Stock Trading Signals Platform

Project challenges

1. Selecting the best Market Data Provider

We needed to select a data vendor that would fit the solution both in terms of technical (WebSocket, real-time data, latency) and business (any stock trades) requirements. There are multiple data providers on the market and they can be can be divided into two groups:

• The first group is official vendors (~70) of real-time stock market data. These vendors must comply with exchange regulations, and to support their products and use their services, we would have to sign an additional agreement with CTA (Consolidated Tape Association) or UTP (Unlisted Trading Privileges) companies. As a result of these additional agreements, the services of the official providers become very expensive and can cost up to $10,000 per month.
• The second group comprises third-party providers that can offer almost the same services as the official providers but cost less. However, they usually have some limitations in data format and connectivity.

Our team conducted research and comparisons of available market data providers, examining data quality, fees, latency, connectivity options, and other criteria. The results and our recommendation were shared with the client for final decision making. 

As a result, the Finage data provider was chosen for the best combination of factors:

• delivery of real-time market data via a WebSocket protocol
• availability of historical data
• acceptable latency
• reasonable fees
  

2. Real-time data quality

The basic and very important key to the correct calculation of all technical/economic indicators and trading signals is the accurate calculation of OHLC prices for 24 secs/1 min/4 mins/ 5mins time period bars.

If one implements OHLC calculations on raw data using only mathematical formulas and compares the values to the Yahoo Finance resource, they will see a significant difference.

The problem is that some data providers, including Finage, sometimes supply raw data that must be pre-processed in a certain way before OHLC calculations can be performed. Raw data must be adjusted taking into account sales conditions and volumes. Pre-processing was performed in full accordance with Consolidated Tape Association (CTA) and Unlisted Trading Privileges (UTP) specifications to ensure accuracy of the calculations.

3. Latency

One of the main requirements of the client was that the solution should have very low latency. The indicators should be shown to the trader milliseconds after the occurrence of a certain event on the stock exchange.

To achieve this, our team developed a multi-layered architecture with advanced caching and multi-threaded calculations to fully utilize multi-core and multi-processor server instances.

We split indicators and signal calculations between the backend and frontend components. Performing some of the calculations on the client side allowed to significantly reduce the load on the server and increase performance.

Third-party integrations

The solution is integrated with data vendor Finage to receive real-time stock market data via the WebSocket mechanism.

Development Process

We used the Scrum framework to implement this project. One iteration lasted three weeks, of which we spent two implementing the requirements from the iteration backlog and the third week testing and debugging.

At the end of the three-week sprint, we held a demo session to demonstrate the functionality increment to the client. Any resulting notes or update requests were forwarded to us and we implemented them simultaneously with the following sprint.

Results

The first version of the platform was delivered in full compliance with the specifications, on time, and on budget. Within 6 months of the project’s start, the system was live and available to real end-users trading real stocks.

The system allowed to significantly reduce the amount of time traders spent on technical analysis, decrease the number of mistakes, and increase profits from the trading operations.

The project is still underway, and the SoluLab team continues to provide support and maintenance services.