Hi,

I'm looking for developers that:

- use DTN/IQFeed as a data feed
- use IB as a broker
- be developing applications for automated trading using APIs from the above
- develpop in Java (well mostly)

I was wondering if you guys would be interested in a separate discussion forum. We could use either IB or DTNs forums or start our own elsewhere. Any suggestions are welcome.
The purpose would be to assist each other with development problems, etc as IB and IQFeed (in particular) are not always helpful. Often there's workrounds to bugs that we can all benefit from.

My status:
My partner and I have been developing a fully automated trading platform for the past 2 years but mostly the past 14 months. We went live 2 weeks ago.
Our system is totally Java based and we do all development under Linux. The production system runs under windows due to IQFeed but we run it all under cygwin so that our linux scripts all work unchanged. As we are in Australia and only trade on NASDAQ, all of our trading occurs overnight which is when ISPs like to make changes (which is very annoying). We therefore have two broadband Internet connections and I have just written Linux scripts that will automatically switch ISPs on a protocol by protocol (or host server) basis when one fails. With a UPS and (coming soon) generator, we should be able to run smoothly most nights. We are still looking for another data feed to compliment IQFeed but the only one that seems okay is realtick. We are also looking at using a co-lo in the US.

>I'm looking for developers that:
>
>- use DTN/IQFeed as a data feed
>- use IB as a broker
>- be developing applications for automated trading using APIs from the above
>- develpop in Java (well mostly)

I hit all of the above.


>I was wondering if you guys would be interested in a separate discussion forum. We could use either IB or DTNs forums or start our own
>elsewhere. Any suggestions are welcome.
>The purpose would be to assist each other with development problems, etc as IB and IQFeed (in particular) are not always helpful.
>Often there's workrounds to bugs that we can all benefit from.

I would love to speak to you guys in person over the phone--ho can I reach you?

I have already contacted Ned Solot, and he is a nice guy. He develops in C++ by the way (but I think that Java is a vastly better choice!).


>My partner and I have been developing a fully automated trading platform for the past 2 years but mostly the past 14 months.
>We went live 2 weeks ago.

I have been working solo (altho full time) for the last year on my trading system. I started trading seriously with real money from October thru February, but my system was NOT fully automated. It is now, since I stopped trading in March and spent full time working on my technology. I can't wait to start testing my full auto system with real orders, perhaps sometime this coming week.

I learned a lot doing the orders and baby sitting positions manually, but I should have cut this phase short a few months ago, because I have now run out of a time limit that I agreed on with my wife and I have to at least look for a day job. If I am lucky, I will get a short term Java consulting gig, but those are now really hard to find in New York City where I live.

So how is your full auto system doing? Making money? Too soon to tell?


>Our system is totally Java based and we do all development under Linux.

I am totally Java based, but develop under Windows.

In the future, as Microsoft turns more and more into The Beast, I may very well move onto Linux, Solaris, or OSX. What Linux distro do you like? I know very little here, but want something that is well supported and actively developed and reasonable for a non-sys admin like me to maintain. I have been told to experiment with Knoppix, and then probably use something like SuSe professional.


>As we are in Australia

Do you have VOIP so that you could call me here in New York City cheaply?


>and only trade on NASDAQ,

Why is that?


>With a UPS and (coming soon) generator, we should be able to run smoothly most nights.

I have just a UPS. I figure that if NYC's power goes out like it did in the summer of 2003, then all is lost anyways.


>We are still looking for another data feed to compliment IQFeed but the only one that seems okay is realtick.
>We are also looking at using a co-lo in the US.

If you are doing enough volume, then you should contact

Tom Myers
Vice President of Sales
Nexa Technologies, Inc.
Phone: 512.422.9737
Fax: 512.236.1547
Email: tmyers@nexatech.com
http://www.nexatechnologies.com


They have a lot of stuff that they sell to hedge funds, ranging from real time and historical data (they just bought Tick Data, who I use for my model development--expensive, but the best) to FIX engines that route directly to the exchange to co-lo services (they claim latencies in the few 10s of milliseconds).

Jazzfusionb,

Thanks for your response. I sent a similar message to my first post as a private message to you and a few other subscribers including nsolot, skunk and sasha. I'm guessing that most users don't have email notification of private messages configured in their profile so they probably haven't read them.

We only trade the NASDAQ because we need to have an overview of the whole market (limited to a specific exchange) so 1300 symbols is only adequate for one exchange. We picked nasdaq because it has good liquidity and volatilty to suit our trading. We were a little concerned about the ability of market makers to affect our trades on the nyse but we expect to expand to that market (with a second feed) later this year. Forex also looks very interesting but that's a way off.

We are basically day traders that buy regular shares. We make heavy use of margin to buy shares and we close ALL of our positions daily. We had some teething problems over the past week, mostly because the IB test system is inadequate so we were doing live testing. IBs TWS crashed a few times but we've worked out which API calls are causing it and have avoided them. Unfortunately, we lost a lot of money due to these problems (actually it was more lost profits) but we are back to even. Our repeat runs of the same data over the past week suggest we would have been around 10% up. We are only using 1/3 of our funds but will ramp up in the next week.

You can't imagine how painful the time difference can be. The nasdaq opens at 1:30am !! Once daylight savings finishes it will start at 11:30pm which is a little better. That's why fast, reliable data and power connections are important to us. Co-lo (in the USA) is an option but the downside is how physically far away we would be and therefore dependent on other people. How has your search for a co-lo facility gone?
The network stuff that I'm doing at the moment is critical. If the main ISP link goes down it doesn't automatically cut over to the backup and the SMS messages don't get to us because they utilize the main ISP link. Fortunately we have very loud audio alerts that wake up my partner Neil, not me. Unfortunately (or fortunately) Neil has a 4 week old baby so this is not a desirable situation (just ask his wife :-).

Thanks for the Nexa contact info. I'll look into it.

I will send you personal contact info via a private message so look out for it.

cheers,
Dennis

Dennis:

I fit the first 3 criteria. I work in C/C++.

I'd participate in a forum which focuses on the issues related to using the IQ API in ATS environment, so long as it doesn't drift off to other issues such as discussing/arguing the merits on various languages (C++ vs. VB vs. Java) and platforms (Win vs. Linux) as there are other more appropriate forums for this.

Issues related to the IB API should probably be addressed in the IB forum or the Yahoo TWS group.

I agree there are at least 4 of us who use both IQ & IB APIs, and I suspect the reason for using IQ is the severe limitations IB places on their data feed.

So long as we stay focused, I believe the info would be very useful to IQ staff in understanding our particular needs. If we ramble, our forum will be be ignored.

Ned

I fit the first 3 criteria. I work using C# on a Windows.

I will participate in a forum.

I fit the first 3 criteria.

I work in Delphi/Kylix and will participate in a forum.

I have a robust interface to IQFEED using sockets that I've done in C++. I am a professional programmer--use C++/Matlab. Won't participate on the Java side of things, but the rest sound good... Feel free to PM me.

I've got a question for the IB/IQ crowd.

Which do you connect to first, IB or IQ?

Does anyone else find the amount of time to load the IQ via RegisterClientApp to be inconsistent? Sometimes it loads/initializes fast, other times slow, and if I send the watchlist tickers too soon, they fail to load. Anyone have a good solution for this?

Wait for the callback/message before making the socket connection. Use a FSM (Finite State Machine) to manage the interface to IQ. Yes it varies--don't know why but it looks like authentication takes longer sometimes than others. I have no problems using a FSM and sockets though--that part anyways is very reliable. Please PM me or take this to the development forum if you want to continue this...
Edited by battelle on Apr 8, 2005 at 02:25 AM

Thanks for the feedback.

Do you think it makes any difference whether I connect to IQfeed or Interactive Brokers first?

I think the place where I'm getting tripped up is earlier. After calling RegisterClientApp(), I suppose I have to wait sufficient time before making the socket connection. I'm wondering if there's a way to determine that IQconnect is ready for the socket connection, rather than guessing how long it takes for IQconnect to load and login.

FWIW, I wait for the S,SERVER CONNECTED message before sending the watch list.

I believe I found a solution (or workaround) which works consistantly.

I put the code which contains the socket connect inside a for loop with a count up to 10. On failure, I insert a 2 second delay. This way I give IQconnect up to 20 seconds to establish a good connection. It's probably overkill, but after taking out a delay I had after RegisterClientApp(), I now consistently fail the 1st attempt and connect on the 2nd.

at 9:04 EST I got a slow connection. Took 5 iterations of the loop (8-10 seconds) for the socket to connect.

After calling RegisterClientApp() you are supposed to wait to be notified that the connection has been established using the funky WM_MOUSEMOVE mechanism. There is also a method called SetCallbackFunction() in the C code that does the same thing.

I fit all four of those catagories. Me and two friends have been developing an all java trading platform using IB and IQFeed. Moreover, we are ready to go live very soon, so I am very interested in what people have to say here.

In fact, I ended up writing two packages to try to deal with the strangeness of both products.

I fit 1,3, and 4. I haven't decided on the use of a broker yet, but it may be an http solution to my online broker. My status is: been developing iqfeed for past 1 year, have level1+history handling. Also I had to develop a relay server that simply forwards messages to/from DTN from my client app. This way the client app can by running on any other OS that supports java. My solution is totally java, under windows, and I use 1.5.

" Also I had to develop a relay server that simply forwards messages to/from DTN from my client app. This way the client app can by running on any other OS that supports java. "

I wouldn't admit to this in public. It is illegal in terms of the real time data agreement you signed.
Edited by skunk on Apr 20, 2005 at 10:58 AM

Please explain. I don't understand why it would be illegal to reroute realtime data from one ip address to another.

The IQFeed agreements you signed only allow for the data to be processed on one machine. You cannot legally "redistribute" the data even if it's simply your application spread across 2 PCs.

Bummer. That's exactly what I'm doing, forwarding data to my other pc. Ok, thanks for the heads-up.

I have moved this thread into its own/new forum....

---

Jay Froscheiser
DTN Market Access, LLC.

- use DTN/IQFeed as a data feed
- use IB as a broker
- be developing applications for automated trading using APIs from the above
- develpop in Java (well mostly)

Hi,
I hope to meet all of the above criteria. I’ve had DTN/IQFeed for all of two days. Looked at IB demo. I currently automate my trades in TradeStation while I am at work.
After being unemployed for a year, I found a job (with a three hour commute) as a Java developer. With not enough time as it is I was disappointed to see that DTN does not provide complete, robust Java connection code. Oh well. Anyway, is there anyone who would be willing to share their Java code to connect to IQFeed (and/or IB). Server code can be in any language. I have to ask after seeing that people are spending large amounts of time reinventing these fundamental and important pieces of code. I would of course give back any changes and ideas to the group.
Thanks,
David

- have IB as my broker
- been looking for a data feed - I believe it will be DTN/IQFeed
- been in computer field for 30+ years

Hi,

Does anyone know if Visial Studio can be a good IDE for an automated trading system?

I was thinking of doing what the Australians are doing. I would have a dual boot system

with windows and linux. I would develop on linux and copy it over to the windows side to

run in production since the IQ Feed has to be in Windows based. But anyway, I know

where you guys are coming from and that's where I'm going to. I just don't know what

IDE to use, etc. I'm not lost but I will continue to educate myself. And I appreciate your

posts.

---

Can't make any comments regarding VS but I can make a few other suggestions.
When we set up our machines, no x86 CPUs supported virtualization. Our development machines now run Linux as a host and a virtual machine with XP as a guest OS. You can run the windows stuff (DTN) in the XP guest and the rest of your application can run under Linux. Communication is via a simple socket connection.

cheers,
Dennis

You may be able to build a small wrapper for the API, then install the IQFeed stuff in Wine on top of Linux without having to resort to a vmware session.

I use Visual Studio as well as Java IDEs (eclipse, JBuilder, JDeveloper) and it really comes down to the programming language you want to use. Back when we started developing our application (2002) the clear choice for us was Java. But C# has come a long way since then. I can say that we have almost no issues with the Java IQFeed package. That said, if your a professional programmer (I am as are my colleagues), you should be fine.

On a related note, if I was starting out all over again, I might choose to write my application on top of the TradeStation platform. Last time I checked they had integrated the datafeed and the broker. You can also write plugins to handle your business logic.

Finally, I sure would like to go more toward the path of 'open source' on this thread. I find way too many people unwilling to share knowledge in the area of stock trading.