Can anyone tell me the engineering process of going from a DTC protocol to an API. I write my algoyrhtym in to a very reliable data feed that uses DTC protocol from CME exchange in C++ but brokers tend to use API…I am relatively new to the engineering aspect of it…I have been writing algo for 8 years and trading for 16. But i have always worked on the math and research side and always had engineers to pass things to and they passed it all back. So i am trying to teach myself the engineering.
The issue is the data feed i use to write the algo has to stay exactly where its at! That aspect is dialed! I have spent 5 years building out the formula side from that specific feed and I know it works…Right now it sends me an email which sends the market price, asset, buy or sell, and has the stop and limit information …I have coded at least that far, from the data feed directly which allows you the aggregated data to code from on the back end…in the past i have simply gone over to the broker and placed the trade manually from the email. And i am trying to automate this process.
I only understand the nature of building the algorithm from that specific data feed in C++…and haven’t a clue on how I convert it to a real trade or what the options are past the human. I understand coding syntax and that logic but thats just math and code…and all the available information is here is how you trade and here is the information and here is what you do with it. And none of it…and I do mean non pertains to what I am doing! I dont need to get data. I dont need to build an algorithm. I need to take an already well built algorithm that I know is solid from a very specific data feed that uses a DTC protocol and already has the algorithm built and convert it to a real trade and I was wondering if anyone knows of any resources I can learn this process?
It's great that you have a strong background in algorithm development and trading, and you are now looking to learn more about the engineering aspect to automate your trading strategy and convert it into a real trade through an API.
Let's break down the process step-by-step:
- Research API Options:
Since you mentioned that brokers tend to use APIs, you'll need to explore the available APIs provided by the brokers you are interested in. Different brokers might offer different APIs with varying capabilities, so it's essential to find one that suits your needs and can integrate with your data feed.
- Design the Trading System:
Next, you'll need to design your trading system that bridges the gap between your algorithm using DTC data and the broker's API. This involves writing code that takes the data from your DTC data feed, processes it using your algorithm, or reads the email and then generates appropriate trade orders (buy/sell).
Resources to reading emails in Python
A. How to Read Emails in Python - The Python Code
- Order Execution and Management:
Once the trading system is connected to the broker's API, you'll need to implement the logic for order execution and management. This includes sending buy/sell orders, setting stop and limit orders, monitoring order status, handling order cancellations, and managing position information.
- Testing and Validation:
Testing is a crucial part of the process to ensure that your trading system is functioning as expected and is reliable. You'll need to perform thorough testing on historical data and possibly use simulated trading accounts to validate your system's performance.
Resources to Learn API Integration and Trading Automation:
- C++ Interactive Brokers API
TWS API v9.72+: Introduction
- Automate Trading using Interactive Brokers
Quantra by QuantInsti | Courses on Algorithmic and Quantitative Trading
- Automate Trading using MT5 and Python
Quantra by QuantInsti | Courses on Algorithmic and Quantitative Trading
Important Note:
1. Remember that automated trading involves real financial risks, so it's crucial to thoroughly test your system before deploying it with real money. Start with small positions or use a demo account initially to gain confidence in your system's performance.
- The brokers mentioned in this context are purely for illustrative purposes and should not be construed as recommendations or endorsements. The examples provided are solely intended to serve as reference points. It is crucial to exercise due diligence and make well-informed decisions when selecting a broker.