C++ Backtesting to API

Discussion in 'Programming' started by Maverick1, Feb 8, 2019.

  1. Maverick1

    Maverick1

    What's the best way to go from backtesting in C++ to first steps in automation of futures trading?

    Has anyone here gone down that path themselves, using say IB or LiteSpeed's APIs?
     
  2. thecoder

    thecoder

    For backtesting and research. the first step should be to create a local database, and update it timely.
    Then backtest on it, ie. create signal algorithms and find the best ones over multiple timeframes.
    If finally found some algorithms, then go live.
    But these are multiple projects, you will need much time to build it all, I guess 4+ months, of course depending on the manpower you have avail.
     
  3. Maverick1

    Maverick1

    was referencing the 'go live' part. Have you automated yourself?
     
  4. thecoder

    thecoder

    Yes, using IB's TWS C++ Unix API on Linux some years ago, but I hadn't finished it as it's a big project and I was alone on the project and some other things happened, so that I had to stop the project.
    If you can pay me, I can look again at it.
     
  5. Robert Morse

    Robert Morse Sponsor

  6. qlai

    qlai

    I don't understand the question ... As far as writing code? If you test in C++, that should not be a challenge for you.
     
  7. Robert Morse

    Robert Morse Sponsor

    I guess the best way to answer is:
    1. Test your code with a demo route.
    2. Test your code with 1 lots, live.
    3. Scale slowly as your confirm your code works and so does your strategy.
     
  8. Maverick1

    Maverick1

    You must be a veteran/very experienced programmer. It's not that trivial? It's one thing to work with text files, another to deal with an idiosyncratic API, sockets, wrappers etc. Take a look at IB's tutorial on YT for example, not that instructive. I'm surprised there aren't any decent courses available online that give you a sample implementation...
     
    Last edited: Feb 8, 2019
  9. qlai

    qlai

    K, understood, but I am still not clear if you wish to do it yourself or would rather have someone else build it for you? Big difference in first steps to take.
     
  10. Why do you specifically mention C++ in your question?
    Many people have automated trading up and running. You are not the first person who goes that route.
     
    #10     Feb 8, 2019