Interactive Brokers A.P.I.

This is a discussion on Interactive Brokers A.P.I. within the Brokerages forums, part of the Commercial category; Originally posted by mmillar JonnyT - so when you say CCI doesn't work, you have actually programmed a CCI indicator ...

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Old May 29, 2003, 6:36pm   #25
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Originally posted by mmillar
JonnyT - so when you say CCI doesn't work, you have actually programmed a CCI indicator in Excel? that sounds like hard work to me
The data has got to get into Excel from somewhere and I'm guessing JT is using Sierra in which case the CCI and any other indicator will be there readily available for him to use in his VBA code. That's certainly the way I've always done my backtesting anyway - cheap and cheerful

H.
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Old May 29, 2003, 6:54pm   #26
 
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Hi Henry,

Spot on. Great little trick.

JonnyT
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Old May 29, 2003, 7:10pm   #27
 
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JonnyT, Henry, GreyingSurfer,

For the second time today I am totally confused. You'll have to excuse my ignorance of these matters - I can write simple backtesting code but haven't ventured into more complex programming ...

My assumption (which now seems wrong) was that you pulled a flat file with a complete history of a symbol into Excel and then processed it with VBA. Now you have included SierraChart. How, exactly, does the process work? I don't think this has ever been discussed before in detail and I'm extremely interested.

Thanks

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Old May 29, 2003, 7:17pm   #28
 
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Hi mmillar,

The data is pulled from seirra chart in excel format.

You basically set up a chart with your instrument, any indicators, any timeframe.

That data can then be exported and backtested using VBA in excel. i.e. no need to calculate bars, indicators, MAs etc etc.

HTH

JonnyT
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Old May 29, 2003, 8:57pm   #29
 
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Aha! I didn't realise that SierraChart had that Excel functionality. It all makes sense now.

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Old Jun 2, 2003, 6:45pm   #30
 
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Really interesting thread folks, am keen on connecting to IB for tick data for testing purposes but a bit sad by Henry's comment that the data will be unreliable. Though should have expected this as most test systems are run this way. The LSE system before SETS was pretty good but most other exchange systems are pretty naff.

I have intra day bar data from a couple of sources for some back testing but will need a real time feed once I am closer to going live. What are peoples views of the tick data from IB ? Is the feed reliable, am interested in US stocks initially. I have a lot of experience coding against Reuters feeds but am unclear how IB will compare in terms of performance. Will try and hook up some code to the IB demo system just to see how the API works. Will be writing in C++ under BCB6 but might be able to share some code with others.

Cheers

Mac
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Old Jun 2, 2003, 8:17pm   #31
 
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a bit sad by Henry's comment that the data will be unreliable.
Mac,

Henry's comment was about the demo data, which is pure rubbish, but still useful for checking out that your buy and sell buttons work in the right order before you try for real

The real data you get if you have an account with IB is excellent. I find them a lot more reliable than MyTrack, though, of course, they don't have historical data.
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Old Jun 2, 2003, 9:18pm   #32
 
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Peter

Understood. I just wondered about the quality of the data, I was thinking that eSignal was also a data provider but I guess people are using them for TA and historic data.

Will give the API a go when I get some free time. Opening a full IB account could be troublesome for me right now as I work for a bank and they do not allow us to trade away ;-<

Mac
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