IBrokers Quantstrat live implementation

Question

I am wondering if there is any simple example available of the implementation of a simple strategy from quantstrat to IBrokers. I have been looking around, and played with backtests in quantstrat and with sending orders from R to IBrokers, but I do not know how to integrate the 2 for live trading. Could you please point me to an example of basic strategy live implementation?

Thanks

Answer 1

quantstrat is a backtesting platform, and cannot be used for live trading without big modifications to the code. You can use the quantstrat code to inspire how you write the live trading model, and indeed some hints are provided in the documentation as to what parts of quantstrat want modifying for a live trading system. Quantstrat is separate from ibrokers.

Check the R-finance mailing lists for some useful threads on how to use IBrokers to run a living trading system. Search in the threads from a few years ago at https://stat.ethz.ch/mailman/listinfo/r-sig-finance

Some people have made systems using shared memory via the mmap package, where performance isn't a big issue for the trading system (trading where 100s of milliseconds matter will mean a pure R implementation for everything won't be really be feasible).

Have you looked at this? http://censix.com/ There is probably still an open source implementation of a trading system using IBrokers.