Simple live feed calculations

Discussion in 'Automated Trading' started by Carbonator, Jan 14, 2009.

  1. Hi guys,

    Thanks for a great resource. I've been a lurker for some time, but finally decided to sign up.

    I am fairly new to investing and trading, and still am in the process of reading bucket-loads of books just to get a hold of the basic ideas.

    Anyhow, since I do have some slight experience in C++, I do have some questions regarding the use of my own programming and a broker application.

    How limited are my abilities to 'manipulate' the data inputs and outputs I get from the application? Can I, for example, take the real-time feed and process it in an external C++ application? (that is, of course, without me having to enter values manually)
    Can I automate a trade from my external C++ application, or would that require the application to have such feature built into it?

    What are some general limitations? Are there, virtually, any?

    I did a search, and some thread (can't find it; did the search earlier) gave me kind-of a heads-up that it is possible; if anybody could confirm, I'd be grateful.

    (using the thinkorswim app. I know it's Java, so please also comment on this if this would create any compatibility issues)

    Yours truly,
  2. Corey


    Typically, you would use a broker with an API that you can use within your C++ application.

    You might be able to use hooking libraries to connect your C++ application to thinkorswim...but that is pretty dirty and unnecessary...
  3. Hi Carbonator,

    I use IB for getting Quotes (they have only a quote snapshot and not a real-time feed!) and managing orders. You can use any programming language that can handle sockets. Here is the link to their API-page:

    There may me a lot more broker offering an API, but that is the one I use.

  4. Euler


    This is highly dependent on the provider and the software (which is often written by the provider of course, but not always).

    There are no real limitations, once you get this into a programming environment; and with most of the better systems, you can. Generally the software conduit for this is referred to as an "API". Many do have C++ API's, some Java, and some C# and/or Visual Basic. The various "platform" systems (IB's TWS, as an earlier poster stated; NinjaTrader; TT; RealTick; eSignal; Sterling; and many others) all offer somewhat different data and API's; you can search the forums for discussions of these, and see also the review section on this site.

    Some of the data platforms are also trading platforms. This might save you some effort.

    I think RealTick Pro Plus has one of the better API data interfaces of the products that can still be had for the $100's/month (although I've never used it; also keep in mind that it may only run on Windows systems, if that's an issue for you). On the other hand, if you want really cheap, then IB's is free, or nearly so, provided you have an account with them; it's Java rather than C++. Lots of other brokers will give you free platforms, sometimes requiring a certain minimum number of trades per month to use the "free" platform without getting charged.

    There are also full feed solutions that give you much more data at much greater cost (I think $1000/month may be the bare minimum for this, easily ranging up to $10000's/month; vendors include NxCore, ActivFeed, QuantHouse, Interactive Data, Reuters/Thomson, InfoDyne, Spryware, and others).
  5. TT Guru

    TT Guru