I have been a long user of IB for discretionary trading (around 4-5 instruments) at a time, but I want to move to a automated trading strategy that can trade automatically on 60+ futures markets (since I have a regular job I can't possibly track/trade 60+markets on my own). I have access to Bloomberg Anywhere for downloading of historical "concatenated" futures time-series data, and used R to backtest my strategy (with some parts written in RCpp which is embedded C++ in R). But Bloomberg Anywhere is given to me by my office and I don't have real time data (usually 20 minutes delayed) plus I need to enter my fingerprint once every day, else it breaks. I have been considering eSignal to get real time data and place the orders on IB. I have been reading about tools like MultiCharts or Amibroker or Ninjatrader, etc., but I am confused. I read an article here, http://www.automated-trading-system.com/backtesting-trading-platform/ , but the final structure it showed was reasonably complex for my needs. Need some advice. Here are some of my requirements: 1. Would need a tool that can automatically send order to IB. 2. My model needs to merge real-time prices at a certain time (say from eSignal) with EOD prices of future contracts and then place order if necessitated (on IB). These times could be different - for instance, for e-mini S&P I would like it to capture the 3pm EST real-time price and trade based on a signal that uses 3 pm real-time and EOD prices, and similarly for Hang Seng, I would prefer the model to trade say around 2am EST midnight. Any recommendations for softwares / tools (like MultiCharts, Amibroker, Ninjatrader) where I can set up execution trade times for different futures (if necessary within the code)? 3. Any tool (MultiCharts, Amibroker, Ninjatrader, etc.) where I can setup rules for automatic rolling of futures contracts. I want flexibility to set up rules for rolling, e.g. friday before the expiry week for e-mini S&P, but say 2 days before 1st notice date for US 10yr? 4. Any tool where I can do some selection of markets, i.e. suppose I have a list of 120 markets, but only 30 of them are showing some trends at a one. At the beginning of each month, I want to trade only those 30 markets. More specifically, any tool that can allow me to do portfolio stuff, rather than run one-strategy per futures? For instance, would like the tool to have to ability to check equity in the account, increase/decrease position sizes to reflect a more static margin/equity. 5. Any tool that allows me to select the way to execute, for example IB allows various algo (and suppose I have 10 contracts that I want to be executed spaced-out in 10 minutes, say VWAP) - I want to be able to tell IB to use "VWAP" ? 6. I am ok coding in stuff like EasyLanguage (or anything similar), or in R / Python, and now just enough C++ to get by. Would like to avoid getting into .NET or C# simply because I will waste 3-4 months learning that. Would like to avoid a trading tool which uses a complicated language. Would be the recommendations / suggestions?
I've done a similar timed sleeper agent, except I implemented in C#. My instinct tells me if you want to do something so complicated, including auto rolling of contract months, variable position sizing, and algorithmic execution, then you probably have no choice but to develop from scratch using java, c#, or cpp. And the complexity blows up rather quickly with too many features. For example, my system used to roll futures contract month automatically. Then one day I get an email from IB telling me I have future contracts that are about to expire. It turns out the system bought the old contract month, but issued a order to sell on the new month, because the system had rolled contract month already. I suppose that can be fixed. But be warned that complexities will blow up to take way more than 3-4 months. In time, you may even implement your own VWAP execution, the way you like it. All you need is time.
you can use multicharts portofolio trader for trading a basket of futures. however for autorolling of futures contract you need to do C# .Net version call the R function libraries from .Net multicharts. you can't use IB vwap algo from multicharts, just develop your own vwap algo in your strat.
Hi All, I use NT with IB. I started developing an automated strategy but got bogged down and turned to tradingcoders.com to take it to the next level. The strat continues to evolve and TC has had some good suggestions and enhancements to help. I can trade multiple instruments at preselected times with a profit target and a hard stop on time and capital loss. NT's built in session manager "clips" the time so the chart bars do not have time to populate and match the real market. NT's support did send me some code to fix this when I inquired. Trade Well.