Automation of strategies using external process
Author: Supersol
Creation Date: 6/2/2013 7:46 AM
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Supersol

#1
Dear all,

I would like to automatize different trading strategies with wealth lab in a redundant way I can really trust; For that reason I need to evaluate different implementation techniques.

One of them is to run the generated trading strategies from wealth lab in a separate, isolated process - independently from wealth lab program. Simplified, I just want to copy paste the generated code from wealth lab and run it in my own software. But the API is - in my opinion - not clear about on how it should be used or not in this relation.

1.
Is it a common (and officially supported) way to use the wealth lab strategies in external programs just with the help of wealth-lab dll?

If yes, I don't understand how to load and fill the Bar Object with data. The only documented way for loading data into the bar object is loadFromFile, but it is not clear which and how the data goes into the bar object because the code is closed (not open source)

2a.
How can I load data into the bar object without using wealth lab but just with the wealth lab dll from an external source like a database?

2b.
Which "values" does the bar object need to be fully instantiated? (just high, low, open, close, volume?)

2c.
The API also describes static and streaming data providers. Are these providers thought to be used within wealth lab exclusively or can I use them to load data also within an external program (just with wealth lab dll)?

3.
What are - in your opinion - the best ways to automatize the strategies with a third party broker like interactive brokers? I as non US residents can't use fidelity.

3a.
One simple approach would be to use the alarms. I could write them to a file and let the program scan these files regularly. Should I use this approach?

Kind regards
Supersol
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Eugene

#2
Hi Matthias,

1a - Sorry, this is definitely not supported. Consequently, you're on your own with 2a, 2b and 2c should you decide to follow that path.

3 - Building a Broker provider by implementing the BrokerProvider interface. It's not supported because Fidelity decided not to document this API, but it's the preferable option. Several customers have successfully developed their own broker providers. You would get full integration with Wealth-Lab this way. i.e. be able to submit signals automatically or via right click trading, and automate your order placement.

A couple of undocumented tips in this FAQ: My custom broker provider for WL6 doesn't work properly (the broker/data provider part is visible only to verified customers logged in to the Wiki).

3a - Saving Alerts (not alarms) to an external text file might work as a quick & dirty solution.