IB Improvements (Part 3)

As an alternative to a commercial system like Tradelog, it's easy to simply export the trades from TWS (using File->Export Reports and save with a .txt extension). The resulting semicolon-delimited file can then be imported into Excel (File->Open, select Files Of Type: Text, find your file, follow the wizard).

You can get more ambitious if you want, though:

I wrote a conversion program that processes the raw .rpt execution reports, extracting more from them than the TWS export. I wrote some VBA in my trade spreadsheet that imports the files for me. When the daily email statements come in, Eudora calls a perl script that pre-processes it and moves it to a specific directory, where I can then import it with some more VBA code into my spreadsheet to stick the commissions in and verify the balance.

I do some manual work in the spreadsheet to correlate opening and closing orders for my own stats, but am working on automating that too. OTOH, it's probably good to spend some time on reviewing trades manually.
 
I'd love to see the following feature added to TWS, that's listed on TradeStation's web page:


The Show Only feature is designed to allow you to enter a sell order for 5,000 shares, for instance, but have fewer shares (let's say 500) show up on the Level II screen. While your actual order will be for 5,000 shares, you will only appear as a 500 share bid. And even though you're filled in increments of 500 shares, you'll only pay one commission fee. You can also go one step further.

TradeStation's Discretionary feature can offer you the ability to avoid disclosing the price you're willing to pay.

Let's say you would like to enter a limit order of 90, but are actually willing to pay up to 90 1/8 to have your order filled faster. You simply have to click on the Discretionary button on TradeStation's Order Bar and enter 90 1/8 in the price box. The result is that you may be filled within the 90 - 90 1/8 price range, while never appearing on the Level II screen as a buyer willing to pay any more than 90.


99
 
Originally posted by shneed
Has anyone gotten filled by Timber Hill on any stock yet?

shneed
More...

I got filled a couple of times in one day by Timber Hill a few days ago (March 26th).

Carl
 
multi-currency all in one accounts are coming soon. I've put my foot in my mouth stating they'd be here by now. I've seen background software upgrades preparing for the change so it is not far away.
 
I'm connecting to TWS from a Visual Basic program using the Active X control. I am trying to request a market data line for the S&P emini (symbol = ESM2).

These are the function parameters:
Tws1.reqMktData trow, symbol, secType, expiry, strike, right, exchange, curency

I typically use this call like this to request a market data line for a stock (in TWS with a stock acct.):
Tws1.reqMktData 1, "MSFT", "STK", "", 0, "", "BEST", ""

Now, I am connecting to a TWS (futures acct), and the connection seems OK, but trying to get the S&P emini, this does not work:
Tws1.reqMktData 1, "ESM2", "FUT", "", 0, "", "BEST", ""

Nor does this,
Tws1.reqMktData 1, "ESM2", "FUT", "200206", 0, "", "BEST", ""

Any suggestions? Thanks,
 
Originally posted by esc_trader
but trying to get the S&P emini, this does not work:
Tws1.reqMktData 1, "ESM2", "FUT", "", 0, "", "BEST", ""

Nor does this,
Tws1.reqMktData 1, "ESM2", "FUT", "200206", 0, "", "BEST", ""

Any suggestions? Thanks,
More...

Your exchange needs to be "GLOBEX" instead of "BEST" for futures. I'm not too sure about the others, but hopefully that will fix it. (If not, please post again, and I'll check my file this evening.)
 
everytime i get a bulletin from IB, I get disconnected - anyone know why?

is it the Java version or something like that?

just started happening 2 days ago
 
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