Test Post

Author Message TriPack Unregistered guest Posted on Friday, June 07, 2002 - 11:16 am: ---------------------------------------------------------------------- ---------- I agree alanm, and am glad you spoke out in favor of the transaction history. I would like to see it too. It personally makes more sense to me to provide a actual fills prices rather than an average price history. It takes the rounding problems out of mix. alanm Unregistered guest Posted on Thursday, June 06, 2002 - 11:40 pm: ---------------------------------------------------------------------- ---------- Why not report the actual fill prices instead, since these will be exactly correct, instead of having to extrapolate it from the average? TriPack Unregistered guest Posted on Thursday, June 06, 2002 - 10:45 am: ---------------------------------------------------------------------- ---------- It appears that this request takes the form of a request for a bug fix. We need the precision improved for the average prices reported via the orderstatus event (and other events that report average fill prices). Regardless of whether a full transaction history is provided, the average price precision needs to be improved from two rounded decimal places so that we can calculate fill prices accurately. Bart Gelens Unregistered guest Posted on Wednesday, June 05, 2002 - 12:56 pm: ---------------------------------------------------------------------- ---------- Problem: Twice a "filled order" confirmation with different average prices? I am using the TWS stand alone version (build 765) (ActiveX API). Sometimes, when I place an order like Id=10382 NQM2 BUY 1 4818.50 LIMIT I get 2 OrderStatus events: OnOrderStatus: Id=10382 Status=Filled Filled=1 Remain=0 price=4818.50 OnOrderStatus: Id=10382 Status=Filled Filled=1 Remain=0 price=9635.00 The first (average) price is exactly the same as the requested price. The second price is multiplied by (almost) 2! This only happens while using the official account. If I log in as cdemo user, it seems to be working fine. Did anyone have a similar experience? Regards, Bart. TriPack Unregistered guest Posted on Wednesday, June 05, 2002 - 10:41 am: ---------------------------------------------------------------------- ---------- "The API is always reporting the average price. " Marcus, thanks for the clarification in your post. Well that is good to know. I can make up a formula to account for the averages. My original impression was that only the last fill reported was an average. I should be able to solve for rounding (at least in my case with the EMINIs) because they have a set .25 or .5 tick price for ES and NQ. Stocks will be more difficult because of the one cent and sub- one cent prices (in some cases). Yes, giving us an unrounded average would make it easier. Giving us full transaction history would also do the trick. Marcus Jellinghaus Unregistered guest Posted on Wednesday, June 05, 2002 - 09:58 am: ---------------------------------------------------------------------- ---------- The API is always reporting the average price. The advantage of that is, that we do not have to calculate the average price, the disadvantage is, that we have to calculate the part fills. Of course, the API could return the values the other way round or both. I think since we program anyway, the calculation of the part filles shouldn´t be a big problem. From my calculations, the price of the second part fill should be ((20*1043.44)-(15*1043.5))/5 = 10.26. You are right with the rounding errors. But the API users can calculate exactly, the problem is that the API gives rounded numbers which leads to wrong prices: Yesterday I bought 600 stocks in 3 part-fills: 100 x 5.9200 Average Price: 5.92 286 x 5.9160 Average Price: 5.917036 214 x 5.9200 Average Price: 5.918141 I have the first 2 numbers from the account statement and calculated from that the average price. The API always returned 5.92 as average price, which is rounded. If the API would give the correct number, we could calculate correct partfills. So the partfill prices may be wrong in the area smaller a cent. The fill prices are also sometimes different because IB rounds the turnover to full cents and so charges other prices than the tick was at the exchange. But I guess the reason is that most exchanges also round the turnover to full cents. TriPack Unregistered guest Posted on Tuesday, June 04, 2002 - 03:40 pm: ---------------------------------------------------------------------- ---------- Let me use an acutal example from my debug window. I place a limit order to sell 20 ES @ 1043.25 Limit and the following is my initial feedback. Tws1_orderStatus 224 PendingSubmit 15 5 1043.5 Tws1_orderStatus 224 Submitted 15 5 1043.5 Tws1_orderStatus 224 Filled 20 0 1043.44 So from this I *infer* (are fills reported on "PendingSubmit" and "Submit" events reliable?) that the first lot of 15 was filled at 1043.5 but we have to deduce that the 2nd lot of 5 was filled at 1043.25. Is it just me or is it strange that we have to either mathematically figure or use some other method to get the last fill price when you have a partial fill? In this case you can infer that it was filled at 1043.25 on the last 5 cars because of the limit price. In other cases it isn't so clear cut. When mathematically figuring, we have to deal with the rounding errors. I request executions, and after a delay of about 20 seconds I get the following information: Tws1_openOrder1 225 ES FUT 200206 0 ? GLOBEX USD Tws1_openOrder2 225 SELL 15 LMT 1043.25 0 DAY F92 O 2 Tws1_orderStatus 225 Filled 15 0 1043.5 Tws1_openOrder1 226 ES FUT 200206 0 ? GLOBEX USD Tws1_openOrder2 226 SELL 5 LMT 1043.25 0 DAY F92 O 2 Tws1_orderStatus 226 Filled 5 0 1043.44 Why isn't the price on the 5 contract fill reported as 1043.25 instead of reporting the average price for the whole lot? This seems like a bug to me. If it was intentionally programmed this way then perhaps it needs to be rethought because it makes it unnecessarily difficult to compare the fills listed in the TWS vs the ones reported via the TWS API. Also, why does it take so long for the execution report to come out? I'm not really asking for new features, just wondering why the current reporting mechanism makes no sense. Why don't they just give us our transaction history? It seems to me that people who are using this successfully now must have done something to compensate for the fact that the API is giving average price instead of just reporting each fill. Marcus Jellinghaus Unregistered guest Posted on Tuesday, June 04, 2002 - 01:54 pm: ---------------------------------------------------------------------- ---------- I do not really get your point. To take your example, I first get an orderstatus event where 30 are filled and 70 are remaining. So it is easy to see that it is just part fill. I also know the filled price. After that I get a second orderstatus event which says 100 filled, 0 remaining. So I know that the order is filled, I know average price, from that and the first part fill I know the data of the second part fill etc. I would prefer it if IB would solve the existing problems with the API rather than adding new functionality, which is not really necessary. Best regards, Marcus TriPack Unregistered guest Posted on Tuesday, June 04, 2002 - 11:15 am: ---------------------------------------------------------------------- ---------- I like the TWS API a lot. It works well for all but partial fills, which become a pain to manage. It would be nice to push a PartialFill status update through the "orderstatus" event. I'm using the TWS Ax OCX. Probably the best way to implement this would be to have the PartialFill status in the orderstatus event fire off whenever there is either a partial or full fill. For example if you put in an order for 100 shares and are filled on 30 then 70, you would receive two orderstatus events with the PartialFill for 30 filled with 70 remaining and then 70 filled with 0 remaining. This would leave the Filled status unchanged - it would continue to just report when the full position has filled. If you put in an order for 100 shares and it was filled all at once, you would receive both the PartialFill event for 100 shares filled 0 outstanding and the same event for Filled shares (so as not to mess up legacy systems that other programmers have implemented).

So what's the trick to getting the IB test mess to build with C++ 6.0? Thanks Richard

Build it and they will come.... We need someone who is fluent in the use of TWS-OCX to build a single sheet project in the above languages It need do nothing more than log in, and retrieve a single user symbols data set and print the price to a cell or label. There are many many people who are begging for demonstration projects like this. I posted one in VB in the files section of this board. We need the other languages done.... We need one for XLS-VBA DDE, C++ OCX, and Delphi too. When the inevitable clamour begins, we can simply point them at these files as a resource... Consider it a contribution to humanity.. I will be posting a second VB project that uses MSHFlexGrid and demonstrates in cell editing, and the display of the full data set in a row... Scott

I would like to know what you are using the API for. Why did you decide to make something on your own instead of using some existing solution? What should be the pro´s of your solution versus the exiting solutions?   -Are you retrieving the market data? (As you could do it with eSignal, for example)   -Are you retrieving the market data and make some rather complex calculations with it?      (as you could probably do it with tradestation or wealth-lab)   -Are you developing a different or better order entry tool?    Did you look into other order entry tools, like Jerry Medved´s Quotetracker, CyberX2, Cybertrader Pro, Datek´s Tools, Realtick, ..?   -Are you developing an automated trading solution?    I couldn´t find an existing stock trading solution for several stocks.     Marcus

IB management Please view the following site. http://groups.yahoo.com/group/twsapi/ I would like to get the all clear from you guys on this Yahoo message board. The board merely expands on the API discussion on the present IB board. Using the Yahoo forum we can exchange files, post graphics, and search threads by keyword. Please send this up to the proper management level. I would yank the banner but I think it looks good, and you guys get free advertising. There are two links to the IB site. One to the home page and a second to the users guide. Scott Owner TWS API Yahoo board

80 Members in less than 24 hours.... I had no idea. I think this goes to show that there are many interested in IB's API, and that the present sources of information exchange are lacking a bit. I hope this is succesful board. All members are encouraged to ask and answer questions. Feel free to post source code examples to simple problems for beginners in the files section This board is completely unmoderated. Act responsiblely. The race is on to produce killer app's and ats for IB API. I wouldn't at all be surprised to see third party plugins popping up like sand fleas within 6-9 months This can only be good for the consumer. Competition is great. Scott Owner TWSAPI

I have posted a sample project that uses MicroSoft Hierarchical Flex Grid, an in cell editing routine and a better start for someone just getting going. Still a very basic example...but it will help those who are just getting started. Great foundation to start a program with and begin exploring TWS API [CODE] Option Explicit Private Sub Command1_Click() 'call for the connection 'your TWS must be up and running in order to connect Tws1.Connect "", 7496 End Sub Private Sub Form_Load() Dim iTemp As Integer Dim iTemp2 As Integer Dim Cancel As Boolean 'grid formating stuff With hFlexGrid .Col = 0 .Row = 0 .ColSel = .Cols - 1 .RowSel = .Rows - 1 .FillStyle = flexFillRepeat .CellFontBold = True .CellAlignment = flexAlignCenterCenter .TextMatrix(0, 1) = "Symbol" .TextMatrix(0, 2) = "B-Size" .TextMatrix(0, 3) = "Bid" .TextMatrix(0, 4) = "Ask" .TextMatrix(0, 5) = "A-Size" .TextMatrix(0, 6) = "Last" .TextMatrix(0, 7) = "L-Size" .Col = 1 .Row = 1 .ColWidth(0) = .RowHeight(0) + 50 'number the first column and alternate the row colors For iTemp = 1 To .Rows - 1 .TextMatrix(iTemp, 0) = iTemp If Not Cancel Then For iTemp2 = 1 To .Cols - 1 .Row = iTemp .Col = iTemp2 .CellBackColor = &HE0E0E0 Cancel = True Next iTemp2 Else Cancel = False End If Next iTemp 'adds a couple of items to the combo box Combo1.AddItem "Stocks, Instinet" Combo1.AddItem "Futures, Globex, 200206" End With End Sub Private Sub hFlexGrid_DblClick() 'calls the grid editor when you double click a cell Call GridEdit(Asc(" ")) End Sub Private Sub hFlexGrid_GotFocus() Dim strTemp As String If txtCellEditor.Visible Then hFlexGrid = UCase$(txtCellEditor) 'calls the req market data text box loses focus, restricts symbols to row 1 If txtCellEditor <> "" And hFlexGrid.Col = 1 Then strTemp = UCase$(txtCellEditor) Call reqMarketData(strTemp, hFlexGrid.Row) ElseIf txtCellEditor = "" Then 'cancels market data if you leave the cell empty Call cancelMktData(hFlexGrid.Row) End If txtCellEditor.Visible = False End If End Sub Private Sub hFlexGrid_KeyDown(KeyCode As Integer, Shift As Integer) 'cancels the market data if you use the delete key remove a symbol If KeyCode = vbKeyDelete And hFlexGrid.Col = 1 Then Call cancelMktData(hFlexGrid.Row) Else 'just in case....not really necessary hFlexGrid.TextMatrix(hFlexGrid.Row, hFlexGrid.Col) = "" End If End Sub Private Sub hFlexGrid_KeyPress(KeyAscii As Integer) 'calls the grid editor when you start typeing Call GridEdit(KeyAscii) End Sub Private Sub hFlexGrid_LeaveCell() Dim strTemp As String If txtCellEditor.Visible Then hFlexGrid = UCase$(txtCellEditor) 'calls the req market data when you leave a cell, restricts symbols to row 1 If txtCellEditor <> "" And hFlexGrid.Col = 1 Then strTemp = UCase$(txtCellEditor) Call reqMarketData(strTemp, hFlexGrid.Row) 'calls cancel market data if you go in and leave it empty ElseIf txtCellEditor = "" Then Call cancelMktData(hFlexGrid.Row) End If txtCellEditor.Visible = False End If End Sub Sub GridEdit(KeyAscii As Integer) With txtCellEditor 'use correct font .FontName = hFlexGrid.FontName .FontSize = hFlexGrid.FontSize Select Case KeyAscii Case 0 To Asc(" ") .Text = hFlexGrid .SelStart = 1000 Case Else .Text = Chr(KeyAscii) .SelStart = 1 End Select 'position the edit box .Left = hFlexGrid.CellLeft + hFlexGrid.Left .Top = hFlexGrid.CellTop + hFlexGrid.Top - 10 .Width = hFlexGrid.CellWidth - 8 .Height = hFlexGrid.CellHeight - 15 .Visible = True .SetFocus End With End Sub Private Sub Tws1_tickPrice(ByVal id As Long, ByVal tickType As Long, ByVal price As Single) 'populates the grid with the price information hFlexGrid.TextMatrix(id, 2 + tickType) = Format(price, "0.00") End Sub Private Sub Tws1_tickSize(ByVal id As Long, ByVal tickType As Long, ByVal size As Long) 'populates the grid with the size information hFlexGrid.TextMatrix(id, 2 + tickType) = size End Sub Private Sub txtCellEditor_KeyDown(KeyCode As Integer, Shift As Integer) 'handles the little text box editor for certain keystrokes Select Case KeyCode Case vbKeyEscape txtCellEditor.Visible = False hFlexGrid.SetFocus Case vbKeyReturn hFlexGrid.SetFocus Case vbKeyDown hFlexGrid.SetFocus DoEvents If hFlexGrid.Row < hFlexGrid.Rows - 1 Then hFlexGrid.Row = hFlexGrid.Row + 1 End If Case vbKeyUp hFlexGrid.SetFocus DoEvents If hFlexGrid.Row > hFlexGrid.FixedRows Then hFlexGrid.Row = hFlexGrid.Row - 1 End If End Select End Sub Private Sub txtCellEditor_KeyPress(KeyAscii As Integer) 'noise suppression 'If KeyAscii = vbKeyReturn Then KeyAscii = 0 End Sub Public Sub reqMarketData(TWSsymbol As String, trow As Long) 'issue description vars Dim TWSsecType As String Dim TWSexpiry As String Dim TWSstrike As Single Dim TWSright As String Dim TWSexchange As String Dim TWScurency As String 'stock or future for demo? If Combo1.ListIndex = 0 Then TWSsecType = "STK" TWSexpiry = "" TWSexchange = "INSTINET" ElseIf Combo1.ListIndex = 1 Then TWSsecType = "FUT" TWSexpiry = "200206" TWSexchange = "GLOBEX" End If 'options and currency vars TWSstrike = 0 TWSright = "" TWScurency = "" ' must have symbol, secType, and exchange If TWSsymbol = "" Or TWSsecType = "" Or TWSexchange = "" Then Beep MsgBox ("You must enter at least symbol, security type, and exchange.") Exit Sub End If 'calls for the market data Tws1.reqMktData trow, TWSsymbol, TWSsecType, TWSexpiry, TWSstrike, TWSright, TWSexchange, TWScurency 'displays the contract specs if a future hFlexGrid.TextMatrix(trow, 8) = expiryNumToAlpha(TWSexpiry) End Sub Sub cancelMktData(trow As Long) 'cancel the market data Tws1.cancelMktData trow Dim iTemp As Integer 'blanks out the entire row after you cancel the data For iTemp = 0 To hFlexGrid.Cols - 1 hFlexGrid.TextMatrix(trow, iTemp) = "" Next iTemp End Sub Function findSymbolSlot(ByVal symbol As String) As Long Dim lngTemp As Long 'this function selects the right row in the grid With hFlexGrid For lngTemp = 1 To .Rows - 1 If InStr(.TextMatrix(lngTemp, 1), symbol) Then findSymbolSlot = lngTemp Exit Function End If Next lngTemp End With End Function Function expiryNumToAlpha(ByVal strExpiry As String) As String 'this function returns a user friendly formatted version of contract date Dim strTemp As String strTemp = Mid$(strExpiry, 3, 2) Select Case Right$(strExpiry, 2) Case "03" expiryNumToAlpha = "MAR" & strTemp Exit Function Case "06" expiryNumToAlpha = "JUN" & strTemp Exit Function Case "09" expiryNumToAlpha = "SEP" & strTemp Exit Function Case "12" expiryNumToAlpha = "DEC" & strTemp End Select End Function

Looks like you voluntered to me :) we really need to crank the heat up on IB. I vote you contact them for the group and I am sure you will get backed up by everyone. Let us know what there response is. Thanks Kent

and every time someone posts, we are all going to get his autoresponder email. Could the moderator set him to nomail please? *********** REPLY SEPARATOR ***********

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about me: I'm a professional java developer with over 9 years of total software development, 5 years exclusively in java and related technologies. This includes banking systems, dept of defense, and more - very large real world complex systems. I used to daytrade during my down time (few days to few months), but now I mostly trade options for time periods ranging from 1-3 weeks. I've written my own analysis software, etc. After I put on a trade, my primary concern is follow-up strategy when a trade goes wrong. I wrote software to do this as well, as there was a lot of different variables that went into it. I just now discovered that TWS gives a java api, so I'm rebuilding my system and hooking it up to IB. Unfortunately, i hear options trigger TWS pop-ups so i can't have a true program trading platform in place :( if anyone wishes to come to the dark side (java), I'd be happy to help them out :) Jason

please change my auto responder from yobryan@... to kybryan@... thanks

Dkamp Here is how I envision a workable solution: (1) All interested parties need to make a list of what problems they want solved. (2) These problems need to be listed then voted on by the interested parties. (3) Their needs to be an agreement on what problems there will be solutions for. (4) We need a group of people that will meet the financial requirements. By meet I mean a small group with large pockets or a large group that can kick in $50 to $100. What ever it would take for the design costs. (5) There would have to be some organization structure and or format that would give the group input. (6) A lead designer will have to be given the authority and be in charge to make the decisive final necessary decisions to move the project along timely. (7) A committee and or board would be formed that would represent the team and be in charge. There cannot be mob rule, but active participation will be encouraged. Professional people will hold these positions. (8) Legal documents will be signed. All paying members will own a stake in the software. Owners will pay cash upfront and receive receipts and documentation. (9) Initial cash will pay for professional system analysis and design. Programmers will be determined by bid and or selection after system analysis and design is completed. Owners will be expected to come up with monies for final coding of project. (10) Resumes and references will be required to select members that will be actively participating in the system analysis and design and coding. (11) Coding will be compartmentalized to ensure software ownership security. (12) As soon as we come up with the cash and a competent team then we will move the dialog from the public forum to a secure system for development. I estimate about $10,000 to complete a design, but that may change with the amount of interest and the bells and whistles wanted. I have people that I have worked with on projects that are reasonable cost wise and very competent to execute what this project would entail. Bottom line there is over 124 members and interested parties on the Yahoo spin off thread since this thread was first posted. It is the little guy against the big boys and I smell blood. The problem is that there are many lone wolves running down rabbit trails and that is not the solution for everyone. There are those that will always go that path but what I propose is organization and structure and people that work well within the team environment. We need a place to post resumes. Everyone welcome those with just cash and also those with IT skills and cash. If you are interested in being part owner and would like to make a commitment in cash and or sweat please email and or post Thanks dkamp for the questions, I will be out until Thursday night. A Q for you. Would the elite trader link thread help the quest? I see that you frequent there.

Both of these sites are highly recommended. They have been addded to the Bookmarks section for future reference. VB Explorer: http://www.vbexplorer.com/VBExplorer/VBExplorer.asp The VB Explorer site has very active excellent message boards with very helpful people. Planet Source Safe: http://www.planet-source-code.com/ The Planet Source site has an excellent searchable code base. Submissions are rated. Planet Source is the largest public code database on the internet. Scott Owner

Best of luck to Todd and his new for-sale AutoExecutor Program that implements auto-stops: http://bullhaven.tripod.com/TradeExecutor/TradeExecutor.htm

IB Mgt Please review the use of banner on this message board...Our discussion expands on the use of TWS API.... IB Mgt Response We are fine for now, but reserve the right to change our decision. Thanks for the IB support. Best Regards, Steve Sanders

I for one would like to see a commercial posting of a new available product. IMHO, once is news, repeated infomation on same topic then becomes spam. JMHO, Regards, Knyyt

Well with 209 Members in 2 days I am little stunned... I will need to have a few people willing to moderate when I am not on.... Please private email if you are interested and give me a 20 Second sound byte why you would want to moderate... Scott

Scott, is there a way to create and manage a couple of lists/polls up here that would collect our votes for desired improvements and needed bug fixes for TWS and the API? (I guess you could actually have such a list for every aspect of the business, but TWS and the API would be a good start.)