from the exchange to the brokerage is mostly a one-to-many application. The only exception to the unidirectional nature of market data may be retransmission requests, which are usually sent using unicast. The trading applications, however, are definitely many-to-many applications and may interact with the exchanges to place orders.
Figure 17 Market Data Architecture.
Design Issues.
Number of Groups/Channels to Use.
Many application developers consider using thousand of multicast groups to give them the ability to divide up products or instruments into small buckets. Normally these applications send many small messages as part of their information bus. Usually several messages are sent in each packet that are received by many users. Sending fewer messages in each packet increases the overhead necessary for each message.
In the extreme case, sending only one message in each packet quickly reaches the point of diminishing returns—there is more overhead sent than actual data. Application developers must find a reasonable compromise between the number of groups and breaking up their products into logical buckets.
Consider, for example, the Nasdaq Quotation Dissemination Service (NQDS). The instruments are broken up alphabetically:
Another example is the Nasdaq Totalview service, broken up this way:
This approach allows for straight forward network/application management, but does not necessarily allow for optimized bandwidth utilization for most users. A user of NQDS that is interested in technology stocks, and would like to subscribe to just CSCO and INTL, would have to pull down all the data for the first two groups of NQDS. Understanding the way users pull down the data and then organize it into appropriate logical groups optimizes the bandwidth for each user.
In many market data applications, optimizing the data organization would be of limited value. Typically customers bring in all data into a few machines and filter the instruments. Using more groups is just more overhead for the stack and does not help the customers conserve bandwidth. Another approach might be to keep the groups down to a minimum level and use UDP port numbers to further differentiate if necessary. The other extreme would be to use just one multicast group for the entire application and then have the end user filter the data. In some situations this may be sufficient.
Intermittent Sources.
A common issue with market data applications are servers that send data to a multicast group and then go silent for more than 3.5 minutes. These intermittent sources may cause trashing of state on the network and can introduce packet loss during the window of time when soft state and then hardware shorts are being created.
PIM-Bidir or PIM-SSM.
The first and best solution for intermittent sources is to use PIM-Bidir for many-to-many applications and PIM-SSM for one-to-many applications.
Both of these optimizations of the PIM protocol do not have any data-driven events in creating forwarding state. That means that as long as the receivers are subscribed to the streams, the network has the forwarding state created in the hardware switching path.
Intermittent sources are not an issue with PIM-Bidir and PIM-SSM.
Null Packets.
In PIM-SM environments a common method to make sure forwarding state is created is to send a burst of null packets to the multicast group before the actual data stream. The application must efficiently ignore these null data packets to ensure it does not affect performance. The sources must only send the burst of packets if they have been silent for more than 3 minutes. A good practice is to send the burst if the source is silent for more than a minute. Many financials send out an initial burst of traffic in the morning and then all well-behaved sources do not have problems.
Periodic Keepalives or Heartbeats.
An alternative approach for PIM-SM environments is for sources to send periodic heartbeat messages to the multicast groups. This is a similar approach to the null packets, but the packets can be sent on a regular timer so that the forwarding state never expires.
S, G Expiry Timer.
Finally, Cisco has made a modification to the operation of the S, G expiry timer in IOS. There is now a CLI knob to allow the state for a S, G to stay alive for hours without any traffic being sent. The (S, G) expiry timer is configurable. This approach should be considered a workaround until PIM-Bidir or PIM-SSM is deployed or the application is fixed.
RTCP Feedback.
A common issue with real time voice and video applications that use RTP is the use of RTCP feedback traffic. Unnecessary use of the feedback option can create excessive multicast state in the network. If the RTCP traffic is not required by the application it should be avoided.
Fast Producers and Slow Consumers.
Today many servers providing market data are attached at Gigabit speeds, while the receivers are attached at different speeds, usually 100Mbps. This creates the potential for receivers to drop packets and request re-transmissions, which creates more traffic that the slowest consumers cannot handle, continuing the vicious circle.
The solution needs to be some type of access control in the application that limits the amount of data that one host can request. QoS and other network functions can mitigate the problem, but ultimately the subscriptions need to be managed in the application.
Tibco Heartbeats.
TibcoRV has had the ability to use IP multicast for the heartbeat between the TICs for many years. However, there are some brokerage houses that are still using very old versions of TibcoRV that use UDP broadcast support for the resiliency. This limitation is often cited as a reason to maintain a Layer 2 infrastructure between TICs located in different data centers. These older versions of TibcoRV should be phased out in favor of the IP multicast supported versions.
Multicast Forwarding Options.
PIM Sparse Mode.
The standard IP multicast forwarding protocol used today for market data delivery is PIM Sparse Mode. It is supported on all Cisco routers and switches and is well understood. PIM-SM can be used in all the network components from the exchange, FSP, and brokerage.
There are, however, some long-standing issues and unnecessary complexity associated with a PIM-SM deployment that could be avoided by using PIM-Bidir and PIM-SSM. These are covered in the next sections.
The main components of the PIM-SM implementation are:
• PIM Sparse Mode v2.
• Shared Tree (spt-threshold infinity)
A design option in the brokerage or in the exchange.
Details of Anycast RP can be found in:
The classic high availability design for Tibco in the brokerage network is documented in:
Bidirectional PIM.
PIM-Bidir is an optimization of PIM Sparse Mode for many-to-many applications. It has several key advantages over a PIM-SM deployment:
• Better support for intermittent sources.
• No data-triggered events.
One of the weaknesses of PIM-SM is that the network continually needs to react to active data flows. This can cause non-deterministic behavior that may be hard to troubleshoot. PIM-Bidir has the following major protocol differences over PIM-SM:
– No source registration.
Source traffic is automatically sent to the RP and then down to the interested receivers. There is no unicast encapsulation, PIM joins from the RP to the first hop router and then registration stop messages.
All PIM-Bidir traffic is forwarded on a *,G forwarding entry. The router does not have to monitor the traffic flow on a *,G and then send joins when the traffic passes a threshold.
– No need for an actual RP.
The RP does not have an actual protocol function in PIM-Bidir. The RP acts as a routing vector in which all the traffic converges. The RP can be configured as an address that is not assigned to any particular device. This is called a Phantom RP.
– No need for MSDP.
MSDP provides source information between RPs in a PIM-SM network. PIM-Bidir does not use the active source information for any forwarding decisions and therefore MSDP is not required.
Bidirectional PIM is ideally suited for the brokerage network in the data center of the exchange. In this environment there are many sources sending to a relatively few set of groups in a many-to-many traffic pattern.
The key components of the PIM-Bidir implementation are:
Further details about Phantom RP and basic PIM-Bidir design are documented in:
Source Specific Multicast.
PIM-SSM is an optimization of PIM Sparse Mode for one-to-many applications. In certain environments it can offer several distinct advantages over PIM-SM. Like PIM-Bidir, PIM-SSM does not rely on any data-triggered events. Furthermore, PIM-SSM does not require an RP at all—there is no such concept in PIM-SSM. The forwarding information in the network is completely controlled by the interest of the receivers.
Source Specific Multicast is ideally suited for market data delivery in the financial service provider. The FSP can receive the feeds from the exchanges and then route them to the end of their network.
Many FSPs are also implementing MPLS and Multicast VPNs in their core. PIM-SSM is the preferred method for transporting traffic in VRFs.
When PIM-SSM is deployed all the way to the end user, the receiver indicates his interest in a particular S, G with IGMPv3. Even though IGMPv3 was defined by RFC 2236 back in October, 2002, it still has not been implemented by all edge devices. This creates a challenge for deploying an end-to-end PIM-SSM service. A transitional solution has been developed by Cisco to enable an edge device that supports IGMPv2 to participate in an PIM-SSM service. This feature is called SSM Mapping and is documented in:
Storage Services.
The service provides storage capabilities into the market data and trading environments. Trading applications access backend storage to connect to different databases and other repositories consisting of portfolios, trade settlements, compliance data, management applications, Enterprise Service Bus (ESB), and other critical applications where reliability and security is critical to the success of the business. The main requirements for the service are:
Storage virtualization is an enabling technology that simplifies management of complex infrastructures, enables non-disruptive operations, and facilitates critical elements of a proactive information lifecycle management (ILM) strategy. EMC Invista running on the Cisco MDS 9000 enables heterogeneous storage pooling and dynamic storage provisioning, allowing allocation of any storage to any application. High availability is increased with seamless data migration. Appropriate class of storage is allocated to point-in-time copies (clones). Storage virtualization is also leveraged through the use of Virtual Storage Area Networks (VSANs), which enable the consolidation of multiple isolated SANs onto a single physical SAN infrastructure, while still partitioning them as completely separate logical entities. VSANs provide all the security and fabric services of traditional SANs, yet give organizations the flexibility to easily move resources from one VSAN to another. This results in increased disk and network utilization while driving down the cost of management. Integrated Inter VSAN Routing (IVR) enables sharing of common resources across VSANs.
Figure 18 High Performance Computing Storage.
Replication of data to a secondary and tertiary data center is crucial for business continuance. Replication offsite over Fiber Channel over IP (FCIP) coupled with write acceleration and tape acceleration provides improved performance over long distance. Continuous Data Replication (CDP) is another mechanism which is gaining popularity in the industry. It refers to backup of computer data by automatically saving a copy of every change made to that data, essentially capturing every version of the data that the user saves. It allows the user or administrator to restore data to any point in time. Solutions from EMC and Incipient utilize the SANTap protocol on the Storage Services Module (SSM) in the MDS platform to provide CDP functionality. The SSM uses the SANTap service to intercept and redirect a copy of a write between a given initiator and target. The appliance does not reside in the data path—it is completely passive. The CDP solutions typically leverage a history journal that tracks all changes and bookmarks that identify application-specific events. This ensures that data at any point in time is fully self-consistent and is recoverable instantly in the event of a site failure.
Backup procedure reliability and performance are extremely important when storing critical financial data to a SAN. The use of expensive media servers to move data from disk to tape devices can be cumbersome. Network-accelerated serverless backup (NASB) helps you back up increased amounts of data in shorter backup time frames by shifting the data movement from multiple backup servers to Cisco MDS 9000 Series multilayer switches. This technology decreases impact on application servers because the MDS offloads the application and backup servers. It also reduces the number of backup and media servers required, thus reducing CAPEX and OPEX. The flexibility of the backup environment increases because storage and tape drives can reside anywhere on the SAN.
Trading Resilience and Mobility.
The main requirements for this service are to provide the virtual trader:
• Fully scalable and redundant campus trading environment.
• Resilient server load balancing and high availability in analytic server farms.
• Global site load balancing that provide the capability to continue participating in the market venues of closest proximity.
A highly-available campus environment is capable of sustaining multiple failures (i. e., links, switches, modules, etc.), which provides non-disruptive access to trading systems for traders and market data feeds. Fine-tuned routing protocol timers, in conjunction with mechanisms such as NSF/SSO, provide subsecond recovery from any failure.
The high-speed interconnect between data centers can be DWDM/dark fiber, which provides business continuance in case of a site failure. Each site is 100km-200km apart, allowing synchronous data replication. Usually the distance for synchronous data replication is 100km, but with Read/Write Acceleration it can stretch to 200km. A tertiary data center can be greater than 200km away, which would replicate data in an asynchronous fashion.
Figure 19 Trading Resilience.
A robust server load balancing solution is required for order routing, algorithmic trading, risk analysis, and other services to offer continuous access to clients regardless of a server failure. Multiple servers encompass a "farm" and these hosts can added/removed without disruption since they reside behind a virtual IP (VIP) address which is announced in the network.
A global site load balancing solution provides remote traders the resiliency to access trading environments which are closer to their location. This minimizes latency for execution times since requests are always routed to the nearest venue.
Figure 20 Virtualization of Trading Environment.
A trading environment can be virtualized to provide segmentation and resiliency in complex architectures. Figure 20 illustrates a high-level topology depicting multiple market data feeds entering the environment, whereby each vendor is assigned its own Virtual Routing and Forwarding (VRF) instance. The market data is transferred to a high-speed InfiniBand low-latency compute fabric where feed handlers, order routing systems, and algorithmic trading systems reside. All storage is accessed via a SAN and is also virtualized with VSANs, allowing further security and segmentation. The normalized data from the compute fabric is transferred to the campus trading environment where the trading desks reside.
Wide Area Application Services.
This service provides application acceleration and optimization capabilities for traders who are located outside of the core trading floor facility/data center and working from a remote office. To consolidate servers and increase security in remote offices, file servers, NAS filers, storage arrays, and tape drives are moved to a corporate data center to increase security and regulatory compliance and facilitate centralized storage and archival management. As the traditional trading floor is becoming more virtual, wide area application services technology is being utilized to provide a "LAN-like" experience to remote traders when they access resources at the corporate site. Traders often utilize Microsoft Office applications, especially Excel in addition to Sharepoint and Exchange. Excel is used heavily for modeling and permutations where sometime only small portions of the file are changed. CIFS protocol is notoriously known to be "chatty," where several message normally traverse the WAN for a simple file operation and it is addressed by Wide Area Application Service (WAAS) technology. Bloomberg and Reuters applications are also very popular financial tools which access a centralized SAN or NAS filer to retrieve critical data which is fused together before represented to a trader's screen.
Figure 21 Wide Area Optimization.
A pair of Wide Area Application Engines (WAEs) that reside in the remote office and the data center provide local object caching to increase application performance. The remote office WAEs can be a module in the ISR router or a stand-alone appliance. The data center WAE devices are load balanced behind an Application Control Engine module installed in a pair of Catalyst 6500 series switches at the aggregation layer. The WAE appliance farm is represented by a virtual IP address. The local router in each site utilizes Web Cache Communication Protocol version 2 (WCCP v2) to redirect traffic to the WAE that intercepts the traffic and determines if there is a cache hit or miss. The content is served locally from the engine if it resides in cache; otherwise the request is sent across the WAN the initial time to retrieve the object. This methodology optimizes the trader experience by removing application latency and shielding the individual from any congestion in the WAN.
WAAS uses the following technologies to provide application acceleration:
• Data Redundancy Elimination (DRE) is an advanced form of network compression which allows the WAE to maintain a history of previously-seen TCP message traffic for the purposes of reducing redundancy found in network traffic. This combined with the Lempel-Ziv (LZ) compression algorithm reduces the number of redundant packets that traverse the WAN, which improves application transaction performance and conserves bandwidth.
• Transport Flow Optimization (TFO) employs a robust TCP proxy to safely optimize TCP at the WAE device by applying TCP-compliant optimizations to shield the clients and servers from poor TCP behavior because of WAN conditions. By running a TCP proxy between the devices and leveraging an optimized TCP stack between the devices, many of the problems that occur in the WAN are completely blocked from propagating back to trader desktops. The traders experience LAN-like TCP response times and behavior because the WAE is terminating TCP locally. TFO improves reliability and throughput through increases in TCP window scaling and sizing enhancements in addition to superior congestion management.
Thin Client Service.
This service provides a "thin" advanced trading desktop which delivers significant advantages to demanding trading floor environments requiring continuous growth in compute power. As financial institutions race to provide the best trade executions for their clients, traders are utilizing several simultaneous critical applications that facilitate complex transactions. It is not uncommon to find three or more workstations and monitors at a trader's desk which provide visibility into market liquidity, trading venues, news, analysis of complex portfolio simulations, and other financial tools. In addition, market dynamics continue to evolve with Direct Market Access (DMA), ECNs, alternative trading volumes, and upcoming regulation changes with Regulation National Market System (RegNMS) in the US and Markets in Financial Instruments Directive (MiFID) in Europe. At the same time, business seeks greater control, improved ROI, and additional flexibility, which creates greater demands on trading floor infrastructures.
Traders no longer require multiple workstations at their desk. Thin clients consist of keyboard, mouse, and multi-displays which provide a total trader desktop solution without compromising security. Hewlett Packard, Citrix, Desktone, Wyse, and other vendors provide thin client solutions to capitalize on the virtual desktop paradigm. Thin clients de-couple the user-facing hardware from the processing hardware, thus enabling IT to grow the processing power without changing anything on the end user side. The workstation computing power is stored in the data center on blade workstations, which provide greater scalability, increased data security, improved business continuance across multiple sites, and reduction in OPEX by removing the need to manage individual workstations on the trading floor. One blade workstation can be dedicated to a trader or shared among multiple traders depending on the requirements for computer power.
The "thin client" solution is optimized to work in a campus LAN environment, but can also extend the benefits to traders in remote locations. Latency is always a concern when there is a WAN interconnecting the blade workstation and thin client devices. The network connection needs to be sized accordingly so traffic is not dropped if saturation points exist in the WAN topology. WAN Quality of Service (QoS) should prioritize sensitive traffic. There are some guidelines which should be followed to allow for an optimized user experience. A typical highly-interactive desktop experience requires a client-to-blade round trip latency of <20ms for a 2Kb packet size. There may be a slight lag in display if network latency is between 20ms to 40ms. A typical trader desk with a four multi-display terminal requires 2-3Mbps bandwidth consumption with seamless communication with blade workstation(s) in the data center. Streaming video (800x600 at 24fps/full color) requires 9 Mbps bandwidth usage.
Figure 22 Thin Client Architecture.
Management of a large thin client environment is simplified since a centralized IT staff manages all of the blade workstations dispersed across multiple data centers. A trader is redirected to the most available environment in the enterprise in the event of a particular site failure. High availability is a key concern in critical financial environments and the Blade Workstation design provides rapid provisioning of another blade workstation in the data center. This resiliency provides greater uptime, increases in productivity, and OpEx reduction.
Advanced Encryption Standard.
Advanced Message Queueing Protocol.
Application Oriented Networking.
The Archipelago® Integrated Web book gives investors the unique opportunity to view the entire ArcaEx and ArcaEdge books in addition to books made available by other market participants.
ECN Order Book feed available via NASDAQ.
Chicago Board of Trade.
Class-Based Weighted Fair Queueing.
Continuous Data Replication.
Chicago Mercantile Exchange is engaged in trading of futures contracts and derivatives.
Central Processing Unit.
Distributed Defect Tracking System.
Direct Market Access.
Data Redundancy Elimination.
Dense Wavelength Division Multiplexing.
Rede de Comunicação Eletrônica.
Enterprise Service Bus.
Enterprise Solutions Engineering.
FIX Adapted for Streaming.
Fibre Channel over IP.
Financial Information Exchange.
Financial Services Latency Monitoring Solution.
Financial Service Provider.
Information Lifecycle Management.
Instinet Island Book.
Internetworking Operating System.
Keyboard Video Mouse.
Low Latency Queueing.
Metro Area Network.
Multilayer Director Switch.
Directiva relativa aos mercados de instrumentos financeiros.
Message Passing Interface is an industry standard specifying a library of functions to enable the passing of messages between nodes within a parallel computing environment.
Network Attached Storage.
Network Accelerated Serverless Backup.
Network Interface Card.
Nasdaq Quotation Dissemination Service.
Order Management System.
Open Systems Interconnection.
Protocol Independent Multicast.
PIM-Source Specific Multicast.
Qualidade de serviço.
Random Access Memory.
Reuters Data Feed.
Reuters Data Feed Direct.
Remote Direct Memory Access.
Regulation National Market System.
Remote Graphics Software.
Reuters Market Data System.
RTP Control Protocol.
Real Time Protocol.
Reuters Wire Format.
Storage Area Network.
Small Computer System Interface.
Sockets Direct Protocol—Given that many modern applications are written using the sockets API, SDP can intercept the sockets at the kernel level and map these socket calls to an InfiniBand transport service that uses RDMA operations to offload data movement from the CPU to the HCA hardware.
Server Fabric Switch.
Secure Financial Transaction Infrastructure network developed to provide firms with excellent communication paths to NYSE Group, AMEX, Chicago Stock Exchange, NASDAQ, and other exchanges. It is often used for order routing.

Building an automated excel stock trading system

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And the best part that is but ONE of the many profit legs of FapTurbo™ 2.0!
We wanted to show everyone that unlike many scam-only-working-on-paper Forex robots out there, FAP Turbo is REAL.
Agora. lets get to the most important part of all of this. to the reason why FAP Turbo is #1 and will be undefeated for a VERY long time.
I want your full attention here. I mean it, this is KEY:
Understanding the following will show you why FAP Turbo is the real deal. why it’s a golden opportunity for the smart ones.
Do you remember I told you at the beginning of the letter that back-test results are worthless? Well, THEY ARE!
So, why am I about to to show you back-test results of FAP Turbo?
Bem. and this is the best lesson you will ever learn in Forex robot trading:
You Can Validate Them With Live Forward Trading!
O que isto significa?
Well, simple and to the point: if you back-test a robot and it shows 100% “demo” profit in one month, it should PRODUCE around 80-100% profit in LIVE trading.
É isso aí. mo more and no less!
So, how did FAP Turbo perform in back-testing? Bem.
11 Years Back-test 14,088 Total Trades 99.66% Winners 10,607% NET Profit 0.32% Drawdown!
Incredible results right? Yes, VERY impressive.
In the back-test the robot averaged about 48% profit per month (10,607% divided by 132 months which is 11 years).
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You probably expected from me to introduce myself much earlier in the letter right? Well, thats what most “Forex Gurus” do.
Mas. for me it was more important to first show you proof of my bold claims BEFORE I introduce myself.
At the end of the day, who you are and what you are is based on what you can prove. talk is cheap these days!
Assim. lets make it formal.
My name is Steve Carletti and I am a professional I. T. programmer and the head developer of the most accurate and profitable Forex robot in todays market - FAP Turbo.
I suppose like many people out there, my dream as a young kid was always to make it big.
Well, I suppose most of us had that dream when we were kids right?
The questions is how many of us really fulfilled that dream! In other words, how many people had the courage and dedication to go after what they wanted.
I am sorry for being so bold, but most people are pathetic. Por quê?
”Only If I would have done that”. ”Only If I took that opportunity”. ”Only If I had the courage”. ”Only if I took the time”. If If, If , If , If, If.
Well, I was never an “IF” person and that is why I made it big.
É por isso que eu sou rico hoje e a maioria das pessoas que lê esta carta não é. Again, my apologize for being so straight forward but that is the reality of things and as you have already seen my world is a reality based world.
I can still remember in high school. while everyone else was busy playing and enjoying youth I was trying to figure out a way to make money.
I tried every opportunity out there. I actually joined at least 7 MLM programs! Of course they didn't work. but you know what?
And Any other Opportunity I Tried.
Well, not really! Trying things that didn't work actually pushed me more and more to figure out what does work. it gave me more enthusiasm and thrust to figure out a way to make BIG money.
But I learned another lesson as well. a very important one, and I want you to listen very closely here:
Eu sei. sim. this contradicts everything most people have been trained to think: “work hard and you will reach your goals in life”.
Bem. let me ask you this – how many people do you know that work all month long 12-14 hour days and barely bring home a $3,000 paycheck?
Now, how many people do you know that bring:
with hardly any human intervention?
Well, thats not accurate. you know me now :-)
So, bottom line. there is nothing wrong with working hard. My father actually worked more than 15 hours a day for over 30 years and I respect that. He did everything he could do to support the family.
But the HUGE difference between my father and YOU and ME is that he didn't have another option.
Sim. that was the response of EVERYONE around me after they saw the life I was leading. the life FAP Turbo gave me!
Who would have thought 10 years ago that one day this will be my life and of many others trading the FAP Turbo robot!
Today, I live the dream most people have. rake in tens of thousands of dollars while resting, playing, vacationing, watching T. V.
It's amazing how times change. and its amazing how one great discovery can change a whole life!
Mas as pessoas sempre queriam saber mais. they wanted to know why it is possible to make so much money without doing anything trading Forex.
Well, can't blame them! Forex is not something you hear often. it actually sounds a bit scary when you hear the term for the first time!
The advantages of trading Forex are obvious:
Low Startup – You can start with as LOW as $50! Huge Market – $3 TRILLION traded around the world every day (Actually, the Forex market is bigger than ALL the world stock, bonds, and futures markets combined!) 24/5 – Non stop action, 24 hours a day 5 days per week (Monday through Friday) Volatile – The most volatile market in the world. o que isso significa? HUGE opportunity every moment of the day Low Cost – While with stock trading, futures and options you pay spread plus commission, with Forex your only “cost of trade” is spread (that can add up to ALOT!) No Cornering – Unlike any other markets, it is IMPOSSIBLE to corner the Forex market. and, no matter how many people trade with the same robot its efficiency and profitability will remain intact (HUGE plus)! Up & Down – Profit from rising and falling prices. you don't care which way the market goes. Ohhh and, unlike with the US stock market, you don't have to wait for an up-tick for shorting! No Size Limit – Trade as BIG or as SMALL as you want! This is something that ONLY the Forex market allows you.
You have to be blind not to see the incredible potential. and truth be told, my real success as a Forex trader and robot designer only came after I completely understood the significance of these elements.
I also knew that I would not be able to do it alone. At the end of the day, the idea of producing the best Forex robot in existence is quite a big challenge!
You always have to know your strengths. my strengths are organization, information technology, persistence, drive and ambition.
Mas. I was never good with complex numbers and with advanced programming!
What do you do when you have a great idea but not all the qualifications to make it a reality?
You work with THE BEST OF THE BEST in those specific fields you are not the best!
Mike and Ulrich are that “best of the best”!
I actually met both Mike and Ulrich while in university. Both were those typical “geeks” you would find studying and coming up with new theories while most other people were partying!
We hit it off quite well and became very good friends ever since (although, I must admit they do bore me at times with their complex theories and ideas!).
Both LOVED the idea of producing a “never seen before” Forex robot. I suppose it fits our personality – do something traders, banks, fund managers etc. label as “impossible”!
Started – The Wheels Were In Motion – “FAP Turbo”
Was About To Be Born.
We got a hold of every single Forex robot in the market. every single Forex strategy and method available. every idea or piece of idea we could find. we read over 20 “strategy design” books between the 3 of us and subscribed to every single Forex publication/service available.
Thats how serious we took project “FAP Turbo”.
You guessed right. 99% of what we saw, tested and studied was CRAP! Well, obviously. if it wasn't, I suppose others would have already come up with a super-Forex robot right?
Mas. and this is a lesson I learned quite well from this project. even in “crap” information there is value. you can actually understand why it is crap and come up with ideas to improve it!
But you know what was the most frustrating part?
Worked Well ONLY In Backtests!
Once We Live Traded Them We Actually Lost Our Pants.
Sim. we lost a lot of money in the process of testing. but that was the only way to actually know what works and what doesn't.
It was the only way to understand why so many Forex robots were failing to deliver the goods in real LIVE trading.
Do you know that stage where you are ready to give up? Where everything seems a waste of time. nothing seems to work. you can't really see the “light at the end of the tunnel”?
Bem. I must admit. we were quite close to it! But our work paid off once we stumbled into Marcus B Leary and his Forex AutoPilot Robot (forexautopilot).
I LOVE that feeling of relief. that deep breath that comes with “FINALLY!”. finally something that seems to work and make sense!
We were quite impressed by his work as this robot seriously was able to rake in very nice gains - consistently.
The trading risk is to big, especially for larger sums. The all or nothing formula is nothing for weak stomachs.
I called up their support and introduced myself and what I was doing with Mike and Ulrich. after a little back and forth with the support staff I was able to FINALLY speak with the man himself.
We hit is off quite well! I wouldn't say Marcus is the average “Geek” profile. but you can definitely confuse him with that!
He is the type of person that will talk with inspiration and A LOT of knowledge. If you talk to Marcus, you have to know what you are talking about! If not, he will get quite bored quite soon.
Anyway, we ended up talking for over 3 weeks. exchanging ideas. building a solid relationship.
All through our conversations I kept insisting that Mike, Ulrich and Me can actually take his Forex robot and make it 10 times better (a bit bold, I know!).
It is safe to say that if it was another person I was talking to I would have been blown off. but not with Marcus!
That my friend. was Marcus's reply to my constant bragging that we can improve his Forex robot beyond belief. that we can “leave him in the dust” so to speak!
Of course, there were some conditions:
I am sure that when Marcus said the above he was in complete disbelief that we can actually leave his Robot in the dust.
Bem. surprise surprise!
9 weeks later. countless hours of absolutely no sleep. all our knowledge. all our combined programing, mathematics and analysis abilities. living, eating, and breathing Forex. FAP Turbo was FINALLY born!
We fired FAP Turbo for a 2 year back-test. just to test the waters.
Ulrich almost fell off the chair. and I, someone that is quite hard to surprise, was in complete disbelief. I'm NOT kidding! It as one of the greatest moments in my life (and I am sure in Mike's and Ulrich's lifes to).
Mas. no matter what so called “traders” tell you, a 2 year back-test is not enough. not nearly.
So, we went for the whole 9 yards! We fired up FAP Turbo for a 10 year back-test.
14,088 Total Trades 99.66% Winners 10,607% NET Profit 0.32% Drawdown!
Impressive. never achieved before and I am serious. We have backtested countless Forex robots. we have NEVER seen results coming even close to these ones.
But now the REAL challenge was about to take place. back-testing was OBVIOUSLY not enough. Yes, unbelievable results, but. as we all know. it's only backtested results.
Backtests are only the foundation of a Forex robot. the beginning.
Just think of it for a moment. why do you think so many people out there sell Forex robots based ONLY on backtests.
Because they DON'T work in live trading!
Understand that and you will be light years ahead of everyone, I absolutely guarantee that.
With A Live Account. Time To Put Our Money Where Our Mouth Was.
It was time to prove to Marcus, every other Forex trader out there and to the whole world that we finally did, it - we cracked the Code. that we have done what no person thought possible:
A Forex Robot that in LIVE trading doubles ANY account like clockworks!
$500 Turning Into $1,100- In 2 Short Months $2,500 Turning Into $8,700 - In 45 Days $5,100 Turning Into $25,100 - In 30 Days.
(If you haven't seen the LIVE statements of these accounts please scroll up the page)
The job was done. months and months of hard work were finally over. and it paid BIG time!
We could now finally say. but more importantly - PROVE:
Our bold claim of “we will produce the best Forex robot in existance” was now a reality – we PRODUCED the best Forex robot in existence! No fluff. no B. S. no hype. no hand picked trades. no relying on backtesting.
We actually released the Robot to a select group of people. we wanted to make sure that it isn't just US who believe FAP Turbo to be the ultimate, easy-to-use forex robot that we designed it to be!
We wanted normal people, people without experience (people like many of those reading this letter now) and without Forex knowledge to test the Robot and our claims…
See what Loz is saying about FapTurbo™
"Unheard 99% model quality on this robot called Fapturbo Ichimoku. It is doing extremely well. It is an awesome robot and you are getting it for free as a part of the package! 85,000 customers can't be wrong!"
See what Tony is saying about FapTurbo™.
"During the eight minutes my trades have risen to such profit levels, which even great traders would have made only in one day. I was amazed by the precision with which this program works. Every day my incomes only grew. It was almost six months ago. Since then I have almost tripled my money."
See what Alex is saying about FapTurbo™ and showing his account.
"Hi there, my name is Alex and I've been using fapturbo for a couple of years just right from the time when they released one of their earliest versions two years ago. First off, I wanna say that FapTurbo is one of THE best forex scalper robots out there in the market and I've been steadily making money with it."
See what Victor is saying about FapTurbo™.
"I observed as FAP TURBO really only improved my accounts, and during those months I almost doubled my capital. I am very pleased and I recommend everyone to start with little money to eventually increase them twofold, threefold, fourfold. With this program you can achieve the results that you want, such as myself."
Lets see what Anthony is saying about FapTurbo™
"I've been trading for 5 years and even developed several successful forex systems myself with my friend Ronald. Later we decided to open our own testing website called forexealab where we test different robots on the market and find the best for our clients. I must say I was really impressed by the fapturbo performance."
Yes, Automated Forex trading is possible! And YOU could do it too!
As you are reading this letter, the robot is actually producing for us and many other FAP Turbo owners real cash. it has been since we fired it up on our live accounts and it continues to nail trade after trade profitably, accurately and most importantly. HANDS FREE!
You have seen the results. you have witnessed how you can run our profitable robot with minimal knowledge about Forex!
And this is very important so please pay close attention.
FAP Turbo 2 is actually pre-installed for you. so you won't even have to do that yourself.
É o seguinte.
we are aware of the fact that many people are not very good friends with technology. hence, we really took the time and produced the most easy-to-run robot you will find.
Você vai realmente se surpreender quando você ver como é fácil e rápido para se levantar e correr!
The biggest problems people have when searching for an income solution are that they don't have the required amount of time and/or money to invest in order to achieve success (or find something that actually WORKS!).
Pay close attention:
There is no other income opportunity on this planet that:
(can start with as little as $50),
Mike, Ulrich, myself and many other FAP Turbo owners are living the dream of automatic cash. free time to do what we want. piles of money to buy what we want. vacationing WHEN we want rather than when we can.
It is truly not many times a great opportunity presents itself. I can actually count with one hand how many GOOD opportunities came my way through life.
How many can you count?
And from those you can count. how many did you step up to the plate and proved to yourself that you are doing something to make your life and that of those around you BETTER?
Taking a step towards a profitable and secure future is the difference between saying “I wish I would have taken that step”. and “I am glad I took that step”. thats what its all about in life. thats what it boils down to!
And you know. many people are now thinking to themselves.
Bem. ask any Forex robot developer the same question and you will get the same answer “Sure it will work!”. and give you afew B. S. arguments of why it should work.
NOT US. we don't really care in feeding you some made up arguments.
We say. ”Yes, FAP Turbo works throughout ANY market conditions with the exact same profitability and precision. "
And instead of arguments of “why” it should work. we show you concrete PROOF it works:
And what did FAP Turbo do? Produce cold hard cash!
How is that for a secure and stable cash producing solution! While everyone was trying to figure out what the hell is going on, FAP Turbo already figured out how to make money. and A LOT of it!
No arguments. no explanations. but real facts. Don't ever settle for less.
Let's take a close look at 10 FACTS that make FAP Turbo THE indisputable heavyweight champion:
It is clear that FAP Turbo leaves every single Forex robot hanging “dry” so to speak!
And its more than the LIVE results you have seen. its the actual mechanism and special features of the robot that make it so unique.
Mãos para baixo. FAP Turbo is one of the best forex solutions for people who:
Want to trade with the most accurate and profitable Forex robot in the world – 90% Winners. Can't Monitor the Forex Market because of a day job, commitments, etc and want an automatic software to do it for them. Want to be amongst the 1% of forex traders who grow their trading account like wild mushrooms.
Put your name and email address below, and receive a full report on why a certain Forex Broker banned FapTurbo™ (because it was too profitable!) and why FapTurbo™ is STILL unstoppable generating MILLIONS of Dollars.
PLUS: You'll also receive our special Bitcoin Trading Signal Indicator for MT4! Completely FREE!
These Bitcoin signals make an average return of 114.38% (Within 48 hours of the signal due to great volatile market). (details will be emailed immediately).
Like many others, you probably have a number of questions about the FAP Turbo so let's try to cover the most frequently asked questions we receive:
1. We do use it ourselves - every day! You can see the results from the live accounts throughout the website. The Forex market is so HUGE and no matter how many people trade the Robot its accuracy and profitability will remain the same - so why not take a few people along for the ride? They make money (by trading with FAP Turbo) and we make money (by showing them how to use it). Simples. Everyone's happy and we get to invest the profits from selling FAP Turbo into our FAP Turbo live accounts!
2. If we are honest, it’s also a bit of an ego-boost. We want people to remember that we were the first people to create an automated Forex Robot that actually works in such an extremely good way and over delivers. Estamos realmente cansados ​​de todas as promessas de riquezas rápidas surgindo na rede todos os dias e queremos ser o farol de luz para a pessoa média que tenta ganhar uma vida decente.
Also, one of the best features associated with FAP Turbo is that you can trade in a demo account until you feel comfortable going live (you can open a demo account with any broker for free and for as long as you want!).
This truly is a risk-free opportunity.
We are VERY proud of our comprehensive members-zone. Every setup step is described in extreme detail PLUS further enhanced with a custom VIDEO tutorial. Should you have ANY question there is even our support telephone hotline guiding you all along the way! It simply doesn't get any better than that!
This is unlike anything you have seen or experienced before.
Once you've absorbed all you need to know, just sit back, relax and watch as your robot goes to work for you!
Simply follow the Step by Step instructions in the VIP members area and start making money!
This opportunity is available to EVERYONE.
Just check out some of the testimonials to see what other members have said about this exclusive opportunity.
(Altough we doubt you could ever have any since its such a simple setup process!)
Well, and this is what separates FAP Turbo from 99% of other Forex robots out there, you have the option of not using your computer at ALL!
You have two options when using FAP Turbo:
You can simply download the Robot and use it with your current Forex broker.
However, you will have to have your computer turned on constantly for that.
You can have FAP Turbo installed on our server, we take care of that. This way, you will not have to have your computer turned on EVER!
This is actually something we have been working on very hard because we know the problem people have with keeping their computer turned on at all times.
And remember, you have full control over FAP Turbo as if it were on your computer! The process is quite simple actually and once in the download area we will guide you through it. And as always, if you have any questions at all regarding this area or ANYTHING else our support staff is available for you via email or telephone.
FapTurbo™ 2 is our new creation for the premium members. It comes fully preinstalled on your MyfxChoice and Tallinex Mt4! Plug and play solution. Real no brainer!
No more hassles with choosing brokers, optimal settings, wrong configurations and high spreads. We found out that most effective and most profitable way for our premium members is to trade on the FapTurbo™ 2 optimized feed from Myfxchoice and Tallinex. That is how you can maximize your results. Myfxchoice takes a small commission from your winning trades for providing you the service. So it's a WIN+WIN situation!
If you are an old FapTurbo™ 1 legit customer, they even offer a comeback ticket for previous FapTurbo™ 1 owners (because there are 80,000 of then) at a discounted price to reward loyal customers its 20% off for you if you had a previous license.. just get that recipt nr out of your mailbox and save.. Click here to use Come Back Ticket discount.
The best thing about FapTurbo™ 2.0 is that comes fully preinstalled on your MyfxChoice and Tallinex Mt4! Plug and play solution. Real no brainer!
No more hassles with choosing brokers, optimal settings, wrong configurations and high spreads. We found out that most effective and most profitable way for our premium members is to trade on the FapTurbo™ 2 optimized feed from Myfxchoice and Tallinex. That is how you can maximize your results. Myfxchoice takes a small commission from your winning trades for providing you the service. So it's a WIN+WIN situation!
E a melhor parte, não pedimos que escolha entre dois! You get BOTH! Está certo! 1 License is valid for 2 live accounts! Each license owner gets 2 sublicenses to install 2 fully functional FapTurbo™ 2.0 copies..that`s right double the bang for your buck! Those two legs allow you to cashin big right from the start without even having done a single trade!
While developing FapTurbo™ 2.0 we did not only put our focus on profitable algorithms but on trading relationships as well.
Thats why FapTurbo™ 2.0 features a DUAL LEG (tm) system.. the very first in the industry where you get double the benefits.. and what benefits those are !
Thanks to the original fapturbos fame we were able to get these bonuses for you right upon the launch of FapTurbo™ 2.0.
Because they know how good FapTurbo™ 1 worked and since both brokers are true ECN brokerages siding with you and not against you in the currency markets (unlike market maker brokerage) they want you to make as much profit as possible so their commission cut gets bigger and bigger the more YOU make!
You Have Seen The LIVE Proof.
And You Have Seen Why FAP Turbo Is Not Just A Claim. But The Most Profitable Forex Robot In Existence.
It is not just a bold claim that the robot makes money, and a lot of it.
It is not just a bold claim that it is easy to use.
And it is not just a bold claim that there is no Robot out there able to match (even CLOSELY) FAP Turbo's results.
But you know what. more important than everything.
Nossa principal receita não vem de vender a você FAP Turbo. No. As you have already seen, we make A LOT of money by trading it. No matter how many copies of the robot we sell, we will never even come to a fraction of the profit we generate by trading it on our own live accounts!
Further. every single cent from the sale of FAP Turbo goes directly to it's trading.
That is what you can call “they are confident in their product” and “they put their money where their mouth is”!
Throughout the last few days many people have been asking about the price of FAB Turbo. Some people even thought that it will be priced in the $1,000's.
Both you and me know that charging $1,000 or $2,000 for this robot is a good price. And this is not just some “marketing” B. S. trying to inflate the value of the product.
Agora. the problem of charging a high price tag is quite simple. Most people 9and I am talking of over 90% out there) would not have the necessary funds to get a copy of the Robot.
They lose because they do not have the chance to trade FAP Turbo. I lose because I don't get more funds to put into my FAP Turbo live account. bottom line, bad business for all of us.
Hence, we decided on a middle ground: a $399 per month subscription. That is fair.
We all win! You get FAP Turbo for a great affordable price, I get income to trade my live accounts and everyone is happy.
However, because this is the official launch of FAP Turbo I am going to do something great here. something unheard of.
I am going to charge you a one time payment of only $149 , no recurring billing. nada!
Por que estou fazendo isto?
Quite simple. Because FAP Turbo is new and I want to show EVERYONE that it is the absolute best robot in the market. I want the word to spread out as much as possible. I want to create a great name for this product.
It is not enough that I know it is a great product. I want everyone else out there to know it as well!
So, we are offering FAP Turbo 2.0 to you for a low price of only $149ONE TIME PAYMENT!
You have seen a lot on this page.
You witnessed unheard of proof.
You saw what FAP Turbo is doing right now and how it’s performing.
Agora você sabe que este é o melhor robô no mercado.
It doesn’t matter what we think…how FAP Turbo is performing for us or other users… it only matters what YOU think!
If for ANY reason at all you feel FAP Turbo is not for you, just send us your trading screenshots (or call us…there is a support hotline available to clients) within the first 60 days after purchase for a complete no questions asked refund.
(you will NEVER be billed again and you will enjoy ALL the benefits of FAP Turbo as a life time member)
For A One Time Payment Of $149.
FapTurbo™ sold over 85,000 copies now making it the BEST selling robot worldwide and was subject to several updates to keep its peek performance.. Competitors have come and gone because they were just after the quick buck flooding the forex scene with worthless not working crap or even worse what i call "get-your-hopes-up-for-a-week-then-blow-your - account-martingale-trading-sceme-crap". What you get with us is a LIFETIME SERVICE. We became so popular on forex for a reason.
Because we keep developing and we keep ensuring maximum profitability for us and our community.
Steve, Mike and Uli and the whole fapturbo support and community team!
Once you've absorbed all you need to know, just sit back, relax and watch as your robot goes to work for you!
This is unlike anything you have seen or experienced before.
This truly is a risk-free opportunity.
* 13,014 Total Trades.
* 8,792% NET Profit.
Post your feedback about FapTurbo™ robot. Please do not post any support questions, use support@fapturbo2 instead. No spam links are allowed.
For A One Time Payment Of $149.
all rights reserved.
Disclaimer: In the interest of full disclosure we can not say that these results are representative of all users. We simply share the results we personally achieved on our live accounts during our forex trading. Our results are not indicative of future performance or success. Não estamos sugerindo que esses resultados possam ser geralmente esperados ou alcançados por qualquer pessoa. Existe um risco substancial de perda associado ao comércio Forex. Performances passadas não indicam necessariamente resultados futuros!
Some of the accounts shown on this page are simulation demo accounts and backtests for the demonstration purposes. They give you impression on how the robot might work and trade but they do not necessarily indicate future results!
Disclaimer: Unless otherwise stated we have no connection to the person giving the testimonials. Where we do have a material connection to the person we will clearly state the connection. Testimonials are not indicative of future performance or success. Actor Portraying Real Purchaser.
The betatesters used in this video were provided a review copy of the product and a result has a material connection to our website, which may influence their opinion. In the interest of full disclosure we can not say that these results are representative of all users. We simply share the results our betatesters that were achieved during the forex trading. The results are not indicative of future performance or success.
People who send testimonial tend to be happy with the product at the time they sent the testimonial but their experience may change over time. Não estamos sugerindo que esses resultados possam ser geralmente esperados ou alcançados por qualquer pessoa. Existe um risco substancial de perda associado ao comércio Forex. Performances passadas não indicam necessariamente resultados futuros!
FTC Required disclaimer: Unless otherwise stated we have no connection to the person giving the testimonials. Where we do have a material connection to the person we will clearly state the connection. Testimonials are not indicative of future performance or success. The betatesters used in the video testimonials were provided a review copy of the product and a result has a material connection to our website, which may influence their opinion. In the interest of full disclosure we can not say that these results are representative of all users. We simply share the results our betatesters that were achieved during the forex trading. The results are not indicative of future performance or success.
All 5 video tesimonials shown on this page are REAL verifiable people and not actors.

Building an automated excel stock trading system

This website is an investment learning resource, based on my experience gained over 50 years investing in Australian stocks. My objective is to pass on what I have learned over a lifetime of investing. Rather than provide investment advice or recommendations, I want to teach how anyone can develop their own investment plan based on a margin of safety, learning how to make their own decisions in finding good stocks, assessing them for value and safety, buying them at a good price and managing risk.
Stock market investors are invited to use the resources provided on this website to improve their investing knowledge and skills. Everything on the website (except for Michael Kemp's articles) is my copyright work. On the free website (green menu bar items) I provide this material at no charge. To access the members' website (red menu bar items), I ask that you pay a small annual fee, which is to cover the cost of the website and my expenses in teaching investing.
I am continually adding new material to the website.
For assistance in using the website:
This month I have uploaded two new educational articles for you:
My new article has been uploaded to the the Educational Articles page on the Free Resources menu: Charting a Course to Sell Shares. This article shows how to use the concept of trend to take profits and cut losses. It is very relevant to the current markets.
Michael Kemp's new article has been uploaded to the Michael Kemp Articles page on the Free Resources menu: Five Great Share Market Books. This article introduces five books full of easy to understand investment wisdom.
Articles are listed on the pages in alphabetical order by title. # 6 Feb.
You can follow all website news and updates via various RSS channels.
Free Material.
There is a great deal of free material on the Free website, including my Educational Articles and Michael Kemp's Articles, over 1,000 questions and answers in Ask Colin, Book Reviews, a Glossary of terms, Recommended Reading and a Data Files page. You can also find when to hear one of my presentations on the Hear Colin Speak page.
In addition, there is a Members' section of the website containing more advanced material that builds on what is in my books.
Colin's email replies are posted on the Ask Colin page. The last six questions Colin answered are below. Click on the question to read the answer:
Members Material.
This is the principal channel through which I teach investment skills. My investment plan is set out in my book Building Wealth in the Stock Market . The members website allows those who have read the book to follow how I implement my investment plan in close to real time using my own investments as examples of the way I analyse markets and execute my strategies and tactics. Members may read, print or download any document published on the members website.
Join/Renew Now! The annual fee is A$60.00 including GST. The website membership system is totally automated, which necessitates that payment is by credit or debit card only .
What is available in the Members section of the website?
Weekly Market Charts and Analysis - my analysis of the market charts for Australia and major overseas markets.
Market Exposure Strategy & Phase Analysis — my current market exposure strategy and phase analysis.
Stock Investment Journals — analysis and discussion of investments in my portfolio.
Portfolio Details - updated weekly, what stocks I own and portfolio perfomance for the current year.
Changes to my Investment Plan - builds on Building Wealth in the Stock Market.
How I use Insight Trader - articles.
Weekly market scans — technical and fundamental analysis market scan lists.
Charts and Data - updated monthly, useful fundamental data.
Presentations — my slides from presentations I have given.
Copyright articles that I have written for various publications.
Click the hyperlink below to view samples of the copyright material available for members only on the members' website:

Categorizing automated messages.
The author discusses a field study that investigates the relationship between a linguistic theory called speech act theory (SAT) and automated electronic messages. The results reveal that standards for both electronic data interchange and inter-application communication messages have the structure predicted by SAT. This provides some evidence supporting computerized systems based on SAT. The benefits of such systems are that they would be easier to construct and support than existing systems.
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Download full-size image Dr. Moore is an Assistant Professor in the Computer and Information Systems Department at the University of Michigan Business School. His research program focuses on automated electronic messaging, the technology needed to make it possible, the underlying theory, and its relationship with electronic commerce. The broad areas of applicability for his research are in workflow automation, EDI, and information retrieval. Other lines of research have led him to construct a SAT for investigating fleet mixes, an environment for creating and investigating mathematical models, a prototype of a document retrieval system based on a formal language, a message management system (SAT) for an office environment, and a work management system.