Building a mean-reverting algorithmic trading system
In the previous section, we established a connection to IB TWS and sent a market order of 100 shares. In this section, we will add logic functions to buy or sell a number of shares, read tick data, and track our positions. In essence, we will try to create a simple, fully automated algorithmic trading system.
Setting up the main program
Since our code might get a little complicated, let's tidy up and put everything into a class named
AlgoSystem. We will import the following modules:
from ib.ext.Contract import Contract from ib.ext.Order import Order from ib.opt import Connection, message import time import pandas as pd import datetime as dt
In the initialization section of our class, declare the ...