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Yes, that is one of the intentions of this thread That is my day job I think the honest self-evaluation in this field is clear, whether my algo is profitable or not I will get the my customised automated trading ready, then I will find a niche spot, certainly not in nano seconds, not even...

Globalarbtrader, thanks, I have read your blog, very informative. Rb7, agree with your thoughts, updated my design below. About multiple languages, agree, it is getting complicated. I thinking to write all automated modules on Java/Scala and the interactive/manual modules can be on any tools...

Yes, it will be part of my setup work. I have been using the API to collect data-feed from IB, now working on transforming raw time series data in higher level features. After having all the features ready, then doing automatic strategy discovery (in about 2 months) Not sure yet, I will post...

Hi everyone, I have been learning how to do automated trading for a few months. Still doing paper trading for testing. I will be doing scalping, day trading, closing position at the end of the day. My current focus is Emini S&P 500 future, may add other future later. Here is my setup: I am...

I contacted the API support, wait 5 minutes, got the answer. 1. Date 2. Time with micro second 3. Specifies the row Id of this market depth entry 4. Identifies how this order should be applied to the market depth. Valid values are: 0 = insert (insert this new order into the row identified by...

I am using IBrokers R API to collect IB market depth data (reqMktDepth(...) for ESU15, ES expired in Sep 15) What is each column description? Especially column 3, 4 and 5. Please see the sample data below. It seems, 1. Data 2. Time 3. ? 4. ? 5. ? 6. price? 7. volume? Many thanks for your...