Trade Allocation #15
Description
In back tests and paper trading you have a single account that you test a strategy on. Conversely in Live Trading there will be many client accounts, depending on how things are structured this could be quite difficult. Optimally we will have a single trading account with aggregated funds for trading, and then upon trading make one order for all accounts and then aggregate the shares/contracts to the owners account by the end of the day. Perhaps we can have a side process that monitors the trading activity, and upon fill breaks the order down by percentage ownership and auto allocates the order.
If we are incredibly lucky, this operation might be included in the IB API
IB trade allocation manual