 Posted 4/10/2009 16:25:02
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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!
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Posted 4/10/2009 16:29:44
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| I don't know diddly about what you're referring to, however, wouldn't it be in IB's best interest to handle as many orders as possible? More commission for them, right?
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Posted 4/10/2009 16:55:50
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| Yes, it seems so. On the other hand they probably wouldn't want their servers overwhelmed with more orders than they can handle. Even if they have the capacity to handle them, there may be artificial limits dictated by account type, etc. Ultimately executing more orders is more work and more work usually entails more fees, charges, and, possibly, account upgrades. Hopefully for those like me, TWS can handle daily orders in the hundreds...
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Posted 4/13/2009 09:55:32
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This is the reply I got from them:
"There is 50 messages per second limitation, that means API/TWS only allow 50 orders per second. There is no restriction for total orders for today. However, it is feasible that your account has exceeded the available fund. Please remember, that API program only ushers the order to the TWS. Trading executions, exchange policies, and account limitations are still handled by the TWS and IB system intensively."
Not sure what is meant by "However, it is feasible that your account has exceeded the available fund."
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