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2008 Interactive Brokers Collegiate Trading Olympiad

Max,

If the cheapest data is free, the vendor would be Opentick https://www.opentick.com/index.php?app=users&event=home but their data is spotty ....but it is cheap.

A cheap INTRADAY data vendor for retail is Esignal, Real-time, streaming quotes and analysis on the world's markets delivered to PCs, laptops, PDAs and smart phones
but there is less available on line then you might think. Tickdata is well known in the industry but expensive for fooling around http://www.tickdata.com/html/pricing1.html but if you are only going to trade the SP futures it is workable. Also you might opt of 1 minute or 5 minute bars instead for tick data as the management of the data becomes a job in itself.

KISS....... Keep It Simple Student!!!

We usually start development of a system using end of day (EOD) data. It is very cheap $25 -$35/month for equities and similar pricing for futures and options and EOD systems are less complex to run and maintain. Don't underestimate the pricing and complexity issue involved for high frequency trading. Once we have a positive expectation system that works as intended with EOD data, we do use intraday data to fine tune entries or exits, but the system must profitable first with EOD before looking at intraday data. It is not bad advise to consider as you can use leverage for excitement instead of complexity.

The Wealth-Lab Wealth-Lab Technical Analysis, Charting and Trading Systems product is what we have used successfully for futures but you might not have access to it since Fidelity bought out the US rights. Many people use Trade Station http://www.tradestation.com/default_2.shtm , and the latest product to hit the market is Right Edge http://www.rightedgesystems.com/ In terms of real time auto execution with IB, a retail product is OpenQuant, http://www.smartquant.com/products.php ,most of these products are priced at $500. RightEdge and OpenQuant are both .Net products so easy to program in C# while the older systems all have psuedo languages.

Given the existence of the Subotnick center, I have to believe you can download intraday and EOD data for free. I had taken the Bloomberg tutorials and I remember we downloaded data to excel and there were also tutorials on TradeStation's Easy Language. Most of the s/w products are easy to use if one is a programmer and I don't think there is a clear best product, but if the Lab still has TradeStation for free I'd use it. Maybe the FE dept or Subotnick can use the contest as an excuse to fund the purchase of the latest products (RE and OQ) for student use.

 
Thanks a lot Gus for spending your time explaining things. I really appreciate it.

I have WealthLab and AmiBroker packages. Don't have a Fidelity account though, so data is my issue. I will take your advice and try to use first EOD data. However, system might have problem with splits and dividends... I need to think on this issue.

It would be great if you can give us a brief talk how to approach this kind of contest. There is no need to spend your time on handouts and powerpoint presentation. Your thoughts and advice are much more interesting. It will be a great help!

I remember myself last year trying to get ready to this contest. Dan kept us pretty busy with HWs and project so there were not much of time. However, I read about 7 books on trading in general and automated trading systems in particular. On a top of that I read trading magazines every months. Nevertheless, I couldn't come up with any more or less reasonable trading system. And, of course, at the end of December we had our finals, so time was very limited.

As a result, I witnessed 60% loss in my account in about 10 minutes when I was trading S&P mini futures. Lesson was learned. Now I know that Margin Call is not just two strange words from John Hull's book :)

Anyway, what time works best for you to talk to us? I think most people will prefer Friday night, but we can discuss it here.

Thanks again for your involvement! :tiphat:
 
I think Max's suggestion for a Friday evening works the best as we can make it more of a "working meeting" then a "talk".

Max, maybe you can poll the people interested and decide if Oct 5 or Oct 12 works best, probably about 6pm?? Is there a meeting room in the Library we can book or maybe the small cafeteria area on the ground floor next to trading lab?... or any other suggestions you may have.
 
Max,

We should try to reserve a room first. I'm sure there are a lot of people interested. It may be difficult to get everyone inside the lab on a Friday.

I'll contact student affairs and Dan if we can get one.
 
Max,

We should try to reserve a room first. I'm sure there are a lot of people interested. It may be difficult to get everyone inside the lab on a Friday.

I'll contact student affairs and Dan if we can get one.

Thanks Chris!

I think it should be easy to get a room, because it's Fri. I asked Andy to post RSVP, so we can approximate head count.
 

alain

Older and Wiser
Hey Alain:

How do you find the C++ API? I'm trying to decide whether to use that or VBA, and my main consideration is ramp-up time on the C++.

I didn't use the C++ API last year. I worked with the Java API and with a program that uses the C++ API indirectly (Amibroker). It's straight forward, nothing hidden there. But as Gus said, concentrate on polishing the strategy then you can worry on how to submit the orders.
 
Thanks Alain.

To that end I'll use DDE, it's as simple as it gets.

If anyone has any documentation on the Excel API, it would be great to know about it. IB provides sample spreadsheets, as far as I can tell, but I haven't found any true Excel API Documentation.

cdw

I didn't use the C++ API last year. I worked with the Java API and with a program that uses the C++ API indirectly (Amibroker). It's straight forward, nothing hidden there. But as Gus say, concentrate on polishing the strategy then you can worry on how to submit the orders.
 

alain

Older and Wiser
Thanks Alain.

To that end I'll use DDE, it's as simple as it gets.

If anyone has any documentation on the Excel API, it would be great to know about it. IB provides sample spreadsheets, as far as I can tell, but I haven't found any true Excel API Documentation.

cdw

I remembered Eddie using the Excel API to submit orders. You can ask him directly.
 
Wall, I wanted to just say that I'm looking into FIX now (it will be my first shot with it). They do "support" it via a gateway that must be downloaded from them.

I did this tonight, however, following the instructions did not yield the promised result. There is a java command that is required to load the gateway but it did not run when I tried it, even though, yes, java is installed, etc.

I mention this hoping to solicit some advice on getting their gateway to boot up.

cdw

Alian can you give a little background about this competition? I have a few questions since you've already participated maybe you could shed some light.

1) Must you use IB's Api? do they support FIX?
2) Do you have to disclose your trading strategies?
3) How do they track your system and know that your system is running 100% automated?
4) How much of their system is based of real market conditions it would seem a strategy that works in the real world could have the potential to not work on their simulated exchange can you explain this?

Thanks
 

alain

Older and Wiser
There is something you need to know about the IB API. The TWS application needs to be up and running in order to do anything. The API Technically connects to the TWS application in order to talk to IB.
 
so far, I've encountered mysterious XP DDE issues, that I haven't found a workaround to yet. Then I shifted my focus to FIX, figuring it to be the best investment of my time, long term. But the IB FIX gateway won't load, and I'm told that I can't get market data from IB via FIX, anyway: can only send orders.

it looks like I'm going to have to reinvent the wheel in C++, and I'm not sure where to begin. downloading the files from IB and attempting to run them, I can't get the IDE to recognize the .h files...


IB usually does maintenance on Saturdays.
 

Yuriy

MFE Alum
My two programmer friends gave me a lecture on API yesterday :) I might be joing your company of Alg. Traders soon :) Just need to have some free time and figure out a couple of things.
 
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