Day Trading
High Net Worth Individual Day Trader
An experienced day trader, focusing on the NASDAQ market, faced challenges with entry slippage and execution delays during premarket hours. His trading strategy required precise entry execution to maximize profitability, but manual entry was proving inefficient and often missed optimal price points. He sought a programmatic solution that allowed for automated entry while retaining manual control over trade exits.
The project's goal was to develop a high-speed, automated trading system that could handle real-time data streaming and indicator calculation for all NASDAQ-listed stocks. This system needed to integrate seamlessly with Interactive Brokers Pro (IBKR Pro) and execute entry orders within a stringent 2-millisecond window, without disrupting the trader's other trading activities.
Team
Software Developer, Data Engineer, Systems Integration Specialist
Python for backend development.
WebSocket for real-time data streaming.
Custom algorithms for indicator calculations.
Data complexity. Handling real-time data feeds and performing calculations on over 2000 NASDAQ stocks simultaneously presented significant technical challenges.
Integration with IBKR Pro. Ensuring seamless integration with IBKR Pro for both data consumption and order execution within the required timeframe.
Integration with Manual Trading Control. Providing a solution that automated only the entry phase of trading, allowing the trader to manually handle the exits without any system interference.
Real-time data. Developed a robust data handling infrastructure using WebSocket for real-time streaming and efficient in-memory databases to manage data throughput.
Algorithm optimization. Custom algorithms were optimized for rapid execution, focusing on minimizing latency in both data processing and order placement.
System Integration with IBKR Pro. Implemented an API integration with IBKR Pro that supported ultra-fast order execution and real-time feedback on order status.
Parent-child account structure. Leveraged a parent-child account structure within IBKR Pro to maintain a direct connection for the automated system without limiting manual trading capabilities.
Results
Execution speed. Successfully reduced entry execution time to within 2 milliseconds, significantly minimizing slippage.
Increased trading efficiency. John reported a marked improvement in his trading efficiency and profitability, thanks to more timely and accurate entries.
Client satisfaction. High satisfaction with the flexibility of the system, which allowed for manual exits and uninterrupted other trading activities.
Lessons
The critical role of real-time data handling capabilities in automated trading systems, especially for high-frequency day trading scenarios.
The importance of maintaining flexibility in automated systems to accommodate trader preferences and strategies without compromising on speed or accuracy.