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Jonathan Kinlay

MATH-TWS: Connecting Mathematica to Interactive Brokers TWS

Jonathan Kinlay, Systematic Strategies
Posted 3 years ago
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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 BrokersÂ’ 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 algorithmicexecution@gmail.com with MATH-TWS in the subject line.

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POSTED BY: Jonathan Kinlay
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9 Replies
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enter image description here - Congratulations! This post is now a Staff Pick as distinguished by a badge on your profile! Thank you, keep it coming, and consider contributing your work to the The Notebook Archive!

@Jonathan, could you please attach the Mathematica notebook to your post as file?
POSTED BY: Moderation Team
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Jonathan

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.

Best Regards Dr Michael Kelly Senior Finance consultant at WRI mkelly@wolfram.com
POSTED BY: Michael Kelly
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Jason Zhao
Jason Zhao, GEICO
Posted 3 years ago

That's AMAZING!!! Anyway, your blogs are also super insightful.
POSTED BY: Jason Zhao
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Massimo Salese
Massimo Salese
Posted 3 years ago

Hi everyone, 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
POSTED BY: Massimo Salese
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Hi Massimo

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

Michael
POSTED BY: Michael Kelly
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is MATH-TWS add-on available? Any updates on the project?
POSTED BY: sridev ramaswamy
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Updating Name
Updating Name
Posted 2 years ago

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.
POSTED BY: Updating Name
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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?

Kind regards, Wolfgang
POSTED BY: Wolfgang Mayer
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Hi Wolfgang

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 algorithmicexecution@gmail.com

Regards Michael Kelly
POSTED BY: Michael Kelly
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