Re: C++ IBKR API implementation and biddll.lib Intel Math Library
Just some follow up:
?
The problems I had were with the 20U2 version of the Intel Decimal Math Library (I thought that was the latest one...).
I found the 20U3 version on Intel site and then, with this version the "biddll.lib" file was generated. Lets see if it works...
?
Thats a lot of mystery for me. By the way why is a precompiled version of this library not available anywhere.
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Re: Improvements to Intraday Momentum Strategies Using Parameter Optimization and Different Exit Strategies
Now it's working. Thanks!
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Re: Improvements to Intraday Momentum Strategies Using Parameter Optimization and Different Exit Strategies
Interesting. The link posted leads to?? which has download links on it
Hi,
?
I'd be interested in reading your paper. Can you post a working download link? The one you posted doesn't get me anywhere.
?
Thanks
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Re: Improvements to Intraday Momentum Strategies Using Parameter Optimization and Different Exit Strategies
Hi,
?
I'd be interested in reading your paper. Can you post a working download link? The one you posted doesn't get me anywhere.
?
Thanks
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Re: Clarification on Identifying Order Status Callback for Modified Orders
Well, the orderId parameters of the openOrder() and orderStatus() callbacks identify the order they relate to. And so does the reqId parameter of the error() callback.
?
´³¨¹°ù²µ±ð²Ô
?
On Thu, Jan 30, 2025 at 04:04 AM, <tarun.joshi@...> wrote:
Hello Folks,
While sending a modification request for an existing confirmed order, I am receiving the following callbacks related to that specific order ID:
- OpenOrder
- OrderStatus
- Error: "Order rejected - Reason: Invalid Price"
Upon sending the order modification request and subsequently receiving the OrderStatus callback, how can I ensure that the OrderStatus callback pertains to the modified order? In the example above, it was not related to the modified order.
Thanks.
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Re: Time is a reserved name in VBA
Richard,
Thanks
for the input you are always a great source of information.
Reserved
was probably the wrong word.? Microsoft calls Time a VBA keyword.
For
others to see the problem in action without having to even be
concerned with the IB api.
Create
a module and put this code in it:
Option
Explicit
Function
TestTimeProblem()
???
TestTimeProblem = Time
End
Function
Now
in a cell on a worksheet enter this
=TestTimeProblem()
This
should return the current time...
Go
back to the module and enter these additional lines of code
'Sub
MakeTimetime(time As String)
'
'End
Sub
'Sub
FixTimeBackToTime(Time As String)
'
'End
Sub
Now
un-comment the MakeTimetime routine and the Time in the function
will change to time.
Note
that the function still works which as Richard indicated
demonstrates that VBA is case agnostic.
To
fix back uncomment the FixTimeBackToTime sub and all will get
changed to Time...
It's
hard to believe it has been almost 30 years since IB introduced
their API.? Sorry that none of the developers hang out on this
thread...
On 1/31/2025 7:49 AM, Richard L King
wrote:
toggle quoted message
Show quoted text
That¡¯s
not quite right.
?
¡®Time¡¯
is NOT a VBA function: it¡¯s a property of the VBA DateTime
module (you can see this using the ObjectBrowser). It
returns a variant with a vbDate variant type.
?
Property
names CAN be re-used as variable names (unlike method names,
which cannot: Dim Len as String will fail).
?
Your
little function doesn¡¯t illustrate anything: it will return
the vbDate variant returned by the Time property. It doesn¡¯t
even use Time (or time) as a variable.
?
You
say ¡®Notice that the Time will be changed to time¡¯.
This is nothing to do with conflicts. It¡¯s because VBA (and
indeed VB6, but fortunately not VB.Net) are very bad at
managing name spellings. If you declare a variable or a method
or property called ¡®MyName¡¯ somewhere, and then declare
something else called ¡®myname¡¯ anywhere within the same
project or module, then the original ¡®MyName¡¯ will be
displayed as ¡®myname¡¯ (though the actual code won¡¯t be
changed).
?
It seems that the VBA/VB6 compilers have a
single name table that doesn¡¯t record the context of a name
declaration (and remember VBA and VB6 are case-insensitive) .
Thus when ¡®myname¡¯ is declared, the original table entry for
¡®MyName¡¯ is overwritten with ¡®myname¡¯, and that¡¯s what you¡¯ll
see everywhere, even on the original ¡®MyName¡¯ declaration.
?
This is one of the most annoying features
of VBA/VB6, especially where you have references to other
components that use the same names with different
capitalisation, in which case what you see will depend on the
order of the references to these other components.
?
I don¡¯t think this actually ¡®needs to be
fixed¡¯: after all it¡¯s been like this for well over 20 years ¨C
if it were a real problem, someone would have fixed it by now.
Are you able to point to any specific instances that you think
don¡¯t work properly?
?
And no, IB Developers don¡¯t appear to
monitor this group. There used to be an IB staff member in the
group, which was actually very helpful due to his insider
knowledge, but no longer (at least, not that we know of).
?
If
you really think you need to bring this to IB¡¯s attention,
you can either raise a ticket on your Account Management
page, or get access to the GitHub repository and raise an
issue. But I can more or less guarantee that you won¡¯t get
any traction on this: far too much work for zero benefit.
?
Richard
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Re: Time is a reserved name in VBA
That¡¯s not quite right. ? ¡®Time¡¯ is NOT a VBA function: it¡¯s a property of the VBA DateTime module (you can see this using the ObjectBrowser). It returns a variant with a vbDate variant type. ? Property names CAN be re-used as variable names (unlike method names, which cannot: Dim Len as String will fail). ? Your little function doesn¡¯t illustrate anything: it will return the vbDate variant returned by the Time property. It doesn¡¯t even use Time (or time) as a variable. ? You say ¡®Notice that the Time will be changed to time¡¯. This is nothing to do with conflicts. It¡¯s because VBA (and indeed VB6, but fortunately not VB.Net) are very bad at managing name spellings. If you declare a variable or a method or property called ¡®MyName¡¯ somewhere, and then declare something else called ¡®myname¡¯ anywhere within the same project or module, then the original ¡®MyName¡¯ will be displayed as ¡®myname¡¯ (though the actual code won¡¯t be changed). ? It seems that the VBA/VB6 compilers have a single name table that doesn¡¯t record the context of a name declaration (and remember VBA and VB6 are case-insensitive) . Thus when ¡®myname¡¯ is declared, the original table entry for ¡®MyName¡¯ is overwritten with ¡®myname¡¯, and that¡¯s what you¡¯ll see everywhere, even on the original ¡®MyName¡¯ declaration. ? This is one of the most annoying features of VBA/VB6, especially where you have references to other components that use the same names with different capitalisation, in which case what you see will depend on the order of the references to these other components. ? I don¡¯t think this actually ¡®needs to be fixed¡¯: after all it¡¯s been like this for well over 20 years ¨C if it were a real problem, someone would have fixed it by now. Are you able to point to any specific instances that you think don¡¯t work properly? ? And no, IB Developers don¡¯t appear to monitor this group. There used to be an IB staff member in the group, which was actually very helpful due to his insider knowledge, but no longer (at least, not that we know of). ? If you really think you need to bring this to IB¡¯s attention, you can either raise a ticket on your Account Management page, or get access to the GitHub repository and raise an issue. But I can more or less guarantee that you won¡¯t get any traction on this: far too much work for zero benefit. ? Richard
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Time is a reserved name in VBA
The Excel versions of the API frequently use the variable 'time'.? Declaring it as string or as long in numerous places.? It is also in the TWSlib in at least five places.
This is a problem because 'Time' is a built-in VBA function (which returns the current system time) and is part of the VBA standard library and cannot be redefined without causing conflicts.? In other words Time is a reserved name in VBA.
?
To verify this problem, one can create a module in an Excel workbook that is using the API and enter a simple function like this:
Option Explicit
Function testTimeProblem()
? ? testTimeProblem = Time
End Function
?
Notice that the Time will be changed to time...? Which is an indication of the problem.
This needs to be fixed.? How do I report this problem to IB Developers or do they monitor this Group??
?
Thanks!
?
?
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Re: Cancel on Client Disconnect/Logout
Thanks for the clarification.
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Clarification on Identifying Order Status Callback for Modified Orders
Hello Folks,
While sending a modification request for an existing confirmed order, I am receiving the following callbacks related to that specific order ID:
- OpenOrder
- OrderStatus
- Error: "Order rejected - Reason: Invalid Price"
Upon sending the order modification request and subsequently receiving the OrderStatus callback, how can I ensure that the OrderStatus callback pertains to the modified order? In the example above, it was not related to the modified order.
Thanks.
|
Re: Cancel on Client Disconnect/Logout
Set `order.GoodTillDate`, configure it till end of day minus 1 second.
toggle quoted message
Show quoted text
On 29 Jan 2025, at 21:39, tarun.joshi via groups.io <tarun.joshi@...> wrote:
Hi,
Is there any option in the TWS application to automatically cancel all open orders (an event triggered automatically by the TWS application) when the client disconnects? Or is there a specific field we can set when sending orders via the TWS API to achieve this?
Thank you.
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Cancel on Client Disconnect/Logout
Hi,
Is there any option in the TWS application to automatically cancel all open orders (an event triggered automatically by the TWS application) when the client disconnects? Or is there a specific field we can set when sending orders via the TWS API to achieve this?
Thank you.
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Re: Not receiving previous close price from ReqMktData
Not sure what to tell you, but maybe this is one for IBKR to look into. It does not feel like there is anything your client does wrong.
Here a few thoughts:
- IBKR describes the "Close" tick as: "The last available closing price for the previous day. For US Equities, we use corporate action processing to get the closing price, so the close price is adjusted to reflect forward and reverse splits and cash and stock dividends."
- That tells me that "Close" price most likely comes from the historical data "HMDS" farm and not the real-time data farm. Maybe you can check the TWS/IBGW logs to see whether there were any complaints about not being able to make or failed HMDS queries for the close price.
- You could also enable more verbose HMDS logging in TWS if you want to drill down some more. But that is a real firehouse, interesting though.
I record "Close" ticks but don't really use them. But I am getting them a few times a day:
- When the client connects some time after 16:00 US/Central
- For US stocks shortly after 19:00 US/Central when the after-market session has ended
- Whenever the data farms reset. That is usually between 23:00 and 23:30 US/Central during the maintenance window but occasionally also throughout the day
And it does not feel like I am missing "Close" ticks, but I can't say that for sure. One thing I do, though, is that I request "the kitchen sink" during reqMktData() instrument subscription calls. My tick list for stocks looks like this "100, 101, 104, 105, 106, 165, 220, 221, 232, 233, 236, 258, 292, 293, 294, 295, 318, 375, 411, 456, 460, 577, 586, 587, 588, 595, 614, 619, 623"
You should not have to specify any of these to get the "Close" tick reliably. But maybe it helps if the issue is HMDS query related.
´³¨¹°ù²µ±ð²Ô
?
?
?
On Tue, Jan 28, 2025 at 12:23 PM, ds-avatar wrote:
For the contrast, I'm also attaching another API session log from today where the #9 tick was reported immediately after ReqMktData call, as expected.
?
Unfortunately the fact that the tick is reported sometimes does not mitigate the issue of it not being reported some of the other times when the API trading program is regularly relying on it to make data driven decisions, and for my trading it is absolutely crucial.
?
--
Best,
DS
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Fee Rate for opening a short position
Where does the fee rate show up? Is it folded into the commision charge? How can that be determined through the API?
?
If I understand the fee rate correctly then taking for example I open a short position on NVDA that amounts to $10,000.
The fee rate for today = .41%
The fee then amounts to $10,000 * .41% =? $41.00/365 = $0.11 cents for one day if I close the position before market closing?
?
Assuming I'm correct where does this fee show up? is it folded into the commision fee?
?
If I repeat the same transaction 5 times during day trading does that amount to $0.11 * 5? = $0.55?
?
Can that be determined in an API call?
?
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Re: Not receiving previous close price from ReqMktData
For the contrast, I'm also attaching another API session log from today where the #9 tick was reported immediately after ReqMktData call, as expected.
?
Unfortunately the fact that the tick is reported sometimes does not mitigate the issue of it not being reported some of the other times when the API trading program is regularly relying on it to make data driven decisions, and for my trading it is absolutely crucial.
?
--
Best,
DS
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Not receiving previous close price from ReqMktData
I'm not regularly receiving tick #9 today through the API after calling ReqMktData for one particular stock. Admittedly, this is not the first time I ran into this bug for any random stock, but today this it's repeats frequently (most of the time, indeed) with one particular stock. So I managed to log this problem with ease and now I have not one, but two API log excerpts running for at least 5 minutes during regular trading hours with lots of ticks coming in from ReqMktData, but not the Close Price tick.
?
The stock in question is XNYS:ATR, {Type='STK';LocalSymbol='ATR';PrimaryExchange='NYSE';Symbol='ATR';Exchange='SMART';Currency='USD';ContractId='4651'}. Its last closing price yesterday was 158.46 and it is displayed in TWS no problem in the respective Previous Close column, but is apparently not getting reliably reported through the API.
?
I ask the group to see my logs to help decide how to go about this issue.
?
I'm attaching the two decoded TWS API log text excerpts with everything before the respective REQ_CONTRACT_DATA and REQ_MKT_DATA calls removed due to representing sensitive account data and up to the point of API connection closing (about 5 minutes each), with a few short clarifying comments denoted with the starting symbol #.
?
--
Best,
DS
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Re: reqHistoricalTicks() & batching vs. reqTickByTick() vs. reqHistoricalData(), Backtesting vs. Realtime execution
I assume you are talking about grouping TickByTick real time data into 1second candles?
You would not use your tick arrival timestamp, but the 1second resolution timestamp IBKR provides with each TickByTick update you receive. So you'd simply group the ticks bz the same timestamp. I work under the assumption that ticks arrive in order (I have never detected anything that pointed to the contrary) so that it is straight forward to make an OHLVC candle for each group of ticks.,
HistoricalTickByTick data also come with a 1second resolution timestamp, but may contain additional "non reportable" trades compared to the real-time feed for the same period. But they are tagged to that you could filter those out.
´³¨¹°ù²µ±ð²Ô
?
On Tue, Jan 28, 2025 at 10:54 AM, Sdoof wrote:
Very insightful discussion, when rounding to the 1 second, does it means that any tick with a "real" timestamp with be rounded to the second based on of +/-500ms or is it more of a ceiling/floor/truncation method?
In other words assuming 2 ticks scenario:
if a real tick timestamp is 11h05mn48.5001 (hh:mn:ss.ms) will the corresponding IBKR timestamp be 11h05mn49s? (1st arrival)
if a real tick timestamp is 11h05mn49.4999 (hh:mn:ss.ms) will the corresponding IBKR timestamp be 11h05mn49s? (2nd arrival)
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Re: reqHistoricalTicks() & batching vs. reqTickByTick() vs. reqHistoricalData(), Backtesting vs. Realtime execution
Good question. See for yourself when calling reqTickByTick(), try converting the time from an epoch to a timestamp with the format -> 'hh:mm:ss.ms'. Then call reqHistoricalTicks() and see a comparison to try and bridge the gap with how they are doing this and try to decipher if its doing a ceiling, floor, or truncation based on the summed tick size/prices, etc. I have not messed around with that yet, but may try later when I get the time. I will post my results here when I do assuming you do not find out yourself. If you do try it, posting your results would be appreciated. Hopefully I am understanding your question correctly.
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Re: reqHistoricalTicks() & batching vs. reqTickByTick() vs. reqHistoricalData(), Backtesting vs. Realtime execution
Very insightful discussion, when rounding to the 1 second, does it means that any tick with a "real" timestamp with be rounded to the second based on of +/-500ms or is it more of a ceiling/floor/truncation method?
In other words assuming 2 ticks scenario:
if a real tick timestamp is 11h05mn48.5001 (hh:mn:ss.ms) will the corresponding IBKR timestamp be 11h05mn49s? (1st arrival)
if a real tick timestamp is 11h05mn49.4999 (hh:mn:ss.ms) will the corresponding IBKR timestamp be 11h05mn49s? (2nd arrival)
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Re: C++ preventing EReader reading when socket is closed
On restarting the TWS Application manually from TWS Application drop down menu while TWS API process is up & running? TWS Api replies with Connection Closed callback via Updated source code
void Connect() {
? if (m_pClient && m_pClient->isConnected())? ?m_pClient->eDisconnect();
?
? bool bRes = m_pClient->eConnect((const char*)host_ip.c_str(), host_port,
? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? clientId, m_extraAuth);
? bool connection_result = m_pClient->isConnected();
? if (bRes && connection_result) {
? ? printf("Connected to %s:%d clientId:%d\n", m_pClient->host().c_str(),
? ? ? ? ? ?m_pClient->port(), clientId);
? ??
? ? if (m_pClient && m_pClient->isConnected()) {
? ? ? m_pReader = std::unique_ptr<EReader>(new EReader(m_pClient, &m_osSignal));
? ? ? if (m_pReader)? m_pReader->start();
? ? ? ?else {
? ? ? ? std::cout << "Failed to create EReader instance\n";
? ? ? ? exit(1);
? ? ? }
? ? } else {
? ? ? std::cout << "Client is not connected. Cannot create EReader\n";
? ? ? exit(1);
? ? }
? } else {
? ? printf("Cannot connect to %s:%d clientId:%d\n", m_pClient->host().c_str(),
? ? ? ? ? ?m_pClient->port(), clientId);
? ? exit(1);
? }
? return;
}
void connectionClosed() { ?std::this_thread::sleep_for(std::chrono::seconds(30)); ?Connect();?? } Response received on simulating above mentioned activity 
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Despair
