LIMIT ORDER BOOK ANALYSER

Cancelled Posted Mar 19, 2014 Paid on delivery
Cancelled

hello

would like to have developed a simple program which connects to Interactive brokers trading platform TWS via

the API,

data fields in the program should include:

1) last price

2) bid and ask price

3) bid and ask volume

4) trades at bid or ask

5) market depth

6) changes/cancels/additions/ bid ask size ( market depth ) and any

trades at that size

7) change in liquidity ratio ( market depth )

firstly you can program my requirement in any language you are

comfortable with, as long as the finished product is simple to install

and not time consuming to open as an application on my computer, and

connects first time to IB TWS platform via the API I,m happy !.

I have attached some info, all attached info is for reference purposes, so the programmers can get a feel for the program I want to have developed.

ATTACHMENTS

A) getting started C+ PDF file, this documents outlines how to connect the application to the broker

B) screenshot give an idea of a price charts with volume superimosed upon the price data

C) NQH4 screenshot is a possible layout for the design and gives you an idea of what I am looking for in program design ( also refer to this screenshot as a reference source for point 1 to 7 above - data field )

D) singlebook and BView PDF

THE DESIGN ( AN EXPLANATION ) - ( pls refer to the NQH4 screenshot above)

you shall see the bid ask priceline and the

trades executed at either the bid or ask prices and the size of trade is

represented with dots,

to the right of the pricechart you shall see a number in red, this is

the trades at either the current bid or ask, you can also see the bid

ask sizes in number and a histogram of these numbers and changes and

finally a cumulative total of either bid or ask volume numbers and

highlighted i niether blue or green

the black/white/ grey gradient is the map of the depth and how it

changes past and present, this map is unique to this company who wrote this software, therefore

not interested in the mapping of market depth in this manner, design and

style.

THE INDICATORS AND HOW I WANT THEN PRESENTED IN THE PROGRAM ( AN EXPLANATION)

a) where the depth histogram is located for example, (NQH4 SCREENSHOT)

in my application, when the depth changes, it would either state

cancelled 100 or added 100 or traded 100 with a historam showing such

changes. ( refer to the attachment SINGLEBOOK)

b) the bid ask

price with trades executed represented with triangles sizes, up price

would be a up triangle and down would be a down triangle, the triangles

to be the colour of the bid price or ask price, or another colour for

trades above or below or between bid ask prices. ( refer to the attachment NQH4)

c) executed volume histogram , the bid volume completed to the left side

of the histogram and the ask volume completed to the right side, a a

number on this historgam which would be the net of the bid and ask

volume, ie. 200 bid trades minus 150 ask trades = 50 bid ( refer to the attachment NQH4)

d) market depth ( aka limit order book ), liquidity ratio histogram

market depth (limit order book) dynamics driven by arrival of limit

orders, cancellations and market orders, ie 200 bids and 200 asks, then

cancelled 100 asks and 20 trades executed at the ask,the net of these

numbers, maybe a algo here !, ( refer to the attachment NQH4)

OTHER REQUIREMENTS

functions of the application

resize chart function and refresh chart

function, resize and change colum positions, change text size.

perhaps we could use a algo for some calc of the data fields, for

example bid size increased 200% and ask size decreased 50% with trades (

if any ) executed at bid or ask price, that is liquidity ratio + trades

executed

programming language

that would be for you to decide,

data type,

tick, sec, min, standard IB data types,

completion time max 30 days

I look fwd to hearing from you

C Programming C# Programming Financial Markets Financial Research JavaScript

Project ID: #5691186

About the project

5 proposals Remote project Active Mar 28, 2014

5 freelancers are bidding on average $42/hour for this job

SUog

Hello, I'm interested in your project. I have a previous experience of writing TWS API applications (forex related) for several clients on this site using both C# and C++. The applications used tables/grids for displa More

$33 USD / hour
(73 Reviews)
5.6
tulebaev

A proposal has not yet been provided

$70 USD / hour
(13 Reviews)
3.5
lllshamanlll

Hello, i'm experienced software developer, ready to make real your wishes about this project in several weeks.

$41 USD / hour
(0 Reviews)
0.0