I'm looking to find software to use for backtesting and auto-trading in conjunction with InteractiveBrokers. I'd like to know what people think is best based on my criteria. I'm a professional computer programmer, and have a bunch of code that I've written for tracking my portfolio performance, and scraping info from various data feeds, so I can do research. Ideally, I'd want the software to run on the JVM and allow loading jars so that I can write chunks of code in my JVM language of choice and load it into the backtester. That'd be a perfect world basically, because I'd be able to write pretty much anything, using a language I'm very comfortable and proficient in. That said, it looks like most popular backtesting and auto-trading software is written in C# or C++ and runs on Windows (I'm on a Mac, and can always run in a VM if I have to but the ideal software would run fine on a Mac for me) Ideally I want to use the backtester to do the legwork, and incorporate any more involved code via jars, then be able to run that same strategy seamlessly against InteractiveBrokers without having to change it. Any ideas for software that fits the bill here?
I think AmiBroker is good suited for this. No JVM/jar, is native Windows-Only, but you can run it in a VM. It has a C-like scripting language, works much with vectors, and a C++ API for extending it by writing your own DLL-plugins. Since Java is similar to C++/C# you should have no problems. Besides the C++ API it also has a COM-interface (OLE/ActiveX) that can be used inside MS' JScript scripts and also in other languages if they support MS' ComponentObjectModel (COM); languages like C++, C#, VB etc. from MS of course support that... Yes, IB is directly supported by AB.
Very hard to find any documentation for Monarch. I see reading the code that it's written in Java, but I have no idea from the documenation if it will do what I want.
its not a backtester. it's a framework around IB keeps track of quotes, positions, can execute strategies ...
I setup a Windows VM and downloaded NinjaTrader tonight to try out, because it's C# coding might be something I can live with..... But, ugh, the interface is terrible. Nothing is intuitive (to me)... I tried to run a backtest, ... click the "Run" button and tada, nothing happened. No clue why, but this is not very impressive for the huge price point it has, imho. I wanted to also try RightEdge, but it seems to no longer be in active development... Ugh, am I going to have to write my own backtester?