Adding interface for Interactive Brokers

[jecker7]

Any plans for this yet?

[jbax]

Sure. Can you point me to their api documentation? Do they have any ready to use library for java to facilitate using their api?

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[jecker7]

Here's a link to their API

Happy to help out with the interface also, have some working experience writing these. A low-latency FIX connection would be a nice feature to implement.

[jbax]

Thanks for that. Their documentation is a bit all over the place but I found this closed project: https://github.com/InteractiveBrokers/tws-api-public

From their website there are a few files from 2013, so I assume it's outdated. I had a quick look over their EClientSocket class that apparently does the communication with their servers and it's plain java socket based. If that's the only option we'd need to implement an Exchange with those dependencies that people would have to download from them.

Not a lot of accessible info on the FIX connection setup either, all I could find was the cost to setup which is not exactly cheap.

As you are more familiar with their API's, would you mind implementing a simple method of the Exchange class such as double getLatestPrice(String assetSymbol, String fundSymbol);?

Cheers!

[jbax]

Also to help integrating via FIX protocol we'd use quickfixj

[jecker7]

Yes will happily give it a go this weekend. Also plan on adding another interface for IQFeed data vendor with a websocket connection. Also are you available on discord or slack to talk about the project further?

[jbax]

Thanks! I created a slack workspace. Here is the invitation link: https://join.slack.com/t/univocitytrader/shared_invite/enQtODM3MjExNjEzODA4LWVkY2MyNGNmZjNhYzM4ZTlhYWRjOWM5MjRmMzBkOTRmOGMwOGFjN2ZhNTViYTU4M2Y2ODQwMzgwMTk2Y2ViYmI

[SteveH2003]

The IB API does not communicate directly with Interactive Brokers' servers. There's a Java app called TWS Workstation which runs on any PC in your network. The API connects to that and then your requests from the API get forwarded from there to the IB servers.

The API is pretty simple. You implement an interface (EWrapper) where all the methods you inherit provide the callbacks (i.e., responses messages from the TWS Workstation app) from your API requests. If you don't want to implement all of the interface, you can instead inherit from the DefaultEWrapper class which implements the callbacks with empty method bodies. That way, you can pick and choose which callbacks are important to your trading app.

Oh, sorry, just found this. IB has recently released a new REST API:

https://interactivebrokers.github.io/cpwebapi/

I got this info from r/algotrading on reddit. Seems there's issues with connecting with that and maintaining the well-established way (TWS Workstation). Personally, I would stick with communicating with the TWS API. If something goes wrong, you can always correct orders manually from the Workstation app.

[SteveH2003]

One thing you may want to add in the future for better performance is a caching mechanism for your indicators to reduce repeated computation time. Here's a Java TA library which does this as an example:

https://github.com/ta4j/ta4j

[jbax]

Thanks @SteveH2003, I'll open a new issue with that suggestion.