Registered: Jul 2004
Posts: 1768

Hello,

I'm sure this has been requested before (and likely posted elsewhere); my question is about getting flat by end of day given a variety of circumstances.

1. Is anyone willing to share some code (VBA possibly) that will close all positions when run (a starting point for this discussion that I can provide - it won't be pretty however as I'm not a very good programmer)?

2. Can we start a discussion regarding the risks associated with such code and how to program around those risks:
- For example: data disconnection and subsequent redundant checks upon reconnect to make sure the account will be flat.
- S/W crash (not in IB's side) where the program can recover gracefully and guarantee the account is flat.

I realize that if IB servers are down, there's nothing one can do... my question is aimed at a more general issue of never getting stuck in anything overnight. Whether the solution is programmable, or, something else entirely (broker request, auto-liquidation etc).

Mike

Registered: May 2002
Posts: 6422

http://finance.groups.yahoo.com/group/TWSAPI/

i have it some where,but it was for older API version. like 9.4. basically-you request list of your positions,avg.prices, Qty and side. then- get a market data,make sure there is no crazy spreads and stuff like that. and you place an orders. or maybe there is a command now-liquidate all at whatever prices. bots will have a field day over this one.

Registered: May 2012
Posts: 336

request positions

in callback close the position

Registered: Feb 2008
Posts: 577

in tradelink you would do something like :

code:


public class MyFlatAtClose : ResponseTemplate
{
   
   int shutdownat = 155500;
   bool shutdown = true;
   override void GotTick(Tick k)
   {
       if (shutdown && (k.time>=shutdownat))
       {
            shutdown = false;
            foreach (var p in pt)
                sendorder(new MarketOrderFlat(p));
        }
   }

   PositionTracker pt = new PositionTracker();
   override void GotPosition(Position p)
   {
        pt.Adjust(p);
   }
   override void GotFill(Trade f) { pt.Adjust(t); }
}

Registered: Oct 2008
Posts: 24

---

Quote from tradelink:

in tradelink you would do something like :

code:


public class MyFlatAtClose : ResponseTemplate
{
   
   int shutdownat = 155500;
   bool shutdown = true;
   override void GotTick(Tick k)
   {
       if (shutdown && (k.time>=shutdownat))
       {
            shutdown = false;
            foreach (var p in pt)
                sendorder(new MarketOrderFlat(p));
        }
   }

   PositionTracker pt = new PositionTracker();
   override void GotPosition(Position p)
   {
        pt.Adjust(p);
   }
   override void GotFill(Trade f) { pt.Adjust(t); }
}

reconnections occur automatically unless you disable them.

for making sure problems in your own code/modules don't impact the shutdown routine, ensure you have exception handling setup so those errors aren't fatal and recover (or recover at least enough to allow shutdown checks to occur).

for more info google tradelink project or tradelink.org

---

Registered: Jun 2011
Posts: 7356

are you sure if the server is down a time order won't get executed?

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