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IB: limit orders for commodity spreads?
- Thread starter TWolf
- Start date
Quote from kostia00:
Starting tomorrow, the CME inter-commodity treasury and swap spreads will be available in IB TWS 925+. In order to use them, please enter the spread symbol specified on CME page on the main page and select "inter-commodity spread" popup menu item in TWS.
See http://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html for more information about these products.
FYI, I just tried pulling some of these symbols up and they don't appear to work (e.g. NOL, TYT, TUT, etc). Did you mean that they will be available next week?
Quote from kostia00:
this is in works but it will take some time to add, expect this in a couple of months.
our source at CME group says RB.HO is not natively available on GLOBEX. it may be only on CME Clearport, which we don't support.
Thanks Kostia - the fixed income and 1:1 energy cracks are working great! Look forward to brent/wti when you get it done.
Regarding RB/HO it definitely trades natively on GLOBEX (front month has done about 2100 in volume today), I've executed it many times through two other FCM's and Clearport is not involved.
I'm not sure how your back end is setup, but you should be able to construct a GLOBEX recognized spread out of any two instruments with equivalent tick size. This particular one is designated Inter-Commodity (type code IS), not a crack spread like CL.RB or CL.HO. They're on page 12 below.
http://www.cmegroup.com/globex/files/ElectronicTradingConcepts.pdf
Quote from filter_sweep:
FYI, I just tried pulling some of these symbols up and they don't appear to work (e.g. NOL, TYT, TUT, etc). Did you mean that they will be available next week?
Entering TUT should work: please double-check you are using TWS 925 or newer, and if it is still an issue:
- please press ctrl-alt-h and follow instruction to upload the diagnostics to IB server;
- please pm me your username and we'll check the diagnostics.
Quote from atrocious:
Thanks Kostia - the fixed income and 1:1 energy cracks are working great! Look forward to brent/wti when you get it done.
Regarding RB/HO it definitely trades natively on GLOBEX (front month has done about 2100 in volume today), I've executed it many times through two other FCM's and Clearport is not involved.
I'm not sure how your back end is setup, but you should be able to construct a GLOBEX recognized spread out of any two instruments with equivalent tick size. This particular one is designated Inter-Commodity (type code IS), not a crack spread like CL.RB or CL.HO. They're on page 12 below.
http://www.cmegroup.com/globex/files/ElectronicTradingConcepts.pdf
The current implementation only supports 3.2.12-style crack spreads, and not more flexible 3.2.6-style inter-commodity spreads. We'll review this and see if we can add support for 3.2.6-style.
Quote from kostia00:
Entering TUT should work: please double-check you are using TWS 925 or newer, and if it is still an issue:
- please press ctrl-alt-h and follow instruction to upload the diagnostics to IB server;
- please pm me your username and we'll check the diagnostics.
I'm using build 925.6b. PM is on its way.
Kostia -
There is a bug in 925/926 when you have multiple orders on RB.CL and leave TWS, when you restart TWS most of the open orders are missing on the pending page (usually only one is shown).
Occasionally (randomly) they will reappear as the inverse spread, i.e. when the spread line was created it was +RB -CL, and the pending page will instead show +CL -RB in the symbol area but will not have any quote data or let you modify orders, it says "can't do price checks due to missing data."
If I go back to TWS 918 I can see everything in pending to cancel orders, but obviously can't modify anything or create new ones.
There is a bug in 925/926 when you have multiple orders on RB.CL and leave TWS, when you restart TWS most of the open orders are missing on the pending page (usually only one is shown).
Occasionally (randomly) they will reappear as the inverse spread, i.e. when the spread line was created it was +RB -CL, and the pending page will instead show +CL -RB in the symbol area but will not have any quote data or let you modify orders, it says "can't do price checks due to missing data."
If I go back to TWS 918 I can see everything in pending to cancel orders, but obviously can't modify anything or create new ones.