This diagram (made with bubbl.us) shows in short what the ATS model is mainly comprised of. Of course there are certain aspects and details that I have purposely decided to leave out for yourself to figure out.
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| ATS Flowchart |
What this flowchart shows is the process in which we develop algorithms as well as the basic method of how we implement them. Both "columns" of the ATS model is managed and operated by separate applications, custom-made for our needs. Both were made using C#, a powerful programming language, which will have the capability to compute anything we throw at it.
We will be implementing a dynamic risk model based off of Risk of Ruin/Drawdown as well as measuring the profitability of algorithms using various quantitative criterias such as the Sharpe Ratio and profit factor. Further more we have implemented methods of receiving data feeds as fast as possible to reduce slippage and increase execution.
I am personally extremely excited to see the ATS in it's final stages before it will be implemented. In future posts, I will reveal more of what this model is capable of, as well as its advantages and disadvantages.
Happy Trading!
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