OmniVest User Forums
Questions on Using the Trade Processor
Interactive Brokers TIPS and HOWTOs
105 replies, 9983 viewings
|
OmniVest User Forums
Questions on Using the Trade Processor
Interactive Brokers TIPS and HOWTOs
|
Last Activity 7/17/2018 6:22 PM 105 replies, 9983 viewings |
|
| Printer friendly version |
SteveL Veteran   Posts: 189 Joined: 10/11/2012 Location: Boulder, CO  User Profile |
http://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=8861&posts=1#33539 Thanks. | ||
| Steve2 Elite  Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
I've been running one TP/IB configuration for almost two years that is not configured to submit orders on weekends and have never encountered this problem. I started running a second TP/IB configuration where the TP is configured to submit orders on weekends (i.e., Friday orders are submitted on Saturdays at 8am) and have encountered this problem twice in two months. I'm currently "in negotiations" with the IB api group about whether or not this is a bug (which I'm sure it is). So far, they are unconvinced but their advice is to not submit orders during the weekend (although they said Sunday night would be ok since everything is always back up and running by then). So, it you are running TP with IB, I recommend that you NOT check the Weekend box under order submission. I'll post again if I get any more info from the IB api group. Steve | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
The error returned is "Order Size Out of Range". I believe this error can also be returned if you hit one of your "Precaution" limits that can be set in the IB Gateway or TWS so if you get this error, you need to first check those limits. If they have not been exceeded then you have probably been hit by this restriction. To avoid the problem, you can submit Market Orders before market open rather than MOO orders. I did extensive testing of slippage related to MOO vs Market orders submitted before market open and did not find any difference in slippage between the two. However, that testing was done with more liquid stocks and with smaller order sizes (< 2,500 shares). I am switching back to submitting market orders rather than MOO orders and I'll report back if I do notice any significant difference in slippage between the two order types. Of course, the other way to avoid this is to set the Max Trade Size as % of Avg Daily Volume account setting to a low number like 0.5% to 1% but that will cause trades to be filtered out which might not be the behavior you want. Steve | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Thanks for passing it on, Steve. That could be a problem with low volume ETFs. Do you know where to find the volume IB uses? Mark | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Steve | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Have you heard from Barry about the ability to enter Market Orders before the open with IB? Thanks, Mark | ||
| Barry Cohen Icon  Posts: 1844 Joined: 10/11/2012 User Profile |
Here are a couple possible work-arounds: - You could set the start time to 9:30:00AM EST in order to get market orders. This would allow market orders to submit & execute right at market open. - You could set the start time anywhere between 4:00:00PM EST & 7:59:00PM EST. This would allow you to submit market orders the day before they are executed. | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
One caution about setting the start of your trading window between 4pm and 7:59 pm if you are trading a margin account. IB does Reg-T margin checks near market close each trading day. They seem to have a window that starts 15 minutes prior to market close and extends for some (unknown) period of time after market close where 2X margin is enforced. Once that window closes then they are back to enforcing 4X through the end of the next trading day. This means you don't have to be concerned about execution order for closing/opening orders if you are near fully invested. If this is a concern for you, I would not submit the next day's orders until after 8 pm EDT. Steve | ||
| SteveL Veteran Posts: 189 Joined: 10/11/2012 Location: Boulder, CO User Profile |
The latest IB TWS/Gateway build 956.2C is now supported by OT and VT. How about the TradeProcessor? Can it be used with the latest version IB TWS/Gateway v956.2C, or does it still require build 9443b? [Edited by SteveL on 5/7/2016 12:10 PM] | ||
| Barry Cohen Icon Posts: 1844 Joined: 10/11/2012 User Profile |
| ||
| Mark G Member Posts: 41 Joined: 10/11/2012 User Profile |
In my AWS instance, I currently have ONE IBGateway paired with ONE TP trading into an IB paper account with my primary user logon. IB allows only one user to log into the paper account. Period. Now I want to set up AWS for my two linked real accounts. I will be using my "first and primary" logon to access the two accounts from my desktop via the web for monitoring, etc. Now this is where it gets confusing to me: Is it correct that to access real money account "A" via an IBGateway in the AWS instance I have to set up a "second user", and to access real money account "B" via an IBGateway in the AWS instance I have to set up a "third user"? Hope this makes sense . . . The fragility of all of these moving parts makes me feel far removed from the KISS principle. I'm feeling less simple, and more stupid. And hope nothing breaks. --Mark G. | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Steve | ||
| Mark S Regular Posts: 56 Joined: 10/11/2012 Location: Barrington, IL User Profile |
My first account is doing fine. It's got IB 954 installed, interestingly. I don't see where I can download that. | ||
| SteveL Veteran Posts: 189 Joined: 10/11/2012 Location: Boulder, CO User Profile |
One caveat: You cannot connect OT, VT or TP through the master/advisor account and trade (it'll connect, but you get weird results and responses - OT, VT and TP do not understand the 2 level account structure). Check it out. I find it very convenient for monitoring multiple "client" accounts (e.g. my IRA, Roth IRA, spouse's IRAs, etc.). | ||
| Mark S Regular Posts: 56 Joined: 10/11/2012 Location: Barrington, IL User Profile |
| ||
| SteveL Veteran Posts: 189 Joined: 10/11/2012 Location: Boulder, CO User Profile |
| ||
| SteveL Veteran Posts: 189 Joined: 10/11/2012 Location: Boulder, CO User Profile |
My understanding (and will be doing it this week) is that you can run multiple TP/Gateway combo on a single AWS instance. At present, I have two AWS instances trading two accounts (one is a OP/Gateway combo, the other a TP/Gateway combo), and monitoring from an Advisor account. I'll be adding another TP/Gateway combo to the AWS server already running a TP/Gateway combo. [Edited by SteveL on 5/10/2016 9:23 PM] | ||
| Mark S Regular Posts: 56 Joined: 10/11/2012 Location: Barrington, IL User Profile |
| ||
| Mark G Member Posts: 41 Joined: 10/11/2012 User Profile |
Everything has been working good with the following exception: A trade in RXL was automatically entered on 4-29-16, but the exit failed to execute on 5-10-16. *FOUR* brokers at IB gave me consistent and additive information about the 'whys and wherefores'. That is a story for another day. The bottom line is that the trade thus became *UNMANAGED*, and TP has allowed the trade to *CONTINUE* to be unmanaged. The trade shows up as unmanaged on each and every daily TP Broker Report. Here is today's report: And here is today's actual account statement of trades right from IB: It is a mystery to me, I do not know why, and consequently cannot trust the system with real money until I gain an understanding of what is going on. I *think* that I have TP properly set up to automatically take care of unmanaged and orphaned trades at 3pm EST each and every trading day: Beginning with the RXL failed exit day, the first opportunity for TP to automatically make a correction was later on that Tuesday the 10th at 3pm, then on Wed-Th-Fr-Mon-Tues(today). That is 6 failed opportunities. What am I missing?? --Mark G. [Edited by Mark G on 5/17/2016 1:48 PM]  Attached file : TP BROKER REPORT, 5-17-16.jpg (96KB - 529 downloads) Attached file : 5-17-16, BI account snapshot 2pm EST.jpg (86KB - 548 downloads) Attached file : TRADE SETTINGS.jpg (39KB - 529 downloads) | ||
| Barry Cohen Icon Posts: 1844 Joined: 10/11/2012 User Profile |
| ||
| Mark G Member Posts: 41 Joined: 10/11/2012 User Profile |
Thanks, Barry. --Mark G. | ||
| Mark G Member Posts: 41 Joined: 10/11/2012 User Profile |
This is where things get interesting. I have been using RDC to check my AWS set up in the afternoons. Every afternoon after installing the new IBG build I have noticed this message, acknowledged it, the message went away, but I would see it again the next time I returned. All morning trades were executed with the message showing, and AFAIK, there hasn't been any interference to IBG-TP operation. I called IB and talked to a fellow in the API group who explained to me something that I never knew: When the IB servers are reset every midnight, not only is TWS turned off, but all IBG's are turned off, too! The difference is that the IBG's *AUTOMATICALLY* log back in, thus the repeated appearance of the warning message for PAPER accounts. He said that there is no option to not display the message again, that it is part of the new IBG landscape Something else: IBG signs into real-monied accounts automatically, too, *EVEN WITH DOUBLE AUTHENTICATION* It's all part of the magic . . . --Mark G. [Edited by Mark G on 5/24/2016 3:59 PM] Attached file : Warning message in new IBG, Build 956.2g, dated May12, 2016.jpg (36KB - 555 downloads) | ||
| Barry Cohen Icon Posts: 1844 Joined: 10/11/2012 User Profile |
| ||
| Mark G Member Posts: 41 Joined: 10/11/2012 User Profile |
At least it doesn't seem to do any harm just letting it sit there every day. --Mark G. | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
|
|
|
|
Administrator
Forum Moderator |
Registered User
Unregistered User |
 E-Mail this thread to a friend |
Toggle e-mail notification |
