Is anybody running automated trading strategies successfully with IB using TWS?

[NinjaTrader_Dierk]

You would see something like this in the logs:

a) 2 execution on partical fills coming in
01/10/2008 18:44:09|1|16|Execution='ES 12-08/0001f4e5.452973da.01.01' Instrument='ES 12-08' Account='XXXX' Exchange=Globex Price=1157 Quantity=20 Market position=Short Operation=Insert Order='253530650' Time='01/10/2008 18:44:08'
01/10/2008 18:44:09|1|16|Execution='ES 12-08/0001f4e5.452973db.01.01' Instrument='ES 12-08' Account='XXXX' Exchange=Globex Price=1156.5 Quantity=10 Market position=Short Operation=Insert Order='253530650' Time='01/10/2008 18:44:08'

b) but only one order state change to 'Filled' ('PartFilled' order state for 1st execution is missing)
01/10/2008 18:44:09|1|32|Order='253530650/XXXX' Name='ShortEntry2' New State=Filled Instrument='ES 12-08' Action=SellShort Limit price=1156.5 Stop price=0 Quantity=30 Type=Limit Filled=30 Fill price=1156.83 Error=NoError Native error=''

[Operandi]

Thanks, Dierk. I'll get onto IB today about this.

Chris

[shane]

I have an IB account so this concerns me. What brokers does NT interface with that don't have any issues and can auto trade with reliably?

[NinjaTrader_JoshP]

You can see the list of some of your options here: http://www.ninjatrader-support.com/H...HistoricalData

[zoltran]

Chris,

The issue is an universal issue with TWS. Unfortunately we have explored all possible workarounds and they will not suffice. We have contacted IB to get this fixed.

Some of us don't have a choice.. IB or nothing.

Does IB acknowledge the problem?
Do you have a status update you can share?
Does this affect only stocks orders?
Or any order that has a chance of partial fills?
Any strategy suggestions/coding that would help avoid the problem?

[Operandi]

I have had various conversations with the IB API support team by phone and email about this issue and have given them transaction logs showing the problems. I also pointed them to the threads in this forum that explain the problem.

IB said that they would contact NT directly to discuss this issue. This was about three weeks ago and I haven't heard anything since.

I note that the latest NT release notes for v6.5.1000.7 state that a TWS API issue has been resolved, however I have not tested this yet.

If NT hasn't heard from IB, please let me know and I will chase them up again.

I would also suggest that more people then contact IB to complain about this issue if it hasn't been resolved.

Chris

[NinjaTrader_Dierk]

We haven't got any feedback from IB support regarding that issue so far. I suppose it still would be there.

[Operandi]

Dierk

The guy at IB I spoke to said that they are in frequent contact with NT and he mentioned you specifically. Did IB contact you specifically about this bug recently?

I can send you the name of the IB support person who was handling this.

[NinjaTrader_Dierk]

>> Did IB contact you specifically about this bug recently?
no

[Operandi]

OK thanks, Dierk. I've just emailed Raymund at IB to chase this up again, though I would have thought that NT should be pursuing this with vigour as it is affecting NT customers and could impact sales.

Chris

[zoltran]

Hi Dierk

Would you be able to answer the other questions from my post

3) Does this affect only stocks orders? Or any order that has a chance of partial fills?
4) Any strategy suggestions/coding that would help avoid the problem?

[NinjaTrader_Dierk]

3) Sorry, I don't know since (according our analysis) it's a TWS issue
4) To clarify: the offending message only pops up as you code against OnOrderUpdate handler. If you rewrote your strategy to not use OnOrderUpdate then you should be good.

[rocknroll]

I am just beginning to do automated trading with IB and this thread is quite interesting. I found the following in the NT docs,

• CRITICAL: If you want to drive your strategy logic based on order fills you must use OnExecution() instead of OnOrderUpdate(). OnExecution() is always triggered after OnOrderUpdate(). There is internal strategy logic that is triggered after OnOrderUpdate() is called but before OnExecution() that can adversely affect your strategy if you are relying on tracking fills within OnOrderUpdate().

Would NT gurus recommend OnOrderUpdate() as a safe method to use instead of OnOrderUpdate() ?

Are there other recommended Solutions that the Gurus would like to suggest that we do not know about.

Thanks in advance

[heech]

Scary. I was actually about to send in my check to fund my IB account when I found the IB support forums. The collective angst in that forum pretty much turned me off... and this just reaffirms I made the right choice to look elsewhere.

FWIW, I personally have (probably) settled on TDAmeritrade / Izone. Seems like they're making real steps to serve "our" market.

[NinjaTrader_Ray]

At this time, I would look at OnPositionUpdate(), there are some things we are working on in the area of OnExecution and OnOrderUpdate() as a trigger to submit further orders for NT7.