Pair Trading auto trading software for Interactive Brokers api -- core -- 3
$200-500 USD
Cerrado
Publicado hace casi 9 años
$200-500 USD
Pagado a la entrega
Experienced with pair trading/statistical arbitrage preferred
Need to build in a very cost-efficient a simple program that can trade two stocks , one long and one short (pairs trading) through the interactive brokers API. To give you an idea please take a look at [login to view URL], you can download it to get an idea. [login to view URL] is also another free reference point. Must have GUI
Core details version 1.
1. Must be able to enter two symbols and divide one into the other to obtain its ratio. (Stock A / stock B) and enter a mean/moving average and software will track the pair ratio for extreme standard deviations (STD) from the mean. Mean/moving average must be customizable for each pair., mean/average and std. Version one will trade on daily bars but update in real time through the day. Would like ability to trade via 15 min bars and 60 min bars or any intraday timeframe as well if possible so I can experiment. Also must be able to run multiple versions of itself set to different settings in paper mode or live mode.
2. information/data shown on page will be
stock 1, stock 2, price 1, price 2, delta/std, % from mean, correlation, cointegration, ratio, volatility, rsi of ratio, rsi spread between the two stocks.
3...columns must be sortable & lookback period for all must be customizable and settings saved so I dont have to keep entering settings when software loads.
4..Entry- ability to enter when set STD has been breached and ability to layer at least 5 layers. EXAMPLE: set buys to happen STD 2.0 , 3.0 3.8 or whatever I set to. If I only set one layer other not in use.
5. Ability to enter a dollar amount and software will figure out via real time quotes how many shares to buy/short. EXAMPLE. 10,000 to trade. Software will divide by 2 and enter 5000 long, 5000 short and will figure out amount of shares to buy.
6...stop loss. ability to set stop loss by % loss of trade or dollar loss. Remember one trade = 2 stocks.
7. Profit exit: ability to tell software to exit when STD reverts to a certain point. either 0, or .5 or 1.0. must be customizable to any.
8. must keep records reflecting profit/loss, % win to loss etc.. for all trades, . the more stats the better.
9. must be able to turn off autotrade and let it run on manual trade.
Have sent u my sample.
Let's start with Excel and progress to python.
I will setup a paper trading account with IB
Or use yours.
Let me try to break down the milestones.
I trade futures using the IB API and wrote a python program that automatically submits orders. I can submit any order type, MKT, LMT, STP, STPLMT, etc. I can add an OCA designation for a group of orders.
I can archive, and manipulate 1 min bars, 15 min bars, daily market data from the IB API.
Once upon a time I built a auto pairs trading platform for ETF arbitrage using a JAVA based API.
I can calculate derived statistics and time series from market data including RSI etc. This could easily be displayed using JQuery tables with sortable columns and links to call python trading routines.
Hi,
please take a look at quantopian.com. We can backtest your strategy on this site and you can connect or IB account for live trading. Please let me know if you have any questions.
best regards
Joerg