Hi all, We are interested in building Automatic Trading Systems that can trade stocks, futures, FX and others. Is IB the best brokeage for doing ATS at the retail level? And what is a good open source platform that we can build our ATS in connecting to IB (assuming it's the best brokeage in the answer to the question above)? This one? http://code.google.com/p/algo-trader/
IB is a good broker but for still inexplicable reasons is not the ideal platform for an ATS. The unfortunate thing is that they easily could be with some small administrative changes: 1) The main hurdle is having TWS stay connected to a market feed uninterrupted Sun - Fri. No matter what server you connect to geographically to trade trade US products (CL, ES, etc.) your data will be disconnected at midnight Eastern and for a period of time the platform will be in a half-connected state that is very risky for an auto trading system, especially when the data feed fails to reconnect properly. 2) TWS also has an auto-exit feature that cannot be disabled so you have to use a third-party tool like IBController to prevent it from shutting down each day. This is not a real obstacle but still an annoyance that adds no value whatsoever and cannot be disabled in TWS. I believe the TWS Gateway solves this issue but not the midnight disconnect. As it stands now if you want to sleep easy at night you either disable auto trading overnight or use a broker that does not disconnect/reset market feeds on a nightly basis. I suppose I could pay for a separate data feed and use IB for execution only but this is an added expense that is not really necessary if IB would either better explain the necessity of the midnight disconnection policy or eliminate it altogether. It would be like Facebook or Google telling their user a nightly disconnection "window" when no service is available is necessary because they have to reset their servers. Seems crazy for an electronic broker to have to do this at all.