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RAPT offers professional solutions to develop, test and operate automated trading systems for futures and stock markets.

runs on any environment : WINDOWS, LINUX, ...
Actual operation on going, with more than 50 orders / day.
100 000 of lines code.
Commercial offering

 

The RAPT plateform is a result of more than 15 years endeavor in computational finance, development and actual trading on futures and stock markets.

Featuring:

·  Operating modes: actual trading, live test, training, debug, simulation, backtest, studies...

Actual trading mode:

·  Automated orders with Interactive Brokers, FIX interface, WEB broker interface.

·  Errors controls, automatic re-connection, fail-safe exection modes.

·  Recording all ticks data , orders, portfolios positions,

·  Dynamic tables, real time charts

·  Visual trading user interface

·  User defined strategies in JAVASCRIPT,

Simulation & Backtesting mode:

·  High fidelity simulator: on recorded or simulated ticks, variable speeds, simulate order book using full tick data (bid/ask/last), as well as order priorities (bid/ask/last sizes) and transmission delays, ...

·  Trading Systems Debugger including, event breakpoint (order status, tick data, ...), step by step mode.

·  Trading Systems Backtester including parameters optimizations based on user defined objective functions (reward/risk)

·  Risk management functions: Sharpe ratio, Sterling ratio, VaR, utility functions,

·  Portfolio management: CAPM, optimization of user defined utility function, Kelly criteria, CRP (Constant Rebalanced Portfolio), ....

Predefined and fully parameterizable Trading Systems:

·  Momentum/trend following, mean reversion, breakout systems,

·  Stat arb trading systems : based on cointegration VAR/VECM & Kalman filtering

·  Market Making algorithms

·  "Model Based Trading": from data model to Monte Carlo Simulation of market model to Optimal Trading System

More than 100 Indicators : technical analysis, on endo of day or intraday data, in tick time, or business time, aggregation of ticks data in regular time series,

·  Volatility models, covariances, using high/low values, ACD-CARGH modeling,

·  Options pricers:, classic or exotic options

Numerous mathematical functions:

·  global optimizations (simulated annealing), genetic algorithms, Kalman filtering, wavelets, ...

·  Monte Carlo Simulations, (MCMC)

·  Probability & Statistics, significance testing : t-stat, khi2, Kolmogorov Smirnov, Watson, Jarque Berra, runs test, linear and non linear simple/multiple regressions, maximum likelihood, bootstrap, time series analysis: ARIMA, VARMA, stochastic processes and related distributions (min/max, first passage time, ...),

·  Variable length Markov Chains

·  Machine learning, data mining: classification, segmentation, non linear regressions (KNN, ...), regression trees, dynamic programming, reinforcement learning,

·  universal predictions & portfolios RAPT-Studio seamless integrates with R ( (http://www.r-project.org)) R is the best open source product for statistical and numerical computing, leveraging RAPT capabilities with reliable and evolving solutions to the most complex problems.

interactive studies can be performed in the standalone RAPT- Studio, or via HTML and WEB server.

 

 

 

orders

quotes

actual

simulated

actual

actual trading

(live) test, training

recorded or simulated

 

training, debug, simulation, backtesting,

trading platform modes

visual trading

Intraday spread trading

automata state machine

real time chart

Studio

pdf version

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