Algorithmic Trading with Interactive Brokers (Python and C++)

Through Interactive Brokers, software developers can write applications that read financial data, scan for contracts, and submit orders automatically. Individuals can now take advantage of the same high-speed decision making and order placement that professional trading firms use.

This book walks through the process of developing applications based on IB's Trader Workstation (TWS) programming interface. Beginning chapters introduce the fundamental classes and functions, while later chapters show how they can be used to implement full-scale trading systems. With an algorithmic system in place, traders don't have to stare at charts for hours on end. Just launch the trading application and let the TWS API do its work.

The material in this book focuses on Python and C++ coding, so readers are presumed to have a basic familiarity with one of these languages. However, no experience in financial trading is assumed. If you're new to the world of stocks, bonds, options, and futures, this book explains what these financial instruments are and how to write applications capable of trading them.

Matthew Scarpino is a veteran programmer with over twenty years of experience and a CFA Level II candidate.

Table of Contents

Chapter 1: Introduction

Chapter 2: Stocks, Bonds, and TWS

Chapter 3: Trading Options with TWS

Chapter 4: Options Strategies

Chapter 5: Trading Futures Contracts

Chapter 6: Fundamental Classes of the API

Chapter 7: Contracts and Orders

Chapter 8: Accessing Financial Data

Chapter 9: Scanning for Securities

Chapter 10: Advanced Orders

Chapter 11: Computing Technical Indicators

Chapter 12: Implementing Option Strategies in Code

Chapter 13: The Turtle Trading and Bollinger-MFI Systems

Chapter 14: Practical Algorithmic Trading

Appendix A: The FIX Protocol

Appendix B: The Kelly Criterion