IBController provides hands-free operation of Interactive Brokers Trader Workstation. It's especially useful for developers of automated trading systems who use IB API. Features include:

  • Automates Trader Workstation (TWS) and IB Gateway (excluding the FIX mode)
  • Completes login dialog with credentials from an .ini file or command line
  • Handles dialog boxes which TWS presents during programmatic trading activities
  • Offers simple encryption of IB passwords if desired
  • Keeps TWS running indefinitely by handling TWS time-based exits
  • Allows TWS to be terminated at a specified time on a specified day of the week
  • Dismisses various dialog messages (eg version updates, daily tips, IB API connections etc)
  • Exposes a telnet control protocol to STOP the GUI or ENABLEAPI for IB API client access

https://github.com/ib-controller/ib-controller

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Vasant Dhar's  paper on algorithmic trading he presented at Knowledge Discovery and Data Mining 2015 conference (KDD 2015) [voice recording of the presentation at KDD 2015]

 Abstract:

"Computers are making more and more decisions for us, and increasingly so in areas that require human judgment. There is a palpable increase in machine intelligence across the touch points of our lives, driven by the proliferation of data feeding into intelligent algorithms capable of learning useful patterns and acting on them. A natural question to ask is how we should be thinking about the role of computers in managing our money. Should we trust our money to a robot? In an era of big data and machines to make sense of it all, do machines have an inherent advantage over humans? There is a surge of interest in Artificial Intelligence for financial prediction. Should we pay attention? Or is this an areawhere human judgment and input is always essential? "

 Related article on HFT by Vasant Dhar : hft-article

 

 

 

 

 

 

 

Click this link to continue on part-2

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We need historical data feeds for back testing and real time data feed for execution.

1. Nanex - nxcore

2. Top 5 quote datafeeds

3. Active Tick

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From Interactive Brokers Booster page,  we can only get 1 IB deep order book data for every 100 market quotes data, unless we buy more boosters (max 10 boosters). Not sure if there are limitations for historical data.

 

Links:

Globex Codes

 

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