IB FIX CTCI interface experience

Discussion in 'Automated Trading' started by luo8, Jul 27, 2019.

  1. luo8

    luo8

    Hi
    You are the first one who I know, which using FIX.
    Please could share some more info:
    1.Which broker do you have?
    2.What is the latency?
    3.Is hard to implemented?
    4.Did broker charge you for some additional cost?

    Thanks
     
    #21     Jul 27, 2019

  2. what do you mean cable distance is normalized? if the server resides next door to the exchange, will it not connect faster than server 1000 miles away?
     
    #22     Jul 27, 2019
    luo8 likes this.
  3. No, I can't answer and here is why: I answered Q1 already, you did not read my post carefully. Q3 points to the possibility you have never done this before and hence won't succeed with an implementation of this either. Q4, did you even bother to read the IB Fix docs? It's mentioned there multiple times. Sorry but I get the impression this topic is way above your head. Did you steal some hft code somewhere?

     
    #23     Jul 27, 2019
    blueraincap and qlai like this.
  4. Did your uncle BaoBao give you some hft trading algorithm for your birthday, that he saw falling off a truck in Shenzhen?

     
    #24     Jul 27, 2019
  5. d08

    d08

    Then you're pinging N. American mirrors, not Europe. You can't go below 50ms.
     
    #25     Jul 27, 2019
  6. According to IB's manual do they offer real tick-by-tick data in the more recent versions of their software: http://interactivebrokers.github.io/tws-api/top_data.html
    I have not used this myself, so I don't know whether this is usable for HFT.
     
    #26     Jul 28, 2019
    luo8 likes this.
  7. luo8

    luo8

    Ok, you are right you mentioned before,I didn't catch it.

    Correct, I didn't implement FIX CTCI so far... therefore comes the question how hard the implementation is.
    a. If it is enough to proceed registration with IB and make functional through the IB Gateway or using IBC or IbStarter, with little programing skills involved...
    b. Or special approach with specialized company need to be involve...

    I found only attached "IB_FIX_Manual", where I didn't find any mentioning about futures orders fees or registration,monthly commission.
    I found only monthly commission "1500$/first session and for other lines 1000$" stated in IBKR website, therefore I was curious about reality...

    I'm trading more than 10years, I specialized for futures/options/spreads markets. For long trades I use common tools as COT,Sezonality,PA , hedging by synthetics short/long and spreads. Focusing on daily trading I found out some abnormalities,which I tested already on paper account..but trading my strategy don't make sense if my latency is big.
     
    Last edited: Jul 28, 2019
    #27     Jul 28, 2019
  8. luo8

    luo8

    Thanks.
    So far, I didn't using tick-by-tick data’s, the Realtime or snapshot data’s were for my strategies sufficient.
    I'm new in HFT, in my group nobody trade HFT...I found some relevant discussion on this forum, therefore I was submit my questions here..
    I feel that the tick-by-tick datas is must for HFT trading..I will check with IB.
     
    Last edited: Jul 28, 2019
    #28     Jul 28, 2019
  9. Where the heck did you learn to use FIX as a trader?
     
    #29     Jul 29, 2019
  10. Other than some rudimentary C++ code from grad school I am completely self taught in coding and AI. I wrote my entire algorithmic trading platform myself over the past 7 years. I only added FIX connectivity later. Learning new technologies is fun as long as it's purpose driven and efficient to learn myself rather than outsource. After plenty outsource disasters I decided early on to do it myself.

     
    #30     Jul 30, 2019
    ph1l, entropytrading and d08 like this.