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Job Summary:
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| Job Type: |
Project |
| Budget: |
$ 250-500 |
| Required
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| Attached
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(None) |
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| Status: |
Closed for bidding
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Buyer Summary:
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| Username: |
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| Feedback Score: |
Rating: (No Feedback Yet)
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| Award Reliability: |
1 posted 0 paid |
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| Location: |
Wilmington, Nc, United States
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| Member Since: |
December 31, 2009 |
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Description
GENERAL
This bid consists of developing three Visual Basic (Visual Studio 2008) Applications. Each will be developed as DOS executed (non-GUI) “Console Applications†and will connect with Interactive Brokers (IB) Trader Workstation (TWS) API.
-App 1 - Tick data collector DOS application
-App 2 - Bar data collector DOS application
-App 3 - Order entry automation DOS application
IB API libraries, examples, and definitions can be found in the following paths
http://www.interactivebrokers.com/php/apiUsersGuide/apiguide.htm (IB API reference guide)
http://www.interactivebrokers.com/en/p.php?f=api&ib_entity=llc (IB API download and similar examples)
http://www.interactivebrokers.com/en/control/systemstandalone.php?os=win&ib_entity=llc (TWS download)
- Functionally based upon existing IB API class/methods/routines to minimize coding complexity, simplify coding architecture, and reduce development time
- Non-GUI applications are requested to maximize execution speed and robustness
- Applications should be able to run simultaneously on same computer connected to single TWS instance
- Applications should be able to run continuously for multiple days without error
- Applications need to function on a 64-bid Windows 7 Operating System
- Progress Payments/Terms: 20% when application 1 is operating, 20% when application 2 is operating, 40% when application 3 is operating, 20% when all applications are fully integrated, tested, and continuously run from at least 3 days
- An additional bonus of 20% will be provided to the person/team that can provide high quality well commented codes that beats schedule and delivers an easy to implement, error-free package.
- This task should be a relatively simple project for those knowledgeable about Visual Basic and Interactive Brokers API
- Further details of each application are specified below
APPLICATION 1 - Tick Data Collector (Tdata_v1m0.exe)
Program Functions:
- Read a list of target currencies from specified ASCII input file
- Connect to local Interactive Brokers (IB) Trader Workstation (TWS) account
- Collect continuous unparsed tick data (time, bid, ask, last, bid size, ask size, and last size) for each target currency and write unparsed/unprocessed data to specified ASCII output files.
Control Inputs:
Target currencies to gather tick data shall be provided via input file “Currencies.txtâ€. The first line of the ASCII input file will provide the number of currencies (NCURR). The next NCURR lines will be the list of FOREX currencies.
Application Outputs:
All raw unparsed data for all targeted currencies will be continuously written to ASCII files with changing filenames every 5 minutes. Tick data must not be lost between consecutive ASCII files. Filenames should have the following format
Taaaabbccddee.txt
where,
T = Represents “tick†data
aaaa = Year of Data Set
bb = Month of Data Set (01 to 12)
cc = Day of Data Set (01 to 31)
dd = Hour of Data Set (00 to 23)
ee = Ending Minute of Data Set (00 to 59)
“.txt†= File extension
APPLICATION 2 – 5 Second Bar Data Collector (Bdata_v1m0.exe)
Program Functions:
- Read target currencies from specified ASCII input file
- Connect to local Interactive Brokers (IB) Trader Workstation (TWS) account
- Collect continuous 5-sec bar data (date, time, open, high, low, close) for each target currency and save to specified ASCII output files.
Control Inputs:
Target currencies to gather tick data shall be provided via input file “Currencies.txtâ€. The first line of the ASCII input file will provide the number of currencies (NCURR). The next NCURR lines will be the list of FOREX currencies.
Application Outputs:
Data will be saved in an ASCII “.csv†file with the following internal format.
mm/dd/yyyy, aabbcc, 1.11111, 2.22222, 3.33333, 4.44444, e, f
where,
mm = month
dd = day
yyyy= year
aa = hour (00 to 23)
bb = minute (00 to 59)
cc = second (00 to 59)
1.11111 = open
2.22222 = high
3.33333 = low
4.44444 = close
e = 0 (unused)
f = 0 (unused)
Data for each currency shall be saved in individual files within daily files with the following file format.
Bxxxxxxaaaabbcc.csv
where,
B = Represents “bar†data
xxxxxx = currency (example: EURUSD)
aaaa = Year of Data Set
bb = Month of Data Set (01 to 12)
cc = Day of Data Set (01 to 31)
“.csv†= File extension
APPLICATION 3 – Order Entry Automation (Orders_v1m0.exe)
Program Functions:
(1) Connect to local Interactive Brokers (IB) Trader Workstation (TWS) account. Account details will be identified by ASCII input file
(2) Read operating status parameters from ASCII file
(3) Write updated account value to ASCII file
(4) Write latest bid & ask quotes for targeted currencies to ASCII file
(5) Run pre-specified DOS batch file
(6) When above batch file completed read desired orders from ASCII file
- read number of orders (for each order, read the following)
- read trade type (LONG / SHORT)
- read number of shares
- read target limit in value ($)
- read time to allow for limit in to occur (sec)
- read target limit out value ($)
- read time to allow limit out before selling at market (sec)
(7) If no desired trades identified, wait predefine amount of time, Goto Step (2)
(8) Execute / Monitor entered orders
- place limit in to buy (LONG) or limit in to sell (SHORT)
- if target time to allow limit in reached, cancel order
- if limit in orders execute, place limit out order
- if limit order is executed, but time limit reached, convert to market orders
(9) Write executed order transaction summary to ASCII file
- Infinite loop back to Step (2)
Control Inputs:
Inputs read for ASCII input file every loop to determine process control
Leverage (real, value= 0.0 to 40.0, default = 1.0) – Value multiplied by available working capital to identify allowable number of parallel orders and number of shares per order
Automation Mode (4 GUI radio buttons) – identifies operating mode.
1- “Standby†- No new orders entered
2- “Standard Automation†- identified limit in orders entered, orders remain pending until limit in time reached, entered orders exit on limit out, unless limit out time reached
3- “Stop – Limit Out†- No new orders entered, cancel pending orders, allow entered orders to exit on limit out, unless limit out time reached
4- “Stop – Market Out†- No new orders entered, cancel pending orders, exit all positions at market.
5- “Exit†– Stop Application Execution
Wait Time (real, value = 0.0 to 9999.9, default = 10.0, units = sec, GUI text box) – specified amount of time to wait if batch file identifies no target orders to rerun batch file
Name/Location of Batch Engine File (default = “orion_v1m0.batâ€)
Name/Location of Currency List ASCII File (default = “currencies.txtâ€) – ASCII file listing the currencies to collect current bid/ask quotes
Name/Location of Bid/Ask Quotes ASCII File (default = “quotes.txtâ€) – ASCII file includes most recent bid/ask quotes for each currency identified in currency list
Name/Location of Available Money ASCII File (default = “money.txtâ€) – ASCII file containing current amount of money available for trades
Note: files "currencies.txt", "quotes.txt", and "money.txt" have been attached below
Note: "mock" batch files and any other input/output files will be provided to coder at beginning of project.
Reminder
You may not start working in this and any request before
your bid is accepted. Users who violate this policy
may have their accounts permanently suspended.
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