Let rate the following API

Quote from speculatus:

I was trying to avoid broker APIs at any cost.

In my ATS I have implemented the position manager, use third party market data provider (through an abstract interface), and FIX for order routing, so it's completely broker independent.
This way the only thing you need is simple FIX certification and configuration changes when you switch between brokers.

I believe this is the only way possible on the long run. When you need something done right, you have to do it yourself.
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I believe your position manager is to get you information on your account balances, positions, order status etc. How did you implement this? through FIX or broker-dependent API?
 
Quote from neke:

I believe your position manager is to get you information on your account balances, positions, order status etc. How did you implement this? through FIX or broker-dependent API?
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My position manager is the first source of information, it keeps track of all orders and positions, calculates balances, buying power, commissions and so forth, so ATS doesn't have to have it from an external source (or multiple sources).
 
Has it ever happened that your position manager does not match your real position ? What can you do to ensure they match each other?

Quote from speculatus:

My position manager is the first source of information, it keeps track of all orders and positions, calculates balances, buying power, commissions and so forth, so ATS doesn't have to have it from an external source (or multiple sources).
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Quote from jhucti:

Has it ever happened that your position manager does not match your real position ? What can you do to ensure they match each other?
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You got executions from your broker, so you see the same filled price/size as broker gets them. Everything does match up well if you calculate commissions, rebates, and fees properly.
 
With IB API, sometimes messages are missing so positions could mismatch. So I guess my question really is have you encountered missing messages using FIX?

Quote from speculatus:

You got executions from your broker, so you see the same filled price/size as broker gets them. Everything does match up well if you calculate commissions, rebates, and fees properly.
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Quote from jhucti:

With IB API, sometimes messages are missing so positions could mismatch. So I guess my question really is have you encountered missing messages using FIX?
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Never, and remember that IB is used by many pretty big houses via FIX lines, so it's better be robust.
 
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