c++ based application for testing options based automated trading ideas using DTN IQ real time data feed and Interactive Brokers (TWS API) for trade execution.
This is an application I use for automated trading securities.
C++ is used throughout for building high-capacity, low-latency trading applications.
A C++17 compiler is used to build the libraries and code.
CMake is used for build the projects and libraries.
Picture from the ComboTrading project showing an instrument list, with a chart for one of the listed instruments. Bid, ask, spread, and greeks are charted for the option (charted real-time).
More pictures under
Scripts are library version specific. I use Debian Buster x64. Build notes are as of 2016/09/25. There are some wxWidget requirements for using a GTK variation of video drivers (I've used Nvidia and Radeon cards successfully).
You'll need to Have about 10G free to build the project and related libraries and installs (from my libs-build repository).
Debian Stretch netinst (daily snapshot usually works): [since Buster is now 'stable', these links now refer to Bullseye] https://www.debian.org/devel/debian-installer/ http://cdimage.debian.org/cdimage/daily-builds/daily/arch-latest/amd64/iso-cd/
# run with bash # create working directory mkdir rburkholder cd rburkholder # git for latest code, wine for IQFeed daemon sudo apt-get update && apt-get install git wine wget sudo dpkg --add-architecture i386 && apt-get install wine32 wget http://www.iqfeed.net/iqfeed_client_5_2_5_0.exe wine iqfeed_client_5_2_5_0.exe
interactive brokers Java for linux
wget https://download2.interactivebrokers.com/installers/tws/stable/tws-stable-linux-x64.sh sh tws-stable-linux-x64.sh
initial library install
git clone https://github.com/rburkholder/libs-build.git cd libs-build ./build.sh tradeframe cd ..
main trade-frame code
pre-build some of the example apps
(first example built will take a while as most support libraries are built as well)
pushd trade-frame cd ArmsIndex make cd IQFeedMarketSymbols make cd ../IQFeedGetHistory make cd ../Hdf5Chart make cd ../LiveChart make cd ../ComboTrading make #cd ../StickShift2
Current Market Data Providers and Execution vendors:
Libraries used (use my lib-build respository to download and build the various dependencies):
The libraries are cross platform capable: Linux and Windows
The code started out on Windows using Visual Studio, and is now predominately tested on Linux Debian. Some work is required to port back to Windows.
The lib directory has a series of libraries I use throughout the various applications. Primary libraries include:
During its infancy, the code used MFC (Microsoft Foundation Classes), some Berkeley DB code, and various other modules, which I now no longer support. The code remains in the repository for historical value, and for the time it might be re-written for current use.
These are some of the currently supported applications:
The announcement on my blog: http://blog.raymond.burkholder.net/index.php?/archives/679-trade-frame-c++-securities-trading-software-development-framework.html
Some other, possibly, related entries: http://blog.raymond.burkholder.net/index.php?/categories/23-Trading