Matt

So thats where you went after leaving Raven...

Nice to hear from ya Matt....

No doubt Esignals getting their moneys worth...

Scott

--- In twsapi@y..., Matt Gundersen <mattgundersen@y...> wrote:

Hi All,

I saw some talk about eSignal and IB. We are currently adding IB

support to

eSignal. You will be able to do direct/integrated trading from

within eSignal.

It will also be hooked into our formula engine allowing

formula/script

automated trading.

Matt Gundersen
Director Desktop Software, eSignal

__________________________________________________
Do You Yahoo!?
Yahoo! Health - Feel better, live better

Hi All,

I saw some talk about eSignal and IB. We are currently adding IB support to
eSignal. You will be able to do direct/integrated trading from within eSignal.
It will also be hooked into our formula engine allowing formula/script
automated trading.

Matt Gundersen
Director Desktop Software, eSignal

__________________________________________________
Do You Yahoo!?
Yahoo! Health - Feel better, live better

Nick

In my previous post on this I suggested that an apology was in order, after
all you wrongly accused someone of a crime. Now you don't apologize and
want the evidence scrubbed. OK, we all understand more about you now....

Please also refrain from writing to me personally, I get enough of your
*** as it is.




Nick
<nickrbox@optonli To: twsapi@...
ne.net> cc:
Subject: RE: twsapi: Re: Order Entry System using IB (TWS)
24/07/02 01:57 and ESignal (WinRos)
Please respond to
twsapi






Croc Wrote:

So, I'm really only asking for something, which I could legally use,
without violating any contract I have with ESignal.

But please be a little bit more careful, if you call someone in a public
forum a thief, acusing him of stealing data, which he is entitled to
according to his agreement with the Provider

I will defer to your interpretation of the agreements and retract my
previous statements. I would also request that my previous posts on this
topic be deleted to avoid them appearing in future digests.

- Nick


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It probably means that they had one of their current programmers working on
it part-time and part-time wasn't cutting it.

Kent

} Your points are valid. In the next month or so, we will be hiring a programmer
} that will devote all of his or her time to the API, and at that time, we will
} address your issues. Thank you for taking the time to write to us.

Yikes! Does this mean they hired a high-school kid to do the current api?

Yes, I had a suspicion you were getting greedy. :-)

It's been a long hard road talking IB into supporting trailing stops.

Simple fixed-size trailing stops are a great advantage. And a great
start for greedy types too. :-)


Richard

} Richard,
}
} You missed my point.. "...based on each stock's volatility." My
} understanding is that IB's feature will only follow your price a
} fixed number of points.
}
} Of course you can use the API and set a trailing stop based on
} anything you like, which is what I do, but a fixed point stop misses
} the boat, in my opinion.
}
} In my ideal world trailing stops should be based on a selectable list
} of criteria... it's not like it would be difficult! IB is going in
} the right direction though, so I applaud them for finally seeing a
} little bit of the light :)
}
} Brian
}
}
} > Who said it wouldn't be adjustable?
} > Yikes! Silly assumption.
} > Richard
} >
} > }
} > } I would never use this... I actually can't imagine using a
} > trailing
} > } stop without basing it on each stock's volatility. I've been
} > } discouraged for years because no portfolio feature at the most
} > } popular financial websites offer any kind of adjustable trailing
} > stop
} > } alert... I mean c'mon, WE HAVE THE TECHNOLOGY! geeesh.
} > }
} > } ok, I got that off my chest lol :)
} > }
} > } > Trader Workstation Trailing Stop Orders and Island 1/10 Cent
} > Order
} > } > Entry
} > } > You asked for it, and IB delivers.

Richard,

You missed my point.. "...based on each stock's volatility." My
understanding is that IB's feature will only follow your price a
fixed number of points.

Of course you can use the API and set a trailing stop based on
anything you like, which is what I do, but a fixed point stop misses
the boat, in my opinion.

In my ideal world trailing stops should be based on a selectable list
of criteria... it's not like it would be difficult! IB is going in
the right direction though, so I applaud them for finally seeing a
little bit of the light :)

Brian

开云体育

-----Original Message-----
From: crocodile_1964 [mailto:crocodile_1964@...]
Sent: Monday, July 22, 2002 6:36 PM
To: twsapi@...
Subject: twsapi: Re: Order Entry System using IB (TWS) and ESignal (WinRos)

Hi,
it seems, no one is using the ESignal Datafeed together with IB. I
can only recommend it, as it's sometimes cheaper than QCharts. If you
talk directly with a sales representative, they might offer you
special discount rates. But what's even better, they normally don't
screw up with the datafeed in high volume times. Something you find
almost daily on QCharts.

I have uploaded an ESignal.zip file in the Files section, showing a
very basic implementation of a DDE-Lonk to WinRos.exe (the Datafeed
Manager), which needs to run prior to requesting the DDE-Link.
The Project provides some basic data, a Level I window and a Time of
Sales list.

Hope it helps someone to save time implementing the ESignal Datafeed
in a TWSAPI Aplication.

Good trading,

croc



> Hi members.
> Due to the timelag the QCharts Datafeed experiences especially the
first and last 30 minutes of trading, I'm considering using the
ESignal Datafeed for my Order Entry System.
> The ESignal Datafeed can be accessed through a DDE-call to
Winros.exe (The Datamanger from ESignal).
> Due to my only modest programming skills and since I've used 'till
today only Active-X applications I'm at
> a loss how to program the VB DDE-call to Winros, to get streaming
realtime data for select Futures.
> I don't need the exact calls to Winros, the general description of
a DDE call from VB would be sufficient.
> In Excel the call would be: =winros|key!symbol
> with key = Last, High, Low, Volume ...
> Perhaps someone could help.
> Thanks.
>
> croc



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There are several big expensive brokers that do trailing stops on
the client, Cyber included.

Don't assume ...


Richard

} I wonder how long before the API supports this. Does the trailing
} stop sit on IB's servers, or is it implemented on the client?
}
} Scratch that last question... I am sure IB realizes how useless it
} would be to have this on the client.
}
} --- In twsapi@y..., "marinindextrader" <marinindextrader@y...> wrote:
} > Trader Workstation Trailing Stop Orders and Island 1/10 Cent Order
} > Entry
} >
} >
} > You asked for it, and IB delivers. As of August 1st, you will be
} able
} > to enter trailing stop orders with "Smart" order routing, and enter
} > 1/10 cent pricing for Island using Trader Workstation. Although
} > trailing stops have been introduced because of demand, IB does not
} > encourage the use of trailing stop orders as they create a false
} > sense of security, and accentuate volatility in rough markets. A
} new
} > version of TWS, revised User's Guide and updated release notes will
} > be posted just prior to implementation by August 1st.
}

I recently forwarded a message from this list to IB management in hopes
of eliciting a positive response. (I hope you don't mind, grozzie.)
I'm including the response below, which was somewhat positive.

I've omitted the authors name since I haven't asked permission to post
this ...

Hopefully good things come to he who waits ...


Richard

}
} Your points are valid. In the next month or so, we will be hiring a programmer
} that will devote all of his or her time to the API, and at that time, we will
} address your issues. Thank you for taking the time to write to us.
}
} Best Regards,
}
} [name omitted]
}
}
}
}
}
} Richard Foulk <richard@...> on 07/21/2002 08:28:30 PM
}
} To: ibmgmt/Interactivebrokers@Interactivebrokers, help@...
} cc:
}
} Subject: API bugs, forwarding ...
}
}
}
} } Subject: twsapi: Event driven garbage
} } To: twsapi@...
} } Message-ID: <ahf2te+atl5@...>
} } From: "grozzie2" <grozzie2@...>
} } Date: Sun, 21 Jul 2002 19:43:42 -0000
} }
} } TWS is an event driven beast. No functions actually have any kind of
} } return to validate they actually did something, everything waits for
} } callbacks, to say events occurred.
} }
} } Event driven models are great, provided, the event source reports the
} } events in the actual order they occur. TWS does not.
} }
} } If you are basing code on the events from the TWS activeX component,
} } and building up logic for handling orders etc on it, be warned, I
} } have a captured log with the following sequence of events, and I'm
} } pondering what to do with it.
} }
} } The state begins with a short position of 20 contracts in the es
} } minis. The program has a target cover buy in place, and a stop, for
} } 20 contracts each, and joined as a one cancels all group.
} }
} } Event 1 - TWS reports partial fill for 11 from target order
} } program modifies internal structures to show -9 left in the
} } position, with 11 bought.
} } Event 2 - TWS reports current position on ES as -9
} } program verifies this as correct.
} } Event 3 - TWS reports partial fill for 9 contracts, order filled
} } completely.
} } program modifies internal structures to show target order filled, and
} } removed from the operating state.
} } Event 4 - TWS reports current position on ES as -9 contracts
} } program goes HUH ?????????
} } program realizes, all buy orders are filled, and it still has a short
} } position of 9 contracts, places an order to buy 9 to cover.
} } Event 5 - TWS reports order to buy filled.
} } program modifies internal structures to show buy now filled, and
} } position back to 0
} } Event 6 - TWS reports position of 0
} } program verifies this is the correct position
} } Event 7 - TWS reports current position on ES as 9 contracts
} } program emits expletives into the debug log.
} }
} }
} } Computers are fast, and can react much faster than humans. What's
} } important to note in the above sequence, TWS reported a WRONG
} } position, and the program reacted. The position reported was correct
} } for the time BEFORE the second fill report, and this is significant,
} } because TWS reported the -9 position TWICE, once before, and once
} } after the fill for 9. It looks to me like the TWS internal state on
} } actual position size got delayed, and would have 'caught up' had my
} } program waited longer before doing order/position reconciliation. A
} } human cant react that fast, so if it displayed -9, and updated that
} } display to 0 a fraction of a second later, or even a couple seconds
} } later, a human would go 'great, filled'.
} }
} } 2 weeks ago, I realized, TWS events are not necessarily in sequence,
} } and had settled on the position report event as the 'atomic' point of
} } action, on the assumption, it would be the one event we could count
} } on to report things, and if we postponed all position management to
} } that event, everything would stay in synch. Up until now, it's
} } appeared that would work, but now i see it wont.
} }
} } I now have logs of various orders of events during the process to
} } prove, without any possibility of it being otherwise, there is no TWS
} } event that you can rely on as an atomic thing, ie, it will be
} } correct. I have fills updated before positions, positions updated
} } before fills, and now i add to it, position reported late, or in
} } error. For now, i'll assume it was late, because if it was actually
} } in error, and TWS was not going to follow the second -9 report with a
} } 0 report, then it will not be possible to build a 'safe' program
} } using this.
} }
} } I can say the following with a certainty now. TWS is 2 or more
} } independant state machines internally, reporting events with no
} } relationships in time or order of events. If you are trying to
} } reconcile the events, and take actions based on the reports from tws
} } in real time, at the time of events, then the following holds true.
} } If you are trading more than quantity 1, at some point in time, you
} } will recieve event notifications that will come in an order that
} } breaks your logic. I have drawn out carefully the timing diagrams
} } from a number of event sequences in the area of partial fills, both
} } on entry and on exit. The last one provides a proof, there is no
} } event from TWS that is atomic, on which you can base decisions to
} } manage existing positions, and reconcile with fill reports. The TWS
} } position reports are independant of fill reports, and there will
} } ALWAYS be potential for discrepancies. The only way to do a
} } reconciliation, is to postpone it until a point in time that you can
} } verify there are no potential outstanding events.
} }
} } It's time to re-design here.
} }

Who said it wouldn't be adjustable?

Yikes! Silly assumption.


Richard

}
} I would never use this... I actually can't imagine using a trailing
} stop without basing it on each stock's volatility. I've been
} discouraged for years because no portfolio feature at the most
} popular financial websites offer any kind of adjustable trailing stop
} alert... I mean c'mon, WE HAVE THE TECHNOLOGY! geeesh.
}
} ok, I got that off my chest lol :)
}
} > Trader Workstation Trailing Stop Orders and Island 1/10 Cent Order
} > Entry
} > You asked for it, and IB delivers.
}

I would never use this... I actually can't imagine using a trailing
stop without basing it on each stock's volatility. I've been
discouraged for years because no portfolio feature at the most
popular financial websites offer any kind of adjustable trailing stop
alert... I mean c'mon, WE HAVE THE TECHNOLOGY! geeesh.

ok, I got that off my chest lol :)

I wonder how long before the API supports this. Does the trailing
stop sit on IB's servers, or is it implemented on the client?

Scratch that last question... I am sure IB realizes how useless it
would be to have this on the client.

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

Trader Workstation Trailing Stop Orders and Island 1/10 Cent Order
Entry


You asked for it, and IB delivers. As of August 1st, you will be

able

to enter trailing stop orders with "Smart" order routing, and enter
1/10 cent pricing for Island using Trader Workstation. Although
trailing stops have been introduced because of demand, IB does not
encourage the use of trailing stop orders as they create a false
sense of security, and accentuate volatility in rough markets. A

new

version of TWS, revised User's Guide and updated release notes will
be posted just prior to implementation by August 1st.

Trader Workstation Trailing Stop Orders and Island 1/10 Cent Order
Entry


You asked for it, and IB delivers. As of August 1st, you will be able
to enter trailing stop orders with "Smart" order routing, and enter
1/10 cent pricing for Island using Trader Workstation. Although
trailing stops have been introduced because of demand, IB does not
encourage the use of trailing stop orders as they create a false
sense of security, and accentuate volatility in rough markets. A new
version of TWS, revised User's Guide and updated release notes will
be posted just prior to implementation by August 1st.

开云体育

Hi,
it seems, no one is using the ESignal Datafeed together with IB. I
can only recommend it, as it's sometimes cheaper than QCharts. If you
talk directly with a sales representative, they might offer you
special discount rates. But what's even better, they normally don't
screw up with the datafeed in high volume times. Something you find
almost daily on QCharts.

I have uploaded an ESignal.zip file in the Files section, showing a
very basic implementation of a DDE-Lonk to WinRos.exe (the Datafeed
Manager), which needs to run prior to requesting the DDE-Link.
The Project provides some basic data, a Level I window and a Time of
Sales list.

Hope it helps someone to save time implementing the ESignal Datafeed
in a TWSAPI Aplication.

Good trading,

croc

Hi members.
Due to the timelag the QCharts Datafeed experiences especially the

first and last 30 minutes of trading, I'm considering using the
ESignal Datafeed for my Order Entry System.

The ESignal Datafeed can be accessed through a DDE-call to

Winros.exe (The Datamanger from ESignal).

Due to my only modest programming skills and since I've used 'till

today only Active-X applications I'm at

a loss how to program the VB DDE-call to Winros, to get streaming

realtime data for select Futures.

I don't need the exact calls to Winros, the general description of

a DDE call from VB would be sufficient.

In Excel the call would be: =winros|key!symbol
with key = Last, High, Low, Volume ...
Perhaps someone could help.
Thanks.

croc

I am pleased to announce the "Open Source Trading
Software" group for *Open* discussion of how to implement open
source/free solutions for trading software. Special emphasis will be
on automated trading software.

We invite all interested parties to join!



As part of this discussion, we are interested in providing an
interface to IB, using the API, or perhaps a combination of the API
and sending keystrokes. All those who want to work on a mutual open
source project, please join.

Thanks,
Andy M.

开云体育

4. I compare my internat list of positions all the time with TWS

position

list. When it is different for more than 10 seconds, my software

creates an

error message.

Does it do anything about the discrepancies, or just create a
message ?

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

Kind of depressing Grozzie....Programming is not difficult at all,
just complex. And it is this sort of nonesense that makes it even
more complex...

What a bummer...

They should just turn over all the source to us and then pay us to

re-

write the whole bloody mess...

Well, it can be made to work, and like i pointed out in the prior
message, if you can live without cross checks, there is always a
way. I cant live without cross checks, and as I press on, i'm
finding ways to get it accomplished. The key to doing reconciliation
between positions and orders, is to only do it at a time, when you
know it'll be a valid result.

I've had full automatic running here now for a few hours, doing lots
of full turn arounds (restart tws now and then to reprime the
balance :) and it's not had an order or position screw up, getting
tons of partials. Hehe, this program is actually lying in wait,
watching for the correct setup to generate lots of 'hard to handle
conditions', and then pasting bids and offers with the maximum size
it can, irrelavent of p/l, just churning orders to generate bad case
trace logs.

If this continues on for another hour like this, then we restart
the 'real' test plan tomorrow, and if it survives that, we'll be on
the 'real money account' test phase before the end of the week.

The model I'm using now, is by no means optimum, but, I think it
crosses over the line to the side of 'reliable'. For our
application, this is key, and essential. If this holds up, then we
can take a step back, and work with optimizing the model.