Background:
1. I have years of programming and machine learning under my belt. I prefer coding in python but can make the change to C if necessary.
2. I have years of historical data(down to millisecond) via my school's subscription to WRDS.
3. I wrote an "trading algorithms" using python and sql data. The algorithm had a positive return consistently for 2 yrs. of backtesting. I created a control environment. Essentially, I wrote a program that would call my SQL database, look for patterns, and execute based on them. To mimic reality I had a half a minute execution time delay.
What I want to do:
I want to execute my algorithm using the IB API. I wrote my algorithm, this time "executing" using the IB API. For example when a pattern is detected I would place a "stop order" with the IB API. all was going good, until I decided to test my code with historical data.
From my understanding I cannot upload my own data into TWS and run my code right? If so can someone direct me to links to do so?
If not, how can I backtest my code. To make sure it is doing what its suppose to do? and in future to improve it? Do I have to used a 3rd party trade platform? if so which one(i want to trade stocks)? Assuming I have to use 3rd party, when I go live should I use my own code to connect to IB API or continue using 3rd party?
Is it possible for me to do "live" testing using Ib API? In other words go live and make fake orders. for example, when I execute a "buy" order the IB API would let me know what my order price would had been if I were to execute the order without doing it?
Any help would be much appreciate it.
1. I have years of programming and machine learning under my belt. I prefer coding in python but can make the change to C if necessary.
2. I have years of historical data(down to millisecond) via my school's subscription to WRDS.
3. I wrote an "trading algorithms" using python and sql data. The algorithm had a positive return consistently for 2 yrs. of backtesting. I created a control environment. Essentially, I wrote a program that would call my SQL database, look for patterns, and execute based on them. To mimic reality I had a half a minute execution time delay.
What I want to do:
I want to execute my algorithm using the IB API. I wrote my algorithm, this time "executing" using the IB API. For example when a pattern is detected I would place a "stop order" with the IB API. all was going good, until I decided to test my code with historical data.
From my understanding I cannot upload my own data into TWS and run my code right? If so can someone direct me to links to do so?
If not, how can I backtest my code. To make sure it is doing what its suppose to do? and in future to improve it? Do I have to used a 3rd party trade platform? if so which one(i want to trade stocks)? Assuming I have to use 3rd party, when I go live should I use my own code to connect to IB API or continue using 3rd party?
Is it possible for me to do "live" testing using Ib API? In other words go live and make fake orders. for example, when I execute a "buy" order the IB API would let me know what my order price would had been if I were to execute the order without doing it?
Any help would be much appreciate it.
