Need some help with Automated Trading

B

bjkoehler

Hey,

Im really new to the idea of automated trading, and trading for the most part. Im a senior in college right now, and i am working on a project that involves designing an automated trading application.

I have looked over some books on trading strategies and have decided to just use a simple MACD indicator for the time being. Possibly in the future adding more rules.

I have been playing around with MB Trading's navigator and starting to look at their SDK, but im running into some trouble figuring it all out.

If someone could provide me some direction as to where to go from here i would really appreciate it. I know this is really simple to be posting here, but im not really sure how to proceed. I just want to get started working on it, and i am open to other trading platforms as well. I was planning on developing in C++ but would also be open to suggestions. Any information you provide is of great help to me.


Thanks,

Brad
 
A very easy and low cost development path is to get a copy of Tradestation 2000, use a third party DLL to interface to Interactive Brokers software running on the same computer. With another third party software you can probably get quotes from Interactive Brokers into the tradestation software and not have to pay a quote provider. .You can program the MACD strategy in the Tradestation software in no time since they have it pre written with the software.
 
Here's one way to attack the problem:

step 1. Get an IB account. Best broker for API. Best period.

step 2. Get familiar with the TWS.

step 3. Download and study the API stuff.

step 4. Write a simple VB or C++, C#, .NET, etc interface.

step 5. Test it on the IB Demo Account

step 6. Make real VERY SMALL trades to get the hang of how it all works.


http://www.interactivebrokers.com/en/main.php

http://www.interactivebrokers.com/cgi-bin/apiBetaControl.pl?ib_entity=llc

http://www.interactivebrokers.com/php/webhelp/webhelp.htm#Interoperability/DDE_Configure_TWS.htm

http://finance.groups.yahoo.com/group/TWSAPI/
 
Well, i need to actually write my own interface, so i cant just plug the MACD into tradestation.

Are there programming samples for IB?
 
IB has a demo account:

http://www.interactivebrokers.com/en/software/demo.php

I used MBTrading (not with the API) before and they're like a toy compared with IB. They are not 24 hours, they close from 8 PM to 8 AM (IB does have overnight downtime but it's only at most 30 minutes).

When you install the IB API it also includes demo applications in VB, C++, VB.net and Java as well as a DDE interface via Microsoft Excel.

SSB
 
Quote from SideShowBob:

IB has a demo account:

http://www.interactivebrokers.com/en/software/demo.php

I used MBTrading (not with the API) before and they're like a toy compared with IB. They are not 24 hours, they close from 8 PM to 8 AM (IB does have overnight downtime but it's only at most 30 minutes).

When you install the IB API it also includes demo applications in VB, C++, VB.net and Java as well as a DDE interface via Microsoft Excel.

SSB
More...


I have never ever been able to figure out anything that came with the IB API interface. I have a few years of VB programming experience but cannot for the life of me figure out how to even start programming in an automated system in IB. I also would love a little kick in the right direction.
 
Quote from bjkoehler:

Im really new to the idea of automated trading, and trading for the most part. Im a senior in college right now, and i am working on a project that involves designing an automated trading application.

I have looked over some books on trading strategies and have decided to just use a simple MACD indicator for the time being. Possibly in the future adding more rules.

I have been playing around with MB Trading's navigator and starting to look at their SDK, but im running into some trouble figuring it all out.

If someone could provide me some direction as to where to go from here i would really appreciate it. I know this is really simple to be posting here, but im not really sure how to proceed. I just want to get started working on it, and i am open to other trading platforms as well. I was planning on developing in C++ but would also be open to suggestions. Any information you provide is of great help to me.
More...
Brad since you seem to be getting quite a different set of responses let me ask you a question: what class is this for? E.g. is this a comp sci class (in which case using something canned like TradeStation clearly will not work). Does the program need to be profitable or just be able to do the very basics, get quotes, place orders?

Responses like open a real IB account :eek: or discussions about which broker has better hours :confused: don't seem to be relevent if all you care about is a proof-of-concept demo for class, please let us know.
 
Quote from BigLoser:


or discussions about which broker has better hours :confused: don't seem to be relevent if all you care about is a proof-of-concept demo for class, please let us know.
More...

hahaha. Leave it to ET to start arguing about trading hours..........
 
Another option is Realtick’s API, which I think is by far the most sophisticated available for retail:

https://secure.toolkit.taltrade.com/

However, you have to find a broker that uses Realtick.

http://www.realtick.com

At any rate, IB’s TWS is solid and will offer what you need for auto-trading.

If you haven’t done so already:

You can start out by getting yourself a copy of Visual C++.NET Standard Edition:

http://www.cdw.com/shop/products/default.aspx?EDC=493294

I should point out that the “2005” versions of the Standard and Visual Studio Professional editions will be released on November 7th, so you might want to wait for that.

Later, as you become more proficient and are interested in doing things like clustering your application on several computers, you can move up to Visual Studio Professional:

http://www.cdw.com/shop/products/default.aspx?EDC=488010

Incidentally, since you’re a student, you can get a fully functional version for just over $100.



Quote from bjkoehler:

Hey,

Im really new to the idea of automated trading, and trading for the most part. Im a senior in college right now, and i am working on a project that involves designing an automated trading application.

I have looked over some books on trading strategies and have decided to just use a simple MACD indicator for the time being. Possibly in the future adding more rules.

I have been playing around with MB Trading's navigator and starting to look at their SDK, but im running into some trouble figuring it all out.

If someone could provide me some direction as to where to go from here i would really appreciate it. I know this is really simple to be posting here, but im not really sure how to proceed. I just want to get started working on it, and i am open to other trading platforms as well. I was planning on developing in C++ but would also be open to suggestions. Any information you provide is of great help to me.


Thanks,

Brad
More...
 
Quote from BigLoser:

Brad since you seem to be getting quite a different set of responses let me ask you a question: what class is this for? E.g. is this a comp sci class (in which case using something canned like TradeStation clearly will not work). Does the program need to be profitable or just be able to do the very basics, get quotes, place orders?

Responses like open a real IB account :eek: or discussions about which broker has better hours :confused: don't seem to be relevent if all you care about is a proof-of-concept demo for class, please let us know.
More...


Right on, this is for an information systems engineering class, so yeah i cant use something canned.

The model is just for experimental purposes, ie. it doesnt need to be profitable. Im just looking for the best way, to write my own application that will automatically trade just based on MACD for right now.
 
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