Request for ATS / API advice for WL
Author: romaioi
Creation Date: 2/20/2012 10:04 PM
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romaioi

#1
Hi All,

Caveat: I’m a novice programmer (with capability to improve - have coded my mannually executed system in WL), who is willing to build my own Automated trading system.

My goal, after doing some homework on what I saw as the best brokers etc (for non-US residents), was to develop my first pass Auto trading regime by interfacing WL with IB, and use either IB C++ or Java based APIs (C# APIs not provided). For my initial trading regime the IB real time data feed, with 5 day backfill would be sufficient.

I’ve since been reading a range of forum & support pages (e.g.: here, here , here, here, and here) and the FAQ missing features page, and learnt that WL does provide (support for) broker adapters etc. I also observed that the IB tools software tools application page does not have WL listed as compatible, which is confusing, given the multiple references to successful use of IB in the WL forums.

This throws a major spanner in the works. I’ve paid for WL, know it, and hence would prefer to keep using it. Plus, whilst willing to develop the API myself from scratch, I’m not a great coder.

So I guess the main question, is it still possible to produce a workaround enabling me to interface WL with IB? Can someone please point me in the right direction?

These are some other questions I was mulling over:

• I was also wondering, if there is an API in WLD6 (minus documentation etc, as per the FAQ page), how do I access and use it? Or can more easily access the one in WLD4? Is it worth it?

• In my readings I stumbled across a method that uses a mail server to send the orders. Is the use of an email server a typical approach? I would have thought a continuous socket-type connection was the usual go.

• There are a lot of other options out there, but how can I gauge which are better? I liked the look of QuoteTracker. But read in another forum that it was bought out? Anyone have any thoughts?

Sorry, I know there are a lot of questions here. It’s taking a long time to discern where to start and I don’t know any advanced coders who have knowledge in this area – just have the will to have a go for myself (but need help to start). Am currently running through relevant IB docs and webinars.

Sincerely,

Romaioi

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Cone

#2
We haven't supported broker APIs since 2004 - not for any version of Wealth-Lab.
Exception: WL4 customers who purchased Wealth-Lab prior to 2004 were entitled to the IB broker adapter.) To be clear, anyone developing broker adapters must do so with their own abilities, without our support.

That said, a pretty simple option is to have strategies write Alerts to a text file that can be read by another app (like TradeBullet or Treader68) that already has order entry automation for brokers like IB. Just see the QuickRef examples in the Alert Object category for writing Alerts to a file. You'll probably have to re-arrange the output format, but it's practically an out-of-the-box solution.
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romaioi

#3
Thanks, that works with WL in an analogous solution to the one I highlighted above. The only issue I would have top sort out is live data feed, which I assume can be accessed through the Excel/OO DDE streaming provider (unless I am missing something and real time data can be accessed directly through TradeBullet or Trader68 – appears to be different application in regards to Trader 68). This approach appears suitable for initial ATS goals. But am I correcting in speculating that use of email to feed alerts to an API may result in higher chances of slippage as the intraday frame is reduced?

Can I ask (anyone) if there are other commonly used message/alert handling solutions? I believe there should be direct socket based handling (as described in the WL4 user guide) available, but haven’t identified anything non-IB yet. And would some of these also be able to feed real time data back to the trading software, similarly to how I believe the IB API operates?

I have read the statement pertaining to post 22 Jun 2004 WL purchasers etc (and understand the instructions in sect 17.3 are no longer applicable), so these are just generic rookie questions. Should confirm the picture that is forming for me.
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Cone

#4
I can only speculate on how those apps work, so you have to download, install and investigate yourself. Anyway, there's no need for a data feed for order entry. Also, I'm not talking about EMail Alerts. When the strategy runs, it can immediately write Alerts to a file(s) on the local machine. An app on the same machine can detect if the file contents have been updated and then do something with them, like create or cancel an order.
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romaioi

#5
Thanks for the responses Cone. That makes me more certain of the types of tools I will try to develop and execute. If anyone else has any generic tips, I'd certainly be appreciative.