RightEdge Forums / Trading / Order Execution / Does RE work fully with Interactive Broker? / Latest Posts

RE: Does RE work fully with Interactive Broker?

dplaisted — Thu, 13 Aug 2009 01:46:51 GMT

I am not sure whether TWS's FX trader shows orders which are submitted by the API (ie the ones coming from RightEdge). When using the "traditional" TWS interface, the orders from RightEdge show up on a seperate API tab. So try looking at the non-FXTrader trading window and see if there is an API tab there (after you've submitted the orders via RightEdge)

Daniel

RE: Does RE work fully with Interactive Broker?

supergreg — Wed, 12 Aug 2009 12:50:01 GMT

Let me start off by saying I'm a novice and I stumbled upon this thread and tried the code because I can't seem to get any system to work with IB papertrade account.
I'm trying the exact code and I get the same messages, but nothing shows up in FX Trader on IB. I put a message in the Orderfilled procedure and it looks like it fires. I show Open Positions on REI included the code to show you how much of a novice I am. The only thing I can see is that the Order Size on IB is 0.
Any suggestions?

---- RE Code ----------------------------------------------------------------------------------
#region Using statements
using System;
using System.Drawing;
using System.Collections.Generic;
using RightEdge.Common;
using RightEdge.Common.ChartObjects;
using RightEdge.Indicators;
#endregion

#region System class
public class MySystem : MySystemBase
{
public override void Startup()
{
// Perform initialization or set system wide options here

}
}
#endregion

public class MySymbolScript : MySymbolScriptBase
{
int counter = 1;
Position pos ;
public override void Startup()
{
// Perform initialization here.

}

public override void NewBar()
{

if (counter == 2)
{
System.Console.WriteLine("Open Pos");
pos = this.OpenPosition(PositionType.Long, OrderType.Market,this.Bars.Current.Open,1);
if (pos.Error != null)
{
OutputMessage("order failed : " + pos.Error);
}
}

System.Console.WriteLine("New Bar:"+this.Bars.Current.Open+" time:"+this.Bars.Current.PriceDateTime.ToString());

if (pos != null)
{
Position p = this.PositionManager.GetPosition(pos.ID);

System.Console.WriteLine("Get pos ID "+pos.ID+" State:"+p.State.ToString());
}
counter++;
}

public override void OrderFilled(Position position, Trade trade)
{
// This method is called when an order is filled
OutputMessage("order filled : " + position + trade);
}

public override void OrderCancelled(Position position, Order order, string information)
{
// This method is called when an order is cancelled or rejected

}
}
--- OUTPUT ----------------------------------------------------------------
Severity Message Symbol Module Time
2 New Bar:1.42325 time:8/12/2009 11:36:00 AM 8/12/2009 11:37:11 AM
2 Open Pos 8/12/2009 11:38:07 AM
2 New Bar:1.423275 time:8/12/2009 11:37:00 AM 8/12/2009 11:38:07 AM
2 Get pos ID 2 State:Pending 8/12/2009 11:38:07 AM
2 order filled : RightEdge.Common.PositionRightEdge.Common.Trade EUR/USD Symbol Script 8/12/2009 11:38:07 AM
2 New Bar:1.42275 time:8/12/2009 11:38:00 AM 8/12/2009 11:39:12 AM
2 Get pos ID 2 State:Open 8/12/2009 11:39:12 AM
2 New Bar:1.4227 time:8/12/2009 11:39:00 AM 8/12/2009 11:40:07 AM
2 Get pos ID 2 State:Open 8/12/2009 11:40:07 AM
2 New Bar:1.42285 time:8/12/2009 11:40:00 AM 8/12/2009 11:41:07 AM
2 Get pos ID 2 State:Open 8/12/2009 11:41:07 AM
2 New Bar:1.4226 time:8/12/2009 11:41:00 AM 8/12/2009 11:42:07 AM
2 Get pos ID 2 State:Open 8/12/2009 11:42:07 AM
2 New Bar:1.4227 time:8/12/2009 11:42:00 AM 8/12/2009 11:43:07 AM
2 Get pos ID 2 State:Open 8/12/2009 11:43:07 AM
2 New Bar:1.4225 time:8/12/2009 11:43:00 AM 8/12/2009 11:44:07 AM
2 Get pos ID 2 State:Open 8/12/2009 11:44:07 AM
2 New Bar:1.4223 time:8/12/2009 11:44:00 AM 8/12/2009 11:45:07 AM
2 Get pos ID 2 State:Open 8/12/2009 11:45:07 AM

---- IB AUDIT TRAIL------------------------------------------------------------------
[size=2][font=Courier New]Action Time Client Order Id Order Id Side Size Contract Order Type Price TIF Misc
Acknowledged 20090812-13:58:12 * * Buy 0 - Limit nan DAY ExecID= 62258.1250085492.0; ExecType= New; ExecTransType= Status; OrdStatus= New; CumQty= 0; LeavesQty= 0; AvgPx= 0; TransactTime= 20090812-13:58:12;
Acknowledged 20090812-16:08:46 * * Buy 0 - Limit nan DAY ExecID= 62258.1250093326.0; ExecType= New; ExecTransType= Status; OrdStatus= New; CumQty= 0; LeavesQty= 0; AvgPx= 0; TransactTime= 20090812-16:08:46;
[size=1][/size][/font][/size]

RE: Does RE work fully with Interactive Broker?

roedies — Tue, 09 Jun 2009 13:01:34 GMT

Hi, thanks for the prompt reply.

Indeed, I had this panel floating on another monitor not attached at the time of writing.

Suggestion : Have a button somewere to "bring all open panes into view" like is standard in IB TWS. This helps people with laptops who are "on the road" without 2 monitors from desparately looking for a number of panes.;)

reg

roedies

[quote][b]billb (6/9/2009)[/b][hr]Click Help->About and click the Application Data hyperlink. This will open Windows Explorer and navigate you to RightEdge's application data folder. Next, exit RightEdge. Back in Windows Explorer, delete the file docklayout.xml. This should force all panes to become visible. The only thing that comes to mind as far as getting into that state is that you floated the pane, possibly onto a different monitor that isn’t currently attached? Or maybe you floated it off the screen somehow? Either way, this should get you back to normal.

[quote][b]roedies (6/8/2009)[/b][hr]Dear,

I'm evaluating RE and have TWS running in Papermode live trading on GOOG. A simple crossover system with no extra coding. This live system works as designed, I can seethe generated trades in the TWS account.

BUT in RENO Live system panedata is available (no pending , submitted, closed) nor a system output or building system output pane. These panesjust don't show up, allthough the Live data pane works correctly.

What do I need to adapt to get this part also working??

System : Win XP , Rightedge 384, TWS live and Paper account. TWS API 962.

reg

rs[/quote][/quote]

RE: Does RE work fully with Interactive Broker?

billb — Tue, 09 Jun 2009 07:55:55 GMT

Click Help->About and click the Application Data hyperlink. This will open Windows Explorer and navigate you to RightEdge's application data folder. Next, exit RightEdge. Back in Windows Explorer, delete the file docklayout.xml. This should force all panes to become visible. The only thing that comes to mind as far as getting into that state is that you floated the pane, possibly onto a different monitor that isn’t currently attached? Or maybe you floated it off the screen somehow? Either way, this should get you back to normal.

[quote][b]roedies (6/8/2009)[/b][hr]Dear,

I'm evaluating RE and have TWS running in Papermode live trading on GOOG. A simple crossover system with no extra coding. This live system works as designed, I can seethe generated trades in the TWS account.

BUT in RENO Live system panedata is available (no pending , submitted, closed) nor a system output or building system output pane. These panesjust don't show up, allthough the Live data pane works correctly.

What do I need to adapt to get this part also working??

System : Win XP , Rightedge 384, TWS live and Paper account. TWS API 962.

reg

rs[/quote]

RE: Does RE work fully with Interactive Broker?

roedies — Mon, 08 Jun 2009 16:31:48 GMT

Dear,

I'm evaluating RE and have TWS running in Papermode live trading on GOOG. A simple crossover system with no extra coding. This live system works as designed, I can see the generated trades in the TWS account.

BUT in RE NO Live system pane data is available (no pending , submitted, closed) nor a system output or building system output pane. These panes just don't show up, allthough the Live data pane works correctly.

What do I need to adapt to get this part also working??

System : Win XP , Rightedge 384, TWS live and Paper account. TWS API 962.

reg

RE: Does RE work fully with Interactive Broker?

liemingtang — Sun, 07 Jun 2009 10:22:35 GMT

I fixed the issue with the setup of the contract size, exchange for the forex symbol and it works. Seems TWS is very sensitive to these settings.

I also get the outside of hours warning but i think thats a warning to do with the timezone settings on the TWS client. Haven't investigated yet to confirm.

RE: Does RE work fully with Interactive Broker?

randolfe — Mon, 23 Mar 2009 18:34:57 GMT

[quote][b]billb (3/20/2009)[/b][hr]Never heard back from the first person. Did you try what was recommended above?[/quote]

Assuming you mean hooking the events and dumping info, no. I'll do that next opportunity I get. I know this project used to run with IB without problems, but I haven't used it since last November, and now it isn't firing trades.

RE: Does RE work fully with Interactive Broker?

billb — Fri, 20 Mar 2009 14:15:30 GMT

Never heard back from the first person. Did you try what was recommended above?

[quote][b]randolfe (3/20/2009)[/b][hr]What was the resolution to this, because I'm still having this problem with various futures symbols in IB. I hoped upgrading to 383 would help, but no luck.

The problem I get is the order is submitted to TWS, it appears in TWS API tab and Portfolio tab as an "untransmitted" order. RightEdge has no entry in either the pending, open or closed tabs at all.

I get the "outside of regular trading hours" warning on all these as well.[/quote]

RE: Does RE work fully with Interactive Broker?

randolfe — Fri, 20 Mar 2009 11:57:36 GMT

What was the resolution to this, because I'm still having this problem with various futures symbols in IB. I hoped upgrading to 383 would help, but no luck.

The problem I get is the order is submitted to TWS, it appears in TWS API tab and Portfolio tab as an "untransmitted" order. RightEdge has no entry in either the pending, open or closed tabs at all.

I get the "outside of regular trading hours" warning on all these as well.

RE: Does RE work fully with Interactive Broker?

billb — Mon, 16 Feb 2009 08:03:49 GMT

Something still isn't adding up. Can you hook into the OrderFilled and OrderCancelled methods and output the "information" parameter to see if we get any clues there?

The IB plugin is based off of krs socket client. The PositionManager is internal and the source code is not available.

RE: Does RE work fully with Interactive Broker?

liemingtang — Mon, 16 Feb 2009 07:08:17 GMT

I don't think there is an error but I tried to output the error message with the code and it shows that the order was submitted ok as shown below. The only thing here is the warning about timezone which appears to be ignored due to its forex.

-------------------
2 New Bar:1.2763 time:16/02/2009 10:21:00 PM EUR/USD Symbol Script 16/02/2009 11:02:00 PM
2 Open Position... EUR/USD Symbol Script 16/02/2009 11:03:02 PM
2 Order successful EUR/USD Symbol Script 16/02/2009 11:03:02 PM
2 New Bar:1.27615 time:16/02/2009 11:02:00 PM EUR/USD Symbol Script 16/02/2009 11:03:02 PM
2 # Open Positions: 0, # Close Positions: 0, # Pending Positions: 1 EUR/USD Symbol Script 16/02/2009 11:03:02 PM
2 IB Warning code 2109 for order ID 19: Order Event Warning:Attribute 'Outside Regular Trading Hours' is ignored based on the order type and destination. PlaceOrder is now being processed. 16/02/2009 11:03:02 PM
2 New Bar:1.2762 time:16/02/2009 11:03:00 PM EUR/USD Symbol Script 16/02/2009 11:04:00 PM
2 # Open Positions: 0, # Close Positions: 0, # Pending Positions: 0 EUR/USD Symbol Script 16/02/2009 11:04:00 PM
2 New Bar:1.27615 time:16/02/2009 11:04:00 PM EUR/USD Symbol Script 16/02/2009 11:05:23 PM
2 # Open Positions: 0, # Close Positions: 0, # Pending Positions: 0 EUR/USD Symbol Script 16/02/2009 11:05:23 PM
2 # Open Positions: 0, # Close Positions: 0, # Pending Positions: 0 EUR/USD Symbol Script 16/02/2009 11:06:00 PM
2 New Bar:1.2762 time:16/02/2009 11:05:00 PM EUR/USD Symbol Script 16/02/2009 11:06:00 PM
-------------------

Could someone point me to the IB plugin code? I can see the dll but not the code and I can't really work out what the position manager is doing behind the scene with its getting positions. Basically I don't know hot to identify / narrow down the error?

RE: Does RE work fully with Interactive Broker?

dplaisted — Mon, 02 Feb 2009 10:14:28 GMT

It looks like there is an error most of the time when you try to open a position. Use the following code to see what it is:

Position pos = OpenPosition(...);
if (pos.Error != null)
{
OutputMessage("order failed : " + pos.Error);
}

Also, you don't need to call PositionManager.GetPosition(ID), the return value from OpenPosition will be the same object.

Thanks,
Daniel

RE: Does RE work fully with Interactive Broker?

liemingtang — Mon, 02 Feb 2009 05:22:55 GMT

Here is the code I am using to test this using the cross over function and only change is the new bar function shown below. It will open a long position after 2 min new bar and prints out the info on this position. The output of this is below.

I updated the sample CrossOver system to test this...

int counter = 1;
Position pos ;

public override void NewBar()
{
if (counter == 2)
{
System.Console.WriteLine("Open Pos");
pos = this.OpenPosition(PositionType.Long, OrderType.Market,this.Bars.Current.Open,1);
}

System.Console.WriteLine("New Bar:"+this.Bars.Current.Open+" time:"+this.Bars.Current.PriceDateTime.ToString());

if (pos != null)
{
Position p = this.PositionManager.GetPosition(pos.ID);
System.Console.WriteLine("Get pos ID "+pos.ID+" State:"+p.State.ToString());
}

counter++;
}

----- System output after 4 min (EUR/USD) -----

2 New Bar:1.2733 time:2/02/2009 9:05:00 PM 2/02/2009 21:14
2 Open Pos 2/02/2009 21:15
2 New Bar:1.2736 time:2/02/2009 9:14:00 PM 2/02/2009 21:15
2 Get pos ID 1 State:Pending 2/02/2009 21:15
2 IB Warning code 2109 for order ID 15: Order Event Warning:Attribute 'Outside Regular Trading Hours' is ignored based on the order type and destination. PlaceOrder is now being processed. 2/02/2009 21:15
2 New Bar:1.274 time:2/02/2009 9:15:00 PM 2/02/2009 21:15
2 Get pos ID 1 State:None 2/02/2009 21:15
2 New Bar:1.27385 time:2/02/2009 9:16:00 PM 2/02/2009 21:16
2 Get pos ID 1 State:None 2/02/2009 21:16

RE: Does RE work fully with Interactive Broker?

liemingtang — Sat, 31 Jan 2009 06:44:24 GMT

I'm using 1min bar frequency with a forex symbol and submitting the orders after the 2nd minute.

In addtion to printing to console new bar data i can also see updates under the live data tab which leads me to believe that live data is coming in.

I know the orders have reached TWS because the opened order does appear to show up in the API tab as you said. Moreover, the trade is identified in the Trades list. However, it does not appear to be recognised or notified or something by right edge once its been submitted to TWS because GetOpenPositions().count, GetClosedPositions().count, GetPendingPositions().count are all 0 and also the live systems tabs shows no records.

Its very strange that this would happen since it submits orders and updates tick data but why not update position information? How does PositionManager work with respects to updates? Does it get the updated position info from TWS api at regular intervals by polling it?

RE: Does RE work fully with Interactive Broker?

dplaisted — Fri, 30 Jan 2009 02:28:30 GMT

What bar frequency are you using? When is your system submitting orders? What are you seeing in TWS that makes you think the order has been submitted? Generally the orders will show up in TWS under an API tab.

Thanks,
Daniel

RE: Does RE work fully with Interactive Broker?

liemingtang — Fri, 30 Jan 2009 00:46:30 GMT

The ticks appear to be coming in as I print the incoming new bar data prior to the position code so the connection appears to be working.

Also, in the live tab I cannot see any pending / open / closed positions when i start the system and the first order is submitted.

is there some function that is called that gets data from TWS? Is there a version compatibility issue? I am using TWS 4.1 desktop version their latest version.

RE: Does RE work fully with Interactive Broker?

billb — Thu, 29 Jan 2009 07:22:29 GMT

This is a pretty fundamental piece and I assure you that it works. It sounds like there is something preventing communication between RightEdge and TWS. Are you receiving ticks all right? Do you have any firewall or anti-virus software running?

Do you receive any error the OpenPosition call? Exceptions?

[quote][b]liemingtang (1/29/2009)[/b][hr]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...

[/quote]

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...