Creating Algo for MORE Intraday Trades

Hello all,

First post. I've been a FT trader for 5+ years now but am completely new to the automated trading scene and have no experience with C++ or writing code for anything for that matter. I would like to develop an algo for use on IB's API.

This particular intraday strategy works well if I can apply it to ALL the stocks I have chosen to apply it to that day (typically 6-12 stocks) but I can usually only get entries and exits properly in 2-3 stocks doing so manually. If I can get proper entries and exits on every stock, the law of large numbers would overtake Murphy's Law (strategy has been back tested thoroughly).

I want to be able to manually input each stock, appropriate share sizes, and be able to cancel the orders if the bid/ask spread gets too wide or other things happen that make the trade risky or not worth it. The only variables or inputs are to do with price (no volume or any other indicators).

The strategy is fairly simple and I would think developing the algo wouldn't be too difficult but again I know almost nothing about coding. Should I go the route of learning the process myself or hire a dev to create the algo for me? Any advice/opinions would be appreciated.

Cheers,
TN

 

As far as I understand from your post, since the only variable is price, you want to monitor the trades manually.

 

Correct, the only real variable is price but the parameters of the trade (target, stop, and breakeven to an extent) are also based on a calculation involving price, which is always moving. I would also need the algo to be calculating this when setting the bracket orders in IB.

Again, the main problem is jumping from stock to stock (some days there are more than 10 of them) entering the entry orders based on this calculation. Just can't do it fast enough, so I need it to be automated.

Thanks for the reply.

 

Sounds like an Excel DDE with IB TWS would work for you. IB has an excel template you can download for tracking data and inputting orders. Customize it to your heart's content.

If you use the template, or any Excel DDE with TWS, just be certain that you are using the 32 bit version of TWS, as the newer 64 bit will not work with Excel. It is also on their website.

And if you aren't comfortable with Excel, no better time than now to get into it.

 

Thanks Lindq,

IB seems to have not so good things to say about DDE: "DDE Limited; uses obsolete technologies; lower performance. Windows only Yes (limited functionality)"

Any credence to this? I'm familiar with excel but not using it to program. I like the idea of starting on a platform I have some experience with though.

 

I thought the stocks are input params, meaning they are known to you pre-market already.

 

Yes they are, but if the bid ask spread is too wide or if the stock is too volatile, I would not trade it.

 

I'm sorry, but all this things you can do pre-market.
1. Bid/Ask spread is too wide: if you trade high volume stocks only, this shouldn't be an issue.
2. Stock is too volatile: if you have a way to know it intraday, you can do the same pre-market. Or at least use yesterday vol as rough estimate.
3. Question: what does FT trader mean?

 

It is worth downloading the template, getting connected to TWS (there are instructions online at IB), and seeing if it can work for you.

I wouldn't be throwing 100 symbols at it with complex orders, but it sounds like it might serve your needs. The template is quite complex, but use what you need, and toss the rest. It is a good starting point. Good luck.

 

I recommend Multicharts with IB API. I think it's a great combo. The hardest part is getting it coded right