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Dynatrade-Bell™, Quantitative Trading Engine

, 13 Sep 2013
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Innovative Market Data analytical and Equities/Derivatives Quantitative Trading Engineding

Please note

This article is an entry in our AppInnovation Contest. Articles in this sub-section are not required to be full articles so care should be taken when voting.

Introduction

The article describes Windows 8 application entry in Intel® App Innovation Contest 2013 


Note:  This winning submission to Intel® App Innovation Contest 2013 was honorably withdrawn by its author to allow a new CodeProject entrant to advance to Round 2 in its place. 


Contest Credentials  

  • Target Platform: Tablet

  • Category: Finance

  • Overview of the application

    Dynatrade-Bell™ is a code name for novel Market Data analytical and Equities/Derivatives Quantitative Trading engine, built on the unique proprietary algorithmic solution. It is the extension of the general concept known as "day trading", adding more flexibility to time windowing technique. The application belongs to High-Risk/High-Return algorithmic trading systems, performed well in a high-volatility markets. The prototype application has been developed more than a decade ago and partially tested in a semi-automatic mode on "virtual" portfolio of US equities (NYSE/NASDAQ, long positions only). Additional algorithmic extension includes the heavy-loss protection module, utilizing novel elaborated composition of stop-limit orders technique. Application requires Market Data feed (historical data to feed into 1-2 months buffer memory required for dynamic engine calibration and real-time data feed for trading orders execution).

  • Intended uses for the Application

    Dynatrade-Bell™ can be categorized as "ROC/ROI booster" and is intended primarily for the investment portfolio managers with "aggressive" High-Risk/High-Return type of trading strategy, like Hedge Funds or certain PE. It should not be used by any 'conservative' investments portfolio management (like, for e.g., pension funds).  

  • Application Development approach 

    Existing application has been developed on the basis of Microsoft Office object libraries, coded with VB/VBA and SQL. It should be converted to .NET WPF application capable of running on Tablet PC equipped with Windows 8. Development approach conforms to the cornerstone principle of the separation of programming concerns: data content to be stored  local databases (presumably file-based SQL CE); the algorithmic part will be implemented as managed code compiled into .NET assembly; novel MMUI will utilize hardware features of Tablet PC like multi-touch screen, digitizer pen support, ASR/TTS. Application will implement TPL to reduce the time required for completion of its most complex computational operations.
  • Coding Languages and Frameworks: .NET, WPF, C#

    Application's managed code base will be developed using C# language and .NET framework/WPF. SQL/T-SQL will be used for Database operations on Microsoft SQL Server Compact edition (SQL CE).

    About Author
    Dr. Alexander Bell is a Microsoft technology veteran with development experience span from DOS to Win 8. He actively participates in digital life of online development communities (published 15 article and 36 tips on Codeproject). In the meantime, Dr. Bell is mostly focused on HTML5, CSS3, .NET/WPF, C#, Java/jQuery, SQL technology set. He is personally credited for the completion of 10+ of enterprise level FLCD projects, providing consulting services to major financial institution in NYC, including JPMorgan Chase, Societe Generale, etc. Dr. Bell is a pioneer and enthusiast of speech-enhanced Windows application software[1-5], and novel MMUI concept.  

Round 1 Contest Ideas

How effectively does the Idea Submission demonstrate innovation and user experience?

Proposed application several innovative ideas:

  • User Experience (UX) improvement via efficient  Multi-Modal User Interface (MMUI) utilizing touch-screen (multi-touch) features of Tablet PC and .NET speech enhancement (ASR and TTS)
  • Single-window solution providing intuitive navigation between functional areas
  • Aesthetic improvement achieved via novel border-less WPF windows implementation
  • Completely autonomous mobile operation allows financial/tax professionals to better utilize their commuting time (in particular, using public transportation without Internet access)
How effectively does the Idea Submission demonstrate usage of key technical enabling vectors?
  • Multi-touch UI utilizing most common gestures, namely: Tap, Press and Hold, Swipe, Turn and Slide, corresponding to primary actions and navigation between screens/functional areas. 
  • Voice feedback including error, instructional and notification messaging via TTS
  • Voice commands via ASR (optional, depends on the availability/quality of microphone input)
  • High data density and feature aggregation in a single Window, utilizing Tablet PC high-resolution display
  • Improved UX by adding various external HID, like detachable keyboard/mouse, stylus or digitizer pen
  • Orientation sensor to switch between portrait/landscape
  • Automated brightness/contrast adjustment (optional, depends on availability of the ALS) 
How viable is the Idea Submission for the Category (i.e. Finance) in which it was submitted?

Algorithmic (aka "quant") stocks/options trading solutions became an organic part of any high-risk investment institution. Proposed app implements unique proprietary solutions, aimed primarily at US equities/derivatives, but could be also extended to cover other vehicles. 
How effectively does the Idea Submission describe the proposed application?

Proposed application is based upon several innovative Submission Ideas and practical know-hows, including those already implemented by author and discussed in his recent publication, plus newly introduced ideas and corresponding programmatic tasks/challenges/solutions discussed later in this submission article (see sections Background and Points of Interest). 

Background

Existing web application

Dynatrade-Bell™ quant trading system

Fig.1: Existing Dynatrade-Bell™ quantitative trading system, composite DEMO screenshot

Dynatrade-Bell™ quant trading system

Fig.2: Dynatrade-Bell™ control panel (computer simulated trading), sample screenshot

Dynatrade-Bell™ quant trading system

Fig.3: Dynatrade-Bell™ "control panel (computer simulated trading Group "P"), sample screenshot

Dynatrade-Bell™ quant trading system

Fig.4: Dynatrade-Bell™ "virtual" portfolio P&L report (computer simulated trading), sample screenshot 

Novel UI

As mentioned above, for the purpose of UX improvement proposed app will implement novel MMUI utilizing novel features of Tablet PCs. The core design principle of MMUI are listed below:

  • Compatibility with standardized Windows desktop-type GUI operations via mouse/keyboard
  • Multi-touch UI extension pertinent to Tablet PC utilizing most common gestures, namely:Tap, Press and Hold, Swipe, Turn and Slide, corresponding to primary action, learning/instructional mode, navigation between screens and functional areas.
  • Voice feedback to User implementing error, instructional and notification messaging via TTS
  • Voice commands via ASR (optional, depends on the availability of microphone input)
  • Orientation sensor to switch between portrait/landscape
  • Digitizer pen (optional) functionality, corresponding to standard gestures, plus data input features
  • Automated brightness/contrast adjustment (optional, depends on availability of the ALS)
External HID

Proposed Tablet app could benefit from external input devices, in particular: detachable keypad and digital pen.

Using the code  

NOTE: This section will be continuously updated as project progressing.

Points of Interest

Programmatic Tasks/Challenges

Potential key programmatic tasks/challenges are listed below:

  • Efficient parallel implementation (via TPL) of existing sequential engine-calibration algorithms
  • Borderless WPF windows with custom control box
  • Multi-touch operations and voice commands set
  • Reliable I/O operations on clients Tablet w/various User Account Control settings
  • Intuitive and effective voice-message set (error messages, notification/instructions via TTS) [1, 3-5]
  • Voice-commands (via ASR) providing adequate recognition accuracy [2] and UX improvement 
  • Data Visualization/Charting solution corresponding to unique proprietary analytic module

Borderless WPF Window

Sample screenshot of borderless WPF Window, implemented in the latest version of Engineering Calculator Volta-8014D is shown below in Fig 5. Borderless Windows have better aesthetic appeal and increase the overall UI, though they represent certain programmatic challenge. The "borderless effect" could be easily achieved via XAML, but it requires some coding to move/re-size the window (notice the novel window control box having additional resizing option). Further aesthetic enhancement could be achieved by making the window translucent (it corresponds to the setting of opacity level). Tablet PC provides excellent opportunity to improve UX by adding multi-touch and voice-controlled re-sizing feature.

Fig. 5: Sample Borderless WPF window implemented in Engineering Calculator Volta-814D 

Speech-Enhancement

The author has been working on speech-enhanced applications for more than a decade and published multiple articles covering two cornerstone technologies, namely: TTS and ASR [1-5].  Speech-enhancement is planned for proposed application, including extended set of TTS voice messages (error messages, instructional and notification messages) and (optional) ASR voice commands.

History

  • 2002: Author developed a series of speech-enhanced Windows apps [1-5]
  • 2013 Engineering Calculator Volta-814D has been released (implements borderless WPF window)
  • Aug 14, 2013: Current article submitted to the contest (Tablet PC, Finance)

References   

  1. Alexander Bell, Voice feedback enhances engineering calculator (EDN, 2002, 7)
  2. Alexander Bell, Add voice command to virtual instrumentation (EDN, 2002, 5)
  3. Alexander Bell, Voice-controlled Virtual Instrumentation based om MS Excel, sample screenshot
  4. Alexander Bell, Excel at Audio-Visual UI Development (Access-VB-SQL Advisor, 2002, 11)
  5. Alexander Bell, Build a Validation Object with Voice Feedback (Access-VB-SQL Advisor, 2002, 12)

Acronyms and Abbreviations

  • ALS Ambient Light Sensor
  • ASR Automatic Speech Recognition
  • I/O Input/Output operations 
  • MMUI Multi-Modal User Interface (multi-touch, speech-enhanced)
  • NASDAQ National Association of Securities Dealers (Market Index)
  • NYSE New York Stock Exchange
  • P&L Profit and Loss
  • ROC Return On Capital
  • ROI Return On Investment
  • ROR Rate Of Return
  • SQL CE SQL Compact Edition
  • TPL Task Parallel Library
  • TTS Text-to-Speech
  • UI User Interface
  • UX User eXperience
  • WPF Windows Presentation Foundation
  • XAML eXtensible Application Markup Language

License

This article, along with any associated source code and files, is licensed under The Code Project Open License (CPOL)

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About the Author

DrABELL
President Infosoft International Inc
United States United States
Dr. A. Bell has 20+ years of Software and Electrical Engineering experience. He is Win/Web veteran, published 200+ articles and authored 37 inventions, currently focused on: Windows 7/8, HTML5, CSS3, jQuery, SQL, .NET, ASP.NET, WPF, C#, Speech Technology and Mobile apps. He's been among recent App submission winners (The Windows 8* & Ultrabook™ App Innovation Contest 2012). Sample pubs:
  1. Edumatter M12: School Math Calculators and Equation Solvers (contest winner)
  2. Engineering Calculator VOLTA-2013 (contest winner)
  3. HTML5 Best Practices: Table formatting via CSS3
  4. Edumatter-M12 for Windows, app overview
  5. Engineering Calculator VOLTA-814D
  6. CoolPhone: phone numbers-to-text converter
  7. SQL generates large data sequence
  8. Aggregate Product function extends SQL
  9. Top-50 Digital Cameras
  10. WebTV Project: Embedded YouTube Player (Goog #1 YouTube API for ASP.NET)
Dr. Bell is personally credited for 10+ Enterprise level projects (Finance/Investment, Engineering, Edu) w/total code base exceeding 250k lines; doing consulting in NYC for 20 yrs.
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Comments and Discussions

 
GeneralThanks for another PinstaffKevin Priddle21-Aug-13 9:45 
GeneralRe: Thanks for another PinprofessionalDrABELL21-Aug-13 12:13 
GeneralMy vote of 5 PingroupGrasshopper.iics16-Aug-13 20:20 
GeneralRe: My vote of 5 PinprofessionalDrABELL17-Aug-13 1:13 

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