| title | author | date | output |
|---|---|---|---|
Real-time Trading With Packages iBrokers2, Rcpp, and Interactive Brokers |
Jerzy Pawlowski, NYU Tandon School of Engineering |
April 4, 2019 |
pdf_document |
We demonstrate how to perform fully automated, algorithmic trading in real-time with packages iBrokers2, Rcpp, and Interactive Brokers. Real-time trading means trading in a programmatic loop, in which continuous streaming market data is used to update a trading model, and the model outputs are used to place orders via the API. Real-time trading requires three components: acquisition of streaming market data and account data, trading model execution, and trade order management.
The package IBrokers2 contains R functions for executing real-time trading via the API of Interactive Brokers. IBrokers2 is derived from package IBrokers, and is fully backward compatible with it. This means that all the IBrokers functions and variables are preserved exactly in IBrokers2, while some additional functions have been added. The additional functions in IBrokers2 provide functionality for the three components required for real-time trading. They provide a trade wrapper environment for live data, and a programmatic callback loop for executing the trading model and for placing orders via the API.
We provide examples of simple trading strategies and explain how they can be modified by users.