I received a message from IB that for each execution, my API sends 261 orders+modifications+cancellations. If I can not improve it, it will close my account. My account has generated tens of hundreds of commissions per year for IB. I have no way to reduce that ratio under 10 as suggested by IB since I have to send large number of orders to have a few of them filled. what else should I do?
Can you shed some light on why you have to send so many orders? Is it because you send orders for hundreds of instruments in expectation of a huge move (or someone's mistake)? Or is it because you modify the price of a stop or limit order very often? There may be ways to cut the number fo orders without affecting the strategy too much. Realistically, unless you can cut the number of orders somehow, I don't think there is anything you can do. As others suggested, changing the broker may be an option.
What markets do you trade? Just a few months ago, an IB rep talked about excessive messaging in this thread: http://www.elitetrader.com/vb/showt...89&perpage=40&highlight=messages&pagenumber=2. He led us to believe that this was only going to be a problem for people grossly abusing the system...maybe 261:1 is high, but 10:1 is WAY to low.
for example, I submit relative orders at the support/resistance lines, when price goes to that level, I modify price so that i can possibly get the best fills. when closing the position, i constantly adapt the price so that I can close out at the better price. I have to send out orders for each equity symbols so that some of them may have luck to get filled. in the way, i trade large volumes. other brokers may not have relative orders or portfolio margin.
Hey Trend... Here's how simple this is... If a cop was lenient enough to issue you a warning ticket for rolling thru a stop sign, then what would you do at the next stop sign you approached?
So basically do not pu the order into their system until.... the market comes close. Track it on your side. Simply reduce the numbers of changes that ar not going to be exeuted anyway. Consider moving our logic to a hosting center close to them, so you avoid large time delays through internet transfers between them and your computer.