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mmillar

Guest
330 5
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 :) How many other indicators have you programmed in VBA? I don't suppose you would like to make your VBA indicators available to us mere mortals?

fowkesp - thanks for your reply but you are confusing me even more now :confused: Why use eSignal and TS 2000i? Doesn't TS 2000i support real time data? And I've never heard of Genesis. Did you know you can pull the data out of eSignal into flat files using QCollector - I assume (but am probably wrong) that TS2000i can import flat files. FYI I'm using eSignal but now they've done the 'our server crashed and we lost all our historical data' thing I'm looking for something else to do backtesting. It's either going to be TS2000i, TS 7.2 (when it's out in June), or nice Mr JonnyT is going to be very charitable with his VBA stuff.
 

osho67

Well-known member
407 3
Dear Henry
Thanks for your pm and I wpuld suggest that anybody interested in simulated trading should contact you. There is no charge for any product. I hope this will not be any advertising.
 

fowkesp

Active member
129 0
mmillar,

Sorry to confuse you. My real-time datafeed is eSignal which I connect to TradeStation's GlobalServer. As you probably know, GlobalServer can be connected to a variety of datafeeds, including satellite links, internet feeds etc. It comes with built-in support for eSignal. It could also be connected to IB using a software add-on. The data is then displayed/back-tested using TradeStation 2000i. The signals from TradeStation are then automated into IB using TradeBolt <url>http://www.investlabs.com/tradebolt.htm</url>

Of course, eSignal also supplies its own software for displaying charts etc, and its own language (EFS) for trading, so I am spolit for choice really.

I also collect EOD for position trading futures, which I get cheaply from Genesis <url>http://www.gfds.com/</url>

You may be confusing TS2000i with the later versions (TS6 and TS7), which have their own integrated data-feed and trading platform supplied exclusively by the vendors of TradeStation.
 

osho67

Well-known member
407 3
I will donate 50% of my winnings if i can manage that .!!!!!
 

GreyingSurfer

Active member
173 0
Henry, JT,

I've just installed the API, as my current scheme is really only going to be tradeable with a degree of automation. I'm looking at the C++ sample code, which looks like a good start. However, what I can't find is any sort of overview which would help put things in context. For example, if I'm wanting to track tick data, or say 1 min bars, do I have to keep polling with a data request, or can it be set up to send a data record for each tick, minute etc?

I'm also strugglng a little as I can't find the definitions of some of the abbreviations needed. For example trying to pick up data for the DAX I need to set the type as Future, I presume, but is that FUT, future or what? Are these sorts of things laid out anywhere, or do you just have to guess, ask on the BB etc?
 

GreyingSurfer

Active member
173 0
OK, Having delved into my TSim contracts file I've got the detail I need to get it going, and I can see that once a request is set up it gets refreshed on each change of the data, neat. All I need to do now is work out how to capture it!

However, any pointers to additional help and information sources on the API would still be appreciated.
 

JonnyT

Senior member
2,560 22
Hi Peter,

Once you have connected to TWS, you chose the market data you want in the IB format (like Seirra with IB). All ticks are then automatically forwarded to your app as an event. You bascially modify all these handlers.

Yes you have to make your own bar data, again not difficult.

Compile the sample code and run it to get a feel. A man with your C++ skills will walk it.

Ifs there is any thing specific you want to know then please ask.

JonnyT
 

GreyingSurfer

Active member
173 0
JT.

I've just been playing with it a bit, and I've now worked out where the handlers for the incoming tick data are, so hopefully I'll be able to do something useful tomorrow!

Thanks, I'll be in touch if I get stuck.
 

Henry

Active member
177 2
mmillar said:
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.
 

mmillar

Guest
330 5
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

mmillar
 

JonnyT

Senior member
2,560 22
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
 

theknifemac

Well-known member
340 0
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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