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Project objective: take 15 second market data & place orders using Interactive Brokers (IB) API.

See the Installation page to setup your development environment.

Phases:

1. HistoricData
2. RealtimeData
3. Signal
4. Position
5. Order

Overview

Technology:

• Groovy
• Interactive Brokers TWS api
• gradle
• junit, mock

Links:

• http://www.interactivebrokers.com/en/p.php?f=programInterface
• http://www.interactivebrokers.com/en/software/api/api.htm

Data setup:

• Fetch end of data data for Nasdaq 100
• Calculate top 10 stocks in Nasdaq by liquidity (price * volume)
• Subscribe to market data for QQQ & top 10 Nasdaq stocks

Use the Observer + Deque pattern specified in the code example, using the following data flow: MarketData -> Signal -> Position -> Order.

• https://github.com/kmcd/hummingbird/blob/master/src/main/groovy/observer.groovy

When new market data comes in (every 15 seconds)

1. create a signal (long/short)
2. create a position (100 shares QQQ BUY/SELL)
3. randomly (see below) create an order (LMT 100 QQQ BUY)

Create log entries for signals, positions & orders.

Basic unit test coverage required, esp. mocking out calls to & data returned from TWS API.