R-TWS Execution system
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Project Budget$750 - $1500 SGD
My project needs knowledge with R programming language, finance and interactive brokers TWS API.
The specification is the following:
1. Assume that we are holding 100 units of the SPY ETF and 500 units of GLD ETF.
2. Immediately when the market is opened, retrieve the SPY and GLD open price.
3. Then, monitor the real time price of the SPY, & GLD and when one of them drop more than 0.3% and 0.6%, respectively, from its open price - send a market order to sell 30 & 120 shares. For example, if the SPY drop by 0.3%, so sell 30 units of the SPY, and if the GLD drop 0.6% - sell 100 units of the GLD, and if both of them happened - do them both.
4. When the market order has been triggered, send immediately buy MKT VWAP order between 17 minutes before the close until the close hour (3:43-4:00pm).
5. Beside that, 3 hours after the opening, retrieve the open orders in a simple matrix/data.frame. The data frame column should contain as much as available data regarding the orders which IB provides, but at least the following one: orderID, order status, remain quantity, filled quantity.
6. Immediately when the market is closed, retrieve the close price of each ETF, and send a take profit order of 3% for the next day.
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