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I am going to start the transition to algo trading, because systematic, rules-based trading is better for me than discretionary trading.
Since I'm most comfortable with Python (I just finished my second Python course through University of Washington's Professional and Continuing Ed), than C++ (last course was in 2009, when I wanted to learn MQL).
I have been learning Interactive Broker's Python API, and I must say it's a bit convoluted.
Nevertheless, I know more now than I did four weeks ago. The only reason I am sticking with it is because, 1. It's the only broker that supports Python for futures algo trading, and 2. I've already gone that rathole, so I may as well stick with it.
Once I create an application, perhaps I'll stream it in action to journalize its results.
I would have been done by now, but I got side tracked, because I decided to join the "Great Resignation." I plan to submit my resignation this coming Friday, 8/6, take a month off to travel, and return to start a three month data science immersive course in hopes of getting a remote job (I'm sick of going to an office). And if I'm not successful in landing a remote job, then I'll get my CDL and drive trucks (anything to avoid returning to an office).
In Sept 2021, enrolled in a three month data science (DS) boot camp. I am in the last week of that course, wrapping up a capstone project. The boot camp is akin to drinking water from a fire hydrant. I think we had a washout rate of about 40%. At times, I felt like joining the ranks of that 40%. Presently, I probably remember only 20% of the material covered. Nevertheless, I can see the utility of ML tools applied to algorithmic trading.
After completion of the DS boot camp, I will start a six month algo trading course offered by Quantinsti. The course covers several of the topics covered in the DS boot camp. So, that will be a good opportunity for reinforcement learning.
Yeah, I started back on January 8th. It's going okay. The first six weeks it just statistics and modeling using Excel. I had to slog through that because I'm not a fan of Excel, especially since I love Pandas Dataframes. Two weeks ago, we entered the Python phase. This past weekend, Yves Hilpisch gave a lecture on backtesting. Next weekend's module is on IB Python API.
After 2.5 years, I am almost ready to start algo trading.
I've finally developed a level of comfort with IB API. However, I still have some gripes about it. I just don't like the idea of having to log off TWS daily at midnight.
I plan to enter the World Cup Trading Championship sometime in 2024, and use my algo in the competition. Before registering, I thought that I would be able to use the algo that I developed based on Interactive Brokers API. Alas, that is not the case. For the competition, the organizer has approved only four brokers (StoneX, Stratis, Dorman, and Ironbeam).
I chose Ironbeam, because I rather have everything in one place-- the FCM provides its own platform, which is free. However, its API isn't free. There is a setup fee and a monthly support fee. That part surprised me, because I've never had to pay for API use and support. I'll probably be able to forgo the support, but not the setup fee. The setup fee is a bit puzzling to me, because I thought API setups required only client-side setup. There must be a server-side setup that needs to be done to warrant the steep setup fee. I'm waiting for the representative to answer questions about that. Nevertheless, if it's better than IB's API, then it may be worth the cost.
I'm giving myself a couple of months to kick the tires and get familiar with Ironbeam's API, before going live. From what I understand, it comes with a steep learning curve, because it doesn't use HTTP REST API calls. It uses Websockets, based on the MQTT protocol. Perhaps, that is why they want a steep monthly support fee.
I still plan to continue using Interactive Brokers API for testing, because I don't want to throw away years of hard work that I*invested in learning its API.
I tried that and it didn't work for me. Although the restarted occurred, I was unable to stream data. I had to logout and log back in order for the stream to resume. I don't want to keep wrestling with things I shouldn't have to wrestle with.
Ironbeam API fees: $1000 setup fee, $500 per month for support.
