A high-frequency trading model using Interactive Brokers API in Python

Re:A high-frequency trading model using Interactive Brokers ... by tborenst on Tuesday June 09, 2015 @07:24PM (#9689181)

Any good resources regarding building risk systems for someone who is new to the field?

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Re:A high-frequency trading model using Interactive Brokers ... by zeeshanm on Wednesday June 10, 2015 @12:57AM (#9690136)

Here are some ideas:

- throttle your orders to the market

- set a threshold for market risk you can take per symbol, per sector, etc.

- take into consideration average daily volume of a symbol for calculating market risk threshold

- implement controls to send cancels for unfilled orders in the event if algo goes haywire

- reject orders priced at some percentage less or more than current market price per share

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