· 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
· Visual trading user
· User defined
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
· 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,
· 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
· 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.
(live) test, training
recorded or simulated
training, debug, simulation, backtesting,
real time chart