Recent content by gueria

Great project ! (I'm following also your other threads). I like the "grey box" approach (don't get this the wrong way :) ). Keep it up.

My backtests gave better results with ARCA prices, but in the end it was a too good to be true situation :)

https://www.interactivebrokers.com/en/software/tws/usersguidebook/configuretws/configure_smartrouting.htm I think the option is not available in the paper trading account, only live. Also make sure you are checking against the official opening price. What was your limit price for TWTR, and on...

Make sure to check "Pre-Open Re-route" in TWS. (Global Configuration > Configuration > SmartRouting) "This allows you to route orders to major exchanges three minutes before the open. For orders submitted before the open, checking this box ensures your orders are routed prior to the open. This...

You are right, that seems to be the case. Thanks.

So today I tried submitting my limit orders with ARCA as route, allow fill outside RTH and good after 9:28:30 (because i'm not sure if ARCA accepts orders after 9:29 to participate in the opening cross) Orders went live/green as expected at 9:28:30, but I got one fill, obviously, before market...

This is what I have for BAC (ActiveTick data) : T,20160108093000070,15.940000,100,P,0,0,0,16 T,20160108093000070,15.940000,100,P,0,0,17,0 ... T,20160108093023880,15.820000,1648849,N,0,0,17,0 and GE : T,20160108093000072,29.200000,200,P,0,0,0,16 T,20160108093000072,29.200000,200,P,0,0,17,0...

Yes, there's a seperate auction, you can check here for official ARCA open and close price wich sometimes differ from the NYSE. http://datasvr.tradearca.com/arcadataserver/Auction.php For ISLAND no problems. IB answer was very vague, as I said they advised to place order outside of RTH with...

3-4 min before the open. I know everything is setup correctly, because when I specifiy NYSE as the exchange, my orders are green, and I do get the NYSE opening price. Maybe IB allows OPG orders only for the the primary exchange ?

With OPG and ARCA, the order is not green but blue...waiting for the stock to open on the NYSE before becoming active.

I got about the same answer from IB support : "A customer can create a Limit order with the attribute for "Yes" to outside RTH and add a time condition for the order to become active right at 09:30 EST." But should the stock open lower than my buy limit, I'm afraid to get a worse fill than the...

With route as SMART, the order becomes active on the primary exhange, NYSE. Maybe this is a silly question, but what should I do to get the ARCA opening price instead ?

For NYSE listed stocks like BAC, etc...when I specify ARCA for the exchange, order status says "order is being held and monitored", instead of "active". This if for limit orders placed before the open, and yes I have pre-open reroute checked in TWS. So is there any way to participate in the...