IBrokers Quantstrat implementation
I am wondering if there is any simple example of how to implement a simple strategy from Quantstraat to IBrokers. I've been looking around and playing with backtests in quanstrate and submitting orders from R to IBrokers, but I don't know how to integrate 2 for live trading. Could you please point me to an example of a basic strategy implementation?
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quantstrat
is a backtesting platform and cannot be used for live trading without major code changes. You can use quantumstrat code to inspire how you write your current trading model, and indeed the documentation provides some hints as to which parts of the quantum you want to change for the current trading system. Quantstrat is separate from ibrokers.
Check out the R-finance mailing lists for some helpful topics on how to use IBrokers to run a live trading system. Search on topics from several years ago at https://stat.ethz.ch/mailman/listinfo/r-sig-finance
Some people have created systems that use shared memory across a package mmap
, where performance is not a big issue for the trading system (trading where 100 seconds in milliseconds means a pure R implementation for everything would not be possible).
Have you looked at this? http://censix.com/ There is probably an open source implementation of a trading system using IBrokers.
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