Programming the IB API

Originally posted by stevet
vikana

i am a futures person, but keen to do some arbitrage with stocks, why do u think that u are so happy with "smart" and others so frustrated by it?
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Tough to tell. For my automated systematic trading I used limits typically 5 cents above/below market to increase likelyhood of fill. Market orders also generally fill within 5 cents of current market, which I consider normal.

For QQQ and the few NASDAQ stocks I sometimes trade I also have an ISLD line. Just in case. SMART seems OK. Maybe my expectations are not as high as others. I don't play for cents.

I tested market orders with ES. Since Globex is the only place they go, I got the bid/ask as you would expect.
 
Only reasons i can think of are:
1. if you trade a few nasdaq stocks i'm sure you can do better by manually routing to the various ECNs. Or least that was the case until supersoes came online

2. sometimes people forget how difficult it can be to get good fills on nasdaq.

3. Maybe some have experience with other "smart" routing technologies and they "transfer" that experience. I've had terrible experience with CyberCorps CyberXChange (or whatever they call it). IB's is simply much better.

That's all I can figure. Why don't you just try it out with say 100 to 300 shares at a time and see for yourself.
 
vikana

i am into futures as stocks scare the life out of me - that is really why i come onto elite - i have never really seen anything of any value posted about futures, but there is a lot of stuff about stocks -

and i am just trying to take it all in and stocks arbitrage interests me - but with everyone bitching about fills etc it puts me off as i feel that getting filled at the right place is key not to screw the risk reward
 
Originally posted by stevet
vikana

do u see any logic to the people who complain about smart

fills on es are as good as u get in anything
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While this wasn't addressed to me, I'll jump in anyways :D

My problem is that SMART will sometimes route to NYSE sometimes when my system needs to get out in a hurry. Say the Qs are .20x.25 ISLD, the market is moving up, NYSE is .20x.21. So SMART will be .20x.21. My system "knows" this is going up, and needs to exit the short immediately. So it wants to hit the ISLD bid that it knows is there. It sends a buy at .25 via SMART. SMART says "Hey, I can save this guy 4 cents!" and sends it to NYSE. NYSE sits on it for a few seconds, sees the market go up and no fill. :(

Having disparaged SMART, let me also say that it frequently will give me price improvements over a direct ISLD trade.
 
TGregg and steve,

For the QQQ, personally I always just do ISLD.

A good example of why I like smart is from yesterday where I shorted AMGN shortly after the open. Got 75 shares ISLD, 25 on ARCA and 400 somewhere else. If I had done it manually, I would have gotten 75 on ISLD and likely have missed the rest.

For NYSE, using SMART is the best way to get TMBR fills (which are fast and as good as the specialist in my experience)
 
Originally posted by CarlErikson


They are as fast as if you put the order in yourself. So they are just as fast, but not faster than manual orders.

Carl
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You should check out our new software. It will automate the execution and risk management of your trades 100% hands free. You can also manually trade in your account without interfering with your systems position.
 
Does IB's API offer the ability to tie in with any charting software? Even maybe Excel's crude abilities? I've noticed IB's quotes come across about 1 to 2 seconds sooner than some quote services. Would like to take IB's quote feed and route it into some charting software without adding lag time. (i.e. the chart would update simultaneously with the quote feed)

Was wondering if any techies have made something like that work before I try and reinvent the wheel.

:confused:
 
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