开云体育

Hi,

I am writing a forex scalping program with IB POSIX C++ API,

there is one question:

I need to submit one parent order and attach one trailing stop order and one profit taking order.

parent order is market order as I don't want to miss any opportunity, filling as fast as need. but trailing order can't be attached to market parent order.

if I attach a stop order first, I am not able to change it to TRAIL type later.

So what kind of solution you use?
1. submit parent order with limit order, you could put limit price higher than market price (for buy) to simulate a market order, but in this case I have to track the bid/ask as fast as I could, I don't even know IB is capable of it (no real tick price and latency between my computer and their servers).

2. submit parent order with MKT type, no child order, put a trailing order afterwards?

3. manually implement a TRAIL order by modifying stop price for STP order attached whenever necessary.


Second question,
m_pClient->placeOrder(m_orderId, m_contract, order_parent);
m_pClient->placeOrder(m_orderId + 1, m_contract, order_stoploss);
m_pClient->placeOrder(m_orderId + 2, m_contract, order_profittaking);


trying to make a MKT parent order,
and two child orders, one sl with STP type, one tp with LMT type.

problem is,

I have to submit three orders in turn. parent order first.
but after I submitt the parent order, it will be filled immediately.

child orders will produces error msg like:

Error id=59, errorCode=201, msg=Order rejected - reason:The parent order is bein
g canceled.

And another question, In TWS, I am able to submit stop with stop price of actually traded price of parent order, How should I do it via API? the trade price of parent order is unknown when submitting attached child stop loss order.

right now,
I am submitting two child orders with very wild sl and tp level and modified it once parent order gets filled. apparently this is not a good solution


Any idea?

Thanks a lot for your help!

I only use limit orders but I think you should send the parent order with transmit = false. On the last child order set transmit = true and then they all get sent.

--- In TWSAPI@..., ustcbbc <no_reply@> wrote:

Hi,

I am writing a forex scalping program with IB POSIX C++ API,

there is one question:

I need to submit one parent order and attach one trailing stop order and one profit taking order.

parent order is market order as I don't want to miss any opportunity, filling as fast as need. but trailing order can't be attached to market parent order.

if I attach a stop order first, I am not able to change it to TRAIL type later.

So what kind of solution you use?
1. submit parent order with limit order, you could put limit price higher than market price (for buy) to simulate a market order, but in this case I have to track the bid/ask as fast as I could, I don't even know IB is capable of it (no real tick price and latency between my computer and their servers).

2. submit parent order with MKT type, no child order, put a trailing order afterwards?

3. manually implement a TRAIL order by modifying stop price for STP order attached whenever necessary.


Second question,
m_pClient->placeOrder(m_orderId, m_contract, order_parent);
m_pClient->placeOrder(m_orderId + 1, m_contract, order_stoploss);
m_pClient->placeOrder(m_orderId + 2, m_contract, order_profittaking);


trying to make a MKT parent order,
and two child orders, one sl with STP type, one tp with LMT type.

problem is,

I have to submit three orders in turn. parent order first.
but after I submitt the parent order, it will be filled immediately.

child orders will produces error msg like:

Error id=59, errorCode=201, msg=Order rejected - reason:The parent order is bein
g canceled.

And another question, In TWS, I am able to submit stop with stop price of actually traded price of parent order, How should I do it via API? the trade price of parent order is unknown when submitting attached child stop loss order.

right now,
I am submitting two child orders with very wild sl and tp level and modified it once parent order gets filled. apparently this is not a good solution


Any idea?

Thanks a lot for your help!

**


I figured that part out. thank you.

but the thing for scapling is,

I can afford slippage from MKT order than the opportunity cost from LMT
order.

--- In TWSAPI@..., "btw12342001" <newguy@...> wrote:

I only use limit orders but I think you should send the parent order

with transmit = false. On the last child order set transmit = true and then
they all get sent.

--- In TWSAPI@..., ustcbbc <no_reply@> wrote:

Hi,

I am writing a forex scalping program with IB POSIX C++ API,

there is one question:

I need to submit one parent order and attach one trailing stop order

and one profit taking order.

parent order is market order as I don't want to miss any opportunity,

filling as fast as need. but trailing order can't be attached to market
parent order.

if I attach a stop order first, I am not able to change it to TRAIL

type later.

So what kind of solution you use?
1. submit parent order with limit order, you could put limit price

higher than market price (for buy) to simulate a market order, but in this
case I have to track the bid/ask as fast as I could, I don't even know IB
is capable of it (no real tick price and latency between my computer and
their servers).

2. submit parent order with MKT type, no child order, put a trailing

order afterwards?

3. manually implement a TRAIL order by modifying stop price for STP

order attached whenever necessary.

Second question,
m_pClient->placeOrder(m_orderId, m_contract, order_parent);
m_pClient->placeOrder(m_orderId + 1, m_contract, order_stoploss);
m_pClient->placeOrder(m_orderId + 2, m_contract, order_profittaking);


trying to make a MKT parent order,
and two child orders, one sl with STP type, one tp with LMT type.

problem is,

I have to submit three orders in turn. parent order first.
but after I submitt the parent order, it will be filled immediately.

child orders will produces error msg like:

Error id=59, errorCode=201, msg=Order rejected - reason:The parent

order is bein

g canceled.

And another question, In TWS, I am able to submit stop with stop price

of actually traded price of parent order, How should I do it via API? the
trade price of parent order is unknown when submitting attached child stop
loss order.

right now,
I am submitting two child orders with very wild sl and tp level and

modified it once parent order gets filled. apparently this is not a good
solution

Any idea?

Thanks a lot for your help!

I figured that part out. thank you.

but the thing for scapling is,

I can afford slippage from MKT order than the opportunity cost from LMT order.

--- In TWSAPI@..., "btw12342001" <newguy@> wrote:

I only use limit orders but I think you should send the parent order with transmit = false. On the last child order set transmit = true and then they all get sent.

--- In TWSAPI@..., ustcbbc <no_reply@> wrote:

Hi,

I am writing a forex scalping program with IB POSIX C++ API,

there is one question:

I need to submit one parent order and attach one trailing stop order and one profit taking order.

parent order is market order as I don't want to miss any opportunity, filling as fast as need. but trailing order can't be attached to market parent order.

if I attach a stop order first, I am not able to change it to TRAIL type later.

So what kind of solution you use?
1. submit parent order with limit order, you could put limit price higher than market price (for buy) to simulate a market order, but in this case I have to track the bid/ask as fast as I could, I don't even know IB is capable of it (no real tick price and latency between my computer and their servers).

2. submit parent order with MKT type, no child order, put a trailing order afterwards?

3. manually implement a TRAIL order by modifying stop price for STP order attached whenever necessary.


Second question,
m_pClient->placeOrder(m_orderId, m_contract, order_parent);
m_pClient->placeOrder(m_orderId + 1, m_contract, order_stoploss);
m_pClient->placeOrder(m_orderId + 2, m_contract, order_profittaking);


trying to make a MKT parent order,
and two child orders, one sl with STP type, one tp with LMT type.

problem is,

I have to submit three orders in turn. parent order first.
but after I submitt the parent order, it will be filled immediately.

child orders will produces error msg like:

Error id=59, errorCode=201, msg=Order rejected - reason:The parent order is bein
g canceled.

And another question, In TWS, I am able to submit stop with stop price of actually traded price of parent order, How should I do it via API? the trade price of parent order is unknown when submitting attached child stop loss order.

right now,
I am submitting two child orders with very wild sl and tp level and modified it once parent order gets filled. apparently this is not a good solution


Any idea?

Thanks a lot for your help!

I'm not sure what part you figured out but I'll clear up my post.

I think you must not be placing orders correctly as my method should work for market orders. I'm just saying that I only use limit orders so I haven't verified this.

Just FYI, I use limit orders as you suggest at either the bid or ask if I want an order that fills as fast as a mkt order. I never place mkt orders and don't really miss them.

--- In TWSAPI@..., ustcbbc <no_reply@> wrote:

I figured that part out. thank you.

but the thing for scapling is,

I can afford slippage from MKT order than the opportunity cost from LMT order.

--- In TWSAPI@..., "btw12342001" <newguy@> wrote:

I only use limit orders but I think you should send the parent order with transmit = false. On the last child order set transmit = true and then they all get sent.

--- In TWSAPI@..., ustcbbc <no_reply@> wrote:

Hi,

I am writing a forex scalping program with IB POSIX C++ API,

there is one question:

I need to submit one parent order and attach one trailing stop order and one profit taking order.

parent order is market order as I don't want to miss any opportunity, filling as fast as need. but trailing order can't be attached to market parent order.

if I attach a stop order first, I am not able to change it to TRAIL type later.

So what kind of solution you use?
1. submit parent order with limit order, you could put limit price higher than market price (for buy) to simulate a market order, but in this case I have to track the bid/ask as fast as I could, I don't even know IB is capable of it (no real tick price and latency between my computer and their servers).

2. submit parent order with MKT type, no child order, put a trailing order afterwards?

3. manually implement a TRAIL order by modifying stop price for STP order attached whenever necessary.


Second question,
m_pClient->placeOrder(m_orderId, m_contract, order_parent);
m_pClient->placeOrder(m_orderId + 1, m_contract, order_stoploss);
m_pClient->placeOrder(m_orderId + 2, m_contract, order_profittaking);


trying to make a MKT parent order,
and two child orders, one sl with STP type, one tp with LMT type.

problem is,

I have to submit three orders in turn. parent order first.
but after I submitt the parent order, it will be filled immediately.

child orders will produces error msg like:

Error id=59, errorCode=201, msg=Order rejected - reason:The parent order is bein
g canceled.

And another question, In TWS, I am able to submit stop with stop price of actually traded price of parent order, How should I do it via API? the trade price of parent order is unknown when submitting attached child stop loss order.

right now,
I am submitting two child orders with very wild sl and tp level and modified it once parent order gets filled. apparently this is not a good solution


Any idea?

Thanks a lot for your help!

This is called "Bracket orders" in TWS. When you set the transmit to false,
no matter the parent is market or limit, it won't be sent until you set
transmit back to true and submit the 3rd order.
Actually all the three are sent as one transaction, which should work for
you.
Jian

On Wed, Apr 4, 2012 at 4:52 PM, ustcbbc <no_reply@...> wrote:

**


I figured that part out. thank you.

but the thing for scapling is,

I can afford slippage from MKT order than the opportunity cost from LMT
order.

--- In TWSAPI@..., "btw12342001" <newguy@> wrote:

I only use limit orders but I think you should send the parent order

with transmit = false. On the last child order set transmit = true and then
they all get sent.

--- In TWSAPI@..., ustcbbc <no_reply@> wrote:

Hi,

I am writing a forex scalping program with IB POSIX C++ API,

there is one question:

I need to submit one parent order and attach one trailing stop order

and one profit taking order.

parent order is market order as I don't want to miss any opportunity,

filling as fast as need. but trailing order can't be attached to market
parent order.

if I attach a stop order first, I am not able to change it to TRAIL

type later.

So what kind of solution you use?
1. submit parent order with limit order, you could put limit price

higher than market price (for buy) to simulate a market order, but in this
case I have to track the bid/ask as fast as I could, I don't even know IB
is capable of it (no real tick price and latency between my computer and
their servers).

2. submit parent order with MKT type, no child order, put a trailing

order afterwards?

3. manually implement a TRAIL order by modifying stop price for STP

order attached whenever necessary.

Second question,
m_pClient->placeOrder(m_orderId, m_contract, order_parent);
m_pClient->placeOrder(m_orderId + 1, m_contract, order_stoploss);
m_pClient->placeOrder(m_orderId + 2, m_contract, order_profittaking);


trying to make a MKT parent order,
and two child orders, one sl with STP type, one tp with LMT type.

problem is,

I have to submit three orders in turn. parent order first.
but after I submitt the parent order, it will be filled immediately.

child orders will produces error msg like:

Error id=59, errorCode=201, msg=Order rejected - reason:The parent

order is bein

g canceled.

And another question, In TWS, I am able to submit stop with stop price

of actually traded price of parent order, How should I do it via API? the
trade price of parent order is unknown when submitting attached child stop
loss order.

right now,
I am submitting two child orders with very wild sl and tp level and

modified it once parent order gets filled. apparently this is not a good
solution

Any idea?

Thanks a lot for your help!

[Non-text portions of this message have been removed]

Re: "I knew STP to TRAIL will be rejected, cause type change is not
supported,"



Is that documented somewhere ? The fact that it is rejected is not that
intuitive.

I mean : "what's the rationale ?"

Hi,

I am writing a forex scalping program with IB POSIX C++ API,

there is one question:

I need to submit one parent order and attach one trailing stop order and one profit taking order.

parent order is market order as I don't want to miss any opportunity, filling as fast as need. but trailing order can't be attached to market parent order.

if I attach a stop order first, I am not able to change it to TRAIL type later.

So what kind of solution you use?
1. submit parent order with limit order, you could put limit price higher than market price (for buy) to simulate a market order, but in this case I have to track the bid/ask as fast as I could, I don't even know IB is capable of it (no real tick price and latency between my computer and their servers).

2. submit parent order with MKT type, no child order, put a trailing order afterwards?

3. manually implement a TRAIL order by modifying stop price for STP order attached whenever necessary.


Second question,
m_pClient->placeOrder(m_orderId, m_contract, order_parent);
m_pClient->placeOrder(m_orderId + 1, m_contract, order_stoploss);
m_pClient->placeOrder(m_orderId + 2, m_contract, order_profittaking);


trying to make a MKT parent order,
and two child orders, one sl with STP type, one tp with LMT type.

problem is,

I have to submit three orders in turn. parent order first.
but after I submitt the parent order, it will be filled immediately.

child orders will produces error msg like:

Error id=59, errorCode=201, msg=Order rejected - reason:The parent order is bein
g canceled.

And another question, In TWS, I am able to submit stop with stop price of actually traded price of parent order, How should I do it via API? the trade price of parent order is unknown when submitting attached child stop loss order.

right now,
I am submitting two child orders with very wild sl and tp level and modified it once parent order gets filled. apparently this is not a good solution


Any idea?

Thanks a lot for your help!

@raysalem619 did you really mean "minutes"?
can somebody tell this is not true in a real account?
I would like to see rather something less than second.