MATH-TWS is a new Mathematica package that connects Wolfram Mathematica to the Interactive Brokers TWS platform via the C++ API. It enables the user to retrieve information from TWS on accounts, portfolios and positions, as well as historical and real-time market data. MATH-TWS also enables the user to place and amend orders and obtain execution confirmations from Mathematica.
I have wanted a way to connect Wolfram Mathematica to Interactive Brokers Trader Workstation for the longest time. Now that it is finally available with MATH-TWS I am excited by the possibilities for Mathematica users.
The first release of MATH-TWS will be available within a couple of weeks. Anyone interested in licensing a copy should email firstname.lastname@example.org with MATH-TWS in the subject line.
I am a great follower of your work and would very much like to discuss this MATH-TWS package with you so that we at WRI could make it available to many of our finance users. This could either be done as a partnership or you could provide the package as a third party add-on. Advertising your package on our site would be the best way to make it available to Mathematica users.
Dr Michael Kelly
Senior Finance consultant at WRI
We plan to provide MATH-TWS as an add-on available on our applications page at http://www.wolfram.com/products/applications/. MATH-TWS provides a means of executing trades using Interactive Brokers. Strategies for analyzing and trading stocks would be based upon our FinancialIndicator functionality, see http://reference.wolfram.com/language/ref/FinancialIndicator.html and the TradingChart function, http://reference.wolfram.com/language/ref/TradingChart.html. Backtesting would consist of applying combinations of FinancialIndicators to previous historical data and trying to find which parameter values would optimize the profit. At this stage these are not inbuilt functions, but I have written a white paper on how one might construct such a backtesting of trading strategies and this can be downloaded from http://www.wolfram.com/finance-platform/backtest-your-trading-strategies-white-paper.pdf
is MATH-TWS add-on available? Any updates on the project?
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@Jonathan, could you please attach the Mathematica notebook to your post as file?
That's AMAZING!!! Anyway, your blogs are also super insightful.
I am a Mathematica user for many years, I used it at the physics university, and now I use it for some statistical analysis on the financial markets.
I wanted to ask you if now with the arrival of MATH-TWS it is possible to use Mathematica as a platform for the development of strategies, back-testing and execution
Unfortunately we are still waiting on the third party developer to finish the documentation so that it can be released. We will write to him again to remind him that there is an opportunity loss involved in further delays.
I still can't find the MATH-TWS on your applications page. Can you give me an update on the status of the software, documentation and possible availability?
The situation is unchanged since our last communication with the developer. I suggest that you write directly to Jonathan Kinlay of Systematic Strategies asking to purchase the MATH-TWS package and any associated material about its usage. His email is email@example.com