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

[ezhuth]

Is there any further update on this issue?
thanks

[NinjaTrader_JoshP]

ezhuth,

Unfortunately I do not have any further information at this point in time. We are working on things in NT7 that will help in this area.

[alfie]

IB and NT in automation

OK. Now I am spooked, are we talking about the entirety of order handling from IB when in NT automation? Or just those relating to partial fill handling?

[NinjaTrader_Ben]

Hello,

Josh is out and I do not know the answer to your question. He will reply on Monday. Thank you for your patience.

[NinjaTrader_JoshP]

alfie,

Partial fill.

[alfie]

Josh

OK. Thx Josh.

[bkout]

I'm using Ninja with IB for auto trading. I don't understand where OnPositionUpdate(), is or if I have to change a setting or something. Is this an issue only if you're writing code? So far I'm just using the wizard.

[ezhuth]

Josh:
There have been quite a few posts on this topic. Could you please summarize the issues here and when and whom does it affect (for example: everybody who uses limit orders with autotrading?), etc. so that we can make an informed decision on risk with IB autotrading. Thank you very much.

[NinjaTrader_JoshP]

ezhuth,

The concern is in regards to partial fills. This is an IB issue and they are aware of it. If you want more details please review the thread.

[ezhuth]

Josh:
I contacted IB to see if they will have a resolution to this problem in the near future (I am still interested in IB for specific reasons, if this issue can be resolved). This is the email they sent me back asking for log files (see below). They are also saying it is possible that the problem may be beacuse of an older version of TWS?.
**************************
Hello ezhuth,

It is feasible that you are using an older version the Trader Workstation (TWS) and the execution report is not returning appropriately to the TWS/API. That is main reason that we need the log file in order to analyze the communication between Ninja Trader and TWS.

Raymund
IB Technical Support


Raymund Del Rosario/Interactivebrokers wrote on 02/09/2009 09:11:57 AM:

> Hello ezhuth,
>
> Please provide a log file in order to assist you properly. The log
> file is located in the C:\JTS directory and it is called log.day.txt.
>
> Raymund
> IB Technical Support

[NinjaTrader_JoshP]

The version 887.2 is the version of TWS supported by NinjaTrader. Please provide them with the logs they requested.

[heech]

2)Testing for, tracking and closing partially filled profit target orders submitted by ExitLongLimit using iOrders. Partial fills leave a position partially open which can be very damaging, unless managed properly.

Hi,

I just wanted to revive this thread that you referenced in another thread, Operandi.

Can you give me a little more detail in terms of what you're seeing here? I'm assuming the correct behavior you're expecting from ExitLongLimit() in the case of a partial fill... is that the limit order continues to exist, except with a partially filled state. But your problem is that you have no way of detecting that event occurring? (What if you used OnOrderExecution and monitored the # of shares on each execution?)

In my case, I'm not currently using any Limit orders. I'm only using market/stop orders. Based on your understanding of the problem... would you see it affecting my strategy? My guess is that it shouldn't.

[Thalamus]

Problem with Partial Fills

I'm new to NT and have it hooked up to Interactive Brokers. The only problem is I can't leave it unattended because occassionally when there's over 2 partial fills to an order it enters my target limit order and protective stop at the wrong quantity, and gives a popup for each partial fill stating there was an error agreeing quantities. I just manually update on IB's TWS program, but it prevents me from leaving the program for any period of time. An example, I have a Buy Stop filled for 500 shares of DXD, but it will always enter the Target Limit order at 100 shares, and the Protective stop at 100 shares; leaving me exposed on either end. This only happens when there are more than two partial fills it seems. I use the OnExecution function to execute the box order. Any ideas?

[Operandi]

It is as Thalamas explains:

2 partial fills to an order it enters my target limit order and protective stop at the wrong quantity, and gives a popup for each partial fill stating there was an error agreeing quantities.

You have to manually intervene to sort out the wrong positions within TWS. The problem is that in a rapidly changing and volatile market, your account position quickly gets in a real mess as you are left with partial fills which compound.

I also get the double trade lines when using a strategy against the paper trade account, which concerns me, as NT must be interpreting one order as two transactions.

I have not run a fully automated system on a live account because of these issues and I have unfortunately had to postpone two large projects for customers because I couldn't recommend an NT/IB solution when they needed fine control of trade management.

As a NinjaScript Consultant, I have a strong loyalty to NT, however I am very concerned that we now know of two brokers (IB and TDA) which fail to work reliably with NT.

This makes me wonder if the problems are caused by order transaction bugs within NT, and may explain why IB seem reluctant to fix these issues within TWS.

This must be harming NT's reputation, and I am surprised that Ray and the others are not pushing to get this sorted out. It renders NT as unfit for purpose for safe automated transactions with IB, and now TDA.

Chris

[NinjaTrader_Dierk]

Guys, let's not get confused here: the IB issue we are aware of results from TWS throwing "redundant" order status events. This causes issues as you would code a strategy using the OnOrderUpdate method, since NT needs to map partial fills with related order status events which would fail as there are "redundant" order status events reported by TWS.

We held off filtering this "redundant" order status event from TWS since we have no sufficient info form IB to fully understand understand the nature of this "superfluous" order status event.

However, coding against the OnPositionUpdate and OnExecution method is safe and would not yield such problem.