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Re: Stable dockerized TWS version, anyone?

 

I know this is a long shot, but did you resolve this issue by any chance? Facing the same issue with TWS freezing when any audio is triggered (or going to Sound Manager in Global Settings.)
On another machine, it's running fine, so I think it has to do with Docker host configuration....


Historical Forex ratio - BRL (Brazilian Real)

 

I tried to use IDEAPRO to get the forex ratio for the BRL (Brazilian Real).

?

I got the classic error code 200:

?

Error. Id: 100

Code: 200

Msg: No security definition has been found for the request

?

I tried to reverse the contracts "symbol" and "currency" between USD and BRL - as the IDEALPRO exchange only returns some forex pairs if the symbol/currency is set up in a particular way.

?

In fact, IBKR's material doesn't list the BRL in the IDEALPRO exchange: https://www.interactivebrokers.com/en/index.php?f=2222&exch=ibfxpro&showcategories=FX&p=&ptab=&cc=&limit=100&page=1

?

I was surprised, however - Brazil is a big economy, and I thought having its currency forex ratio would be helpful for IBKR's clients.

?

Can someone suggest any other contract or approach to get the historical forex ratio for the Brazilian Real?

?

Thank you


Re: backtesting versus forward testing

 

No, that's too far off of their core business as a brokerage. Their data services are merely an ecosystem add-on, of limited utility if you ask me, and certainly devoid of any computational sophistication.

There exist a few online services that offer server-side data feeds and programmable back-testing. I'm not sure though about the quality of data they offer either. Also, what has always bothered me is you're giving away a ready to use algorithm to a company whose employees can potentially screen and deploy everyone's algos with the same readily available computational power as their creators (I even conversed on Reddit with a founder of one of such services once, bringing up the privacy concern, and I wasn't I offered a reasonable solution - I guess there can't be one, really).

--
Best,
DS


backtesting versus forward testing

 

I've been able to "forward test" my client app on my TWS paper account using live data during regular trading hours. However, is it possible to do backtesting on historical data? It would be useful if I could test and modify code outside of regular trading hours.

I see that?reqHistoricalTicks() will provide the data, but all of the data is dumped into historicalTicks() as a std::vector<> in a one-off way. I have to loop through all of it to look at it, and when I do, I can't go off and call my other methods.

Has anyone heard of IBKR (or atleast TWS locally) being able to process my orders against a historical data set?


Re: Fee to pay TWS

 

Never tried (So I shouldn't answer) but I guess 3 things that make me thinking: don't waist too much time on that:

1- you will not pay more because you open different Client ID.
Client ID is a way to insulate some order processing methods etc ... it's a context intent feature, not a connection intent feature.

2- What is important is number of open socket to the server, and as you can only open one by server (that I know) ClientID doesn't help you.
Caveat:
On one machine you theoretically can open 4 sockets but on 4 different servers, by running GT+TWS with Paper and Real , BUT!! you will need as many different IB account as you want simultaneous connections.
?not worth the trouble.

3- You will not get better data rate, because with just a single connection you can (you will most assuredly) easily hit pacing limitations.
Thing like (but that is not the only one)
Theses limitation are aggregated at GW level or even worst if using TWS as it also involved what TWS displays. IB give you some slack on that but that's only slack, not commitments
Pacing limitations can be raised buying connection packs but even so IB have a ceiling on that.

In short:
Try first, because I will be surprised that connection speed will become your main issue.


Re: Can API or DDE get the fundamental data?

 

Hmmm
My understanding of IB Forecast values trough API is that IB deliver same data as you may receive by email about Analyses forecast etc ... Theses are short term prediction.
2025 and more are most probably not something IB deliver (or I must say I don't know nor I see any place for a method to specify date to look for in the future)
Future (date) for IB is either next quarter or TTM.

This level of of anticipation are generally done trough a synthesis of frequency analysis + trend+ crystal ball prediction, these are more faith than fact.
I recommend that you take it from the most popular provider of prediction, at least you will see what most other people have on their radar.? Some providers have REST API so you should be able to automatize it.


Fee to pay TWS

 

Hi,
I am new to TWSapi and I am able to setup my account to pull data out of TWSapi.
My question is that if I open few connection to extract data simultaneously (clientId=1, 2, 3), does TWS charge my account 3 times?
Thank you,
HHC


Re: Confusion between "adjustedStopPrice" and "adjustedTrailingAmount" when attaching "Adjusted to Trail" to a Stop order.

 

So what is triggerPrice then?


Re: TWS API messages delay

 

TWS/IBGW logs are stored in the root of the "account" folder for the account that TWS/IBGW was logged into. That is a folder in "~/Jts" with 40 or so random looking characters. The log file for API messages is called something like "api.1697984914.20231022.092837.ibgzenc"

But all log files are encrypted so that the actual file does not help you. You'd go to Help->Troubleshooting->Diagnostics->APILogs in TWS/IBGW to decrypt los for the time you are interested in. You'll provide a file name of your choice for the decrypted logs.

´³¨¹°ù²µ±ð²Ô


On Sun, Oct 22, 2023 at 03:42 PM, <bespalex@...> wrote:
Hi Jurgen, I will definitely analyze this. Where are the actual logs located? I don't see any in the \jts directory.


Re: TWS API messages delay

 

Hi Jurgen, I will definitely analyze this. Where are the actual logs located? I don't see any in the \jts directory.


Re: TWS API messages delay

 

I'd suggest you enable "Create API message log file" in TWS File->Global Configuration->API->Settings and check what is going on from TWS's point of view. The log file shows each message received from or sent to your client with a time stamp in 1ms resolution:
  • If the problem is somewhere in TWS or IBKR, you should see the same delay in the TWS log that your client experiences
  • If the problem is somewhere in your client, you should see the usual sub-second delay between order placement and openOrder/orderStatus messages in the TWS API message log file, but much longer delays in your client

execDetails messages will only occur once an order actually fills (partially or completely). Depending on the order, that may take a while (for example if you place a limit order with a target price far away from the current bid/ask prices) but you should get openOrder/orderStatus callbacks immediately after placing the order and likely while the order is active.

´³¨¹°ù²µ±ð²Ô


On Sun, Oct 22, 2023 at 09:10 AM, <bespalex@...> wrote:
Hi, does anyone have any idea if there is some kind of queue on IB's side?
I have experienced a substantial delay in getting orderStatus, openOrder, and execDatails messages, in the most extreme cases of up to 5 minutes.
I am wondering if this can be a problem on IB's side or is it a race on my side that deadlocking delivery.
At the same time, orders get submitted and executed, but the position is coming back unchanged.


TWS API messages delay

 

Hi, does anyone have any idea if there is some kind of queue on IB's side?
I have experienced a substantial delay in getting orderStatus, openOrder, and execDatails messages, in the most extreme cases of up to 5 minutes.
I am wondering if this can be a problem on IB's side or is it a race on my side that deadlocking delivery.
At the same time, orders get submitted and executed, but the position is coming back unchanged.


Re: Can API or DDE get the fundamental data?

 

Thank you.? I am looking for eps for next year (2024), next next year (2025), so on.


Re: Making vs taking liquidity

 

That's exactly what I am looking for. Thank you.


Re: Making vs taking liquidity

 

The Execution returned on every fill has a field lastLiquidity whose possible values are:

None
Added("Added Liquidity")
Removed("Removed Liquidity")
RoudedOut("Liquidity Routed Out") [sic]

Maybe that's what you are looking for.


Making vs taking liquidity

 

Does anyone know if there is a way to tell that my fills were making or taking liquidity?


Re: request margin without whatif

 

I am looking for exactly the same thing. I contacted IB and they said it was currently not possible via the API. Which is annoying because clearly the information is available on TWS.


Re: Can API or DDE get the fundamental data?

 

Don't know about DDE (but I don't see how it would work as it is too rich for DDE, anyway they are not Real time data so you might be able to script it in Python and use it as a CSV)

Look at the code in exemple?? m_pClient->reqMktData(1004, ContractSamples::USStockAtSmart(), "233,236,258", false, false, TagValueListSPtr());
The Tick type you need is 258, AKA TIK_FundamentalRatios??? "258"

You will get an answer trough call back ::tickString(TickerId reqId, TickType tickType, const string& value)

this deliver a somewhere cryptic CSV with of a lot of information, alike what is below
Sorry but I don't remember where I did get the information about Tag contents, however that reasonably easy to guess and find also read

Do not expect IBK to be able to deliver 100% of all theses values for every stocks, use it as a free lunch.
In general they get more fundamentals than other feeds, so major stocks are reasonably filled up and up to date.

Tick String. ReqId Id: 111, Type: 47, Value:
TTMNPMGN=-0.782;NLOW=5.48;ACFSHR=1.268463;ALTCL=0;TTMPRCFPS=27.30529;TTMCFSHR=0.49519;ASFCF=-188;AEPSNORM=-0.97418;TTMRECTURN=3.99795;AATCA=-99999.99;QCSHPS=4.38838;
TTMFCF=-2033;
LATESTADATE=2021-03-31;
APTMGNPCT=6.52734;IAD=0.04;TTMNIAC=-1063;EV_Cur=-99999.99;QATCA=-99999.99;PR2TANBK=-99999.99;TTMFCFSHR=-0.23197;
NPRICE=13.49;ASICF=20045;REVTRENDGR=-7.11523;QSCEX=-1037;PRICE2BK=3.52672;ALSTD=1457;AOTLO=3596;TTMPAYRAT=-99999.99;QPR2REV=-99999.99;;
TTMREVCHG=-17.6063;TTMROAPCT=-0.23502;QTOTCE=35551;APENORM=-99999.99;QLTCL=0;QSFCF=21;TTMROIPCT=-0.37286;DIVGRPCT=-65.3319;QOTLO=3633;TTMEPSCHG=-120.554;
YIELD=-99999.99;TTMREVPS=8.69612;TTMEBT=-1040;ADIV5YAVG=0.488;Frac52Wk=-99999.99;NHIG=14.415;ASCEX=-3403;QTA=253452;TTMGROSMGN=25.5409;
QTL=217901;AFPRD=-19016;QCURRATIO=1.96248;TTMREV=76215;TTMINVTURN=3.54825;QCASH=36630;QLSTD=1457;TTMOPMGN=-1.13232;TTMPR2REV=1.55488;QSICF=0;
TTMNIPEREM=-3425.287;
EPSCHNGYR=-99.64437;TTMPRFCFPS=-99999.99;TTMPTMGN=-1.36456;AREVPS=9.08789;AEBTNORM=-15995;ASOPI=9809;NetDebt_I=32834;PRYTDPCTR=12.05931;
TTMEBITD=8373;AFEEPSNTM=0.244;EPSTRENDGR=34.32537;QTOTD2EQ=212.4698;QSOPI=1135;QBVPS=3.82576;YLD5YAVG=3.1943;PR13WKPCT=-99999.99;PR52WKPCT=-99999.99;AROAPCT=2.205816;
QTOTLTD=70288;TTMEPSXCLX=-0.12229;QPRCFPS=7.632914135403047;QTANBVPS=-0.12872;AROIPCT=2.218938;QEBIT=1525;QEBITDA=2812;TTMINTCOV=-99999.99;TTMROEPCT=-3.08756;
MKTCAP=118504.9;
TTMREVPERE=438017.3;
AEPSXCLXOR=0.5995891;QFPRD=-4599;REVCHNGYR=-12.16521;AFPSS=-99999.99;CURRENCY=USD;EV2EBITDA_Cur=-99999.99;PEEXCLXOR=-99999.99;QQUICKRATI=1.67591;
ASINN=-99999.99;QFPSS=-99999.99;
BETA=1.08957;
ANIACNORM=-8534.8;PR1WKPCT=-99999.99;QLTD2EQ=199.1663;QSINN=-99999.99;PR4WKPCT=-99999.99;AEBIT=7803

where
AEPSNORM??? EPS Normalized
AFEEPSNTM??? Analyst Forecast of EPS - N12
MKTCAP??? ??? Market capitalization
PRICE2BK??? Price to Book
TTMFCF??? ??? Free Cash Flow - TTM
TTMNIPEREM??? Net Income/Employee - TTM
TTMREVPERE??? Revenue/Employee - TTM
TTMREVPS??? RevenuePerShareTTM
TTMREV??? ??? RevenueTTM
TTMREV??? ??? RevenueTTM
TTMPR2REV??? PriceToSalesTTM???
QEBITDA??? ??? EBITD - MRQ
BETA??? ??? Reuters Beta is the slope of the 60 month regression line of the percentage price change of the stock relative to the percentage price change of the local index.? Beta values are not calculated if less than 40 months of pricing is available
AREVPS??? ??? RevenuePerShare
AEPSNORM??? epsdiluted
AFEEPSNTM??? AnalystForecastOfEPS???
EV_Cur??? ??? CurrentEnterpriseValue
MKTCAP??? ??? marketCap
NHIG??? ??? yearHigh
NLOW??? ??? yearLow
QEBITDA??? ??? EBITDA

etc ...


Re: LMT + MKT combo orders versus REL + MKT combo orders

 

Here's a good explanation of REL + MKT:

To use their example, Stock ABC - Stock XYZ is the spread and you want to buy it. ABC is 9.00 x 9.02? and XYZ is 5.01 x 5.02. That means the spread is 3.98 x 4.01. Suppose you send a LMT + MKT with a limit of 4.00. My guess is IBKR will wait around for the ask of the spread to drop below 4 and do it's thing. I'm just not really clear on what that is.

For instance, the order isn't immediately marketable, but let's say ABC and XYZ move to 9.02x 9.03 and 5.00x 5.01, then the spread is 4.01 x 4.03. What I imagine is that IBKR sends out its limit orders at 9.02 and 5.01. Either one leg fills and they do market on the other, or both legs fill and they make even more profit.

But how much does the spread bid have to drop below my limit for me to get a fill? Which strategy is more aggressive?


Can API or DDE get the fundamental data?

 

Hi, can API or DDE get the fundamental data such as earning per share from TWS?? Thanks.