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Azure-IB

A (relatively) high-frequency trading system focused on CME's WTI (Light Sweet Crude Oil) outright Future. It builds on:

  • Interactive Brokers Gateway (interactivebrokers.com) and IBPY, a wrapper for API calls( https://github.com/blampe/IbPy)
  • Microsoft's (fantastic) Machine Learning cloud-based solution, called through REST API. Our stack there is fairly complex but any signal generation should work
  • concurrent.Futures for, well, concurrency
  • plot.ly for stream strategy execution to a remote charting display

It has been tested on a headless AWS server running Ubuntu. This is a very crude approach and we will not be maintaining it

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