LIMIT ORDER BOOK ANALYSER
$25-50 USD / hour
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
Project ID: #5691186
About the project
5 freelancers are bidding on average $42/hour for this job
Hello, i'm experienced software developer, ready to make real your wishes about this project in several weeks.