Absolutely, I am interested.
Off the top of my head, I’d be interested in sponsoring the following features, depending on price. In priority order:
- Integrate IBKR short borrow fee and available share stock factors (historical and ongoing) and allow short strategies to have borrow cost formulas that can reference these factors.
- Implement full set of IBKR/FoxRiver algorithmic order types and parameters for linked accounts.
- Implement linked trading for Canadian and European/UK markets.
- Support customizable, randomized order type allocations per account-strategy. For example, for strategy S in account A, I may want p123 to randomly assign 50% of orders to order type T1, 25% to T2, and 25% to T3. As part of this, I would request that order type be included in the account transaction log for proper transaction cost analysis.
- Add VWAP price series and allow simulations to fill at VWAP.
- Add support for slippage formulas and allow country-specific commissions (support stamp tax modeling for UK stocks, etc.)
- Add option to automatically transmit buy orders to downstream broker as sufficient cash becomes available for non-margin accounts.
You can see these fall into two broad themes: expanding trading functionality and making simulations more realistic.