I wrote a framework around IB's FIX.
http://www.elitetrader.com/vb/showthread.php?s=&postid=3407469#post3407469
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Looking for platform independent API
- Thread starter silicon.bz
- Start date
I wrote a framework around IB's FIX.
http://www.elitetrader.com/vb/showthread.php?s=&postid=3407469#post3407469
Quote from rosy2:
I wrote a framework around IB's FIX.
http://www.elitetrader.com/vb/showthread.php?s=&postid=3407469#post3407469
That's very interesting!
Is it a commercial product?
The link leads to a company web site and I do not see any information on it about your framework.
I guess it would be of a lot of interest if you could summarize your experience in writing the framework.
Did you base it on QuickFix?
Did you license IB Fix Customization code from another vendor or did you do it totally from scratch?
Quote from comintel:
The API is not Java based.
The Java jar file is just there in case you want to run the Java example.
You do not need it at all if to run the Posix C code. It is a pure socket based program.
See e.g. C:\Jts\PosixSocketClient\src
However, to run the IB API, you do have to connect to either TWS or the IB Gateway (which is Java based also) but the latter can be on another machine.
See, I thought so but wasn't sure. Since that's the case, the OPs best setup would be:
No java machine:
-Get a data feed API that supports unix without Java
-Use the IB API for sending orders to TWS (and recieving responses from TWS)
Machine with java:
-Host TWS on another machine which will get orders from the API and relay them to IB.
The machine to host TWS doesn't need anything other than java and TWS installed to run, and no coding required. TWS is simply there to accept API commands.
Just to clarify again, the process is like this:
1-Get data from data feed
2-Process data, do whatever with it with your own code
3-Send orders via IB API
4-TWS accepts orders and relays them to IB.
5-Monitor response codes sent back from IB (TWS sends to API and you can transfer them into your own code for order management,position management, etc.)
Quote from braincell:
See, I thought so but wasn't sure. Since that's the case, the OPs best setup would be:
No java machine:
-Get a data feed API that supports unix without Java
-Use the IB API for sending orders to TWS (and recieving responses from TWS)
Machine with java:
-Host TWS on another machine which will get orders from the API and relay them to IB.
The machine to host TWS doesn't need anything other than java and TWS installed to run, and no coding required. TWS is simply there to accept API commands.
Just to clarify again, the process is like this:
1-Get data from data feed
2-Process data, do whatever with it with your own code
3-Send orders via IB API
4-TWS accepts orders and relays them to IB.
5-Monitor response codes sent back from IB (TWS sends to API and you can transfer them into your own code for order management,position management, etc.)
Right and just to be clear, he can run the IB gateway on the second machine instead of TWS. It plays the same role as TWS but omits the GUI user interface so it is leaner and meaner.
Quote from silicon.bz:
IQfeed is $50 per month, and they are both Microsoft Windows only. What is this world coming to. Is $50 per month the going rate for most feed systems such as this?
It is a cheap retail level feed for people playing with non-joke amounts of money.
I pay 500 USD per month for NxCore access PLUS 4xx USD per month exchange licensing fees for the real time data so that NxCore is allowed to deliver it to me.
If you can not pay IqFeed's 50 USD per onth, maybe you get a job until you have enough money you can do it.
Quote from bs2167:
Have you used both? If so, any noticeable difference in performance? Asking b/c I currently use IQFeed but have been checking out Activetick...pricing is a little better for large # of symbols and they have a few features that DTN doesn't.
I used IQfeed years ago, and it was fast and reliable. The past few months I am trying Activetick and it seems good except in December I had some issues, sometimes no data would flow for a couple of symbols (out of 1000) for several hours. I contacted support and never heard back, but also the problem seems to have gone away.
The IQfeed API is wonderful while Activetick API is kind of a pain. I am talking Java API but it looks like Activetick C++ API has the same structure.
Quote from promagma:
I used IQfeed years ago, and it was fast and reliable. The past few months I am trying Activetick and it seems good except in December I had some issues, sometimes no data would flow for a couple of symbols (out of 1000) for several hours. I contacted support and never heard back, but also the problem seems to have gone away.
The IQfeed API is wonderful while Activetick API is kind of a pain. I am talking Java API but it looks like Activetick C++ API has the same structure.
Thanks for that. I currently use IQFeed (with Amibroker plugin) but am working on my own Java set up. I'm a complete hack in Java though, so it sounds like I might fare better with IQFeed API. The one thing that's missing from IQFeed though is historical bid/ask data (the primary reason for my interest in AT).
It's interesting to hear that you had that problem with AT...I experienced something very similar with IQFeed twice last year (believe it was Aug and Dec) with a few symbols out of 1000 failing to come through for large chunks of time. Ultimately, it was related to some bad timestamps causing problems. I also received similar interest from their support...I did hear back but it was just to blow me off. Ultimately, the developer of Ami and I were left to figure it out on our own. That said, IQFeed has been solid overall...I'm just surprised more people don't talk about AT since their pricing is a little better and they offer a little more...guess it could be API complexity and stability concerns keeping people away.
I must be missing something. A guy with OP's self-proclaimed mad skillz could/should be making >$500k/year at a Chicago HFT shop, so why is $25k to open an account an issue?
I'd recommend Interactive Brokers for OP - despite the Java involved with Gateway or TWS. I don't really care myself how the bits are getting shifted around so long as it's reliable. It's just a lot more flexible of a setup than you can usually find for a retail guy. There are many projects out there that are compatible.
It can be a very _good thing_ to see your positions and orders in a platform, run on a demo account, get historical data (subject to pacing), and achieve some foundational skills in your algo development.
When you are ready for prime time, you can use a beefier data feed and still execute via IB, or move everything over to Lime or get colo at an exchange etc. But, suffice it to say there are probably guys trading milions of $$ at IB using some kind of excel interface they cooked up.
It can be a very _good thing_ to see your positions and orders in a platform, run on a demo account, get historical data (subject to pacing), and achieve some foundational skills in your algo development.
When you are ready for prime time, you can use a beefier data feed and still execute via IB, or move everything over to Lime or get colo at an exchange etc. But, suffice it to say there are probably guys trading milions of $$ at IB using some kind of excel interface they cooked up.