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Fairly comprehensive list of IB programming consultants: http://www.interactivebrokers.com/en/general/poll/ibconsultants.php?progid=10&ib_entity=llc You don't mention whether you will use a proprietary model or one of the standard models for option pricing. Automated gamma-scalping...

Good luck with the thread and bot construction Doli. You may or may not be aware of the following resources that may assist your endeavors: - The Yahoo! TWSAPI Group: http://finance.groups.yahoo.com/group/TWSAPI/ There are also numerous pieces of sample code, some out-dated...

OK Guys. For the three or four of you that are following along, just thought I'd let you know: I'm on a break for a few weeks as of tommorrow so it's not likely I'll be updating this thread till I'm back. I will be monitoring if anyone has some ideas to contribute. I'll leave with a brief...

Also, if you are developing in Java, MappedByteBuffer: http://java.sun.com/j2se/1.5.0/docs/api/java/nio/MappedByteBuffer.html Might be of use to you for your purposes.

I use a simple Tick compressor which just looks at incoming ticks and adds them to a Bar. When the Bar is full the Tick compressor spits out the bar and starts on the next bar. In my system, the bar is put onto an event bus which gets picked up by anyone listening to bar events. I have...

As I cover each class and perhaps document with UML, responsibilities should become clearer. As per earlier post, signal generation could be encapsulated elsewhere outside of the class if needed. I haven't covered the money management/position sizing component yet or indeed other...

Well, this is the same idea that NeoTicker follows. Essentially, it treats TradingSystems as specialized Indicators. For example, Indicators are given one or more data series as input and spit out indicator values for each bar, for example, that comes in. Compound indicators spit out...

Interesting, using the composite design pattern is certainly a neat way to go about it. I could feasibly apply that here to have SignalGenerator and SignalGeneratorComposite. Presumably the actual order management occurs elsewhere?

Assuming I rename SignalGenerator to Trader. Does anyone else have thoughts on having separate SignalGenerator(s)? Hypothetically you could have 1 or more SignalGenerators per strategy. Then, in Trader you would look at a "SignalAggregator" which in turn looked at all of the...

Yes, good point. Initially, that is what I had in mind for SignalGenerator - simply generating buy/sell signals where there was an abstract Signal class. You could then combine multiple SignalGenerators to come to a trading decision: if all the Signals are green - buy. This way you could...

Here is a simplified sequence diagram that I hope will shed some light on the situation. It illustrates the sequence of messages that might occur when a trade event happens and your strategy logic wants place a market order inside an onTrade() handler e.g. onTrade(...) { //...trade...

Certainly, it was the intention to provide ability to specify user parameters for a strategy in the XML configuration file. However, I was differentiating between ordinary user parameters and parameters that could be optimized. Perhaps there is no need to differentiate here and put the...

Too funny. Nuff said.

I was going to ask for a free copy of his software since he kept referring me to it. Seems all of his posts have now been removed.

Agree. Part of this goes back to the question of instrument normalization that I raised earlier on in the thread. Essentially, the solution is to have an equivalent to Fatrat's Product Manager/ NeoTickers Symbol Manager. What you do is set up an Instrument definition which contains...

Oh boy. Thanks for that....but I wish you hadn't. Now I'm going to spend yet more countless hours on that research tangent. Damn those hyperlinks.

Yes, I was considering MBean wrappers for the Strategy Container, Provider Registry etc. It's non-intrusive and gives an instant GUI (Jconsole + other management applications) and also web interface via an appropriate HTTP adaptor. Given that the entirety of JBoss is built from MBeans, it...

Whilst I'm waiting for the inevitable flood of responses to the real-time topic I'll continue with where I left off on the SignalGenerator. I realize it might be a little difficult to see the whole picture at the moment but hopefully things will become clearer once I draft the next UML for...

Before I continue delving into the specifics of Strategy implementation I'd like to see if anyone has some input on the topic of real-time. Given that Java Real-Time System (JRTS) is relatively new and doesn't support Java 5, and only runs on Solaris 10 and SPARC I can safely rule it out for...

That book looks great. Pity I'm going to have to wait till March to get it.