Maybe the second method works too. I never used 40 or more symbols in
ReqMktData so I don?t know what kind of error message will appear if
the TWS checks for 40 symbols.

But maybe the TWS checks first for an invalid symbol regardless how
many symbols are in ReqMktData. Than it should allways work. You have
to try it out.

This method is easier than the first one.

BeeJay



--- In twsapi@y..., szeyu73 <no_reply@y...> wrote:

thanks BeeJay.

it seems that your first method will work and i may change to your
algorithm later.

the second one will work at the beginning. but i think there is a
limit of 40 symbols in reqMktData, as i read in other threads here.
it may fail some time later.

i'd suggest IB to raise an ErrMsg in this case.

thanks very much again from hong kong

---
dustin

--- In twsapi@y..., bee_jay_61 <no_reply@y...> wrote:

I don?t have this problem but maybe you can do this:

When you place an order with an order id 12345 and an invalid

symbol

(ex. "XYZ") than you get no error message and NO ORDERSTATUS. So

if

you don?t get an ORDERSTATUS for the order id 12345 within a

certain

time, try to cancel that order with order id 12345. Normally than

you

will get an error message "Can't find order with id 12345". This
could be an indicator that the symbol was invalid.

Or another way that could help you:

Call ReqMktData for that symbol. If the symbol does not exist you
will get an error message like "Security definition request

returned

0 items for ticker id 123". Check the error message for that

text.

That?s what I do when I call ReqMktData.

Greetings from Germany

BeeJay


--- In twsapi@y..., szeyu73 <no_reply@y...> wrote:

hello.

i found some problem in placing invalid symbols. for example,

if

i

place an order to BUY 100 shares of XYZ, which is not valid.

the TWS API won't tell my program thru the API (such as ErrMsg

and

OrderStatus), but just make a popup in the Trader Workstation
program. hence i have no no way to know that the symbol is

invalid.

my solution is to keep a list of avaliable symbols. i'll check

if

the

symbol is in the list before placing the order.

it works, but i have to update the list from time to time. is

there

any better solutions?

thanks

---
dustin

Is it just a program that creates a trailing stop?

I designed it for scalpers to profit from every

Ok

single trend change with "adaptive Automation Engine" monitoring

market tick by tick and in real time.
Your gonna have to explian this one.

You will love it.
It will automate your profit collection at the topmost
point and also auto-escape from bad point of entry. This
is what i like the most.

Automate, so how does it do this? Does it trade for me?
Whats this automation buisness.

Please explain this.

How or what is the best way to use it. How about an example

And what is your private email Mr. Traderguard.

Thanks

I've updated to Java 1.4 from 1.3 and the trader workstation seems very much
slower (painting form, for example and returning to my application) than
previous version.
Somebody else noticed this?

Also which are the benefits of using v 1.4 for now?

Michel.

thanks BeeJay.

it seems that your first method will work and i may change to your
algorithm later.

the second one will work at the beginning. but i think there is a
limit of 40 symbols in reqMktData, as i read in other threads here.
it may fail some time later.

i'd suggest IB to raise an ErrMsg in this case.

thanks very much again from hong kong

---
dustin

--- In twsapi@y..., bee_jay_61 <no_reply@y...> wrote:

I don?t have this problem but maybe you can do this:

When you place an order with an order id 12345 and an invalid

symbol

(ex. "XYZ") than you get no error message and NO ORDERSTATUS. So if
you don?t get an ORDERSTATUS for the order id 12345 within a

certain

time, try to cancel that order with order id 12345. Normally than

you

will get an error message "Can't find order with id 12345". This
could be an indicator that the symbol was invalid.

Or another way that could help you:

Call ReqMktData for that symbol. If the symbol does not exist you
will get an error message like "Security definition request

returned

0 items for ticker id 123". Check the error message for that text.
That?s what I do when I call ReqMktData.

Greetings from Germany

BeeJay


--- In twsapi@y..., szeyu73 <no_reply@y...> wrote:

hello.

i found some problem in placing invalid symbols. for example, if

i

place an order to BUY 100 shares of XYZ, which is not valid.

the TWS API won't tell my program thru the API (such as ErrMsg

and

OrderStatus), but just make a popup in the Trader Workstation
program. hence i have no no way to know that the symbol is

invalid.

my solution is to keep a list of avaliable symbols. i'll check if

the

symbol is in the list before placing the order.

it works, but i have to update the list from time to time. is

there

any better solutions?

thanks

---
dustin

Hey Mark,

I don't know what is causing your problem. However, I
just wanted to mention that in my programs,

m_pClient->checkMessages()

is called everytime there is an event and is not
associated with any timer. If you check out the
latest SocketClient source from IB, they do this too
(they changed this from earlier versions where the
checkMessages() was on a timer). On the latest TWS,
check out:

SocketClient/src/EclientSocket.cpp, line 647

Seems like this shouldn't help (and probably won't),
but I haven't had bad quote problems like the ones you
are experiencing. Are these bad quotes coming from
the demo TWS or the real thing (or both)?

Good luck,
Carl

--- mbluhm2001 <mbluhm2001@...> wrote:

I guess the first question is why do you turn off
your timer. I would
think that the only issue you could have is if your
processing of the
ticks would last more than 200ms and that's alot of
CPU cycles. But
your program works and my has problems so I would
like to understand
this better.

In my program I never turn off my Timer. In my timer
routine I call
m_pClient->checkMessages(); which I assume will call
the tickPrice and
tickSize events in my program for each stock that
has a new tick price
& size. After that I process the stocks with the new
price looking for
entry/exits/stops trades.

This is an example of the tick price I'm seeing from
BRCD. I see this
on all of the stocks that I'm monitering. Here is
what I saw tonight
with the times shown. Since the values are very
close together I'm
assuming I must be doing something wrong.

16:44:41 BRCD Out of Range Price = -1.000009
17:05:53 BRCD Out of Range Price = -1.000016
17:10:33 BRCD Out of Range Price = -1.000018
17:18:20 BRCM Out of Range Price = -1.000099

Thanks,
Mark


--- In twsapi@y..., "Michel" <migurull@t...> wrote:

I dont know how you handle your quotes and sizes

so I can't help.

The way in which I handle them is through the use

of a 'one shoot'
timer of

200 ms. In my tickPrice event I update a variable

LastPrice = price
and

enable the timer. In my tickSize event I update a

variable LastSize
= size

and also enable the timer if it is not. Then in

the Timer.Timer
event I

disable the timer and do the job with LastPrice

and LastSize.

This way I allow a 200ms. time window after every

price or size
event to

wait for the second event (size or price) to

update the other
variable and

if the second event dont comes, simply the other

variable is
unchanged when

I use them in my Timer.timer event.

Michel.

[Michel] -----Mensaje original-----
De: mbluhm2001 [mailto:mbluhm2001@y...]
Enviado el: jueves, 04 de julio de 2002 21:35
Para: twsapi@y...
Asunto: twsapi: Re: Ways of filtering bad quotes

from TWS

Tbanks for the reply. Thanks what I'm doing with

the 0 price
quotes,

throwing them away. I didn't mention that I'm

also getting what
seems

to be quotes that non zero but incorrect. So I'm

trying to filter
them

with some type of algrothrim so I don't get

caught executing a bad

trade. I also wanted to make sure that its not

something I'm doing

incorrectly with my interface to TWS.

Thanks,
Mark

__________________________________________________
Do You Yahoo!?
Sign up for SBC Yahoo! Dial - First Month Free

This does sound a bit like a bug and should probably be reported to IB.


Richard

} Yes, not very good names for variables, but till now seems to not cause much
} problems.
}
} Michel.
} -----Mensaje original-----
} De: marinindextrader [mailto:marinindextrader@...]
} Enviado el: jueves, 04 de julio de 2002 22:25
} Para: twsapi@...
} Asunto: Re: twsapi: parameter list for orderstatus?
}
}
} the word Status is a reserved property name for certain objects
}
} When I type it into my editor it automatically caps the lead
} letter....
}
} Try changing the variable declaration to a different name, such as
} TWSstatus or something
}
} There are three and counting uses of VB keywords or propertey names
} in the standard TWS API:
}
} "right", "currencey" and Now "status"
}
} Pretty lame IMHO
}
} Scott
}
} PS please let us know if this resolves the issue
}

I don?t have this problem but maybe you can do this:

When you place an order with an order id 12345 and an invalid symbol
(ex. "XYZ") than you get no error message and NO ORDERSTATUS. So if
you don?t get an ORDERSTATUS for the order id 12345 within a certain
time, try to cancel that order with order id 12345. Normally than you
will get an error message "Can't find order with id 12345". This
could be an indicator that the symbol was invalid.

Or another way that could help you:

Call ReqMktData for that symbol. If the symbol does not exist you
will get an error message like "Security definition request returned
0 items for ticker id 123". Check the error message for that text.
That?s what I do when I call ReqMktData.

Greetings from Germany

BeeJay


--- In twsapi@y..., szeyu73 <no_reply@y...> wrote:

hello.

i found some problem in placing invalid symbols. for example, if i
place an order to BUY 100 shares of XYZ, which is not valid.

the TWS API won't tell my program thru the API (such as ErrMsg and
OrderStatus), but just make a popup in the Trader Workstation
program. hence i have no no way to know that the symbol is invalid.

my solution is to keep a list of avaliable symbols. i'll check if

the

symbol is in the list before placing the order.

it works, but i have to update the list from time to time. is there
any better solutions?

thanks

---
dustin

hello.

i found some problem in placing invalid symbols. for example, if i
place an order to BUY 100 shares of XYZ, which is not valid.

the TWS API won't tell my program thru the API (such as ErrMsg and
OrderStatus), but just make a popup in the Trader Workstation
program. hence i have no no way to know that the symbol is invalid.

my solution is to keep a list of avaliable symbols. i'll check if the
symbol is in the list before placing the order.

it works, but i have to update the list from time to time. is there
any better solutions?

thanks

---
dustin

hello.

i found some problem in placing invalid symbols. for example, if i
place an order to BUY 100 shares of XYZ, which is not valid.

the TWS API won't tell my program thru the API (such as ErrMsg and
OrderStatus), but just make a popup in the Trader Workstation
program. hence i have no no way to know that the symbol is invalid.

my solution is to keep a list of avaliable symbols. i'll check if the
symbol is in the list before placing the order.

it works, but i have to update the list from time to time. is there
any better solutions?

thanks

---
dustin

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TriPak44...

Can you contact me via email outside of the discussion board?

Thanks

Scott

--- In twsapi@y..., tripack44 <no_reply@y...> wrote:

I filter for zero last price, ask and bid price in both the data
source and the data client. I haven't had problems with other

quotes

being off but I'm only essentially dealing with the Minis and I
understand stocks have had some quote problems.

As I view it, there are 2 kinds of bad ticks that happen - single

bad

ticks and clumps of bad ticks. To get rid of single bad ticks, just
make sure that if you get a tick that is outside your tolerance
range, like greater than +/- 2% or 5%%, and if the next tick is

back

inside your desired range, you have a high probability that it was

a

bad tick.

You can make the assumption that clumps of bad ticks are actually
good ticks. Or you could pop up a dialog that would warn of

possible

bad ticks and whether or not to filter. It is not an exact science
with stocks because if you get a harmonic alignment between the
exchange and a market maker or other large influential party who

made

a mistake, hundreds of trades can be busted, thus leading to "bad
ticks". But in this case you will only find out after the fact that
they were indeed bad ticks. So instead of tick filtration you will
need tick correction.

--- In twsapi@y..., "mbluhm2001" <mbluhm2001@y...> wrote:

I guess I will reply to myself and ask a different question:

Is anyone else getting bad quotes, i.e. quotes == 0 from the TWS
interface. If not, it seems I must be doing something wrong.

Thanks,
Mark


--- In twsapi@y..., "mbluhm2001" <mbluhm2001@y...> wrote:

I have been getting a price quote of zero for some of the stock
tickers throughout the trading day. So I decided to put in a

filter

and wanted to see if anyone else had any better ideas. The way

I'm

trying it is the following:

IF
the current price quote is greater than or less than the

previous

quote by X% and the error counter is less than Y

THEN
throw away the quote and increment the error counter

ELSE
use the price quote and clear the error counter

The idea is to set some min and max % (i'm starting with 5%)

that

the

quote can be outside the previous quote. But to handle gaps, if

the

quote is out of range Y number of times (i'm starting with 5)

then

use

that new quote. Also I don't allow quotes that are a value of

zero

either.

Any thoughts would be helpful.

Thanks,
Mark

Yes, this is exactly what I'm trying to accomplish. Thanks for the
confirmation. What I'm using today is 5% range and if I see 5 prices
in a row in that new range then I assume that they are correct, i.e.
in your language, clumps of bad ticks are actually good ticks. The
only problem with this method is that you will be behind by 5 ticks
in time since I was waiting to verify them. I think this may work OK
for stocks but, as you know, in Futures, this could cost you a lot of
money. Just look bad at any of the days when Greenspan made suprise
rate cuts/hikes. I wish I could do something for the busted trades
issue but I think that may just be part of the game.

Thanks,
Mark


--- In twsapi@y..., tripack44 <no_reply@y...> wrote:

I filter for zero last price, ask and bid price in both the data
source and the data client. I haven't had problems with other quotes
being off but I'm only essentially dealing with the Minis and I
understand stocks have had some quote problems.

As I view it, there are 2 kinds of bad ticks that happen - single

bad

ticks and clumps of bad ticks. To get rid of single bad ticks, just
make sure that if you get a tick that is outside your tolerance
range, like greater than +/- 2% or 5%%, and if the next tick is back
inside your desired range, you have a high probability that it was a
bad tick.

You can make the assumption that clumps of bad ticks are actually
good ticks. Or you could pop up a dialog that would warn of possible
bad ticks and whether or not to filter. It is not an exact science
with stocks because if you get a harmonic alignment between the
exchange and a market maker or other large influential party who

made

a mistake, hundreds of trades can be busted, thus leading to "bad
ticks". But in this case you will only find out after the fact that
they were indeed bad ticks. So instead of tick filtration you will
need tick correction.

--- In twsapi@y..., "mbluhm2001" <mbluhm2001@y...> wrote:

I guess I will reply to myself and ask a different question:

Is anyone else getting bad quotes, i.e. quotes == 0 from the TWS
interface. If not, it seems I must be doing something wrong.

Thanks,
Mark


--- In twsapi@y..., "mbluhm2001" <mbluhm2001@y...> wrote:

I have been getting a price quote of zero for some of the stock
tickers throughout the trading day. So I decided to put in a

filter

and wanted to see if anyone else had any better ideas. The way

I'm

trying it is the following:

IF
the current price quote is greater than or less than the

previous

quote by X% and the error counter is less than Y

THEN
throw away the quote and increment the error counter

ELSE
use the price quote and clear the error counter

The idea is to set some min and max % (i'm starting with 5%)

that

the

quote can be outside the previous quote. But to handle gaps, if

the

quote is out of range Y number of times (i'm starting with 5)

then

use

that new quote. Also I don't allow quotes that are a value of

zero

either.

Any thoughts would be helpful.

Thanks,
Mark

I guess the first question is why do you turn off your timer. I would
think that the only issue you could have is if your processing of the
ticks would last more than 200ms and that's alot of CPU cycles. But
your program works and my has problems so I would like to understand
this better.

In my program I never turn off my Timer. In my timer routine I call
m_pClient->checkMessages(); which I assume will call the tickPrice and
tickSize events in my program for each stock that has a new tick price
& size. After that I process the stocks with the new price looking for
entry/exits/stops trades.

This is an example of the tick price I'm seeing from BRCD. I see this
on all of the stocks that I'm monitering. Here is what I saw tonight
with the times shown. Since the values are very close together I'm
assuming I must be doing something wrong.

16:44:41 BRCD Out of Range Price = -1.000009
17:05:53 BRCD Out of Range Price = -1.000016
17:10:33 BRCD Out of Range Price = -1.000018
17:18:20 BRCM Out of Range Price = -1.000099

Thanks,
Mark


--- In twsapi@y..., "Michel" <migurull@t...> wrote:

I dont know how you handle your quotes and sizes so I can't help.
The way in which I handle them is through the use of a 'one shoot'

timer of

200 ms. In my tickPrice event I update a variable LastPrice = price

and

enable the timer. In my tickSize event I update a variable LastSize

= size

and also enable the timer if it is not. Then in the Timer.Timer

event I

disable the timer and do the job with LastPrice and LastSize.
This way I allow a 200ms. time window after every price or size

event to

wait for the second event (size or price) to update the other

variable and

if the second event dont comes, simply the other variable is

unchanged when

I use them in my Timer.timer event.

Michel.

[Michel] -----Mensaje original-----
De: mbluhm2001 [mailto:mbluhm2001@y...]
Enviado el: jueves, 04 de julio de 2002 21:35
Para: twsapi@y...
Asunto: twsapi: Re: Ways of filtering bad quotes from TWS


Tbanks for the reply. Thanks what I'm doing with the 0 price

quotes,

throwing them away. I didn't mention that I'm also getting what

seems

to be quotes that non zero but incorrect. So I'm trying to filter

them

with some type of algrothrim so I don't get caught executing a bad
trade. I also wanted to make sure that its not something I'm doing
incorrectly with my interface to TWS.

Thanks,
Mark

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Works fine now, thanx for the help! I had price as double instead of
single, which you pointed out.

Private Sub tws1_orderStatus(ByVal id As Long, ByVal Status As
String, ByVal Filled As Long, ByVal Remaining As Long, ByVal price As
Single)

I'm trying to get fill prices on orders placed prior to the current
session. When I do a Tws1.reqExecutions as the demo user when I
first start a session, it returns the full execution report (there's
dozens of entries here, I'm assuming from other demo users). If I
place one or more orders and do another Tws1.reqExecutions I get only
the info from the orders I just placed, and it only works once in the
current session.

Perhaps the demo user works differently than a live account?

Tws1.reqAccountUpdates only returns the current market price and
market value.

Ideally I want the average fill price of each stock from the
portfolio.

Any ideas?

Thanx!,
Brian

I filter for zero last price, ask and bid price in both the data
source and the data client. I haven't had problems with other quotes
being off but I'm only essentially dealing with the Minis and I
understand stocks have had some quote problems.

As I view it, there are 2 kinds of bad ticks that happen - single bad
ticks and clumps of bad ticks. To get rid of single bad ticks, just
make sure that if you get a tick that is outside your tolerance
range, like greater than +/- 2% or 5%%, and if the next tick is back
inside your desired range, you have a high probability that it was a
bad tick.

You can make the assumption that clumps of bad ticks are actually
good ticks. Or you could pop up a dialog that would warn of possible
bad ticks and whether or not to filter. It is not an exact science
with stocks because if you get a harmonic alignment between the
exchange and a market maker or other large influential party who made
a mistake, hundreds of trades can be busted, thus leading to "bad
ticks". But in this case you will only find out after the fact that
they were indeed bad ticks. So instead of tick filtration you will
need tick correction.

--- In twsapi@y..., "mbluhm2001" <mbluhm2001@y...> wrote:

I guess I will reply to myself and ask a different question:

Is anyone else getting bad quotes, i.e. quotes == 0 from the TWS
interface. If not, it seems I must be doing something wrong.

Thanks,
Mark


--- In twsapi@y..., "mbluhm2001" <mbluhm2001@y...> wrote:

I have been getting a price quote of zero for some of the stock
tickers throughout the trading day. So I decided to put in a

filter

and wanted to see if anyone else had any better ideas. The way

I'm

trying it is the following:

IF
the current price quote is greater than or less than the

previous

quote by X% and the error counter is less than Y

THEN
throw away the quote and increment the error counter

ELSE
use the price quote and clear the error counter

The idea is to set some min and max % (i'm starting with 5%) that

the

quote can be outside the previous quote. But to handle gaps, if

the

quote is out of range Y number of times (i'm starting with 5)

then

use

that new quote. Also I don't allow quotes that are a value of

zero

either.

Any thoughts would be helpful.

Thanks,
Mark

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开云体育