My submission for 2007 Automated Trading Olympiad held by Interactive Brokers.
Written in Excel VBA
How the system works:
- It takes the highest and lowest price points for the GBP currency pair (GBP/USD, GBP/JPY).
- Sets limit orders at those points.
- Only factors in the London currency exchange opening and closing time. (Rationale: highest volatility with highest potential for breakout prices)
- Profit???
You will need to consult the IB Excel API documentation which at the time of writing, was missing documentation. I relied on Yahoo discussion groups and trial and error.