Has anybody had any success placing IBALGO equity buy/sell orders (VWAP, Arrival Price, TWAP or Percentage of Volume) from within the Excel API demo? This order type is not supported in the Demo Excel (yet?) and updating vanilla orders in TWS after being already placed at the exchange yields an error message because the destination exchange field can not be modified once an order as been transmitted. Did anybody figure out how add ALGO order functionality to the TwsDde.xls and pass the appropriate parameters for the respective algorithms? See: http://individuals.interactivebrokers.com/en/software/apiReleaseNotes/api96.php?ib_entity=llc
Doesn't work out of the Excel DDE last time I checked...however ActiveX is supported. You can also upload .csv with algo parameters into the Basket Trader functionality and use all algos (IB, CSFB, Jeffries) from there...that is a good workaround if lo-latency is not an issue. If anyone has been successful getting straight from the DDE to algo i'd love to know.