best way to prepare data for real-time auto-trading under IB?

Discussion in 'Automated Trading' started by emk662, Jan 6, 2016.

  1. Bob111

    Bob111

    No, I havent. The stuff I use to trade does not require such precision. It doesnt even require intraday bars :)
    feel free to do such job yourself. As for outages-big power supply, combined with periodic saving data into something such as binary file (its loading differently, in one shot, not record by record, use google search to find more info). So if some data is lost due any disconnection, outage-you can fill it up quickly those missing bars using ib historical data request method
     
    Last edited: Jan 24, 2016
    #11     Jan 23, 2016
  2. botpro

    botpro

    Just have your own database. Backfill it from historical data feed(s), and update from RT data.
    I would not use any SQL db, instead would use an in-memory btree or ISAM db, or a set or multiset in C++ STL,
    and periodically write it to disk, and at pgm-start load it into memory...
     
    #12     Jan 26, 2016
  3. emk662

    emk662

    botpro, do you think that in C# a list variable can be a good substitute for a database?
     
    #13     Jan 26, 2016
  4. botpro

    botpro

    I don't know C#, but I think it is similar to C++ and Java.
    In C++ I would define a structure with the fields I'm interested in, and create an in-memory database using the collection class called "set".
    It can have its own comparator function, so all the records get automatically indexed
    after the field(s) you define in the comparator. Internally it uses a kind of B-Tree, I think its called Red-Black-Trees,
    it's ultra-fast.
     
    #14     Jan 26, 2016