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Simple API for Pair Trading in Interactive Brokers - repost

This project was awarded to jgwatson for €200 EUR.

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Project Budget
€30 - €250 EUR
Total Bids
5
Project Description

Need to build in a very cost-efficient a simple program that:

- takes about 5-6 key inputs, including two stock tickers, number of seconds to track (S), number of std dev to trigger or stop a trade, position size (ideally, should have the last inputs as default)
- Needs to connect to an Interactive Brokers (IB) account through API (can use IB Gateway or IB TWS)
- starts tracking real-time data for two stocks when turned on or at 9:30am EST if on and downloads price every second keeping track of the last S data points (typically 1000), the rest can be dropped
- every second it will make a couple of calculations on the two pricing arrays including simple math and standard deviations and with the most current data point, a simple calculation will trigger a Short/Long trade
- when there is a Short/Long new position triggered, it needs to place that order for IB to execute immediately
- it should continually track the IB portfolio to know if the orders were fulfilled or not
- once positions in place, needs to continue tracking the stocks each second
- if the last data points, after a simple calculation go over or below a threshold, this should trigger immediate orders to close both the long and short positions
- once the portfolio shows that both positions are gone, it continues tracking the calculations of the open arrays and wait for another open position trigger
- at 3:30pm EST, it should close any open positions and stop working (ideally the start time and close time could be user inputs)
- There should be a couple of minor security checks in the code to validate that data downloaded is recent enough and other little things, additionally, there needs to be a log with actions and execution results (nothing fancy)
- The UI should allow for inputs and view of positions and a few other data points (it can be ugly as long as it works and is efficient)
- I will be flexible on programming language, UI style, etc... based on your experience and options to make this time/cost efficient (expecting this should take 20 hrs to build max - but can't say - all very simple)

Ideally, you would have already worked with IB APIs so you know how to connect, download data, submit orders, through their API sockets ([url removed, login to view])

Really hope you can help - I will pay based on the bids - however, once this is done and if the strategy pays off, I promise to provide an additional bonus.

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