I have been working on some C++ trading code off and on for quite some time to test various trading scenarios and strategies. And to see just how random the market really is... (it is).
Rather than keep it to my self, well probably I'll be the only one to continue to use it, but maybe there are others out there who might be able to use some of this, rather than build everything from scratch, like probably so many others have.
This software knows how to read live execution data (quotes and trades) from DTN IQFeed and from Interactive Brokers. It also knows how to submit orders to Interactive Brokers, and to tally up the results in terms of commissions, spreads, and profit analysis.
I have written a bunch of libraries, and those libraries are in use by my primary application: ComboTrading. This application will allow me to create various options combinations, track them in terms of their composite value (price and volatility wise), and initiate auto entries and exits based upon simple rule sets.
The repository is at Github: trade-frame. I use NetBeans as my IDE for development.
There are a number of libraries on which the code depends. My script, libs-build, also on Github, can be used to download and build the trading library dependencies.
