README.md

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