Algorithmic Trading System Development

Quantitative Development

Often a Quantitative Researcher will develop trading models in Python or R. These models are then passed off to Quantitative Developers, who implement them in trading systems with Java or C++. Usually, a Quantitative Trader will then execute trades with the help of these systems. I have had the opportunity to work with the Interactive Brokers Java API for years as a researcher, developer, and trader. In this article we will be building an algorithmic trading system, for model based automatic trade execution. There are conceptually infinite design patterns to follow when developing trading systems. However, the purpose of this article is to offer simple solutions to the most common development stages. I will break this article up into three sections:

• Connecting to Interactive Broker’s Trader Work Station (TWS)
• Creating a Live Market Data Stream
• Implementing Models for Automatic Trade Execution

To install Interactive Brokers TWS visit: Interactive Brokers TWS Download

To install the API you will need to visit: Interactive Brokers API Download

If you wish to view the documentation of the API it can be found here: Interactive Brokers API Documentation