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Thank you to everybody for the pointers. In light of all this what are the advantages of automated futures trading given all the pitfalls associated with the back testing of systems?

Cheers Louis, thanks for you help. :)

Thank you for your answer, is it possible to point me at some reading material on the methods you mention?

When I develop a strategy for Forex, I pick and instrument (e.g. EUR/USD) and an interval (say, last year), I then data mine this interval for something profitable. How would this work for Futures? with Futures you have multiple contracts with different expiry dates, how would one develop a...

I would like to respectfully differ on a couple of points, there are no actual strategies on ET, but there is a lot of very useful information if you dig around (you need to identify the people who seem to know what they are talking about, which is difficult among all the noise), if you're...

Thx mrtwo, how much does the data feed from DTN cost and why did you choose this over the IB feed?

*Bump Nobody automates though IB in this whole forum?

Cheers for the link, that may be a good implementation cross reference, but I was hoping for something a little more C++'esq (e.g. strings and containers).

I have been browsing the IB API C++ source code, I notice the protocol to trader workstation is actually pretty simple, but the implementation is rubbish (MFC dependencies etc). My question is, do people bother to re-implement this layer? is there anything which is not immediately obvious that I...

That's a bit of a simplification of what Aronson concludes. He proves no single TA rule (the ones in his study anyway) have any statistical significance. But goes on to show that TA data mining can work if one is aware of the limitations.

To add to that, one only has to view the results of the MQL trading competition to see that AI has real value in trading, its all there in black & white.

I'm not sure what purpose your little diatribe serves in relation to my post, the real problem is not the language, it the design of programs. In my experience the programmers who make the loudest noises about this language vs. that tend to be the ones who are actually the least capable...

Anyone who thinks C# or Java is going to execute faster than C++ needs their head read, but as pointed out above it will be the I/O operations which will be the actual bottlenecks.

I have to ask the obvious question, if it works so well, why bother selling it?

A question for those people who have written their own back testing frameworks and automate though IB, do you use the IB historical data to backtest or do you source tick data from somewhere else? If you source other data do you not run the risk of optimizing systems which may exploit data...

I'm glad I'm not the only person who had this thought, the MB C++ API is the same really, total crap.

My ISP is Orcon. Where do I configure the server address for TWS? BTW, cheers for all the help guys.

I'll give that a shot as well, when I can't connect I can ping the IB IP address, but am unable to resolve the name.

Cheers for that. Another update, from the log... PO 19:37:18:576 JTS-Login-4: NextConnectTime: 19:37:32:625 base=150000 range = 20000 random: 6344 PO 19:37:32:593 JTS-Login-4: Connecting host=gw1.ibllc.com port=4000 ssl=false timeout=0 PO 19:37:34:857 JTS-Login-4: Error: creating...

How do I establish the ip address of the server? Update: It got into the same state, which is that my internet connection is functional but TWS can't seem to login. Looking though the TWS logs it seems to be trying to connect to gw1.ibllc.com, at that point I couldn't ping that address. I...