/stockexperiment

Primary LanguageJavaScript

Copyright (c) 2015-2017 Kazuyuki Tanimura. All rights reserved.

  • IB API 9.72
  • enable socket client
  • turn off API precaution
  • turn off the readonly mode

NOTES

  • Passive execution
    • Limit order at bid price for long and ask price for short
    • If the ask goes up for long or the bid goes down for short, fallback to aggressive execution
      • Modify the limit order at the new ask price for long and the new bid price for short
  • Passive roll over
    • For long
      • If cumulative position is positive
        • Long new month and limit old month
      • If cumulative position is negative
        • Long old month and limit new month
    • For short
      • If cumulative position is positive
        • Short old month and limit new month
      • If cumulative position is negative
        • Short new month and limit old month
  • Active roll over
    • Roll over pending order expiry date
    • Roll over existing position
  • Automatic upper and lower limit
  • Automatic base up

TODO

  • Bootstrapping