Algorithmic Trading with Interactive Brokers

by Matthew Scarpino

Through Interactive Brokers, software developers can write applications that read financial data, scan for contracts, and submit orders automatically. Individuals can now take advantage of the same high-speed decision making and order placement that professional trading firms use.


This book walks through the process of developing applications based on IB's Trader Workstation (TWS) programming interface. Beginning chapters introduce the fundamental classes and functions, while later chapters show how they can be used to implement full-scale trading systems. With an algorithmic system in place, traders don't have to stare at charts for hours on end. Just launch the trading application and let the TWS API do its work.


The material in this book focuses on Python and C++ coding, so readers are presumed to have a basic familiarity with one of these languages. However, no experience in financial trading is assumed. If you're new to the world of stocks, bonds, options, and futures, this book explains what these financial instruments are and how to write applications capable of trading them.


Matthew Scarpino is a veteran programmer with over twenty years of experience and a CFA Level II candidate.


Table of Contents
Chapter 1: Introduction
Chapter 2: Stocks, Bonds, and TWS
Chapter 3: Trading Options with TWS
Chapter 4: Options Strategies
Chapter 5: Trading Futures Contracts
Chapter 6: Fundamental Classes of the API
Chapter 7: Contracts and Orders
Chapter 8: Accessing Financial Data
Chapter 9: Scanning for Securities
Chapter 10: Advanced Orders
Chapter 11: Computing Technical Indicators
Chapter 12: Implementing Option Strategies in Code
Chapter 13: The Turtle Trading and Bollinger-MFI Systems
Chapter 14: Practical Algorithmic Trading
Appendix A: The FIX Protocol
Appendix B: The Kelly Criterion

Genres: Finance

610 pages, Kindle Edition

Published September 1, 2019

Reviews

[Shadow Moon]

So, I found this book thinking it was for traders, but judging by the description, it’s more for developers. Oh well, whatever. To be honest, I hardly ever buy or read books on Forex trading because I feel like sites like https://brokersinsider.net/ always have the most up-to-date info anyway. Plus, you can instantly use all the trading tools with the latest links. Books are more for general knowledge.

[Andrej · Rating 2 out of 5]

Definitely less frustrating than the official documentation of the Interactive Brokers API. Unfortunately, examples of code are quite minimalist and with little commentary. The book would have been more useful if it focused on a handful of real-world use cases and provided a more detailed walkthrough for them.

[Suhrob · Rating 3 out of 5]

An OK and honest approach.
The API stuff is a good supplement to the docs, but likely you'll use a wrapper anyway.
The strategies are useless (as expected).
The are *errors* in the book, so beware.

[Lei · Rating 2 out of 5]

Didn’t read the book but his sample scripts got me started on my own trading algorithm.

[Mickael Burguet · Rating 5 out of 5]

Knowledgeable author