Bracket Trader + IB execution error

Discussion in 'Trading Software' started by shliang, Sep 24, 2007.

  1. shliang

    shliang

    Hi,

    I encountered a problem with BracketTrader + IB combination. I entered a LMT SELL at *353 when the price is at *346. Then the price went up to *355, but my order was not filled! and at this moment, I looked at IB's pending order list, I saw a "T" at the status column! In a few minutes immediately followed this observation, no matter what order I issued (any combination of BUY/SELL & ABOVE/BELOW & BID/ASK, thru bracket trader or in IB directly), nothing happened. But then, SUDDENLY everything seems to be OK...

    I'm totally confused. In my understaning, if all operations are executed thru BracketTrader, I assume there is never a "T" status in IB.

    Does any one notice such problems?

    BTW, I did the above in a very new paper trade account.

    Roy.
     
  2. sounds strange and i haven't a clue. i do use BT/IB and have not seen similar. you could always check at the BT forums tho.. they are pretty good at hammering out issues.

    :)

    *possibly, if it was a thinly traded product, w/ the lmt order, it might slow things..
     
  3. shliang

    shliang

    BigBubba, thx for the reply.

    The observation is indeed very strange.

    Sometimes I got net position with BT when I strictly followed steps of open/close on a single contract.

    These things resulted in very different real-time simulated results from backtesting.

    I'd check out the BT forum.
     
  4. shliang

    shliang

    The best assumption would be: my IB paper trading account is not ready yet. -- I haven't received their confirmation e-mail.
     
  5. I do not believe that you would have access to the platform, either direct or through BT if your account was not activated. But I agree, the activation/notification process is vague.
     
  6. I use the IB API for my own bracket orders.

    I fire dozens of bracket orders at TWS via the API each day.

    I find that sometimes (about 1 in 50) bracket orders do not always transmit properly.. some parts of the bracket order are shown in TWS with the 'T' status.

    I reported this to IB but it didnt get anywhere as they were unable to reproduce it.

    I have created a work around in my code that reduces the occurence of this for me (basically slowing down the speed at which i fire the legs of a braket order at TWS using 'sleeps' in my code).
     
  7. shliang

    shliang

    LMT orders are stored on the transaction system. The quoted price just can't touch 54 if there is a LMT SELL at 53.
     
  8. shliang

    shliang

    1/50. Then it could be intermittent network connection interrupt, i guess.

    If your solution indeed improves the situation, then there might be bugs in IB API's listening threads...they have concurrency issues perhaps.
     
  9. shliang

    shliang


    This problem happened again.

    All of a sudden Bracket Trader doesn't send orders to IB. (Not exactly not sending, becoz these orders appears in IB seemingly in random with a delay of 1~5 minutes) Reloading BT doesn't help. Actually after a restart, BT can't even get quotes from IB for say 8 minutes!

    Then again suddenly BT shows quotes correctly (this is exactly the moment i'm writing this word). Orders are now submitted in real time to IB, but with a status of "T"!

    3 more minutes past, now orders are submitted in realtime and "Transmitted" in realtime.

    Totally no idea what's going on.
     
  10. shliang

    shliang

    Just checked IB, I saw a LMT BUY with a "T" status.

    I cancelled a status "T" orders whenever i saw one.

    I did too many clicks, so don't even know when I did this in BT.
     
    #10     Sep 27, 2007