What are smart-routing groups?
Hi, From contract details, what is a "smart-routing group"? I see that some bonds and forex have 4, 7, 12, etc...returning as AggGroup and most rest of the market don't have a number attached to them. I understand there may be different ways SMART routing works or different routes it takes for submissions but what do these numbers signify? For example for Forex, does it mean IBKR SMART routes certain currencies only to Asian markets, and rest to London, and rest to Chicago? If yes, can we as users have any control over this or no?
AggGroup
Aggregated group Indicates the smart-routing group to which a contract belongs. contracts which cannot be smart-routed have aggGroup = -1.
Thanks,
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Re: Getting full list of Exchange Listings via API.
Unfortunately no there¡¯s nothing like that from the API. The website should be up to date with available exchanges, there are quite a few on there.?
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Re: How can I get yesterday's volume at some moment of time for a stock?
You would need to call reqHistoricalData from the equivalent period from the prior day and sum the volume of the returned bars.?
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Re: FXCONV support in API?
Yes it¡¯s supported, you just have to set the exchange field that way (instead of ¡®IDEALPRO¡¯). By the the way, you can also turn off the virtual positions reporting through the settings if you don¡¯t want to receive them.?
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Re: Excel RTD "DelayedLast"
just as an fyi the PlPrice is the mark price, a calculated theoretical price of an instrument (which is why it¡¯s free), not always exactly equal to the last traded price.?
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Re: How place orders before AND after market hours?
The ¡°Outside Rth¡± setting in the API applies to both before and after regular trading hours. You just have to make sure you have the ¡°Pre-Open session¡± flag unchecked in the TWS settings because it¡¯s incompatible.?
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Re: question about server support and login best practice
Thank you Richard for pointing that out and huge thanks for maintaining IBC (and all your prior efforts in IBController as I learned).
On Sat, Feb 20, 2021 at 7:26 PM Richard L King < rlking@...> wrote: No no no! ? IBController is a defunct project that is no longer maintained. ? It was superseded three ?years ago by IBC, which you can find at ?
? IBC is fully maintained (by me as it happens) and works with every version of TWS/Gateway (a new release is imminent to cope with a change by IBKR in the installation location for the macOS version of TWS/Gateway 981.2r). ? I don't know why the current owner of the old IBController project persists in not marking it as defunct: it is in no-one's interest to leave it in its current state. ? Richard ? ? ? ? I think you should look at IBController -? Or check a docker image like this -? I took the latter and adapted for me. I also managed to hack my way into running IB gateway on Google Colab to experiment.
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Re: question about server support and login best practice
Sorry for the delayed?reply.. It worked out of the box for me but it uses an old version of the gateway. I tweaked it to adjust to the latest gateway version but I am currently just using a bastardised version to run inside Google Colab (has to jump through some hoops) for my ongoing experiments.
There are some other docker examples available if you google.
how is your docker image working out for you Alex? GREAT intel by
the way. I was wondering about this and the github is EXCELLENT!!
thanks so much
On 2/20/21 12:36 PM, Alex Gorbachev
wrote:
I think you should look at IBController -?
Official from IBRK.
Or check a docker image like this -?
I took the latter and adapted for me.
I also managed to hack my way into running IB
gateway on Google Colab to experiment.
Alex
On Fri, 19 Feb 2021 at 07:37
Stuart Cracraft via <smcracraft= [email protected]>
wrote:
My sens is that the current
nature of IB is to provide two tools which either can be
run.
One is a headful client
cumbersmoe and poor UI called TWI and the other is a
thinner client.
But that NEITHER of these can
be programmed to?
?a) autostart at system boot
(I run my clients on AWS and need absolutely no U/I.
? ? ?It is all done in CLI,
with NO DESKTOP, to AUTOMATE it.
?b) NEVER require human
interaction for the server to authenticate and login to
the
? ? ?IB sservers to make paper
and cash trades
?c) avoid a ¡°Sunday required
U/I human login¡± - what is that? It went out in the
1970¡¯s¡
My sense is that IB is
backwards on the above, does not provide a mechanism for
serverless auto-login password
WITHOUT mouse, keyboard, etc. but potentially
with the account + password
sitting in a file, run automatically by a Unix/Linux (I
use
Ubuntu) daemon, and doing the
automation needful with HANDS-OFF.
Please correct me if my above
perception is correct or incorrect and then the next
question
is why possibly IB would not
correct the above and take the final step to automate it
all
the way out. This is supposed
to be a platform to automate both paper and cash trading
to fully remove emotion and
human activity from most market decisions about what to
buy
and sell, when to do so, for
improved performance.
The best analogy is , , and other
platforms
which do ALL the selection and
analysis robotically, the rebanacing robotically, and
minimize all
human error, as the markets
are too error-prone for humans to be in may confer extra
security
in situations requiring
robotic, boring, precise analysis and actions taken.
Pardon for the length of this
question but I never got what think is a bottom line
answer from
this list for the above
Stuart Cracraft
P.S. When replying to this
email, please ensure you cc my personal email at smcracraft@...
And thanks for taking your
time.
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Re: How place orders before AND after market hours?
That isn't working.? Can you elaborate?? Calling outsideRth(true) does not allow me to trade both before and after market hours.? Details above in my first message.? This apparently requires the correct combination of calling outsideRth(true) and settings in TWS.
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Re: How place orders before AND after market hours?
You have to set the parameter rth.
Only works for supported markets/products
toggle quoted message
Show quoted text
On 26 Feb 2021, at 09:22, FreeGoldRush <mike@...> wrote:
?Just wanted to give this one more chance to find some expertise.? Is anyone placing orders through the API both before and after market hours?
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Re: How place orders before AND after market hours?
Just wanted to give this one more chance to find some expertise.? Is anyone placing orders through the API both before and after market hours?
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Re: "update order" VS "cancel and creating order"
Well, I made the formula up based upon the US portion of the fee table and . There is also the article on that sheds more light on what this is about and the fine print under the examples:
Many exchanges charge fees to their members for orders that are cancelled or modified, and IB charges certain related fees to its customers to help cover these exchange fees. Please note however, that the Modify/Cancel fees listed above are not intended to be a direct "pass-through" of exchange fees. The Modify/Cancel fees that IB charges to its customers may be higher or lower than the fees that an exchange may impose on IB. IB may charge Modify/Cancel fees to its customers for orders sent to exchanges that do not impose such fees, or vice versa.
Just looking at this again I would probably change the wording slightly to:
In the US on each day, no fees are due unless (#Order Modifications + #Order Cancellations) / (#Order Executions) > 25
I don't know for sure, but I assume your example would work like this:
- You'd get a credit of $0.25 since there was an order execution
- You also get charged $0.01 since there was an order cancellation
- So you end up with a net credit of $0.24
- If that was the only order that day, you'd own nothing, the credit will expire, and you'd start from scratch the next day
But you could reach out to IB for clarification.and let us know what they say. On Thu, Feb 25, 2021 at 01:41 AM, <tegicof991@...> wrote:
On Wed, Feb 24, 2021 at 12:10 PM, JR wrote
to pay fees if your ratio of (#Orders Cancelled or Modified / #Orders Executed) > 25
Thanks for these facts. Can you provide any IB link to the description of this formula?
You say, the above formula is only valid for direct routed orders, not for SMART.
The #Orders Executed is a little vague for me: Imagine an order with order quantity of 20. If 10 was filled, and 10 not, will this order be registered as already executed? If I cancel the order (where 10 is already filled, and the remaining 10 is discarded), will this order be registered as executed?
So (#Orders Cancelled or Modified / #Orders Executed) = 1 (the quantity of 10 canceled) = 1 (the quantity of 10 filled) < 25. Correct?
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Re: "update order" VS "cancel and creating order"
On Wed, Feb 24, 2021 at 12:10 PM, JR wrote
to pay fees if your ratio of (#Orders Cancelled or Modified / #Orders Executed) > 25
Thanks for these facts. Can you provide any IB link to the description of this formula? You say, the above formula is only valid for direct routed orders, not for SMART. The #Orders Executed is a little vague for me: Imagine an order with order quantity of 20. If 10 was filled, and 10 not, will this order be registered as already executed? If I cancel the order (where 10 is already filled, and the remaining 10 is discarded), will this order be registered as executed? So (#Orders Cancelled or Modified / #Orders Executed) = 1 (the quantity of 10 canceled) = 1 (the quantity of 10 filled) < 25. Correct?
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Re: "update order" VS "cancel and creating order"
Is this what you were looking for? Modifying or cancelling " directed" API orders incur fees. SMART routed orders do not. But executions get you credits so you only actually have to pay fees if your ratio of (#Orders Cancelled or Modified / #Orders Executed) > 25 From
Cancel/Modify Orders
| Asset/Order Origin |
Routing Venue |
Fee per Order 1 |
Execution Credit 2 |
| API/CTCI Smart |
N/A |
None |
N/A |
| TWS Directed and Smart |
All |
None |
N/A |
| API/CTCI Directed |
All |
USD 0.01 |
USD 0.25 per API/CTCI Directed execution |
Orders with a time in force that specifies an expiration time, such as GTC, will be assessed cancel fees according to the above schedule.
for cancel/modify fee examples.
| Asset/Order Origin |
Routing Venue |
Fee per Order 1 |
Execution Credit 2 |
| Direct Routed Order |
TGATE |
EUR 0.50 |
EUR 2.50 per TRADEGATE execution in the same product on the same day |
Notes:
- Unless otherwise specified, the per-order fee applies to both order cancellations and modifications.
- Execution credits are applied against cancel or modify fees for the day. Execution credits cannot exceed cancel/modify fees.
On Wed, Feb 24, 2021 at 02:35 PM, Despair wrote:
I can't remember where I found it but I'm 99% sure I read it somewhere on IB's website. And for my understanding it also makes sense. The cancelation fees purpose is to inhibit HFT like behaviour and this only makes sense for direct routed orders since it simply can't work SMART routed anyway.
Updating an order no matter how it is routed doesn't incur a fee.
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Re: "update order" VS "cancel and creating order"
I can't remember where I found it but I'm 99% sure I read it somewhere on IB's website. And for my understanding it also makes sense. The cancelation fees purpose is to inhibit HFT like behaviour and this only makes sense for direct routed orders since it simply can't work SMART routed anyway.
Updating an order no matter how it is routed doesn't incur a fee.
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Re: "update order" VS "cancel and creating order"
I am convinced - updating is better.
Btw, I think updated limit orders are (like new ordes) re-queued into the official orderbook again. But yes, updating is also better for the OrderEfficiencyRatio.
After all, one thing, is not clear for me:
> Despair: only direct routed orders incur a cancelation fee while SMART-routed order don't
Where do you get this information? Is this also valid for updating orders or does upating orders will not incur any fees at all (independent if SMART or not). It's not transparent for me when cancelation fee incurs and when not and if updating orders also involves any fees. Would be great if anyone can share his/her experience.
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Re: Shortcut for running number of subscriptions lines/rows left?
Thanks for the helpful shortcut.
1- This shows number of TWS / API data subscription lines available (which is always same??) and Top Market Data Count (currently being used).
2- It does not show Market Depth Trader Level (II) usage I think. Or at least that should be using the subscriptions lines but I only see total available subscription lines and not what is being used by Market Depth Trader Level (II).
Is there another shortcut or way in either TWS or API that I can see #2 above?
Thanks,
Ctrl Alt =
Hi,
I have searched but couldn't find on the mailing list and not sure where I read it but there is a shortcut (maybe hotkey) one can use to show the number of rows subscribed to watchlist or market depth level 2. Can someone please post it?
Also, is the same available via API or one has to keep their own tally in their program?
Thanks,
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Re: "update order" VS "cancel and creating order"
On Tue, Feb 23, 2021 at 11:41 PM, <tegicof991@...> wrote:
I cannot find the benfits of one (cancel_and_create) over the other (editing)
Better to edit: 1.Faster (one operation instead of two) 2. you keep your orderid 3. you also keep your OrderRef, if ever you use it to track/classify your orders 4. If ever you have linked orders (OCA), you keep them linked. If you cancel the parent order, all dependent orders will be cancelled too, and you need to re-create them all
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Re: "update order" VS "cancel and creating order"
Besides all limitations I'd recommend always if feasible to update an existing order. This is MUCH faster than canceling and resubmitting.
For cancelation fees, isn't it true that only direct routed orders incur a cancelation fee while SMART-routed order don't?
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Re: "update order" VS "cancel and creating order"
Yes, but I think this only a recommendation and NOT a regulation (which, if not satisfied, can punish you in any way). Does anyone has encountered problems when not fullfilling the "order efficiency ratio"? Don't think so.
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Despair
Francois G