You'd in theory need two APIs, right? One for the order execution and one for the trading setup, data feed, and trading rules/logic. This begs the question of what data/quote provider has a decent API for Python?
If you wanted to write a trading BOT for IB
- Thread starter TimtheEnchanter
- Start date
Depends on the data. IB data is fine for my algo. But Im guessing its not good enough for you.
I dont trade with market orders.
I am not saying IB data is not good for me only that many here had complaints. Do the IB API's handle price data as well, no only orders?
yes, you can request live data via API calls, also back data as well.
They do up to an extent.
For instance IB will give you 100 real-time subscriptions. In reality they are aggregates few times per second, which might be enough for most people.
They also have historical data. But it comes with aggressive throttling because they don't want you to use them as a data provider, it's not their business. But you can occasionally request bar data and subscribe to updates even.
You can also purchase extra concurrent quotes with their Booster Packs. ~30$/month for extra 100.
Of if you pay a lot in commissions or your account size is huge they will give you more. They have formula on their website. I don't remember exactly but commissions will have to be >1k month or account 5mil$+ for you to benefit, to give some idea.
People who need real real time data on a budget often use IQFeed.
Next tier will cost 5-10x more, it will be Nanex Core which streams the whole market to you.
Val
Thanks for the info. I am only interested in trading ES and maybe some other contracts like gold or silver. (I am scared of that schizoid NQ), of course, backtesting will tell me that. So it seems 100 real-time subscription is more than I need.
He wants to play with machine learning algos.
get multicharts and hook it up to ib and auto trade.
@MarkBrown
Write an obituary comment (you mentioned he was your friend), and plant some trees, motherfucker...
https://www.ruffnerwakelin.com/obituaries/Timothy-A-Morge?obId=17989083
https://www.elitetrader.com/et/threads/tim-morge-and-the-well-chosen-example.305061/
https://www.elitetrader.com/et/threads/heres-my-latest-blog-on-the-market-as-a-mirror.351020/page-2
NO wonder, @destriero ripped you a new one (and absolutely destroyed you)...
LOL
@MarkBrown
Write an obituary comment (you mentioned he was your friend), and plant some trees, motherfucker...
https://www.ruffnerwakelin.com/obituaries/Timothy-A-Morge?obId=17989083
https://www.elitetrader.com/et/threads/tim-morge-and-the-well-chosen-example.305061/
https://www.elitetrader.com/et/threads/heres-my-latest-blog-on-the-market-as-a-mirror.351020/page-2
NO wonder, @destriero ripped you a new one (and absolutely destroyed you)...
LOL
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Depends on your needs. If you are trading a limited set of symbols (say less than 30) for which you need real time data, IB is fine for data and execution in the same API. How sensitive is your algo to depth of book? If mostly trading on the inside using market orders or crossing the market, IB is just fine. Anything up to minute resolution is fine too. It will definitely not be competing with HFT algos but most retail level algos don't need to be.
If cost is a concern, I have hooked up a version that uses TS data (free) on one PC using a shared memory pipeline (very fast) with an IB execution on a separate PC. Very cost effective and fast. Also helps in redundancy when one or the other is down.
If cost is a concern, I have hooked up a version that uses TS data (free) on one PC using a shared memory pipeline (very fast) with an IB execution on a separate PC. Very cost effective and fast. Also helps in redundancy when one or the other is down.