Successful automated trading with Excel + IB TWS
- Thread starter travis
- Start date
I also have an excel sheet that makes trades. I took the sample workbook, added a sheet to record market data, chart, and provide some controls (buttons) that stop and start the program.
Travis, I am curious to know how you keep track of your P/L. I am having a hard time with this.
I would really recommend backtesting your strategy with either TS2000 (sometimes you can find it on Emule) or just excel. You can optimize the strategy, find out if your winning streak is a random occurance, and find out all types of details about wins, losses, drawdown, etc. You say you will stop trading when it begins to lose money, but every system goes thru a drawdown.
For those that need their curiosity satisfied, I trade the EUR future.
edit: I know excel is not perfect, but I also believe it's better than running multiple programs. I thought about using TS2000 to trade with, but you'd have at least 4 programs running:
1. Market data
2. TS2000
3. Order mgmt.
4. Broker
Travis, I am curious to know how you keep track of your P/L. I am having a hard time with this.
I would really recommend backtesting your strategy with either TS2000 (sometimes you can find it on Emule) or just excel. You can optimize the strategy, find out if your winning streak is a random occurance, and find out all types of details about wins, losses, drawdown, etc. You say you will stop trading when it begins to lose money, but every system goes thru a drawdown.
For those that need their curiosity satisfied, I trade the EUR future.
edit: I know excel is not perfect, but I also believe it's better than running multiple programs. I thought about using TS2000 to trade with, but you'd have at least 4 programs running:
1. Market data
2. TS2000
3. Order mgmt.
4. Broker
We have inserted a line that produces an html page, with the balance and realtime trades, for every system that gets traded (I trade 3 systems now), and my pc runs a web server, so I can view that page from anywhere, even when I am not home. It also prints the same information on each system's excel sheet.
I can't test the system on tradestation because I don't have the data first of all, and such data would amount to several megabytes per day, and ts2000i doesn't have the testing capabilities as far as I know.
I can't test the system on tradestation because I don't have the data first of all, and such data would amount to several megabytes per day, and ts2000i doesn't have the testing capabilities as far as I know.
my only comment is that for an individual trader with modest needs, you can do quite a bit with just excel, as you have discovered .....
Did you try on Tradestation 8? It comes with all data that
you need and lot better
LOL.. why do people keep telling him to try TS? He's explained that he uses tick data, not simple o/h/l/c bars, as well as marketdepth, etc. I haven't seen TS for a couple years, but it didn't have those capabilities in back testing back then.
My opinion: I've built automated systems for the IB API using the java api. I tend to think that just using a standard API with custom code and a basic (if any) UI is probably less complicated then using excel! Add to that the ability to multi-thread, etc, and I'd say it would be worthwhile for people who have the tech. ability to go the excel route, to just build from scratch.
My opinion: I've built automated systems for the IB API using the java api. I tend to think that just using a standard API with custom code and a basic (if any) UI is probably less complicated then using excel! Add to that the ability to multi-thread, etc, and I'd say it would be worthwhile for people who have the tech. ability to go the excel route, to just build from scratch.
Congrats,
i always admire people who take it into their own hands and not afraid to fail.
i dont see the point of people disappointed about not being told what exactly the guy is doing, but for the curious, i will make an educated guess. He is arbing the common against the single stock future.
If this is indeed the case, I suggest you beware of dividend paying stock: the correct spread between common the future depends not only on the amount of the dividend, which might change but also on the approach of the ex-div date.
Before everybody drops their dayjobs and start doing this, i will tell you even better "secret": you can do this even with much less tightly cor-related things. For example you can trade a bank stock against the corresponding sector index , etc...
I am personally not a fan of coding, so i'm still looking for a good programmer to hire in the third-world, but i'm eager to try... maybe next year.
In the meantime, i am doing this same thing but on longer timescale, without automation, works woderfully so far. Just dont ask me which product i'm trading, hehe...
i always admire people who take it into their own hands and not afraid to fail.
i dont see the point of people disappointed about not being told what exactly the guy is doing, but for the curious, i will make an educated guess. He is arbing the common against the single stock future.
If this is indeed the case, I suggest you beware of dividend paying stock: the correct spread between common the future depends not only on the amount of the dividend, which might change but also on the approach of the ex-div date.
Before everybody drops their dayjobs and start doing this, i will tell you even better "secret": you can do this even with much less tightly cor-related things. For example you can trade a bank stock against the corresponding sector index , etc...
I am personally not a fan of coding, so i'm still looking for a good programmer to hire in the third-world, but i'm eager to try... maybe next year.
In the meantime, i am doing this same thing but on longer timescale, without automation, works woderfully so far. Just dont ask me which product i'm trading, hehe...