Crucible Automated Trading Analysis and Execution Suite
The Crucible Suite is a long running project of mine that has evolved over the years into what it is today. Its core function is to automatically process tick-by-tick market data, generate analyses from the data for the next trading session, and execute live trades using the generated analyses. This automation project was fueled by my desires to reduce my time spent executing and monitoring trades, and to improve my profitability by fully specifying the process by which I trade.
Written entirely in C#, the Crucible Suite is composed of distinct subsystems which handle specific tasks. The analysis generation subsystem is written as a Windows service with a plugin framework, easily allowing new types of analyses to be added. Analyses generated from this subsystem are stored into a SQL database using LINQ to Entities. On the other side is the execution subsystem which utilizes the information stored in the SQL database to make intraday trading decisions in real time.
Originally, the project started off as C++ module that plugged into AmiBroker, but all trade executions were manually executed. Analyses were stored in a custom flat file database that utilized the Boost serialization library. While the system worked, it was far from ideal. Human error and the increasingly long database look up times were critical problems that still needed to be resolved.
It was at this time that I decided to scrap the existing framework and recreate it with more modern technologies. By moving from the custom flat file database to a SQL database, lookup times were dramatically reduced. A further evolution involved moving the SQL database files into a solid state drive to achieve the desired sub-one-second real time lookup. Analysis generation and execution modules were made into plugins in C#, and direct broker execution became possible.
Live trading of the lastest revision Crucible Suite went into effect on January 1, 2011. For the 2011 trading year, the Crucible Suite achieved a 170% net profit. Current plans are to keep the Crucible Suite proprietary.