New answers tagged automated-trading
Actually, it is depends where you want to trade and it is part of trading workflow of concrete counterparty. FIX protocol definition itself does not force you to subscribe on anything. Some brokerages forced you to subscribe on market data streams prior placing any trades. Last one we discovered - FXDD.
backtrader (https://github.com/mementum/backtrader) can do 1 and 3 and is in the process of getting 2 ironed out. A live data feed from IB will make it into the next release (due in the next few days) and it will then be down to mapping of orders. On the project page you can see a list of other similar (some more, some less) python projects and may prove to ...
No. It is not a requirement to initiate new orders with active "order-session" only. When trading FX you want to try and minimize over-all processing time/latency whenever possible. This will increase your profits and consistency. Yes. It is always possible to log in to the quote-session and use the quote-flow from another application to maintain ...
SWIFT are proprietary and easy to use for all the firms as 98%+ world wide coverage they have.
SWIFT messages are expensive where as FIX is totally free.
Remember that all back testing is full of lies assumptions. Latency (both line latency and latency internal to the exchanges), adverse selection, market impact (yes, even you have market impact), etc, are all based on assumptions. These assumptions are educated guesses at best, but more often terrible models are used (you always get filled at at mid!) and ...
So you are asking about what is usually called Unrealized P&L. There are multiple ways to do this. It can be as simple as rupweb points out, but there are some complications, for example when you have previous closed trades, or have multiple open trades at multiple prices. For some detailed information on this, including a formula you can just copy, ...
FIX is just the message protocol so the PnL for a filled order (an execution report) on your side by taking the price and volume of the execution report and a reference price when you get the execution report, then calculate your PnL...
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