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Re: Getting invalid prices by following the relevant market rules.


 

Perhaps they just have the wrong market rule associated with this contract?

Probably best to raise it with IB. Their contract database is by no means
infallible, and they may be grateful for being notified of problems like
this.

Richard

-----Original Message-----
From: [email protected] <[email protected]> On Behalf Of Graham Bygrave
Sent: 29 July 2020 20:40
To: [email protected]
Subject: Re: [TWS API] Getting invalid prices by following the relevant
market
rules.

Apols for replying to myself here, but just in case anyone goes trawling
the
archives....

I've had a look at the prices being rejected and what I think is happening
is
the market rules IB are publishing are just incomplete - they don't go
high
enough, but their own logic does.

1918 says anything > 500 in increments of 0.2. There's nothing after 500.
But
the changes keep coming anyway.

So anything > 1000 is in increments of 0.5.
Anything > 2000 in increments of 1.
Anything > 10000 in increments of 5.

Not found any other examples yet, but I imagine this is what's happening.

Would be good if IB could get their act together on this. In the
meantime, I
guess building some override logic would be sensible.

Best,
G.

On Wed, 29 Jul 2020 20:26:50 +0100
"Graham Bygrave via groups.io" <graham@...> wrote:

Unfortunately not - I'm rounding according to the market rules right
before the price goes out (of my app).

When I go to trade the contract in TWS, the prices that appear in the
order entry screen are rounded to 0.5 (annoyingly, I originally had a
0.5 price, but I changed it to be compliant with the prescribed rules
i.e. from 1077.5 -> 1077.6).

Or to put it another way, IB's published market rules just plain
wrong.


On Wed, 29 Jul 2020 15:08:59 -0400
"Nick" <news1000@...> wrote:

You might want to check the api log files to verify what is being
sent to tws. If the price is the result of a calculation it might be
sent as something like 1077.599998.


On 7/29/2020 2:55 PM, Graham Bygrave wrote:
Hi,

Had this problem before but it seems to never go away. I'm
getting order rejects due to incorrect limit price precision, even
though I'm following the rules as I understand them.

Example:
Contract ID : 79715545)
Market Rule ID : 1918
Limit Price : 1077.6

Response to my buy? "463: You must enter a valid price".

1918 clearly states that beyond a price of 500, price increments
are 0.2 (Low Edge: 500, Increment: 0.2).

So 1077.6 is not a multiple of 0.2?

Is there any way to accurately determine what the price resolution
is via IB's API, or do I just have to go and manually look these
up whenever a new stock comes into my universe?

Really frustrating.

Best,
G.








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