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Viewing User Profile for: ChainsawDR
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Joined: Jan 4, 2019 08:08 PM
Last Post: Sep 9, 2019 08:12 AM
Last Visit: Oct 7, 2019 01:18 AM
Website: NA
Location: Seattle
Occupation: Product Manager
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ChainsawDR has contributed to 5 posts out of 19450 total posts (0.03%) in 454 days (0.01 posts per day).

20 Most recent posts:
IQFeed Developer Support » Shares Outstanding Data? Sep 9, 2019 08:12 AM (Total replies: 4)

Thank you Stephen

IQFeed Developer Support » Shares Outstanding Data? Sep 9, 2019 07:22 AM (Total replies: 4)

Hi Stephen, please could you kindly confirm if the output of the Common Shares Outstanding is in 000’s? The documentation doesn’t mention it but looking at the output for companies like AAPL & AMZN I think its missing three zeros in the output but would like to confirm please.
Many thanks

IQFeed 3rd Party Software Support » Software to use alongside Iqfeed? Aug 18, 2019 03:45 AM (Total replies: 1)

Hoping to ask for some advice on an automated trading system setup please. I’m using iqfeed already and now trying to decide whether to use an off the shelf backtesting and live trading service (such as Ninja Trader) vs a mix of open source systems (such as PyAlgoTrade and IBridgePy) and was hoping for some advice from more practiced hands.

Short version of the question: I’m a little confused as to how flexible some of the off the shelf systems are at using external/custom metrics and trading (interval) frequency. After having a less than amazing experience with a developer trying to build a custom solution I’m looking at off the shelf software. Is anyone aware of a backtesting and live trading software system that is: standalone software that can be hosted on AWS (or a VPS), can live trade with interactive brokers, make live trading decisions based on DTN Iqfeed data (rather than IB feed data), backtest rules (event) based on DTN Iqfeed data, incorporate custom metrics within backtest & live rules, and operate on a 1 sec ‘heartbeat’?

Longer version of the question: Some considerations and requirements for the setup I’m looking for:
1. I’m not a developer by trade. I’m learning Python but I don’t want to wait 6-18months to become adept enough to put live a trading system that I can trust enough with real money. From a systems perspective, whether it’s an off the shelf or open source system, I’m going to need to hire a developer to help configure a system that I can live trade with for the first time (and then evolve the rules myself). From this perspective I’m leaning towards an off the shelf system as I won’t need to worry about bugs as much, and upgrades are presumably easier to manage than iterating open source versions.
2. From a rules perspective, I’m confident in being able to write my own trading logic that runs in a system (when to buy, when to sell etc).
3. I’m a Product Manager & Business Analyst by trade. I can write system design documents and requirements, and have hired developers via upwork in the past (so open source powered systems are feasible).
4. I want to (must Requirement) keep my rules private and only use standalone software that I can host on AWS (which I’m very familiar with). This rules out cloud based systems like quantconnect
5. I’ve already hired a developer who has helped automate the retrieval of 1 sec & 1 min OHLCV data for 500 US Equity Stock symbols from DTN Iqfeed, and created some custom metrics that I want to be able to use within a trading rule. An example metric would be ‘count of stocks that closed the interval higher than it opened’ (which would be used in conjunction with other rules such as moving average crossover). I’ve been using jupyter notebooks, pandas and matplotlib to run analysis and hypothesize some rules that I now want to backtest and hopefully put live.
6. I’d prefer to (should Requirement) continue using DTN Iqfeed for making live trading decisions as the data quality is good and I’ve read it’s better quality than most broker feeds like interactive brokers.
7. I want to (Must Requirement) use interactive brokers as my style of trading needs low transaction fees and I eventually want to expand to more markets.
8. Back testing must be event based so I can easily flip from backtesting to live trading (or ideally paper trading before live trading but not essential)
9. I’d prefer (should Requirement) any software to use Python as the rule coding logic as it’s more transferable (rather than being locked in to a language that only works on one system).

As a next step (if no joy from this forum) I was intending on emailing various trading software providers to ask if they can satisfy the above requirements, but as I’m sure many will say they are the best, I was hoping to either learn from this trading community or be educated on my requirements if they are too restrictive.

Thanks in advance


Edited by ChainsawDR on Aug 18, 2019 at 03:57 AM

Thank you altmany, that’s very helpful! I’ll post a separate question for #3.

Thanks again

I'm hoping to please ask for some advice from the forum members who are more experienced than me regarding some novice/basic system design questions (as I'm new to building an algorithmic trading system from scratch). I’ve 3 questions (#1-#2 are relevant together, #3 I could post as its own thread if preferred but didn’t want to clog up the forum with lots of novice questions so grouping in one thread).

Context: The end result I'm working towards is a live trading system that uses minute bars to make trading decisions (in future I may go down to N second bars). I've signed up for DTN IQFeed and have consumed historical minute data for my tickers (using request: "HIT,%s,60,20180601 075000,,,093000,160000,1\n" % sym) so I think I’m now in good shape with the 'backfill' piece of work and currently building a backtester.

Q1: I'm now struggling with the design aspect of keeping the minute data updated (every minute) and being able to use it for future paper & live trading. As I understand it, the most common option is to consume live tick data and compile minute bars from this, every minute. Are there any other options people recommend? For example, I wasn't sure if it'd be possible to consume 'historical' minute data, every minute (using the same HIT request format). If so, do you know how frequently the historical data is updated? For example, if I make a request for 11.03am-11.04am data at 11.04am+1sec, would the data be available then? I’ll never be running a HFT system where millisecond data is needed for decision making.

Q2: I can’t discern from the documentation if it’s possible to request and retrieve historical level 2 data, does anyone know if this is possible and what command to use? If it’s not available, then I suppose that dictates needing to consume and compile tick level data? (signed up for Nasdaq level 2 data)

Q3: I’ve read a lot of forum threads regarding how Linux isn’t properly supported and requires wine to launch. I’ve got it working in quite a manual way currently so hoping if I outline my approach, others might be able to point me in the right direction for an automated alternative so that I can cron job turning iqfeed on and off... I’ve setup an AWS EC2 instance with Ubuntu 18.04 LTS, installed vncserver and an Ubuntu desktop GUI that I access via tightvnc, installed wine and iqfeed via the GUI. To launch my iqfeed python file I start vncserver via an ssh terminal, then connect to the GUI via tightvnc, navigate to the wine DTN folder and manually launch iqconnect and iqlinklauncher, clicking ‘startiqlink’ and ‘connect’ on each pop up. Finally, from the ssh terminal I launch the python file. I’ve tried a whole bunch of different methods for launching iqconnect and iqlinklauncher from the terminal in headless mode but each has their own errors - I can state each option attempted and errors faced, but if anyone is able to share the terminal commands they use to launch without a GUI then I can try to recreate and debug via the error prompts (knowing that it’s a solvable problem).

Thanks in advance for any help you can provide
Edited by ChainsawDR on Jan 4, 2019 at 08:57 PM

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