Interactive Brokers Forex Feed

M

max_w

I'm currently using Morning Star Forex feed for EURUSD for my hft. I started this past week, but I wasn't getting much in the way of fills. It turns out most of my orders weren't marketable. I'm either bidding below the market bid or selling above the market offer. Which I don't understand as I'm getting pretty new data (updates every 50ms from the chicago office).

In any case I want to use IB's forex feed, but it is only available through their TWS trading application. I'm on collocated box that runs linux and I only have ssh access to it.

Anyone with experience with this? What would you do? Suggestions are welcome.

Also I'm using FIX to transmit orders and I don't think they allow Request for Quote messages.
 
IB offers API that can run on Linux that is getting data from running TWS application. TWS can also run on Unix. IB also offers IB Gateway that has smaller footprint than TWS and is geared toward operating with their API.

One can use Java or C++ to write running app for Linux.
 
Thank you. I completely forgot about the API. It should work through the gateway as I only have SSH access to my box.
 
Well I just learned that you need X11 to bring up the jtsclient. I don't have that. Can you run the api purely command line with no graphic user interface?
 
IB API is just socket implementation with message passing mechanism between running IB Application (TWS, Gateway) and your program. In any scenario one could design program with no GUI. To start check their C++ Posix implementation. I would recommend checking IB TWS group at yahoo and IB site as well.
 
If you have the money I'd go with EBS or Reuters, though you would have to go through a bank or a prime broker. With Reuters an order has to be open for at least 2500 ms. Not sure about EBS.

IB data works fine. I'm on Linux (Centos 6). Running IB Gateway headless is difficult, so I had to install X11.
 
You must log in or register to reply here.
Back
Top