¿ªÔÆÌåÓý´³¨¹°ù²µ±ð²Ô ? Please can you explain what you mean by ¡®You should be able to force any order type to be simulated by IBKR when you place the order into a One Cancels All group¡¯. ? I don¡¯t believe placing an order in an OCA group affects the order in any way. The order is submitted to the exchange or managed by IBKR in exactly the same way as if it were not part of an OCA group. What would it even mean to simulate a Limit order? If IBKR were monitoring price to see when the limit price is hit, and only then actually submitted the limit order, the order would not be filled at least some of the time, because that delay could mean the markets may have moved by the time the limit order arrives at the exchange. ? Perhaps I¡¯m misunderstanding what you might mean? ? I also disagree with the statement that reqMktData data is ¡®aggregated¡¯. I know the documentation does say this somewhere, but I¡¯ve never been able to assign any meaning to it. What I would say is that the data is sampled, not aggregated ¨C and they are very different things. ? To me, aggregation would have to mean something like creating a VWAP for prices/sizes during the aggregation interval, and I¡¯ve never seen the slightest evidence of that. ? Sampling means that each price and size reported are genuine, but you just don¡¯t get all of them. In particular, you can miss important prices that turn out to be the high or low of whatever bar size you¡¯re constructing. ?I¡¯ve described my understanding of IBKR¡¯s data sampling algorithm in the past, and I¡¯ve never seen any reason to revise it (I¡¯ll have to see if I can find the relevant posts again in case anyone is interested). ? ? Richard ? ? From: [email protected] <[email protected]> On Behalf Of ´³¨¹°ù²µ±ð²Ô Reinold via groups.io
Sent: Monday, December 4, 2023 5:55 PM To: [email protected] Subject: Re: [TWS API] Anyone have any success modifying the trigger method? ? Looks like your triggers should work since, according to the IBKR documents, the order types you use are no native exchange order types. Maybe the next step would be to reach out to IBKR for clarification. What kind of tick data did you use for your analysis? ? data is aggregated and can have a delay relative to your order executions. Or did you use that should be much closer to the order fill events. And one last thought if you are up for another test. You should be able to force any order type to be simulated by IBKR when you place the order into a group. I am not sure whether a group with just one order would work, but you could add a dummy order (maybe with a time condition so that it can never execute) into a group with the order you are really interested in. Just for testing purpose to rule out that the order types are actually native (and that the documentation is incorrect). ´³¨¹°ù²µ±ð²Ô |
