Atlas - An Overview
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Atlas - An Overview Presentation Transcript

  • 1. -An Overview September 2012
  • 2. Features of Atlas
  • 3. Features of Atlas• Fully Automated Event Driven Platform• Medium Frequency & Low Frequency Trading Support• White Box Mode & Grey Box Mode• Multi-User, Multi-Exchange and Multi- Instruments(NSE CM, FO, BSE CM, CDS and Commodities)• Scalable Client Server Architecture
  • 4. (Contd.)• 100+ Technical Indicators & growing• Support for User Developed Custom Strategy• Easy Scripting Language Support• Full Fledged Optimization Engine• Back Testing and Paper Trade facility• Trade with Fundamental and Technical Strategies• Portfolio Manager and Order Manager
  • 5. (Contd.)• Genetic Algorithm, Ant Colony and Brute Force for Optimization• Easy to use 20+ Mathematical and Logical Operators• 800 orders/sec throughput• 999X999(~Million) Strategies per Server• Support for Explicit Linear & non- Linear Models
  • 6. Latency & Benchmark Testing Parameters
  • 7. Latency• Broadcast Source to Signal Generator: 0.5-2 milliseconds.• Signal Generator to Order Manager: 4-5 milliseconds.• Order Manager to Exchange & back : 130 milliseconds.• The total turnaround time is on an average 140-150 milliseconds.
  • 8. Benchmark TestingParameters• 200 Strategies with around 10 Generating Signals at the same time.• Each Strategy having around 6-7 Technical Indicators• Each Strategy having around 5-6 Condition Checks• Around 5 different bar lengths for the Strategies
  • 9. Steps to Profit• Create Strategy using Indicators and Mathematical Operators• Back Test and Optimize Strategy• Paper Trade in Live Market• Deploy Strategies• Make Profits• View Reports
  • 10. Creating StrategyStrategy Base Editor Stocks Stocks StrategyTo Trade Conditions
  • 11. Atlas ArchitectureTechnical Indicators & Operators
  • 12. Indicators Commodity Channel Abs Absolute CCI Index FAMA FAMA ADDARR Add Two Array ChaikinMoneyFlow Chaikin Money Flow ForceIndex Force Index Add An Array with ADDVAL Constant ChaikinOscillator Chaikin Oscillator GD Generalise DEMA Accumulation GenralStochasticCalcu General Stochastic ADI Distribution Index ChoppinessIndex Choppiness Index lator Calculator Average Directional Commodity Selection ADX Index CSI Index HMA Hull Moving Average IntraDayMomentumIn Intraday Momentum ADX_DX Directional Index DivideArr Divide Two Arrays dex Index Divide An Array withADX_DIPOS DI Positive DivideVal Constant Log Logarithmic Array Least Square movingADX_DINEG DI Negative DoubleEMA Double EMA LSMA Average Moving Average Convergence ATR Average True Range DownAverage Down Average MACD_HIST Divergence histogram Moving Average ConvergenceBBANDS_UP Bollinger Bands High ElderRay_Bear Elder Ray Bear MACD_SIG Divergence signal Moving Average ConvergenceBBANDS_MID Bollinger Bands Middle ElderRay_Bull Elder Ray Bull MACD_LINE Divergence line Exponential Moving Market FaciliationBBANDS_LOW Bollinger Bands Low EMA Average MarketFaciliationIndex Index
  • 13. Indicators PercentageVolumeOs Percentage Volume Random walk index MassIndex Mass Index cilator_PVO Oscillator RWI_HIGH high PercentageVolumeOs Percentage Volume MAMA Mesa Moving Average cilator_Smooth Oscillator Smoothing ShiftArr Shift Array Maximum of last n Simple Moving MAX_VAL values in a Array PerformanceIndicator Performance Indicator SMA Average MedianPrice Median Price PositiveVolumeIndex Positive Volume Index SmaSlope SMA Slope Stochastic Oscillator K MFI Money Flow Index PSAR Parabolic SAR Stochastic_K output Stochastic Oscillator D MultiplyArr Multiply Two Array PVT Price Volume trend Stochastic_D output Multiply An Array with Stochastic Oscillator MultiplyVal Constant qStick Qstick Stochastic_SD SD output RelativeMomentumInd Relative Momentum NDayRule_HIGH N Day Rule High ex Index SubArr Subtract Two Array Subtract An Array NDayRule_LOW N Day Rule Low ROC Rate Of Change SUBVAL with Constant Negative Volume Relative StrengthNegativeVolumeIndex Index RSI Index SuperTrend Super trendNetMomentumOscilat Net Momentum Realtive Volatility or Oscillator RVI Index Swing_Up Swing Up output Random walk index OBV On Balance Volume RWI_LOW low Swing_Down Swing Down output
  • 14. Indicators T3 Triple-smoothes WilderEMA Wilder EMA Triple Exponential Moving TEMA Average WilderSmooth Wilder Smoothing William Variable AccumulationTraingularMovingAverage Triangular Moving Average WVAD Distribution TrendScoreIndicator Trend Score Indicator WilliamsR Williams R Trix Trix WMA Weighted Moving Average Extended Average Directional TSI True Strength Index XD_ADX_ADX Index ADX output Extended Average Directional UlcerIndex Ulcer Index XD_ADX_DX Index DX output Extended Average Directional UOSC Ultimate Oscillator XD_ADX_DIPOS Index DI Positive output Extended Average Directional UpAverage Up Average XD_ADX_DINEG Index DINeg output Extended Commodity Selection VMA Variable Moving Average XD_CSI Index Vortex_Pos Vortex Positive Output ZLMA Zero Lag Moving Average Vortex_Neg Vortex Negative Output
  • 15. Operators OprAND Boolean And OprADD Mathematical Addition OprOR Boolean Or OprDIFF Mathematical Subtraction OprCROSSABOVE Cross Above OprPROD Mathematical Multiplication OprCROSSBELOW Cross Below OprDIV Mathematical Division OprISLESS Is Less Than OprQUOTIENT Mathematical Quotient OprISGREATER Is Greater Than OprMOD Mathematical Remainder OprISEQUALS Is Equal OprISNOTEQUALS Is Not Equal OprISLESSEQUALS Is Less Than or EqualOprISGREATEREQUALS Is Greater Than or Equal OprMAXOF Maximum of OprMINOF Minimum of
  • 16. Our Offerings
  • 17. Our Offerings• Includes Strategy Creation Module, Back Testing and Deployment Module including Server and Client• Genetic, Ant Colony and Brute Force Optimization• Pre-Bundled Strategy and Advanced Reporting.• Installation, 3 days of extensive training and hand-holding.• 30 Days Trial.
  • 18. The Company• Started by 3 ex-NSE employees and an IIT – KGP Alumnus• To create World Class Products for the Domestic Financial Market• Using the Best Available Technology and Research• Best in Class Service• To Delight Customers Always
  • 19. The Team• Founding Members • Jimson Kuttikkadan (9 years experienced Developer, Ex- NSE) • Yogesh Iparkar (7 years experienced Developer, Ex- NSE) • Rahul Patel (6 years experienced Developer, Business Analyst, Ex- NSE) • Sidharth Mallik (Fresh from IIT KGP, Integrated MSc. in Maths and Computer)
  • 20. Road Ahead
  • 21. Road Ahead• Comprehensive set of 250 Technical Indicators• Dictionary for Custom Algorithm Editor• Smart Order Routing• Comprehensive In Built Risk Management• Strategy and Scrip Level Reports for Analytics and Fine Tuning• FIX 4.X Implementation• Comprehensive Execution Algorithms
  • 22. Thank You +91-22633010