RightEdge Forums / Trading / Order Execution

OrderCancelled called, but orders not cancelled in IB

Zora — Wed, 17 Feb 2010 19:48:23 GMT

Hi guys, my setup: RE2 b14, IB as broker, live system on 1 min bars, trading stocks.

My problem: when I run a live system afterhours (4:30pm), immediately after a buy order is placed, the OrderCancelled() method is called with the information message "Warning: your order will not be placed at the exchange until 2010-02-18 09:30:00 US/Eastern". However, when I look in TWS, the order is still there - it never gets cancelled. My system continue running and shows no pending orders in the Live System tab. I thought that OrderCancelled() gets called only when an order is actually cancelled? Is this an error? You can try to reproduce this by simply placing a day order with IB after market close. Thank you!

Stop Loss bug (backtesting)

lexx — Thu, 04 Feb 2010 07:09:25 GMT

in last beta version of RE positions could be closed at impossible prices outside of the bar, if system by mistake gives an order with stop loss favourable than the open or current price.

(see attach)

Buy Limit Orders Cancelled - IB

dwebber — Fri, 08 Jan 2010 15:23:49 GMT

I'm using IB TWS and RE2 build 14 on a live system. Sell Limit orders placed via profit targets are being placed through the API (ProfitTarget set after a position has been established); however, buy limit orders placed through PositionManager.OpenPosition() are not being sent to TWS (confirmed via reviewing log and IB tech support). It appears the positions are being cancelled within RE with the following error: "Order cancelled while disconnected". The buy limit orders do not contain profit target or stop loss properties.

How do I debug and/or why are the orders being cancelled?

Thanks, Duane

GoodTillCancelled

DrKoch — Wed, 25 Nov 2009 05:44:24 GMT

Deep inside my Broker Plugin I can read and react on BrokerOrder.GoodTillCancelled.

But how do I (re-)set this flag in a script.

I use
OpenPosition(PositionSettings) for new positions and
SubmitOrder(OrderSettings) for existing positions. None of these allows access to the GoodTillCancelled flag.

Ideas?

IB paper trading: Stop Loss and Take Profit orders from OpenPosition get cancelled at the end of the day

davidS — Fri, 10 Apr 2009 15:49:55 GMT

I've recently switched from back-testing to paper trading at IB. I've found that the stop loss and take profit orders associated with OpenPosition are entered as day orders. As a result, all SL and TP orders are cancelled at the end of the day. This generates non-fatal errors upon reconnection the next day, when RE checks to see if the orders are still active. It's a real pain to place all of these orders manually.

How can I get RE to place SL and TP orders as GTC?

One other question: RE places SL and TP orders with an attribute allowing transactions outside RTH. IB doesn't seem to allow this for SL orders. IB issues a warning and places the SL order for RTH only (fine with me, except for the warning). How can I better control this behavior? I would like to allow TP outside RTH.

Oanda plugin and accounts

Freolad — Tue, 25 Nov 2008 07:14:27 GMT

I'm not sure where else to post this.

I'm using the Oanda plugin developed Mark Loftis. BTW, great work Mark. It looks good. My only regret is that there's not a 64bit version of it availablen (not sure if there's anything you can do about that :P)

Anyway, I was wondering if there was any way to specify an account or sub-account to use for placing trades?

Is Chart-Trading available in RE?

lijk1 — Mon, 26 Oct 2009 07:55:47 GMT

IB-TWS has Chart-Trading function. It is definitely convenience for me to place order. Some trading softwares such as Wave59 and Visual Trader provide this function. Amibroker also provide sample code to realize that. However I can't find any word in RE talking about this function. So i want to know that is it prossible to execute Chart-Trading in RE ?

Does RE work fully with Interactive Broker?

liemingtang — Thu, 29 Jan 2009 07:15:23 GMT

I have an interactive brokers account and I am trying out right edge with my paper trading account.

I wrote a very simple system (demo) to see whether RE works with IB's Trader Workstation and the only thing the code works on is submitting an order. I.e., I can see in TWS the order being submitted. However, I can't see any Pending, Closed or Open orders through my demo system (via OpenPositions).

I suspect that the PositionManager or part of RE that is not updating position/order data from TWS. Is anyone else getting this error? Does RE work with IB?

Here very simple bit of code in the new bar function
-----------
this.Trader.OpenLongPosition();
System.Console.WriteLine("Positions O:"+this.OpenPositions.Count+" C:"+this.ClosedPositions.Count+" P:"+this.PendingPositions.Count);
------------

Output is always...[i]"Positions: O:0 C:0 P:0"[/i]

I also tried PositionManager.CloseAllPositions() which does nothing...

how to tag trade with Interactive Brokers (IB)

FlipFlop — Fri, 12 Jun 2009 08:44:34 GMT

Hi,

In IB trades list, which is a list of all the trades I executed, I can see all my RE trades. But I can't find a way to group trades that belong to one given RE [b]position[/b] (for example the trade to open the pos and the one to close it). All trades seem to have each their own IB "ID" and "Order ID"
Do yo have any idea on how to do that ?

Thanks

Profit target limit not cancelled properly when closing position

Zora — Mon, 01 Jun 2009 15:10:29 GMT

(System setup: IB/TWS, IQFeed, RE1 build 384, live system using stocks)

I noticed a funny thing recently when closing position for a stock. I work with long positions, each of which has a stop loss and a profit target sell order associated with it. When the stop loss is triggered and the position closes, the limit sell corresponding to the profit target is supposed to be cancelled, right? Well, that's not always the case.

The problem arises for stocks that do not have shortable shares available. After the stop loss sell order has been filled, RE attempts to cancel the pending limit sell order (call it order XXX). However, when the MySymbolScript.OrderCancelled() method is called, the information message parameter says:

"Shares for this order are not immediately available for short sale.
The order will be held while we attempt to locate the shares." (not sure why there are html tags, but that's not relevant)

At the same time, the order status is reported as "Rejected". TWS continues to display the order as active. Attempting to cancel the order again from RE returns a code that says "Order ID XXX not found for position ID YYY". So... it appears as though RE thinks the order has been cancelled, whereas in reality it's still active.

After seeing this message, I went into TWS and tried to manually open a short position for this same symbol. Sure enough I got the same message - "Shares for this order are not immediately available for short sale. The order will be held while we attempt to locate the shares." Ok, I thought, at least there's some consistency, but what do I do about my orders not being cancelled? It looks like TWS interprets a limit sell for X shares as an attempt to open a short position if you are not already holding X or more shares (which is the case right after the position is closed). If there are shares available for shorting, the order just hangs there until RE cancels it, assuming the market price is below the limit. Usually, the cancellation is quick, a second or two, so the order goes away and everything is peachy keen. But for stocks that don't have shares to short, a request to cancel the order results in the response from TWS described above. And the order doesn't get cancelled. Is this something that can be resolved/configured in TWS? Have you guys seens this before?

Sorry for being long winded. Thanks!

OrderCancelled / OrderFilled events

FlipFlop — Tue, 19 May 2009 04:56:04 GMT

1 * In which situation do we received an [b]OrderCancelled [/b]event ? My understanding is we receive this event only:
- when we close a position, we receive it for the stop loss and take profit orders
- unexpectedly when the broker has canceled our order (in that case order.CancelPending would be set to false), in that case we should resubmit the order or do whatever we want, the order is not at the broker anymore.

2 * When we receive an [b]OrderFilled [/b]event, can we suppose the order has been filled correctly and fully ? How do you manage orders which are not filled completely ?

3 * Where is the best place to put some code to be executed once at the end of a backtesting ?

Thanks

plugin for non supported broker

FlipFlop — Tue, 19 May 2009 04:51:24 GMT

Hi,
I was wondering how long (roughly) it would take to a software developer to implement a RE plugin for an unsupported broker.

Also, supposing the broker offers an API, what are the conditions required to be able to implement a RE plugin. For example what if the broker doesn't offer a .NET (C# or VB) plugin ? The FIX protocol seems to be quite popular among the brokers, could we code an RE plugin for a FIX broker API ?

Thanks in advance

Filling orders outside of RTH

Zora — Tue, 05 May 2009 08:22:16 GMT

I suspect I know the answer to my question ("no"), but nonetheless: is there a way to set the "Allow orders to be filled outside of RTH" to false when my system places pre-market orders with TWS? The idea is to place orders before market open, but have them execute during RTH (regular trading hours).

Thanks!

How to place a simple trailing stop?

ThomasZ — Sat, 07 Jun 2008 20:01:04 GMT

Hello,

can someone please show me an example that shows how to place a simple trailing stop that takes the lowest low of the last 3 bars on a long position. Or if the way to implement it is principle the same then just a simple ATR TrailingStop.

I've searched for it but wasn't really successfully. Even also the examples that are delivered with the RE installation doesn't include a trailingstop. However, we all know how important a trailing stop is. :)

Pending order Market order not executing

gc — Mon, 27 Apr 2009 12:07:46 GMT

Hi,

I run a live system (with realtime data from IB) and am using the RightEdge paperbroker with the "Use bid/offer to calculate fills if available " option enabled as my broker.

Am running 1min bars, and sometimes the trade stays in the pending orders for quite some time (2-5bars) although there is a bid offer available and the order is a market order. Am using 1lot (position size) every time which is the minimum, hence the bid/offer size is not an issue. That way as far, as I understand, when I have a Sell Market Order it should fill me immediately by hitting the first bid (or by lifting the first offer if I have a Buy Market order).

However, this is not the case, does the paperbroker wait for an actual trade to take place before filling me?? ie Volume to change??

I am also assuming that my fill is the bid or offer price (Sell/Buy) that way I have the bid/offer effect within my resulting pnl. Is that correct ??

Any advise would be much appreciated

Regards

George

IB order placement frequency

Zora — Fri, 10 Apr 2009 16:25:02 GMT

I'm not sure if this is the right place for this question, so sorry if it's out of place. I've been trying to find information about any potential problems one might run into when running a high frequency ATS hooked up to TWS. I imagine there are lots of people out there developing ATS's that place tens or hundreds or orders a day, sometimes all at once or over a very short period of time. It seems that the number of automated orders cannot grow unchecked and that at some point IB will do something about. However, the only bit of information I was able to find with regard to IB's API is a 50 message/second limit (http://74.125.93.104/search?q=cache:YPkWCQBgn0wJ:beta.elitetrader.com/vb/printthread.php%3Fthreadid%3D113603+ib+api+maximum+number+orders+site:elitetrader.com&cd=22&hl=en&ct=clnk&gl=us&client=firefox-a). It is not even clear what constitutes a message, but I believe one message can be an order placement or modification, for example.
So, does anyone know what practical constraints apply when placing a large number of orders via the API in TWS? What happens if I place 100 orders at 9:30AM? 1,000 orders? How many orders can I place per day? How many pending orders can exist at the same time? I've sent an email to IB's tech support and will relay any interesting information when I get a reply.

Thanks!

Disconnect and stop-loss orders

Freolad — Sun, 25 Jan 2009 03:51:15 GMT

A quick question. What would happen in the following scenario:

1. Buy Limit order placed with broker and RightEdge is waiting to submit the stop-loss order as soon as the limit is filled.
2. Internet connection goes down (or machine crashes).
3. Limit order is filled at broker.
4. Price drops below the stop-price (although no stop-order has been submitted because connection has been down).
5. Internet connection restored. RightEdge is notified of limit order fill.

Would RightEdge now try to submit the old stop-loss order or would it recognize that price is now below stop-loss price and instead close the order? If it tries to do the former, the stop-loss order might be rejected because it is above the current market price.

IB forex symbol names

jthorne — Mon, 13 Aug 2007 23:30:17 GMT

Okay, this should be easy, but I've failed on every count. What is the proper symbol naming convention for forex pairs when connecting to Interactive Brokers?

GBPCHF
GBP.CHF
GBP/CHF

Everything comes up unknown. I know the data connection to IB is good (I can easily retrieve stocks).

Not enough cash to fill order

Freolad — Thu, 06 Nov 2008 02:38:26 GMT

I'm running a backtest simulation over some small value stocks. I have plenty of capital assigned to the backtest ($500k) and am attempting to purchase 100,000 shares in a stock that has a share price of $0.0258. So total value of the order is $2,580. The order is placed ok however it gets cancelled on the next bar with the error message "Not enough cash to fill order".

What settings can make the PositionManager / Paper Broker decide not to fill the order like this?

IB Symbol

Fritz — Tue, 15 Jul 2008 06:59:16 GMT

I have installed RE 2008/1 366 and try to configure my watchlist with IB-Futures. All woks fine with ES,ER2,NQ,EMD,ZN and ZB but I cannot get historical data for YM, 6A,6B,6C,6E, QM,QG

I also have tried AUD instead of 6A but I always get the error no 200, IB-Symbol not correct.

How can I setup my watchlist for ib-futures ?

Live system misses trade signals

Ossie68 — Wed, 02 Jul 2008 06:54:34 GMT

My live system seems to ocassionally ignore trade signals based on 1 minute data. In those instances, it does not generate pending orders (it goes without saying that the live system was activated). However, when I run a simulation these trades do show up in the trade list results as expected. What could have caused this?

Live system does not initiate orders

Ossie68 — Wed, 21 May 2008 15:19:53 GMT

I try to run my trading system in the live environment but it does not place orders upon trigger signals. I have my IB TWS simulation (paper trading) account running in the background to execute the orders but nothing happens. However, the IB live data feeds works fine and so does the trading system when running the simulation. Also, the folder that contains the symbol I want to trade has IB set as the Broker Service to be used. What am I missing here?

The symbol I want to trade is an 'EOE' future (Currency: EUR / Exchange: FTA / Tick size: 0.05 / Contract size: 200 / Exchange opening hours from 9 AM - 17:35 PM CET or 3 - 11:35 AM EST). I understand from http://www.rightedgesystems.com/forums/FindPost1819.aspx that you have to make sure that you have the tick size and contract size set correctly in the symbol information, otherwise IB may reject the order because it does not conform to the minimum price variation.

Error after starting live system

Ossie68 — Tue, 27 May 2008 04:31:05 GMT

RE succesfully executed an order on a trading system signal that appeared in the Open Positions pane as well in my TWS paper trade account. Later, I stopped the live system and when I tried to restart the live system some time later, I got the below error message. I don't see the open position in RE any longer but I do see it in TWS, however, I notice that the "API" page tab in TWS that was created once the order was filled has disappeared.

An exception of type System.InvalidOperationException was thrown.
There is an error in XML document (31, 34).
at System.Xml.Serialization.XmlSerializer.Deserialize(XmlReader xmlReader, String encodingStyle, XmlDeserializationEvents events)
at System.Xml.Serialization.XmlSerializer.Deserialize(XmlReader xmlReader, String encodingStyle)
at System.Xml.Serialization.XmlSerializer.Deserialize(XmlReader xmlReader)
at RightEdge.Common.PositionManager.LoadOpenPositions(String fileName)
at RightEdge.LiveSystemwindow.x0fa035c1818e31d7(SystemDataCreationSettings xb6b3da7953a69f26, String xe125219852864557)
at RightEdge.LiveSystemwindow.StartLiveSystem(xfb471916970b0c9e liveDataWindow, List`1 symbols, SystemDataCreationSettings settings, SystemRunInfo runInfo, RightEdgeCompiler compiler)
at RightEdge.xf266856f631ec016.x7315d87aa80c241d()
at RightEdge.xf266856f631ec016.xc44f2b7498b700f7(Object xe0292b9ed559da7d, EventArgs xfbf34718e704c6bc)
at TD.SandBar.ToolbarItemBase.OnActivate()
at TD.SandBar.ButtonItemBase.OnActivate()
at TD.SandBar.ButtonItem.OnActivate()
at TD.SandBar.ToolBar.OnItemRelease(ToolbarItemBase item, Point position)
at TD.SandBar.ToolBar.OnMouseUp(MouseEventArgs e)
at System.Windows.Forms.Control.WmMouseUp(Message& m, MouseButtons button, Int32 clicks)
at System.Windows.Forms.Control.WndProc(Message& m)
at TD.SandBar.ToolBar.WndProc(Message& m)
at RightEdgeUI.CustomToolBar.WndProc(Message& m)
at System.Windows.Forms.Control.ControlNativewindow.OnMessage(Message& m)
at System.Windows.Forms.Control.ControlNativewindow.WndProc(Message& m)
at System.Windows.Forms.Nativewindow.Callback(IntPtr hWnd, Int32 msg, IntPtr wparam, IntPtr lparam)

Inner Exception:
An exception of type System.Xml.XmlException was thrown.
Content cannot be converted to the type Double. Line 31, position 34.
at System.Xml.XmlReader.ReadContentAsDouble()
at System.Xml.XmlReader.ReadElementContentAsDouble()
at RightEdge.Common.Price.System.Xml.Serialization.IXmlSerializable.ReadXml(XmlReader reader)
at System.Xml.Serialization.XmlSerializationReader.ReadSerializable(IXmlSerializable serializable, Boolean wrappedAny)
at System.Xml.Serialization.XmlSerializationReader.ReadSerializable(IXmlSerializable serializable)
at Microsoft.Xml.Serialization.GeneratedAssembly.XmlSerializationReaderPortfolioXml.Read11_TradeInfo(Boolean isNullable, Boolean checkType)
at Microsoft.Xml.Serialization.GeneratedAssembly.XmlSerializationReaderPortfolioXml.Read14_PositionDataXml(Boolean isNullable, Boolean checkType)
at Microsoft.Xml.Serialization.GeneratedAssembly.XmlSerializationReaderPortfolioXml.Read19_PortfolioXml(Boolean isNullable, Boolean checkType)
at Microsoft.Xml.Serialization.GeneratedAssembly.XmlSerializationReaderPortfolioXml.Read20_PortfolioXml()

Inner Exception:
An exception of type System.FormatException was thrown.
Input string was not in a correct format.
at System.Number.StringToNumber(String str, NumberStyles options, NumberBuffer& number, NumberFormatInfo info, Boolean parseDecimal)
at System.Number.ParseDouble(String value, NumberStyles options, NumberFormatInfo numfmt)
at System.Double.Parse(String s, NumberStyles style, NumberFormatInfo info)
at System.Xml.XmlConvert.ToDouble(String s)
at System.Xml.XmlReader.ReadContentAsDouble()

EOD Market Order; what price is used?

hairy_mug — Mon, 26 May 2008 10:11:15 GMT

I build a system and test against the "paper broker".

When it fills a market order, what price does it use? For EOD is market the H+L*.5 (average price)?

and does it base the fill on today's price OR the next day's price?

Clearly, when the system goes live, the entry orders I place (based on the scan) will be delayed by a day; the exit market orders will also be delayed...

Just trying to get ny head around it...

Thanks!

Stop loss order rejected

jcd77ehq — Tue, 20 May 2008 15:33:08 GMT

I'm using Live System to trade through Interactive Brokers and I'm having a bit of a problem with the stop-loss orders. The market order to buy gets filled and the stop-limit order for my profit target goes through but the stop-loss order always comes back "Stop loss order rejected: the price does not conform to the minimum price variation for this contract."

I've searched the forum but I don't seem to see this problem mentioned. Any help is appreciated. Thanks.

Discretionary trades

phg — Tue, 04 Mar 2008 09:28:22 GMT

While discretionary trading is a welcome addition, more explanation is needed. Are fill, cancel and update events triggered? Do the trades happen immediately, or at the next bar end (as if they constituted a "trigger")? One concern is that my placeorder procedure sets a number of enviromental conditions that are presumed to be in place when events occur. Is there a flag that distinguishes discretionary trades from others? That might be used to exempt discretionary trades from some checking.

Further, one might want the ability to declare that a trade has occured, one that does not drive events. This arises where you have made a manual trade in TWS and you subsequently want your RE strategy to pick the point to cover.

(I don't find anything in the Help or Guide documentation?)

PositionOrder Examples

phg — Wed, 17 Oct 2007 16:51:32 GMT

Are there any examples of the use of PositionOrder objects in any of the sample strategies or ones uploaded to the site? Am I right that you have to use one if you want to set a BarsValid number?

Order timing out throughs in an error before fill in live trading

eeikel — Thu, 17 Jan 2008 15:47:32 GMT

Something is wrong but what?

Running in live strategy mode after the system executing an openingsorder on signals this error is made.In the live system console the order is set as pending order.

Broker = paperbroker connected through TWS from IB.

Instruments on 1 min charts

An exception of type System.AppDomainUnloadedException was thrown.
Attempted to access an unloaded AppDomain.
at RightEdge.Shared.CallbackStub.DoCallback()
at RightEdge.Shared.MainDomainStub.<>c__DisplayClass1.<Post>b__0()
at System.Windows.Forms.Control.InvokeMarshaledCallbackDo(ThreadMethodEntry tme)
at System.Windows.Forms.Control.InvokeMarshaledCallbackHelper(Object obj)
at System.Threading.ExecutionContext.runTryCode(Object userData)
at System.Runtime.CompilerServices.RuntimeHelpers.ExecuteCodeWithGuaranteedCleanup(TryCode code, CleanupCode backoutCode, Object userData)
at System.Threading.ExecutionContext.RunInternal(ExecutionContext executionContext, ContextCallback callback, Object state)
at System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state)
at System.Windows.Forms.Control.InvokeMarshaledCallback(ThreadMethodEntry tme)
at System.Windows.Forms.Control.InvokeMarshaledCallbacks()

second

Unable to cancel order that timed out:
at RightEdge.Common.PositionManager.ProcessTimeouts(PositionData pos, NewBarInfo info, Boolean& changed)
at RightEdge.Common.PositionManager.SimNewBar(NewBarInfo info)
at RightEdge.Common.BaseSystemHistory.SimNewBar(NewBarInfo info)
at RightEdge.Common.SystemData.NewBar(NewBarInfo info)
at RightEdge.SystemWrapper.NewBar(Dictionary`2 bars)
at RightEdge.SystemWrapper.NewBar(Dictionary`2 bars)
at RightEdge.TradingModuleWrapper.NewBar(Dictionary`2 bars)
at RightEdge.LiveSystemwindow.x2e01f099ee7feedb(Dictionary`2 xd3a52115666f4605)

Realtime Hedge: OpenPosition() called form OrderFilled()

DrKoch — Mon, 14 Jan 2008 10:06:12 GMT

In order to get a realtime hedge I tried to open a short position whenever one of my long positions gets filled.

I placed an OpenPosition( ... Short ...) inside the OrderFilled() Event Handler.

BUT: it looks like RE ignores this OpenPosition() call. If I place exactly the same call somewhere outside the event handler (say in NewSymbolBar) everything works fine...

Any ideas?

Position order status

phg — Thu, 18 Oct 2007 07:25:48 GMT

Suppose a bought position rises over time such that you would like to establish a trailing stop to sell, but not if there is already some form of a sell-type order pending (from a previously handled trigger). Or vice-versa. I'm trying to figure out how to establish either a SetProfitTarget or a trailing stop, but not if the other is already in force.

Is there status information about outstanding order(s) against a position, given the posID? Perhaps this situation is such that good use could be made of the 'tag' property, to keep track of what order is outstanding? Can more than one order at a time be outstanding, or does submitting an order cause an outstanding order to be canceled?

Stop Orders in Paper Broker

BigBerner — Mon, 30 Apr 2007 22:37:03 GMT

Stop orders in the Paper Broker do not seem to work correctly. It seems to me that it will take the last traded price of the last bar as the stop level irrespective of what you place in "limit" in SystemData.OpenPosition.

Also orders that get filled in the Paper Broker are not updated in the Live System window until the start of the next bar.

And lastly, how do you place a StopLimit order? There does not seem to be any place to pass a stop level and a limit level.

Sell at limit order

Jones — Sun, 03 Jun 2007 08:39:34 GMT

Hi,

This seems a dumb question to ask, but I havent been able to find a reference in documentation or an example strategy that does it.

How do I do a sell at limit in c#?

I can see OpenPosition() can have an order type of limit, but ClosePosition() is at market only.

Live System does not place order

kd7038 — Fri, 23 Mar 2007 17:02:42 GMT

I tried to run the following trading system in the live system:

using System;
using System.Drawing;
using RightEdge.Common;
using System.Collections.Generic;
using RightEdge.Indicators;

public class SystemMain : SystemBase
{
public override void Startup()
{
// Set system wide options here

// Here is your profit target value
this.SystemData.ProfitTarget = 0.04;
// Here is your time out exit value.
// Change this to 0 for no time-out
this.SystemData.BarCountExit = 7;

// Set up indicators here
Indicators["BBL"].CreateIndicator(new BollingerBandLower(14, 1.9));
Indicators["BBL"].SetInputs(BarElement.Close);
Indicators["BBL"].SeriesColor = Color.Red;
Indicators["BBL"].AddToCharts();
}

public override void NewSymbolBar(Symbol symbol, BarData bar)
{
ISeries bbLower = Indicators["BBL"][symbol];
double targetPrice = bbLower[bbLower.Count - 1];
string id = string.Empty;
string des = string.Empty;
//this.SystemData.OpenPosition(symbol, PositionType.Long, OrderType.Limit ,out id targetPrice);
this.PositionManager.OpenPosition(symbol, PositionType.Long, OrderType.Limit, targetPrice, 0, des, id );
}
}

I use IB Paper Trader. Live System Bars = 20

It works fine in simulation mode.

Thanks

Duplicate fills reported in Paper Broker

BigBerner — Tue, 01 May 2007 02:13:48 GMT

If you set PositionManager.SetProfitTarget and PositionManager.SetStopLoss at the same time in the Paper Broker and then one of the orders is hit, you get a duplicate notification in the Closed Positions tab. Here is example code.

Public Overrides Sub OnPositionTrade(ByVal trade As RightEdge.Common.Trade, ByVal pos As RightEdge.Common.Position, ByVal state As RightEdge.Common.Position.State)

MyBase.OnPositionTrade(trade, pos, state)

Dim OnePoint As Double = pos.Symbol.SymbolInformation.TickSize

Dim LongProfitTarget As Double = trade.Price + (3 * OnePoint)

Dim LongStopLevel As Double = trade.Price - (3 * OnePoint)

'Set Profit Target

If pos.PositionType = PositionType.Long And state = Position.State.Open Then

PositionManager.SetProfitTarget(pos.PosID, LongProfitTarget, False)

End If

'Set Stop Loss

If pos.PositionType = PositionType.Long And state = Position.State.Open Then

PositionManager.SetStopLoss(pos.PosID, LongStopLevel, False)

End If

End Sub

Broker Service

BigBerner — Mon, 19 Feb 2007 03:01:35 GMT

I have started building a Broker Service and have a few questions.

1. Could you explain to me what the purpose of AddOrderUpdatedDelegate, AddPositionAvailableDelegate, RemoveOrderUpdatedDelegate, RemovePositionAvailableDelegate is. I couldn't really work out what I was supposed to be doing here from the sample.

2. My Broker does not have a function to return the cash in the account for GetBuyingPower. Should I just set this to 0, or will that stop orders going through? (in which case I guess I would set it to 10,000,000 or something like that)

3. My broker API only allows for limit and market orders to be placed. Am I correct in saying that this means that when I write a strategy in RE, that whilst I can use stop orders for back testing, that when I switch to live trading I will need to change my code to handle the stop from within RE. I am assuming that when a stop order is generated by a strategy in RE that it is sent directly to the broker for monitoring within the broker software, rather than being moinitored by RE and released as a market order when the level is hit. (What I am getting at here is, is the functionality of the BrokerOrderType enumeration members handled by RE, or does your broker software need to be able to handle this functionality?)

4. Really just a comment here, but I thought the BrokerTransactionType enumeration members names to be a bit confusing (Buy = Buy, Short = Sell, Sell = Close long, Cover = close short). Would have made more sense to have something like, Buy, Sell, ExitLong, ExitShort.

PositionManager.SetStopLoss

BigBerner — Thu, 03 May 2007 02:55:48 GMT

If you use PositionManager.SetStopLoss in the Paper Broker it generates an order of type StopLimit. I think this should be an order of type Stop.

Cancel Orders

BigBerner — Thu, 26 Apr 2007 22:51:23 GMT

I am having trouble with cancelling an order. The bit I am having trouble with is tracking the order ID. Lets say I am running a system on a number of symbols, I place an order to buy on stop, and the next bar I wish to cancel the order. How do I get the orderID for that order? If I call PositionManager.GetPendingOrdersForPosition(PosID) I need the PosID, so I tried setting a PosID in SystemData.OpenPosition and using that, but when I run a simulation I get the error message that the PosID has already been used. If I let RE assign a PosID in SystemData.OpenPosition how would I know what PosID goes with the order I am trying to cancel. I am sure there is a simple solution but I am not seeing it at the moment.

Live System Window

BigBerner — Wed, 11 Apr 2007 02:34:24 GMT

When an order is input to the Live System window the Limit Price column is formatted as $xx.xx. The format needs to be changed as not all prices are in dollars and cents. Also if a price has more than two decimal places it is being rounded to two at the moment.

Thanks.

Orders and order management

BigBerner — Thu, 22 Mar 2007 00:06:37 GMT

I think a tutorial on order placement and management would be useful. It has taken me quite a while to work out how to do things. Most of the systems uploaded on the site simply place buy orders at market and nothing else. Also I am finding some of the terminology used a little unclear.

For example if I place an order to buy on stop just above the market using systemdata.openposition I will now have a working order in the broker. I only want to have this order placed once. Does the "Max open" field in the Position Management section of the system properties stop this order from being placed again when the next bar completes (assuming I set it to 1) ? There are currently no open positions but if it lets it go through there are going to be more than one.

How do I check what orders are currently being worked in the broker? I think it might be PositionManager.GetPendingOrdersForPosition or .GetPendingPositions. What is the difference between these two functions?

Modify Order method

BigBerner — Thu, 22 Mar 2007 06:32:02 GMT

Any thoughts on having the ability to modify a working order. As things stand at the moment I think you need to cancel the order and then place a new one. There are a couple of drawbacks doing it this way. Firstly if the order has been partially filled then there is some extra work involved in getting the unfilled quantity in order to place the new order. Secondly, if you are trading a deep market you may be sitting in a queue waiting to get done, and by cancelling the order and placing a new one (say if you wanted to alter the quantity of the order) you lose your spot in the queue and go to the back of the line. I don't think it is anything that is urgent, but it would probably warrent doing sometime in the future.