Trying to connect to a broker, can't find a normal

R

rokka

Hi,

I'm doing a research on brokers API, connectivity and protocols for automated trading.

It's quite dissapointing so far.

IB:
good:
very low entry leve in term of account size for autotrading.
accept fix proto for orders
bad:
too low limits for fix and quotes (150 and 50 msg/sec). see here http://www.interactivebrokers.com/en/pagemap/pagemap_APISolutions.php
ridiculous gui "gateway" software to get API for fix and market data. 2 copy of app is required.
no API on c++ for Unix

http://www.thinkpipes.com/
bad: they want 10^6$ before doing anything. TOS, cmon!

Could somebody advise any other?
It's for futures trading on a small scale.

Hopefully someday I'll be able to get access directly to a few exchanges.

Many thanks.
 
Look at MBT's API and see if that works. Also, Velocity Futures TT-Fix Adapter. Can't speak for either, but it's another option that you seek.

g/l
 
Quote from cstfx:

Look at MBT's API and see if that works. Also, Velocity Futures TT-Fix Adapter. Can't speak for either, but it's another option that you seek.

g/l
More...

Thanks guys for suggestions. I'll add them to my research list (if there are any done by somebody else?)

What are typical questions should be asked when opening an account?

I'm interested in c++ API support for Unix, fix should be available for orders.
And it should be a house which will allow to scale.

What else should I ask before even starting talking about account opening?

--R
 
My broker is postrockglobal.com. Best service and commission. If it wasn't for my broker which i have known for 5 years, i wouldn't be making money in the es.
 
I think for the middle of the road between IB and higher end services would be to split your data and execution services. For example, get IQFeed and use IB for execution. You have to use two APIs but you can add more symbols and have less limitations on historical data download.

If you use a set of libraries like tradelink, you ideally wouldn't have to worry as much about writing the nitty gritty code connecting to the APIs: http://code.google.com/p/tradelink/wiki/ProviderFeatureMatrix

You can use separate data and execution providers (both IB and iqFeed can be connected to w/ tradelink).
 
Quote from caementarius:

I think for the middle of the road between IB and higher end services would be to split your data and execution services. For example, get IQFeed and use IB for execution. You have to use two APIs but you can add more symbols and have less limitations on historical data download.

If you use a set of libraries like tradelink, you ideally wouldn't have to worry as much about writing the nitty gritty code connecting to the APIs: http://code.google.com/p/tradelink/wiki/ProviderFeatureMatrix

You can use separate data and execution providers (both IB and iqFeed can be connected to w/ tradelink).
More...

Its probably a good idea to get market data from the other source.

Regarding tradelink - interesting as a reference for programming...
And funny: using "...2894.exe" for HFT, what?

--R
 
Quote from rokka:

Its probably a good idea to get market data from the other source.

Regarding tradelink - interesting as a reference for programming...
And funny: using "...2894.exe" for HFT, what?

--R
More...

2894 is a revision number in their version control.

I just went back and read that you want to run on Unix - so tradelink is maybe just useful as reference code for an iqfeed data connector if you go that way:
http://code.google.com/p/tradelink/source/browse/#svn/trunk/ServerIQ-DTN

IQFeed may charge extra for API access - it's been awhile since I looked into it. I remember doing a trial with them years ago and having a hard time canceling service before getting charged.

If you are trading futures, how many symbols and msgs/s do you really need?
 
Quote from cstfx:

Look at MBT's API and see if that works. Also, Velocity Futures TT-Fix Adapter. Can't speak for either, but it's another option that you seek.

g/l
More...

hehehe, MBT.
I remember those guys, was my first broker :)
That was an expririence!
I don't know how they survive with such "highly" skilled team.

Velocity is another retail.
No, that's not what I'm looking for.

Main page should say something like "NASDAQ TotalView feed only 5$/mo"
FIX5.0 integration and testing for free. We pay you for the volume! And so on.
I'm not looking for retail brokers (well, I have to do with retail IB right now, but this is temporary).

Any other suggestion?
 
Quote from caementarius:

2894 is a revision number in their version control.

I just went back and read that you want to run on Unix - so tradelink is maybe just useful as reference code for an iqfeed data connector if you go that way:
http://code.google.com/p/tradelink/source/browse/#svn/trunk/ServerIQ-DTN

IQFeed may charge extra for API access - it's been awhile since I looked into it. I remember doing a trial with them years ago and having a hard time canceling service before getting charged.

If you are trading futures, how many symbols and msgs/s do you really need?
More...

As a learning source - it's definitely a great suggestion. But windows, cmon!

I was just laughing at ".exe"
Its would be hilarious - "our HFT cluster is running on the latest patched version of Windows!" Eah, we have to reboot it from time to time.
Actually some big guys were doing this (LSE) till they got enough crashes to abandon it, hehe. Well, I'm not smart enough and don't have money to afford windows as a trading platform :)

I will be looking into the most liquid futures (es, zn, cl, ng - etc) and I need the whole feed (with all orders). Not sure if iqfeed can provide that. All their feeds are surprisingly low cost - is it because again this is for retail?

--R
 
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