Runningbear, Nana Trader, Thanks for your extensive replies, you brought up some very interesting points (although I didn't find the right solution just yet). Here's my dilemma: 1. I'm using IB as an execution platform and I don't want to switch. 2. I absolutely need to have access to reliable, complete T&S data (I'm using eSignal today for that). 3. I want to build an extremely fast system, with as few applications as possible needing to be interfaced, that's why I decided to go with IB and one of their API's. I think it is very important to have the same data source for trade signal generation and trade execution. Now, here are my options: 1. Finding a way to get access to T&S data from IB by developing some custom application able to do that (there are some posts pointing in that direction on the IB forum, but apparently it will only result in a second-best solution) 2. Developing my strategy either in eSignal EFS language or using one of eSignal's API's and then interfacing eSignal with IB through Dynaorder, Tradebullet, etc. Does this make sense or is there another way of doing it? Thanks a lot.
AS I said earlier, EFS is not really appropriate for absolute speed. Better to program something specifically that works with the esignal API. Have a look at trademagic.net It's designed to work with the esignal API and IB. If your trade logic is simple you could program it in C# and it would be pretty fast. Then you wouldn't need to worry able flakey third party apps to glue the thing together. Runningbear
Runningbear, TradeBullet is certainly not flakey and it is built on the TradeMagic framework. Francis
Actually Francis1, I was referring to one of Tradebullet's competitors that suddenly decided to no longer support its product. Runningbear
After a few month's work, I'm now pretty satisfied with the result. I developed my strategy using 2 different approaches: 1. WithIB's VB API 2. With eSignal's EFS, Ninja Trader & IB The reason why I did both is that when I tested the first option, I found out that IB's 0.3 second refresh rate just wasn't fast enough for the type of strategy I'm trading. Although I suspected this from the start, I wanted to be sure about it. If your strategy relies on real Time & Sales data, forget about using IB's data feed. This is a pity because I always favoured an integrated approach, using IB for every aspect of my system (data feed, system generation & order execution). The eSignal version is now running in live mode and I'm pretty happy with it so far.
A custom application that uses IB 300 ms snapshots... And enhances them by "reconstructing" previous trades/prices... Is easily done and tightly integrated. If this is not good enough as opposed to full data... What can you possibly be doing or trying to do? Are you profitable right now with NONE of this? Automation typically "optimizes" your existing trading... It will not magically create new opportunities and revenue... Though many incremental things become possible. If you are not ** very profitable now **... You're expectations from automation are likely exagerated. rm+
I'm not sure I understand what you mean when you say "reconstructing previous trades/prices". IB doesn't provide full T&S data, so I can only guess that by "reconstructing" you mean using a second data feed (like eSignal for example) that actually provides full T&S data to complement IB's data feed. But in this case it wouldn't be an integrated solution...which is what I'm ideally looking for. Please elaborate... Thanks
From our experience: Our software is written from scratch. Platform API C++ Interfaces Delphi and .NET The main problem is to build and certify API with PATS, if the API works well, then everything will work smoothly...