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Re: Submitting many orders simultaneously


 

I don't use REST API but read about it, so here are thoughts:

I don't have idea of the time real TIME TROUGH for REST calls, generally theses kind of things are implemented atop existing infra and I won't be surprised that what is a batch for you is serialized by IBKR upon arrival. (I can even imagine this as a reason they stop supporting batch mode, it may even be processed out of sequence for good reasons but difficult to report)

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The API is quit fast and give you more control about what happens, so you should try and compare the API to any real info or guesstimate of REST TT of orders to the system.

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Alternative: IBKR FIX interface,

theoretically it's the fastest way to order in. But I don't saw/see any simple way to benchmark it.

It's tedious to setup, the complexity lies more in the "pipe" system as you need to setup a VPN and alike proxies related to authentication, from what I remember IBKR allows a local VPN for emul and FIX have debug flags.

While still being a 'one man' mission level. I don't recommend trying FIX before you evaluate if the API is enough

And before entering the FIX world you should consider the extra work it requires to be sure of the payback. My tests+pain did drove me back to API which is enough for me, as ds-avatar rightfully wrote it, you most likely have exogenous pacing reasons.

But... it exist.

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