Is FIX the way to go for automated trading with IB?

[rufus_4000]

Quote from nitro:

I use it and over thousands of automated trades, I have never had a problem.

nitro

I generate thousands of trades per day (maybe more than 10k, I think), and it is pretty good. However, some of the internal stuff is a bit convoluted (and hence a bit slow), so I made a few patches. However, as I am not a core contributor to QuickFIX, the patches are passed to some of the core developers.

 

[Hoi]

Quote from IBsoft:

IB has a solution for the traders who want to trade using FIX: trade through the IBgateway. It allows you to submit orders in FIX and retrieve market data through the IB-API (thus hiding the compression/decompression that takes place between the IBgateway and our servers).

Yes but it lacks Account, Budget and Portfolio information...so not useful for retail at all.......(FIX only for Orders and Execution-reports, and market-data through the IBgateway...is only a half solution....).

 

[MR.NBBO]

What is IB's FIX commisson schedule? Is it charged at the API rate...or is it available at the unbundled rate?

 

[Shreddog]

Quote from MR.NBBO:

What is IB's FIX commisson schedule? Is it charged at the API rate...or is it available at the unbundled rate?

As long as your route to SMART the API rate can be the unbundled rate. I believe FIX pricing is the same. I don't know if they hit you with a routing surcharge through the FIX gateway though.

 

[OddTrader]

Quote from Shreddog:

As long as your route to SMART the API rate can be the unbundled rate. I believe FIX pricing is the same. I don't know if they hit you with a routing surcharge through the FIX gateway though.

How much is the surcharge for FIX IBgateway ? Thanks.

 

[Shreddog]

Quote from OddTrader:

How much is the surcharge for FIX IBgateway ? Thanks.

http://www.interactivebrokers.com/en/software/interfaceComparison.php?ib_entity=llc

 

[jimcrist]

Does it make sense to use IBs FIX for order entry / execution reports and concurrently use IB's API for feedback on positions, shortable stocks and margin limits?

When you enter an order via FIX does it show up in TWS?

Using FIX, can I get the unbundled commission rate for orders directed to INET and ARCA?

 

[squeeze]

It is all described in the FIX integration manual.

You can have concurrent FIX and TWS sessions for the same account. Orders placed via FIX show up in TWS and can even be cancelled from TWS.

Makes sense to do all order routing via FIX and use TWS for housekeeping.

 

[Aaron]

Quote from squeeze:

Makes sense to do all order routing via FIX and use TWS for housekeeping.

Other than compatibility with other brokers, is there any advantage to FIX over IB's API?

I always recommend something like Ninjatrader or TWSLink to newbie programmers wanting to automate their trading.

 

[squeeze]

Quote from Aaron:

Other than compatibility with other brokers, is there any advantage to FIX over IB's API?

I always recommend something like Ninjatrader or TWSLink to newbie programmers wanting to automate their trading.

FIX has a better defined state model than the TWS API and the orderID chaining allows for safer modification of orders.

For example the if you send a modify to TWS and get a fill status back you are not sure if the fill is against the original or the modified order. FIX does not have this problem as it must report a replace execution message before the new ID becomes active. Just makes for more reliable automation.

Compatibility with other brokers is a bit of a myth as they all have different FIX implementations and it is not really any less work than writing to a new API.

To route to a selection of brokers it is probably a good idea to get onto one of the routing networks such as Fidessa, NYFIX, TradingScreen e.t.c