Progressive Software To Offer Algorithmic Trade Backtesting

Progressive Software Corporation launched a software that records market data in real time and allows for backtesting of algorithmic trading strategies on historical data. "To stay ahead in the algorithmic trading market, buy and sell side firms must assess which

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Progressive Software Corporation launched a software that records market data in real-time and allows for backtesting of algorithmic trading strategies on historical data.

“To stay ahead in the algorithmic trading market, buy- and sell-side firms must assess which strategies are working most effectively to determine how to replicate gains and minimize losses,” said John Bates, vice president, Apama products. “EventStore enables traders to spot complex patterns within the market, formulate lucrative trading strategies that exploit those patterns, and test those strategies before they go live.”

Apama EventStore, which will be available in March 2006, draws from market data sources such as Reuters, GLTrade, FIX, EBS and Hotspot FXi, as well as from exchange and institution-specific adaptors. The software can also capture internally-generated trading information, such as trade confirmations, or derived event streams like a weighted moving average (WMA) or a custom basket of securities.

Using recorded data from EventStore, the performance of prospective strategies can also be simulated to determine how a strategy would respond in certain circumstances. This allows financial institutions to analyze the market and their own performance, both to audit existing strategies and to develop new ones.

“Like TiVo for digital television, EventStore can ‘record’ market data streams, preserving time order, and replay them on demand to evaluate new algorithms and gauge the projected performance of a trading strategy before it is deployed,” said Mark Palmer, vice president Event Stream Processing, Progress Software.

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