paper trading IB API

H

honza

Good morning,

I have small problem with opening paper trades through API in TWS.

Algorithm through API sending buy/sell order in first seconds after the NASDAQ opens, but trading position is open on the price which is quoted 30min-1hour later.

For example on INTC 16.10 2013.
time 9:30:02 -> price 23.26 -> I send order: Buy 200 shares -> trading position is opened on price 23.61, which is quoted 1.5 hour later.

Chart INTC:
http://www.google.com/finance?chdnp...AQ:INTC&ntsp=1&fct=big&ei=4LRfUrD7JanFwAPM2AE

Did you have the same problem? Do you see any reason why is this happening?

I do not believe that liquidity is too small for 200 shares...

Thank you and have a nice day.
Honza
 
Assuming you mean the "true" papertrading account as opposed to the demo account, I can only think of one thing for OPG fills: It's my experience that NASDAQ OPG orders need to be in at 9:28, and can't be cancelled after that. Placing an OPG at 9:30:02 is too late.

If you mean a plain LMT order, I would set the TIF to "GTC", so that you don't need to TWS to decide that it's a day session.

The demo account does not have reliable data, and API access can be spotty at times.
 
Thank you for your answer. Yes I mean true paper account with real prices. I can't put orders at 9:28, because trading strategii needs know open prices, so I have to put orders after 9:30:00.

For open trades, I am using Market order. Is it better use LMT? (I have to open all trades, because the trading positions are in pairs.)

Do you have same tips for achieve low slippage, please?
Is LOO order good idea?

Thank you very much.
Honza
 
Hi ET. I have an IB account and a simulated account. The quotes for spot Fx pairs seem really, really close to each other. Given an auto system that trades about 10-15 times per day on a 5m timeframe and submitting a trade with 2 closing bracket orders (stop and target) with the opening trades using midprice (bid+offer / 2), would anyone here care to comment on their experience during the transition from IB's simulated to real trading environment? Were results dramatically different ? My quantity is 1 base unit of 100,000 Fx pair. Thanks.
 
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