IB Algo Framework

Discussion in 'Automated Trading' started by rediar, Jan 24, 2018.

  1. rediar

    rediar

  2. What outrageous timing!!
    After MUCH stalling, I'm finally gearing up to develop a Java API to pull SPX options to feed a spreadsheet in real-time.
    Not unlike this guy's long-standing product, I suppose:
    http://www.tradingsoftwarelab.com/joptionchains/
    for which I should've coughed up the EU$300 a long, long time ago.
    But I'm a roll-your-own type. AND I 'need' to know how it's put together....
    So: I'm beginning.

    I will look over your github spot likely within the next month (just to be realistic...:rolleyes::confused:!)
    but I'm encouraged just to know that yours is around --
    T.
     
    vanzandt likes this.
  3. For just options chain you could do that directly in Excel, no?
     
  4. Except that there are big issues in resource consumption {read: bandwidth, RAM, and CPU time} and usability-over-time --
    1) I hate MicroBloat, and use OpenOffice -- Java-based, friendly to other spreadsheets, smaller, STABLE -- the downside is that the documentation/performance for boundary-pushing functions is lacking: be prepared to invent your own.

    2) Were OO able to utilize TWS/Excel tools (DDE/ActiveX/RTD), that function is cell-specific, and to load 70 SPX strikes, times 26 fields, times 6 expiries, would blow up the API server and/or OpenOffice. (I don't *know* that, but the web is full of tales of woe from TWS/Excel users who try to offload more than a smidge of data that way.)

    Thus:
    3) OO avoids the bloat/version issues of Excel; .csv harvest avoids the data/molasses issue.

    FWIW, my OO spreadsheet is around 2.4mb right now -- I'd estimate it to be 30%-40% bigger, were it in Excel. And were it directed towards the DDE/AvX/RTD route?? Ewwww! Add another 33%. And slowwww it downnn. (The .csv of the above 7*26*6 scrape runs ~140kb, fwiw.)

    For any OO fans reading this, one current question/uncertainty I have is in choosing between (what I'll call) the original Apache OO and the post-conflict "Libré" OO. I chose Apache because ..... I HATE "new-for-new'-sake" stuff. On this one, apparently I chose poorly, as the Libré version seems better documented, and maybe more-fully functioning on the 'boundary-pushing" stuff. I'm easing into it now: not much of a change, of course, but this is a pretty big deal, and not something I can take lightly. (As in, the smallest of whoopsies could cost me bigly huge dollars. Ewwwww.) IF ANYONE IS CONSIDERING OPEN OFFICE, I am sorry (for me!) to say, I'd go with Libré from the start. I DO love Apache Open Office, but [ :confused: ] the Libré Open Office is just that much more polished. Good shit.)
     
    Last edited: Jan 25, 2018
  5. LibreOffice came together with the Ubuntu installation. That's why I am using it. I never bothered to investigate the differences between these two xOffice tools. I use the spreadsheet and the document editor on a daily basis, but for simple tasks only.