are/were those weird things and unexpected behaviours fatal (ie can potentially wreck pl) ? or connection-related?
One thing I learned is to build in extra checks and verifications. The longer an undesired situation exists, the more impact it potentially can have on your P&L. This depends of course on the speed of your trading versus the duration of the malfunction. I have seen cases where the connection to IB suddenly got lost and did not recover. You need to consider how your system should proceed if connection cannot be established (or is lost). I have seen cases where the data returned from IB deviated in format from what was expected. You have to program such that an unexpected data format will not crash your program. And have a strategy on how to proceed if you do get unexpected data. Then you have to take care of trading holidays, and don't forget about half-day trading, which happens occasionally. Sometimes the instrument identifier (conid) suddenly changes (e.g. if a stock moves from one exchange to another) and you don't receive any data on it. Or if a stock exchange suddenly halts trading due to a typhoon. And so on, and so on.
Thanks for the headsup. The connection loss seems rather fatal..how is it possible to trade if your connection can be suddenly lost forever. I am planning to spend next year to code some stat trading (mostly pairs) and losing connection whilst legging in will be damaging.
I implemented a fully automated trading platform about 6 years ago in Java using the IB API and R code for backtesting. Have been using it until about 3 months ago when I switched to AmiBroker and Alera Portfolio Manager. It requires a lot less maintenance and I can backtest and deploy my strategies quicker. Hope this helps.
The platform looks really interesting. I am using Alera Portfolio Manager for execution as I have to send hundreds of orders per day to the market. I think it will be fairly easy to generate the signals for APM. Do you happen to have some sample code for the integration with APM?
Which asset class? Command line codes? Mind sharing some of the Java source codes, especially the parts dealing with connection, data, etc, not looking to copy any strategy or anything
I have been using the IB API mostly for stocks and occasionally for options and futures. As other have stated it’s not the easiest API to use (nor modern) and it changes quite often (more so in the past couple of years) thus the code has to be maintained quite often. If you’re interested in some code samples you can send me a private message with your contact info and I’ll get in touch.
Sorry, am I right, that using IB API, one still have to trade via TWS because there is no direct connection to IB trading server?
As for me: NinjaTrader - lot's of features and well developed ecosystem. Tradematic Trader - simple and user-friendly, you can create strategies without programming in visual strategy builder. C# code editor is also available. Quite low price.
You are correct. I use the IB Gateway to connect to the IB Server instead of TWS. It's lightweight and supports the same API functions as TWS.