Registered: Apr 2010
07-13-12 08:38 PM
Open source project for writing strategies against IB TWS in Java.
Some how to vids and you can download the project.
IB TWS first interface built + backtest interface (tested on Win XP/7 & Ubuntu linux 12.04)
1/ Historical candle chart data on any Interactive Brokers (IB) Trader Workstation (TWS) supported time frame i.e. 30sec/1min/2/5/15/30/60-Daily download from TWS and stored. The trade strategy time-frame is defined in UI when you setup the contract to trade for that day.
2/ Charts using JFreeCharts updatable every 5secs, standard indicators used Moving Averages, Vwap, Pivots & Indexes. Support for any derived indicator based on price/volume. Save and Print in png format. Roll-up from traded timeframe, i.e. if traded time-frame was 2min you can roll-up to 5/15/30/60min.
3/ Back testing Strategies supported. Simply enter your symbols and download historical data from TWS then back test the strategy. Ability to reassign strategies for groups of contracts. Assign indicators to strategies all via UI.
4/ Manual order creation and transmission to IB TWS.
5/ Portfolio Summary(monthly/total)/Detail reports with batting (% win/loss) and simple sharp ratio calculations. Click through to charts/trade details. Export reports in csv format.
6/ Support for Strategies written in java. Strategies are version-ed and stored in the DB, with the latest version being deployed to the file system for compile at run-time. Changes can be made via your favorite java editor or via the Strategy Tab and deployed.
There are separated strategies for entry and management (optional) of positions. Strategies fired on completion of a base candle or at 5sec intervals or on last price if price is out side the H/L of forming bar. The account balances, realized/unrealized P/L are available to strategies and are updated as changes occur. This allows for better risk management of the account when sizing a position.
7/ Import symbols in csv format for daily setup and back testing.
8/ Support for any indicator that is derived from price/volume. Indicator parameters are defined and configured via generic code/code attribute tables in the Configuration Tab i.e. No DB changes required for new indicators.
9/ Configurable trade parameter supported i.e. STPLMT amts, roll up/down on whole/half number, bar % ranges e.t.c all via UI and generic table support for future parms.
10/ Time-zone support for local vs market time-zone.
11/ When not connected to IB TWS the application can download data from Yahoo finance.