IB DDE API: Help needed on execution requests...

TraDaToR

TraDaToR

Hello,

IB API newbie here so don't be too harsh...Please...

I have a system that generate buy and sell limit orders on both side
of the order book and does a lot of cancel/replace... That part is
fine... Limit orders update fine...

The problem is I don't know how to request if one of the 2 orders
have been filled. I use an id generator for orders so I obviously
don't know what the ids are for my 2 open orders and I want to enter
new orders as soon as one is filled. What is the easiest way to know
what are your position in your portfolio? Is their a way to just get
your current position on IB portfolio without having to get the order
id.

Also, if someone wants to share a well made id generator , it would
be great 'cause mine is quite crooked...

Thanks a lot and good trade.
 
The best way to generate an ID is have IB do it for you... when you connect to the socket IB will call a function on your eWrapper called next valid id:

Function
virtual void nextValidId(OrderID orderId)

Parameters
orderId - The next available order ID received from TWS upon connection. Increment all successive orders by one based on this ID.

Notes
This function is called after a successful connection to TWS.

If you want an example for this, checkout http://code.google.com/p/tradelink/source/browse/trunk/BrokerServers/TWSServer/TWS_TLWM.cpp

SendOrder function on line 136
nextValidid function on line 234

The other thing you can do if you don't want to track IDs, is you can do a reqAccountUpdates, which will then call updateAccountValue and updatePortfolio whenever your positions change... OR you can just handle orderStatus and look for the 'Filled' status id.

http://individuals.interactivebrokers.com/php/apiguide/apiguide.htm
 
Quote from TraDaToR:

Hello,

IB API newbie here so don't be too harsh...Please...

I have a system that generate buy and sell limit orders on both side
of the order book and does a lot of cancel/replace... That part is
fine... Limit orders update fine...

The problem is I don't know how to request if one of the 2 orders
have been filled. I use an id generator for orders so I obviously
don't know what the ids are for my 2 open orders and I want to enter
new orders as soon as one is filled. What is the easiest way to know
what are your position in your portfolio? Is their a way to just get
your current position on IB portfolio without having to get the order
id.

Also, if someone wants to share a well made id generator , it would
be great 'cause mine is quite crooked...

Thanks a lot and good trade.
More...

If your trading frequently you will run into problems with excel/DDE positions, there is latency and is too unstable for most high frequency trading apps.
 
Thank you both for your help.

Tradelink, I believe you're refering to java API when you talk about reqaccountupdates, PortfolioValue, ... right ? I don't know how do it with DDE... What I'm currently doing is the last option ( watching if status = filled but if I don't know the id... ). I think I have found a way to do it with a new id generator. I will look at the ib function as well.

Knocks, yes I know. However, it is the first time I program this kind of system and I 'm not good at all at programming. I'm always in front of the computer and the instrument on which I trade don't move fast... So I think it's ok until I learn a decent language...
 
Can you designate two cells which will be the order ID of the two orders? Then anytime you cancel/replace, you put the new order ID into the old order cell. You will always have the current two order IDs to look up either order for status.


Quote from TraDaToR:

The problem is I don't know how to request if one of the 2 orders
have been filled. I use an id generator for orders so I obviously
don't know what the ids are for my 2 open orders and I want to enter
new orders as soon as one is filled. What is the easiest way to know
what are your position in your portfolio? Is their a way to just get
your current position on IB portfolio without having to get the order
id.
More...
 
sorry trad... you're right I didn't see DDE in the subject of your post, I just read the post contents and you didn't mention dde there... my bad.

actually I was talking about the c++ api, but they're all pretty similiar... the DDE api is a wrapper around the c++ to my understanding, with some functionality removed.

the dde api docs say that the clientId should always be zero for DDE, maybe setting the ID directly isn't supported in dde?

http://individuals.interactivebrokers.com/php/apiguide/interoperability/dde_excel/programextend.htm

clientId
The ID of the client who placed the order.

NOTE: The DDE client ID is always "0."


in any case, you can infer whether an order has been filled using the same thing I suggested... the portfolio page in the sample DDE spreadsheet corresponds to the updatePortfolio/updateAccount calls I mentioned before.... here is the DDE spreadsheet portfolio :

http://individuals.interactivebrokers.com/php/apiguide/interoperability/dde_excel/tabportfolio.htm

you can then write a simple function in excel which queries against this portfolio page... eg PosSize(symbol) and it searches the symbol column until it finds a row with the requested symbol value and returns the value of the 'Position' column from the same row.
 
Quote from tradelink:

sorry trad... you're right I didn't see DDE in the subject of your post, I just read the post contents and you didn't mention dde there... my bad.

actually I was talking about the c++ api, but they're all pretty similiar... the DDE api is a wrapper around the c++ to my understanding, with some functionality removed.

the dde api docs say that the clientId should always be zero for DDE, maybe setting the ID directly isn't supported in dde?

http://individuals.interactivebrokers.com/php/apiguide/interoperability/dde_excel/programextend.htm

clientId
The ID of the client who placed the order.

NOTE: The DDE client ID is always "0."


in any case, you can infer whether an order has been filled using the same thing I suggested... the portfolio page in the sample DDE spreadsheet corresponds to the updatePortfolio/updateAccount calls I mentioned before.... here is the DDE spreadsheet portfolio :

http://individuals.interactivebrokers.com/php/apiguide/interoperability/dde_excel/tabportfolio.htm

you can then write a simple function in excel which queries against this portfolio page... eg PosSize(symbol) and it searches the symbol column until it finds a row with the requested symbol value and returns the value of the 'Position' column from the same row.
More...

Thanks.

In fact, I just made my system from "scratch" on excel so I don't use the IB spreadsheet. I don't really understand the DDE syntax for "acct" and "exec"... I will look at the example sheet from IB.

I have a few ideas on what to do now.

Thank you all.
 
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