IB: Testing a System with Real Time Data

L

laocoon

Hi

I'd like to test a system I developed with real time data and simulated executions, but the TWS Demo platform clearly is not good enough for that (slow & incomplete data). Is there another way of doing it without using real money?

Thanks.
 
Hi zltrader,

Thanks for your reply. I guess that I forgot to mention that I'm looking for a way to test an AUTOMATED strategy on IB, not a discretionary one.

I'm aware of frontends like Zerolinetrader, Ninja Trader, etc but their Simulation Mode (although very powerful) is only for discretionary (manual) order entry.

Thanks.
 
OK, that looks interesting. What kind of language does Zerolinetrader accept as input? Does it have to be a language from a charting application like eSignal, Tradestation, etc or can it be a "pure" language like Visual Basic, C++, Java, etc...

Thanks again.
 
First, you can simply print out your order without submitting it. However, when it comes to real testing I've just had to risk my own money and trade (and watch it to see what goes wrong).

It really is a shame that the edemo is worthless. They could just get one day's worth of data and play it over and over.
 
Quote from laocoon:

OK, that looks interesting. What kind of language does Zerolinetrader accept as input? Does it have to be a language from a charting application like eSignal, Tradestation, etc or can it be a "pure" language like Visual Basic, C++, Java, etc...

Thanks again.
More...


ZLT (Live or Sim) accepts order instructions in text format as documented in http://www.zerolinetrader.com/doc/Port/index.html .

Here is how it works:
1) Your automated system, from Tradestation, eSignal or other, generates the trading signal and creates the order. But instead of sending order directly to the broker, your automated system write the order instruction to a text file according the doc in http://www.zerolinetrader.com/doc/Port/index.html.

2) ZLT will read the text file at the given interval and transmit the order if there is any.

If you are using the free ZL SimTrader or ZLT in Sim mode, the order is transmitted to and handled by the internal sim broker. So you are testing your automated system with real time data without risking your real cash.

For each trades, besides P/L, ZLT also provides MAE, MFE and etc to analyze the system.
 
Quote from 65Matt:

First, you can simply print out your order without submitting it. However, when it comes to real testing I've just had to risk my own money and trade (and watch it to see what goes wrong).
B]
More...


65Matt,

With ZeroLine SimTrader, you can test your automated system with realtime data without risking your own money.
 
Reading this stuff makes my mouth water.

I have a system which is active in the first hour of the market. It has been backtested although the results are not earth shattering. It averages approximately 0.75 points trading the ER2. I would like to automate this system, the idea can be applied to various products. Any idea on how I should automate this? Excel, Java?

Need some guidance since I have never automated anything. I currently use the IB platform.

Thanks,
ozzy

P.S - I can program everything myself I just need some pointers on how to go about it.
 
Quote from zltrader:

ZLT (Live or Sim) accepts order instructions in text format as documented in http://www.zerolinetrader.com/doc/Port/index.html .

Here is how it works:
1) Your automated system, from Tradestation, eSignal or other, generates the trading signal and creates the order. But instead of sending order directly to the broker, your automated system write the order instruction to a text file according the doc in http://www.zerolinetrader.com/doc/Port/index.html.

2) ZLT will read the text file at the given interval and transmit the order if there is any.

If you are using the free ZL SimTrader or ZLT in Sim mode, the order is transmitted to and handled by the internal sim broker. So you are testing your automated system with real time data without risking your real cash.

For each trades, besides P/L, ZLT also provides MAE, MFE and etc to analyze the system.
More...

zltrader,

That's great, ZL does exactly what I need....

Thanks for explaining how it works.

One last question: on the website it says:"The File Port enables ZeroLine Trader to receive order instructions from third party software."

Does "Third party software" stand for applications like eSignal, Tradestation and the likes, or can it also be pure code written in Visual Basic with IB's API? (Sorry for being redundant, I just want to make sure I get it)

regards

laocoon
 
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