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Order Entry API
- Thread starter vikana
- Start date
Per Terra Nova
In general our OE API allows a user to create or use a previously created application which knows our controls to submit orders to Terra Nova. Orders are routed through the RealTick application and are submitted to the exchange / ECN in the same manner in which our regular customers' orders are routed. The user will have the capabilities to route the orders to all of the products and routes we have access to. Currently this includes ARCA, ISLD, INCA, BTRD, REDI, ISI (listed), all of the Option exchanges, and the CME's E-mini NASDAQ 100 and S&P 500 contracts. Also, the individual functionality of each route (ARCA stops etc.) are available as well. Once an order event occurs and XML file is created with the status of the order (Live, Pending, Completed, etc.). As the status changes the XML file for the order is updated. For position and order management, a simple application can be written to read the XML files.
I'm looking for an IB interface. The Fix Engine for their CTCI cost $20 to $30K!!!!. If there is trader out that knows java, he could relatively easily decomplie IB's TWS and convert it to an API.
In general our OE API allows a user to create or use a previously created application which knows our controls to submit orders to Terra Nova. Orders are routed through the RealTick application and are submitted to the exchange / ECN in the same manner in which our regular customers' orders are routed. The user will have the capabilities to route the orders to all of the products and routes we have access to. Currently this includes ARCA, ISLD, INCA, BTRD, REDI, ISI (listed), all of the Option exchanges, and the CME's E-mini NASDAQ 100 and S&P 500 contracts. Also, the individual functionality of each route (ARCA stops etc.) are available as well. Once an order event occurs and XML file is created with the status of the order (Live, Pending, Completed, etc.). As the status changes the XML file for the order is updated. For position and order management, a simple application can be written to read the XML files.
I'm looking for an IB interface. The Fix Engine for their CTCI cost $20 to $30K!!!!. If there is trader out that knows java, he could relatively easily decomplie IB's TWS and convert it to an API.
Buttermilk:
Re the IB CTCI. It's obviously too expensive. IB has announced on the board via def that they are working on an inexpensive internet based trading api. I've contacted the support at IB and in general they don't know anything about it.
It's clear, however, that TWS has virtually all the functionality already built in. Have a look at the basket trading. TWS already handle ASCII order descriptions. The TWS manual clearly documents how to write the ASCII basket orders files.
I'm considering just having my software write basket order files and then submitting the baskets manually. It's not completely automated, but fairly close. Actually, with one of the "macro recorders" it could probably be completely automated. Haven't looked at that yet.
Re the IB CTCI. It's obviously too expensive. IB has announced on the board via def that they are working on an inexpensive internet based trading api. I've contacted the support at IB and in general they don't know anything about it.
It's clear, however, that TWS has virtually all the functionality already built in. Have a look at the basket trading. TWS already handle ASCII order descriptions. The TWS manual clearly documents how to write the ASCII basket orders files.
I'm considering just having my software write basket order files and then submitting the baskets manually. It's not completely automated, but fairly close. Actually, with one of the "macro recorders" it could probably be completely automated. Haven't looked at that yet.
The only person at IB that seem to know anything about CTCI is Michael Domka who's is VP Of Sales.
I've found an inexpensive ($800) FIX GateWay that should work, per the developer, with IB's configuration. A 28 day free trial is available at their web site for downloading. I sent you a private e-mail concerning this.
I've found an inexpensive ($800) FIX GateWay that should work, per the developer, with IB's configuration. A 28 day free trial is available at their web site for downloading. I sent you a private e-mail concerning this.
vikana, macro recorders are a great way to do this and more.
I am in the final phase of automating IB with that.
You don't even need to bother about the basket file, since you can 'macro code' any order entry you want.
the only thing missing (it is important but not as crucial as it seems) is feedback from IB about execution.
If only IB would automatically maintain a file with current positions, or simply order execution. At the moment you need to export the file, it is not done automatically.
I agree that a simple Java API to TWS would be the best way. It is very simple to do to since JTWS is already a simple front end to IB's trading systems.
tntneo
I am in the final phase of automating IB with that.
You don't even need to bother about the basket file, since you can 'macro code' any order entry you want.
the only thing missing (it is important but not as crucial as it seems) is feedback from IB about execution.
If only IB would automatically maintain a file with current positions, or simply order execution. At the moment you need to export the file, it is not done automatically.
I agree that a simple Java API to TWS would be the best way. It is very simple to do to since JTWS is already a simple front end to IB's trading systems.
tntneo
I'm not that familiar with macro recorders...Where would I get information and how are you handling confirmations...feed back from IB? Would the macros handled high speed order entry.
I loaded down a free Java decomplier that seem to be good. My problem is I don't know Java
I loaded down a free Java decomplier that seem to be good. My problem is I don't know Java
The best I've found is at www.macros.com
I haven't hooked it up to TWS, so I don't know if you can accomplish what you're asking. The biggest issue I encountered is that TWS adds order lines as you create new orders. That makes it a bit difficult to issue multiple orders since the relative position of things in TWS changes under you.
I still think that creating basket files and issuing basket orders is the way to go, since all of that can be done via menus, and the menus don't change while the program is running.
I haven't hooked it up to TWS, so I don't know if you can accomplish what you're asking. The biggest issue I encountered is that TWS adds order lines as you create new orders. That makes it a bit difficult to issue multiple orders since the relative position of things in TWS changes under you.
I still think that creating basket files and issuing basket orders is the way to go, since all of that can be done via menus, and the menus don't change while the program is running.
Since I would generate more the minimum commission for direct connect, I would prefer direct connect (virtual frame relay) for speed and reliability. The cost of a frame relay line from where I live to Conn. is about $400 per month.
EasyScreen's EasyAPI allows the client to develop bespoke trading applications in a very short space of time, by accessing the EasyTrade functionality. They are formed as Active x objects and behave as addins for EasyTrade.
MAR/Hedge (Nov 19-21, Miami)
www.easyscreen.com/marhedge.html
MAR/Hedge (Nov 19-21, Miami)
www.easyscreen.com/marhedge.html