Automatic IB Execution Based on Real-Time Intra-day Trading

P

pbanerjee

I have a regular day job and can't sit in front of a screen to monitor whether a signal on a particular market turned BUY to SELL or vice versa.

Suppose I have a intra-day futures system like this ...

1. If current time is between 9:30 am and 3:45 pm EST, then
(a). For each N markets, where N is a set of markets (Gold, e-mini S&P, Crude, Euro), do the following
(i). If Cond1 is True, BUY Ni lots for market i, else SELL Ni lots for market i
4. If current time is 3:45, close-out all positions.

where Cond1 is some rule (e.g. can be a MACD rule).

What is the easiest way to set this up via some platform (e.g. Amibroker, Ninjatrader, etc.)?

I don't want to write detailed C++ codes using some API as I don't want to get into the trouble of collecting / managing tick or minute level intra-day data - don't have the time for that. I can do Python coding, but it just seems easier to use a technical analysis package's language/code as my system is not that complex.

a) Reading Amibroker's documentation, it appears that they something called IBController where I can probably set up such a thing. Amibroker seems like a viable option

b) Any other technical analysis package, aside from Amibroker, that can handle completely automated execution on IB based on changes in signals driven off RT data?

c) Any recommendation about the best way to go about this? Any experiences to share?

Thanks
 
Your trading rules sound simple enough for a programmer experienced in financial trading. The difficulty is in making it robust enough to run unattended. No matter how thorough you are, you cannot anticipate everything that can go wrong. Knight found that out the hard way, and they were one of the biggest players in the world.
 
pbanerjee said:
I have a regular day job and can't sit in front of a screen to monitor whether a signal on a particular market turned BUY to SELL or vice versa.

Suppose I have a intra-day futures system like this ...

1. If current time is between 9:30 am and 3:45 pm EST, then
(a). For each N markets, where N is a set of markets (Gold, e-mini S&P, Crude, Euro), do the following
(i). If Cond1 is True, BUY Ni lots for market i, else SELL Ni lots for market i
4. If current time is 3:45, close-out all positions.

where Cond1 is some rule (e.g. can be a MACD rule).

What is the easiest way to set this up via some platform (e.g. Amibroker, Ninjatrader, etc.)?

I don't want to write detailed C++ codes using some API as I don't want to get into the trouble of collecting / managing tick or minute level intra-day data - don't have the time for that. I can do Python coding, but it just seems easier to use a technical analysis package's language/code as my system is not that complex.

a) Reading Amibroker's documentation, it appears that they something called IBController where I can probably set up such a thing. Amibroker seems like a viable option

b) Any other technical analysis package, aside from Amibroker, that can handle completely automated execution on IB based on changes in signals driven off RT data?

c) Any recommendation about the best way to go about this? Any experiences to share?

Thanks
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Your goal seems pretty simple and easily programmable in NinjaTrader, which uses C# that it's not so hard to grasp for a person with some coding experience. However be aware if actually your systems use simple technical indicators for trading, because it doesn't sound too reliable to leave it unattended.
 
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