Trading System Development
I recently worked on an Interactive Brokers TWS API implementation in C++, and I wanted to share some thoughts on it while they are fresh in my mind. Intro The purpose of this post is to prove that IB’s TWS API has a socket implementation that is replaceable. I made an implementation that retains all …
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Executive Summary I describe a way to add exact fees and credits to any Zorro backtest, using the new enterTrade() function. I will be needing this capability to detect the minimum capital requirements of my Don System by determining the exact Interactive Brokers commission fees incurred. Motivation Shortly after I published my success story, I …
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Executive Summary I wrote a stock trading system. It trades NYSE and NASDAQ stocks long-only, using Zorro and IB. It appears to be profitable in backtests, and it passed a reality test suggested by Johann Christian Lotter. Licenses for sale. Disclaimers Before we begin, I have some obligatory reminders: Historical backtest performance does not imply …
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In this second part of my Continuous Futures mini-series, we will convert our Sierra Chart continuous futures CSV data to Zorro’s T6 format. Analysis of the CSV Data Let’s take a look at the first few lines of the file, to see what we are parsing: Date, Time, Open, High, Low, Close, Volume, NumberOfTrades, BidVolume, …
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In this mini-series, we will export continuous futures data from Sierra Chart as a CSV and import it to Zorro in T6 format. I will assume the reader has some basic knowledge of how futures work. For this post, I will focus on the data acquisition. Continuous Contracts in Brief First of all, a “continuous …
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This is part 2 of the Darwinex API series (part 1 is here). We will parse Darwinex’s historical data, which is in the JSON format. Normally, we would use Zorro’s dataParseJSON() function for such a task, but the function’s present incarnation does not appear to support the eccentric format that we have downloaded. (Perhaps someone …
In this lesson, we download historical data using Zorro. Zorro supports several data vendors out of the box, such as FXCM, Oanda, AlphaVantage, and Quandl, but today, we will investigate how to download data from any documented REST API. To demonstrate this, we will connect to the REST API by Darwinex. (This API is in beta, so …
Today, we will briefly review the DTC Protocol. Finally, I will discuss some of my personal experiences with the protocol, as I did author a DTC client DLL plugin for Zorro. Overview The Data and Trading Communications Protocol is an unlicensed public-domain protocol, as developed and published by the engineers at Sierra Chart. Using this protocol, …
Today, we will read a real HTTP stream from Oanda’s REST API using C++ code. We will not parse the JSON snippets but simply print them to the console. Design Objectives We will be write a streaming app: In native C++, as a Console app. Connects to Oanda v20 API to stream live market data …
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This series of articles is intended as a general guide to designing one’s first trading system, whether from scratch or using some widely available tools. I will place more emphasis on the technical aspects of the implementation rather than the strategy design itself. However, the intended strategy design might affect your final implementation. In this …
Continue reading “Custom Trading System 1: Rapid Prototyping to Live Trading”