July 22, 2007
The design of real-time automated trading systems involves two major design phases: 1) Designing the trading system and 2) Developing the trade-automation code. While you may be able to re-use some previously developed AT functions, you can rarely transport the entire automation section from one trading system to the next. Adjusting your AT code to work with a new system can be very time consuming; it can involve weeks of real-time testing and debugging. Using the code below you can test your new system ideas, in a tick environment, before you have written a single line of automation code.
Note that when testing this code with the Bar-Replay tool, the log will display the bar’s closing price instead of the Lastprice (tick data). When testing this code with your own trading system, you may want to add extra output to the _TRACE() statements. The code below substitutes DebugView output for orders that would have normally gone to the TWS: