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tradelink
Registered: Feb 2008
Posts: 577 |
08-23-12 02:03 AM
there's email and assembla.com ticket notification.
I don't recall syntax offhand for email but pretty sure it's something straightforward like Email.send("from","to","sub","body"), you can insert it anywhere. docs on tradelink.org or one of the other users can probably help you with it.
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Mike805
Registered: Jul 2004
Posts: 1768 |
08-23-12 02:53 AM
Quote from crmorris:
could you add some sort of email writer to that class? i'd love to know when one of your users is about to run that.
LOL...
Maybe we can start with something simple. Take this snippet of code from IB's reference:
If Not (objTWSControl Is Nothing) Then
If objTWSControl.m_isConnected Then
Call objTWSControl.m_TWSControl.reqAccountUpdates(True, "XXXXXXX")
End If
End If
We can set this on some timer interval and wait for the callback to finish, right? So, the waiting part is what confuses me. How do we wait and check to make sure we have something back that is real? If the call fails and nothing returns ... then what?
This is specific to the Active X API as its the environment I'm working in at the moment. Can I make VBA wait and timeout amd then do something more drastic when a timeout occurs?
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braincell
Registered: Jul 2011
Posts: 533 |
08-23-12 10:19 AM
Mike, the reqAccountUpdates will send you positions one at a time. The responses from reqAccountUpdates comes via event, so you need to create an event handler for Tws.updatePortfolioEx. Then you can get the symbol and position via "e.contract.symbol, e.position" that your handler function should also contain. From there you can send a counter order for that contract, just invert the position. So it's all events, you dont have to use a timer for anything. It will reliably launch those events, so don't worry. Just make sure you have a check that a position is closed once you send the order, so you don't close it twice because sometimes the same status message can come in twice. There's a bunch of docs for the IB API at : http://www.interactivebrokers.com/p...de/apiguide.htm
btw, in VB.Net you create an event handler like this (Debug.AddLine is my own code, not the .Net debugger... just for illustration purposes)
code:
Private Sub updatePortfolioEx(ByVal sender As Object, ByVal e As AxTWSLib._DTwsEvents_updatePortfolioExEvent) Handles Tws.updatePortfolioEx
Debug.AddLine("Symbol = " & e.contract.symbol)
Debug.AddLine("Position = " & e.position)
End Sub
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Mike805
Registered: Jul 2004
Posts: 1768 |
08-24-12 06:47 PM
Quote from braincell:
Mike, the reqAccountUpdates will send you positions one at a time. The responses from reqAccountUpdates comes via event, so you need to create an event handler for Tws.updatePortfolioEx. Then you can get the symbol and position via "e.contract.symbol, e.position" that your handler function should also contain. From there you can send a counter order for that contract, just invert the position. So it's all events, you dont have to use a timer for anything. It will reliably launch those events, so don't worry. Just make sure you have a check that a position is closed once you send the order, so you don't close it twice because sometimes the same status message can come in twice. There's a bunch of docs for the IB API at : http://www.interactivebrokers.com/p...de/apiguide.htm
btw, in VB.Net you create an event handler like this (Debug.AddLine is my own code, not the .Net debugger... just for illustration purposes)
code:
Private Sub updatePortfolioEx(ByVal sender As Object, ByVal e As AxTWSLib._DTwsEvents_updatePortfolioExEvent) Handles Tws.updatePortfolioEx
Debug.AddLine("Symbol = " & e.contract.symbol)
Debug.AddLine("Position = " & e.position)
End Sub
Thanks for this - very useful information.
I am still having trouble synching on events, is there any difference in the TWS demo versus the real thing? It seems that no matter what I do, the portfolio update either takes a very long time, or, the request updates call doesn't return. Not sure what to do...
In general, maybe you guys can recommend a course of action as I'm spending too much time on this already?
I have an existing risk manager Excel spreadsheet that is key to my operation; it basically parses all trade signals from my signal generation system, assigns allocation amounts and then sends orders to TWS for execution.
What I would like to see are a set of functions incorporated in this sheet that do the following:
1. Close 50% of the portfolio of either the following:
--Close 50% of all longs : adding liquidity on BATS.
--Close 50% of all shorts : adding liquidity on BATS.
--Close 50% of all longs : taking liquidity on SMART.
--Close 50% of all shorts : taking liquidity on SMART.
2. Close 100% of all positions by adding on BATS.
3. Close 100% of portfolio by sending MOC's for all positions.
4. Cancel all open orders.
I am willing to pay for this, or, exchange some of the functionality I've already built up.
Thanks,
Mike
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crmorris
Registered: Oct 2008
Posts: 24 |
08-24-12 08:41 PM
Quote from Mike805:
Thanks for this - very useful information.
I am still having trouble synching on events, is there any difference in the TWS demo versus the real thing? It seems that no matter what I do, the portfolio update either takes a very long time, or, the request updates call doesn't return. Not sure what to do...
In general, maybe you guys can recommend a course of action as I'm spending too much time on this already?
I have an existing risk manager Excel spreadsheet that is key to my operation; it basically parses all trade signals from my signal generation system, assigns allocation amounts and then sends orders to TWS for execution.
What I would like to see are a set of functions incorporated in this sheet that do the following:
1. Close 50% of the portfolio of either the following:
--Close 50% of all longs : adding liquidity on BATS.
--Close 50% of all shorts : adding liquidity on BATS.
--Close 50% of all longs : taking liquidity on SMART.
--Close 50% of all shorts : taking liquidity on SMART.
2. Close 100% of all positions by adding on BATS.
3. Close 100% of portfolio by sending MOC's for all positions.
4. Cancel all open orders.
I am willing to pay for this, or, exchange some of the functionality I've already built up.
Thanks,
Mike
use the activex/excel page for positions in the morning, collect opening day positions to insert in system, then use ONLY ats state positions (incrementing and decrementing during the day on fills, not querying ib server). if you have accurate updated positions, set up a vba clock in your main function:
If time > #3:59:00 PM# Then
#turn off enableevents, screenupdating, calculation
closePositions
turnATSOFF
End If
this routine grabs your orders, cancels them, and submits the orders you're talking about. if your system already submits orders, this should be trivially easy to implement. the key, however, is to make sure the system shuts off BEFORE you run your mass cancel / modify. you'd hate to have the system recursively react to your own shutdown actions.
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braincell
Registered: Jul 2011
Posts: 533 |
08-25-12 11:49 AM
Quote from Mike805:
Thanks for this - very useful information.
I am still having trouble synching on events, is there any difference in the TWS demo versus the real thing? It seems that no matter what I do, the portfolio update either takes a very long time, or, the request updates call doesn't return. Not sure what to do...
In general, maybe you guys can recommend a course of action as I'm spending too much time on this already?
I have an existing risk manager Excel spreadsheet that is key to my operation; it basically parses all trade signals from my signal generation system, assigns allocation amounts and then sends orders to TWS for execution.
What I would like to see are a set of functions incorporated in this sheet that do the following:
1. Close 50% of the portfolio of either the following:
--Close 50% of all longs : adding liquidity on BATS.
--Close 50% of all shorts : adding liquidity on BATS.
--Close 50% of all longs : taking liquidity on SMART.
--Close 50% of all shorts : taking liquidity on SMART.
2. Close 100% of all positions by adding on BATS.
3. Close 100% of portfolio by sending MOC's for all positions.
4. Cancel all open orders.
I am willing to pay for this, or, exchange some of the functionality I've already built up.
Thanks,
Mike
I'd say that the demo account is unlikely to work at all for this. You should log into your paper trading account. If you don't have an IB account, it's a little more difficult, ie not possible. Assuming you have an account, if you use paper trading account, the portfolio updates should work as expected.
As for the functionality you talk about, it's all about knowing the positions you have and doing the opposite.
This is what you need to know how to do:
-Track your positions in quantity (via updatePortfolio, my previous code)
-Send market and limit orders
-Track your sent orders via order ID
-Cancel your order with the assigned order ID
Which of the above do you need help with?
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