I have been a long user of IB for discretionary trading (around 4-5 instruments) at a time, but I want to move to a automated trading strategy that can trade automatically on 60+ futures markets (since I have a regular job I can't possibly track/trade 60+markets on my own).
I have access to Bloomberg Anywhere for downloading of historical "concatenated" futures time-series data, and used R to backtest my strategy (with some parts written in RCpp which is embedded C++ in R). But Bloomberg Anywhere is given to me by my office and I don't have real time data (usually 20 minutes delayed) plus I need to enter my fingerprint once every day, else it breaks.
I have been considering eSignal to get real time data and place the orders on IB. I have been reading about tools like MultiCharts or Amibroker or Ninjatrader, etc., but I am confused. I read an article here, http://www.automated-trading-system.com/backtesting-trading-platform/ , but the final structure it showed was reasonably complex for my needs.
Need some advice. Here are some of my requirements:
1. Would need a tool that can automatically send order to IB.
2. My model needs to merge real-time prices at a certain time (say from eSignal) with EOD prices of future contracts and then place order if necessitated (on IB). These times could be different - for instance, for e-mini S&P I would like it to capture the 3pm EST real-time price and trade based on a signal that uses 3 pm real-time and EOD prices, and similarly for Hang Seng, I would prefer the model to trade say around 2am EST midnight.
Any recommendations for softwares / tools (like MultiCharts, Amibroker, Ninjatrader) where I can set up execution trade times for different futures (if necessary within the code)?
3. Any tool (MultiCharts, Amibroker, Ninjatrader, etc.) where I can setup rules for automatic rolling of futures contracts. I want flexibility to set up rules for rolling, e.g. friday before the expiry week for e-mini S&P, but say 2 days before 1st notice date for US 10yr?
4. Any tool where I can do some selection of markets, i.e. suppose I have a list of 120 markets, but only 30 of them are showing some trends at a one. At the beginning of each month, I want to trade only those 30 markets. More specifically, any tool that can allow me to do portfolio stuff, rather than run one-strategy per futures?
For instance, would like the tool to have to ability to check equity in the account, increase/decrease position sizes to reflect a more static margin/equity.
5. Any tool that allows me to select the way to execute, for example IB allows various algo (and suppose I have 10 contracts that I want to be executed spaced-out in 10 minutes, say VWAP) - I want to be able to tell IB to use "VWAP" ?
6. I am ok coding in stuff like EasyLanguage (or anything similar), or in R / Python, and now just enough C++ to get by. Would like to avoid getting into .NET or C# simply because I will waste 3-4 months learning that. Would like to avoid a trading tool which uses a complicated language.
Would be the recommendations / suggestions?
I have access to Bloomberg Anywhere for downloading of historical "concatenated" futures time-series data, and used R to backtest my strategy (with some parts written in RCpp which is embedded C++ in R). But Bloomberg Anywhere is given to me by my office and I don't have real time data (usually 20 minutes delayed) plus I need to enter my fingerprint once every day, else it breaks.
I have been considering eSignal to get real time data and place the orders on IB. I have been reading about tools like MultiCharts or Amibroker or Ninjatrader, etc., but I am confused. I read an article here, http://www.automated-trading-system.com/backtesting-trading-platform/ , but the final structure it showed was reasonably complex for my needs.
Need some advice. Here are some of my requirements:
1. Would need a tool that can automatically send order to IB.
2. My model needs to merge real-time prices at a certain time (say from eSignal) with EOD prices of future contracts and then place order if necessitated (on IB). These times could be different - for instance, for e-mini S&P I would like it to capture the 3pm EST real-time price and trade based on a signal that uses 3 pm real-time and EOD prices, and similarly for Hang Seng, I would prefer the model to trade say around 2am EST midnight.
Any recommendations for softwares / tools (like MultiCharts, Amibroker, Ninjatrader) where I can set up execution trade times for different futures (if necessary within the code)?
3. Any tool (MultiCharts, Amibroker, Ninjatrader, etc.) where I can setup rules for automatic rolling of futures contracts. I want flexibility to set up rules for rolling, e.g. friday before the expiry week for e-mini S&P, but say 2 days before 1st notice date for US 10yr?
4. Any tool where I can do some selection of markets, i.e. suppose I have a list of 120 markets, but only 30 of them are showing some trends at a one. At the beginning of each month, I want to trade only those 30 markets. More specifically, any tool that can allow me to do portfolio stuff, rather than run one-strategy per futures?
For instance, would like the tool to have to ability to check equity in the account, increase/decrease position sizes to reflect a more static margin/equity.
5. Any tool that allows me to select the way to execute, for example IB allows various algo (and suppose I have 10 contracts that I want to be executed spaced-out in 10 minutes, say VWAP) - I want to be able to tell IB to use "VWAP" ?
6. I am ok coding in stuff like EasyLanguage (or anything similar), or in R / Python, and now just enough C++ to get by. Would like to avoid getting into .NET or C# simply because I will waste 3-4 months learning that. Would like to avoid a trading tool which uses a complicated language.
Would be the recommendations / suggestions?