G-BOT Project
Algorithmic Trading - Hedge Fund Automated Management
Methodologies and Platform
__________________________________________________________________________________

- G-BOT Platform screenshots
- Due diligence, performance assessment and copy request
- Strategy notes

Project description

G-BOT is very active a scientific project, directed by Tom Gastaldi (currently professor at first University of Rome"La Sapienza"). The project is concerned with the the study of trading algorithms and fully automated strategies for systematic profitability and it is also discussed in public trading forums with fund managers, investors, etc.

These strategies and algorithms are also incorporated in an actual platform (a trading robot) for hedge fund automated management, also called G-BOT, which applies them to entire folios, that can formed by any type of financial instrument (fut, fop, stk, opt, cash, cfd, ind: see example file).

With G-BOT, even one single (experienced and smart) individual can control, from a single laptop, a large offshore fund (say from several hundred millions up to billions) possibly distributed on simultaneous multiple accounts, from any location in the world. Further, he can do that while on the move, or quickly relocate the entire management function to another location (as far as there is Internet connectivity). Just a few key strategic decisions, and the rest is just pure and full automation.

G-BOT applies and let you apply all the tenets of portfolio/investment management to large folios of financial instruments, such as: folio selection (right instrument), size calibration (right size), instrument correlations (this is related with previous, as we don't want to invest too much on essentially the same price "moves"), opportunity selection (right time and price), possible periodic capital "redistribution" across new or better opportunities). One of the most neat form of investment that is conceivable (operate from any location, no setup costs, no risk of collection, no shipping, no trade union, realtime monitoring to the penny, full control on investment development).
 
G-BOT does a massive mechanical "scalping" action (with a non-predictive kernel), while at the same time hedging and turning cointegrations (even temporary) in its favor.
It manages all aspects of complex folios, including folio recalibration, cointegrations and option hedging.
Note that when we use the word "scalp" or "scalping game" we are not refering to the capture of small price changes, but "typically" the (default) minimum "scalp size" is 2% - 3% of the current price (however, the fund manager can adjust this size to any size he wishes). So the term "scalping" is used in a generalized sense.

Here is more about strategy.

[This is a collection of some metrics also used by G-BOT (which also computes realtime correlations).]

G-BOT is discussed on public forums. Some public discussions about G-BOT (early development/test) can also be found here:

http://www.elitetrader.com/vb/showthread.php?s=&postid=3517512    [most recent thread, with real $]
http://tradersplace.net/forum/thread/63/g-bot-algorithmic-trading/        [tp thread]
http://www.elitetrader.com/vb/showthread.php?s=&threadid=222126
http://www.elitetrader.com/vb/showthread.php?s=&threadid=208265&perpage=6&pagenumber=23
http://www.elitetrader.com/vb/showthread.php?s=&threadid=202078


(the threads also contain explanations about early development, approach, performances and opinions from other experts and fund managers worldwide).
For due diligence and copy request, see below. For installation or quick start: Manual.
If you like to discuss algorithmic trading ideas and methodologies, do not forget to join the great Linkedin group:
"Algorithmic Trading for Real Traders and Funds ": http://www.linkedin.com/groups?gid=4394344&trk=hb_side_g"

For any issue or feature request, please feel free to send it to us (DataTimeSRL@gmail.com). Any problem reported is addressed and solved immediately, for inclusion in the next update. Get ready with your skype account to chat real time with any problem or doubt or to suggest improvements. Our skype id: "datatimesrl"

Example of scalping on a long only constraint (real account):

. Use of the system in automatic mode with real money on local machines (traders' computers) is granted to selected fund managers/investors with enough capital (see here for details).

For this reason, for cautionary reasons, a mandatory paper trading period is enforced in any case. [Attempt to trade real money when not "enabled" yet will cause the program to switch into "manual mode" and trading becomes "discretionary": it will work in "manual" mode only, turning you into a "discretionary" trader. In fact, it turns out that G-BOT is also an excellent program for purely discretionary traders, since it allows to monitor and trade with great accuracy any instrument, while showing the actual realtime net PNL, the possibility to enqueue orders, and all the other great features of the infrastructure.]


How to request a copy

For any serious request, a personal (free) copy will be prepared and compiled on purpose.
If you are interested in testing G-BOT funtionalities and assessing performances on your own machines running the IB Gateway (or TWS), just send us (DataTimeSRL@gmail.com) a "G-BOT request" via email with the following mandatory information (that will be hardcoded in your executable):

    - Your "name", city and country (for program customization). Your Skype ID (optional: for realtime support and interaction).
    - MAC addresses of the PCs (or virtual boxes) you wish to use [if you are unsure how to find it, read here or just use this tiny .NET utility "FindMAC" we have made it just to this purpose: it will display your MAC addresses]

There are no fees or costs whatsoever involved in the due diligence activity.

For Microsoft .Net framework 4.0 or above (tested on Windows XP/Vista/7, 32 or 64 bit). For IB (Interactive Brokers) accounts only.



[Note that we are not associated with Interactive Brokers in any way: we have simply chosen IB as target broker, as at the moment, and as far as we know, it is the most serious and suitable broker around. There is also a technical reason: G-BOT revolves around the idea of allocating relatively small risk across a good number of uncorrelated instruments. IB is the only broker which offers immediate and simultaneous access to any possible market and instrument through readily available .NET APIs.

Note that, for a preliminary review of G-BOT, an IB account is not necessarily needed and you can start testing G-BOT immediately after installing the IB Gateway (or the TWS, which are a free download) and connecting to the IB " Demo" Account (by logging with the well known universal credentials: "edemo, demouser" or "fdemo, demouser"), although, keep in mind, in that case, that the tickdata sent by IB in the "Demo" mode are fictitious (depending on instruments they may be past data or totally meaningless data); anyway still barely ok to understand G-BOT features and approach at an explorative stage. As an advantage, testing on demo account, you will not be restricted to subscribed markets.]


How is G-BOT unique?

When you start using G-BOT, you soon realize that it is totally unique and it stands completely in a category of its own. There are many reasons for that. Let's review the most important ones.

G-BOT is a high precision machine that can trade automatically 24/7 with minimal supervision from the fund manager, but it also provides the appropriate means for discretionary intervention at any degree, when necessary. It incorporates all the technological and methodological tools to test accurately the given logic and assessing exactly the performances and risk capital requirements for each scalping game, with both backtesting (real past tickdata) or forward testing (scientifically generated random scenarios or actual trading).
G-BOT is released for free to anyone who requests being part of the private distribution and the fund manager/investor can use it as long as he wishes and freely perform locally, on his machines, any tests and performance assessments for how long he wishes on paper trading, before comitting real funds.

The other "trading platforms" expect the trader to create and implement his own "strategy". G-BOT, on the contrary, provides a robust and fully customizable conceptual architecture that completely frees the trader from such an endless task, providing a working, sensible approach. Thus, it allows the trader to focus on higher level aspects, folio management and risk management, also with possibility of exercising at any time strategic discretionality, within appropriate constraints.

While many platforms provide classical TA indicators thus forcing the trader towards a nonsense predictive approach, G-BOT works based on the base assumption that no prediction and that no predictive indicator is used (within the algorithms). This approach leads to a totally different and innovative trading methodology. In fact, the main idea of G-BOT is that of extracting profit from the price curve by player superposition, and overlaying multiple "dynamic probabilistic cage" or "order clouds" from which the price curve cannot easily "escape" without being scalped. This is implemented through an overlay of multiple strategic layers, each one working with a multi-agent logic and hedging each other (player superposition). For more info see here.

On the basis of experience, we have resolved that overlaying folios of instruments, each one working on multiple timeframes, is more convenient and safe for several reasons, explained below. Besides, objectively "performances" (in terms of profit to risk ratio) are superior respect to other approaches. Whatever temporary disconnection or infrastructure problem will not be able to hurt significantly the trading mechanism. There are also several other benefits:

   a. Positions will be relatively small and undetected in the market: opening and closing positions will never be a problem (also semi liquid instrument can be traded more effectively).
   b. Risk will be greatly spread and performances will increase greatly (in relative terms). In fact there will be reciprocal hedging across different folio instances.
   c. Gaps or order execution problems will not hurt the trading activity.
   d. Further, if a large risk capital is available, starting the new folios at different price levels, you will be practically covering all the price range, taking advantage of any price move.
   e. It does not rely on expensive infrastructure and services (such as colocation), and attains much better overall results in terms of reward to risk ratio.
   f. This approach also allows gradually ramping up the invested amount to whatever size, with an optimal money management and risk diversification.

What G-BOT tries to accomplish at any time and with each strategic game is the maximization of the profit to risk ratio, while the absolute risk is to be calibrated by the fund manager, based on strategy, instruments, capital and mkt volatility. G-BOT will also allow to define the ranges where the scalping games are active (through the "discretionary bounds"), in order to delimit and "compress" the drawdown zones (in probabilistic terms) and to create option "corridors" for scalping, to exercise good control on risk.

If you think about it, most platforms - which are licensed and expect the user to define his own strategy - are just the result of a long unsuccessful quest for algorithmic profitability. As the authors were not able to find systematically profitable strategies, they had no other choice than to try profiting from program licensing or sales. Clearly, you can expect that if a strategist was not able of being profitable with his own software, it is very unlikely, if not totally impossible, that a simple user, with the same software, will. The problem actually being mostly architectural and conceptual. In fact, when you use a platform, you do not have infinite degrees of freedom, as you might think (even if you were given the most complete language to code with), but you are, instead, limited by the "concepts" and many other architectural constraints it implicitly delivers.

You will see that G-BOT is a world in itself: not just a top trading application, but a precise expression of a no-nonsense approach to systematic profitability. A concentrate of original and new ideas. We work continuously on this project and as soon as any improvement is found it is incorporated in the next software update (shipped to traders and funds).


Some selected features of the platform

The platform works at tickdata level, and all data is received, analyzed realtime. Volatility, cointegrations, folio calibration, and several other metrics are computed on the fly.
Orders are executed in milliseconds from any overseas location. It performs realtime charting, with visual representation of all orders for all instruments in the folio and provides realtime statistics for the entire folio. A DBMS can also be straightforwardly wired to G-BOT to record accurately and store all the trading activity and orders (for further analysis with other management tools).

G-BOT can recover from any crash or resume from any interruption, and it is a bullet proof application, designed to stay up 24/7, even forever, trading automatically large folios of financial instruments. It provides facilities helpful for estimation of risk capital necessary to trade a given portfolio, depending on scalping games and profit objectives.

With G-BOT you can trade any instrument, in any market, worldwide. G-BOT is expressly designed to trade simultaneously one or multiple folios of instruments, on one or multiple accounts, and supports all possible functions at folio level, including backtesting with real past tickdata and forward testing and robustness analysis under mutating random scenarios.

G-BOT is not suitable for the amateur trader or the small investor, but it is especially suitable to manage existing large capitals. In fact, it is designed for systematic creation of wealth on a large scale and requires significant risk capital and also good trading skills, experience and smartness. Natural users are, therefore, bright hedge fund managers, experienced and intelligent traders working for large investors or institutions.

It integrates forward testing, "robustness analysis", backtesting, with both past real tickdata and random scenarios for entire folios of instruments. Separately, an effective system for tickdata capture and storage ("Tickgrabber") is also available. G-BOT supports unique features, such as player superposition and layer overlaying , creating multiple instances of instruments (called "clones " or layers), and multiple instances of the robot can be started simultaneously on several (possibly "linked") accounts, or on the same account, from one single machine. It can safely handle any interruption or infrastructure problem.

These features are currently unique to G-BOT, which, for the very first time, has introduced and delivered such innovative concepts.

Can trade any instrument (Futures, ETFs, Stocks, Options, Cash, CFDs, etc.) and any mkt
Can trade automatically completely unattended (as well as completely in "manual mode").
Can stay up 24/7 forever, with automatic reconnection and alert disconnections, recording all the events occurred
Shows realtime tickdata, separately for BID and ASK, allowing a precise control of spread and order prices
Can trade any number of multiple "linked" account simultaneously from the same machine
It provides full support for option trading, including the new "mini-options"
Trade any number of instruments simultaneously (large folios)
Handles asynchronously all orders events, taking care of partial fills, cancellations, rejections, presubmissions, etc.
It prevents later execution of multiple orders
Allows managing presubmitted, submitted and "stranded" orders remained inactive.
Holds up any number of distinct G-BOT instances running on different logins (each of which can access any number of liked accounts)
It automatically prevents any accidental account switching
Allows order enqueuing for later conditional execution
Allows automatic take profit based on user conditions
Can read and execute external orders watching a given order execution list
Allows the trader to "inject" strategic orders (handled algorithmically by the application)
Allows any kind of manual intervention or manual trading
Allows manually (pre)submitting orders (outside of the automatic scalping cycle)
Allows both "auto" and "manual" orders and transforming a manual order into an auto player and viceversa
Allows delimiting trading zones with discretionary bounds
Allows algorithmic trading on one direction only (long/short)
Keeps track of real time cointegration matrix to possibly "block" or hedge instruments
Does automatic folio recalibration, based on nominal values and volatilities (exposure)
Allows easy hedging with options
Shows extensive real time statistics about any useful aspect of trading, including complete history of realtime PNL, gain, losses, unrealized, etc.
Keeps track of real time volatility to adjust accordingly strategic games
Keeps track of realtime spread for entries and trading decisions
Allows the user to define strategic games by defining custom rules
Full support for FA (Financial Advisor) accounts.
Allows each instrument and each layer to have its own specific strategic game and settings
Supports instrument overlaying (multiple clones of the same instrument can be traded with different strategies) at different price levels and possibly with different strategic games
Allows player superposition and the scalping "game rules" can be analytically defined by the user
Allows managing individual players (close / deactivation)
Exports trading reports in txt, Excel and html format with images and visual trade representation
Keeps complete log of any activity
Allows (optional) connection to a DBMS for trade activity recording
Allows any backtests for folios of any size
Allows forward test under mutable random scenarios (mkt simulation) for any folio size
Can generate batteries of random experiments and show the distributions and performances for any strategic game
Allows forward live test on paper trading accounts, demo accounts, FA demo accounts
Can show account info of any number of linked accounts
Can compare account info with instance position (sync check)
Can backfill any tickdata gap, and can do it separately for BID and ASK
Allows resetting tickdata while maintaning all orders history and PNL
Allows removing spikes, outliers both in bid /ask curves and PNL curves
Allows projecting external positions to be handled within the application, or to re-sync
Allows easy roll over and automatically adjusts strategy players to possible contango or backwardation
Provides realtime info about dividends
Automatic retrieval of complete option chains and corresponding tickers symbols.
Automatic retrieval of options with strike near current price, for quick creation of "protection units".
Allows trading instruments and options within the same instance, so that PNL results are aggregated and the hedging effects of the "protection units", formed by the current options, are shown realtime
Allows automatic determination of "option protection units", through quick scan of the entire chain of available options for any instrument
Allows multiple criteria for "shares identification" (including the common schems FIFO, LIFO) useful for both the fund manager and the tax accountant

Managing hedge funds Managing hedge funds

G-BOT is now being used for real money trading by funds and investors worldwide. The total number of users (testing or real trading) from all parts of the globe has increased dramatically since we started making public this project. The need to comply with a large number of different frameworks and fund managers' needs has greatly contributed to the robustness and effectiveness of the platform, as G-BOT incorporates many features requested and observations made by the smartest guys around the world. This is an important growth factor, which allows G-BOT to be constantly over the top.

Apart the funds we manage directly, each fund manager runs it completely independently on his local machines and is obviously completely and solely responsible for any aspect of trading (folio setup, discretionary aspects, execution, etc.). Our "relationship model" with our investors is summarized here, and is essentialy based on personal relationship with very few self-selected interlocutors, who have both the intelligence and the capital to understand the G-BOTconcepts and systematically print $ with it.


Where in the world is G-BOT mostly used?

G-BOT is used in many areas of the world. Most funds are (currently) in North America, Canada, Europe and Australia, but we are also expanding elsewhere.

 
(We could not keep up with all the new locations and requests: but you get the idea ...) you get the idea ...)



Patronage, grants, funding

If you are a science benefactor interested in algorithmical trading, please put our project in your list, to support its scientific and technological development, for funding research topics, and testing the new trading methodologies which are being developed. Current research areas include:

- Hedging mechanisms based on cointegrations
- Rules for player superposition
- Hedging mechanisms based on option corridors
- Simulation technology (process generation, mixtures, etc.)
- Real money forward testing of specific strategic games
- New platform features development
- and also: New public, full transparent, realtime pilot tests of performances with real money

If interested in supporting or sponsoring this research, please write (tommaso.gastaldi@gmail.com)

 

A G-Bot wallpaper

Download  [1600x1200, use in "stretch" mode]

Links to useful interesting technical articles

http://www.vosesoftware.com/ModelRiskHelp/Time_series/Geometric_Brownian_Motion_models.htm
http://www.puc-rio.br/marco.ind/stochast.html#estimation
http://www.optionsplaybook.com
http://www.theoptionsguide.com
http://www.fea.com/resources/pdf/a_mean_reverting_processes.pdf
http://homepage.mac.com/j.norstad/finance/rtm-and-forecasting.html
http://www.tradeology.com/priceaction.htmlources/
http://www.stat.uconn.edu/~studentjournal/index_files/Zoe_s05.ppt
http://people.orie.cornell.edu/~protter/WebPapers/HistoryJP04.pdf
http://www.math.duke.edu/vigre/pruv/studentwork/malone.pdf
http://www.e-m-h.org/
http://www.optioncity.net/pubs/Caltech2004Talk.pdf
http://www.mathematik.uni-leipzig.de/preprint/2002/p3-2002.ps
http://www-groups.dcs.st-and.ac.uk/~history/Printonly/Bachelier.html
http://www.bearcave.com/software/market_trading/resources_and_notes/Architecture%20of%20an%20Interactive%20Brokers%20Based%20Trading%20System.html
http://www.datatime.eu/concorsopoli/TestPrimalita.htm
http://www.datatime.eu/concorsopoli/MultinomialDistribution_GuptaNagelConjecture.htm
http://academicreviews.splinder.com/
http://www.datatime.eu/DataTimeUniversal.htm

 Forum
http://www.elitetrader.com//
http://www.linkedin.com/groups?gid=4394344&trk=hb_side_g     [Algorithmic Trading for Real Traders - LinkedIn]
http://www.tradelogically.com/
http://www.trade2win.com/boards
http://www.traderji.com/
http://www.traderslaboratory.com

 Interesting or amusing threads     

http://www.elitetrader.com/vb/showthread.php?s=&threadid=66599&perpage=6&pagenumber=24    "Every forex broker is evil?!"
http://www.elitetrader.com/vb/showthread.php?threadid=171976                                                   "Informal ranking of Chicago prop firms"
http://www.elitetrader.com/vb/showthread.php?s=&threadid=200561&perpage=6&pagenumber=1    "You are more likely to become a top Hollywood actor or popstar than profitable trader"
http://www.elitetrader.com/vb/showthread.php?s=&threadid=199982&perpage=6&pagenumber=1    "Are you smarter than a top M.I.T. Grad?"
[...]

 Tools

http://finance.google.com/finance/stockscreener
http://www.amex.com/
http://www.nyse.com/
http://finance.yahoo.com/
http://www.marketwatch.com/tools/etfs/html-adv-screener.asp
http://www.proshares.com/funds
http://www.marketwatch.com/tools/calendars/earnings.asp
http://ultrafunds.blogspot.com/2008/01/ultralong-etf-reference.html
http://www.thecontrariantrader.com/

 Brokers

http://www.interactivebrokers.com/ibg/main.php
http://www.elitetrader.com/br/                             [Broker ratings and opinions]


Investor protection

http://www.cftc.gov/opa/enf98/opaforexa15.htm
http://www.cftc.gov/ConsumerProtection/FraudAwarenessPrevention/ForeignCurrencyTrading/index.htm
http://www.forexpeacearmy.com/ terms of reward to risk ratio. http://www.forexpeacearmy.com/
http://www.cftc.gov/ConsumerProtection/index.htm
http://en.wikipedia.org/wiki/Forex_scam
http://articles.latimes.com/2011/aug/16/business/la-fi-0816-currency-fine-20110816http://antifraudintl.org/forumdisplay.php?f=653
http://www.forexpeacearmy.com/forex-forum/scam-alerts-folder/4410-been-cheated-saxo-bank.html
http://www.forexpeacearmy.com/public/review/www.varengoldbankfx.com
http://www.forex-regulation.com/eToroScam.htm
http://www.elitetrader.com/vb/showthread.php?threadid=92351
http://en.wikipedia.org/wiki/Forex_scam
http://www.elitetrader.com/vb/showthread.php?s=&threadid=169495&perpage=6&pagenumber=2
http://currencytradingstrategy.net/brokers-shocking-truth-ecn-dealing-desk-spikes-spread-manipulation-and-other-dirty-tricks/
http://articles.latimes.com/2011/apr/03/business/la-fi-amateur-currency-trading-20110403

 Firms

http://www.tradersnarrative.com/list-of-proprietary-trading-firms-735.html                       [Proprietary trading firm directory]
http://investimonials.com/prop-firms/                                                                          [Firm rating]
http://profit.ly/
http://www.elitetrader.com/vb/showthread.php?s=&threadid=212110&perpage=6&pagenumber=6      [discussion on unregulated 3rd party educational vendors]

Readings

http://ezinearticles.com/?Trade-Exit---How-To-Cut-Losses-And-Let-Profits-Run&id=62634
http://grailtrading.blogspot.com/
http://ezinearticles.com/?Forex-Scalping-Systems---The-Truth-about-Profit-Potential-From-Day-Trading&id=1030178
http://www.forexfactory.com/showthread.php?t=18238
http://www.readersdigest.ca/money/cms/xcms/day-trader-don-ts_281_a.html
http://www.pipholic.com/ive-found-the-holy-grail-unbelievable.html
http://butlerblog.com/2007/04/05/the-holy-grail-of-trading/
http://www.compuvision.com.au/Examples/HolyGrailPart1.htm
http://chartingstocks.net/article.cfm/id/31320
http://www.financialsense.com/fsu/editorials/wagner/2006/0901.html
http://www.tradingwinner.com/archive/2006/11/19/trading-strategy-using-trailing-stops/
http://opportunitiesaplenty.com/Debt_Blog/2008/05/_using_a_trailing_stop_limit_can_generat.html
http://www.traderji.com/words-wisdom/9837-wisdom-dump.html
http://www.traderji.com/words-wisdom/15241-stage-trading-r-u.html
http://www.elitetrader.com/vb/showthread.php?s=&threadid=169495&perpage=6&pagenumber=2
http://stocks.about.com/od/tradingbasics/a/tailingstop.htm
http://www.trade10.com/technical.htm

 Videos

http://masteroptions.com/?p=3                                                                                [understand options]
http://www.interactivebrokers.com/en/general/education/webinars/cta-april2005.html    [how to become a CTA]

 
G-BOT friends