Index futures trading online

Two days of realtime robot testing on 3000 stocks (with average day volume >100.000) showed me that the group of most volatile (>0.5% price change in 30 seconds) ones are stable. Tomorrow i’ll try to add order sending for trading program and test this thing.

First of all, let’s talk about main ideas and goals of this blog, which will be developed and realized later:

1. Development of index futures trading strategy for USA stock market. Note, that strategy will not be based mostly on technical analisys principles, but theory of Elliott waves and Fibonacci numbers may be used.
2. Design and development of computer program for automated trading using stock market terminal. Source codes will be opened for public use. Some technical details:

• trading platform - Trader Workstation (by Interactive Brokers)
• input data - from files (history) or stock market terminal (realtime)
• programming language - Ruby

I’ll try to use modular architecture on order to easily change trading platform, input data formats and decision making algoritms.