I've got a project to automate some trades that are all multi-leg options trades: short strangles, iron condors, double calendars, etc.
I have both the Python and the C++ versions of the Interactive Brokers' TWS API running and working for sending single options orders.
I first tried the Python version trying to get combination order going: no luck at all. Just "you are not connected" error code 504 ... when the log file shows I was connected up to that point. Clearly some rogue parameter I have but I didn't see what.
I gave up on the Python version and tried the C++ sample code; it runs a test suite and even has an old one of the multileg orders in its sample set that I just had to uncomment to get to run.
Of course, this didn't work since the options dates were from 2016 and I got a reasonable sort of error in the logs:
Code: 200, Msg: No security definition has been found for the request
I tried substituting a new options chain for this old one:
#ifdef BAD
Contract ContractSamples::OptionComboContract(){
//! [bagoptcontract]
std::cerr << "Option Combo!---------------------------------" << std::endl ;
Contract contract;
contract.symbol = "AAPL";
contract.secType = "BAG";
contract.currency = "USD";
contract.exchange = "BOX";
ComboLegSPtr leg1(new ComboLeg);
leg1->conId = 353810203;
//leg1->localSymbol = "C AAPL Oct 18 215"
leg1->action = "BUY";
leg1->ratio = 1;
leg1->exchange = "BOX";
ComboLegSPtr leg2(new ComboLeg);
leg2->conId =353810186;
//leg2->localSymbol = "C AAPL Oct 18 220"
leg2->action = "SELL";
leg2->ratio = 1;
leg2->exchange = "BOX";
contract.comboLegs.reset(new Contract::ComboLegList());
contract.comboLegs->push_back(leg1);
contract.comboLegs->push_back(leg2);
//! [bagoptcontract]
return contract;
}
#else
Contract ContractSamples::OptionComboContract(){
//! [bagoptcontract]
Contract contract;
contract.symbol = "DBK";
contract.secType = "BAG";
contract.currency = "EUR";
contract.exchange = "DTB";
ComboLegSPtr leg1(new ComboLeg);
leg1->conId = 197397509;
leg1->action = "BUY";
leg1->ratio = 1;
leg1->exchange = "DTB";
ComboLegSPtr leg2(new ComboLeg);
leg2->conId = 197397584;
leg2->action = "SELL";
leg2->ratio = 1;
leg2->exchange = "DTB";
contract.comboLegs.reset(new Contract::ComboLegList());
contract.comboLegs->push_back(leg1);
contract.comboLegs->push_back(leg2);
//! [bagoptcontract]
return contract;
}
#endif
... and I get no useful error message for this one at all.
Anybody got this working (in Python or C++ or Java)? I am stuck ...
Any suggestions would be greatly appreciated!
I have both the Python and the C++ versions of the Interactive Brokers' TWS API running and working for sending single options orders.
I first tried the Python version trying to get combination order going: no luck at all. Just "you are not connected" error code 504 ... when the log file shows I was connected up to that point. Clearly some rogue parameter I have but I didn't see what.
I gave up on the Python version and tried the C++ sample code; it runs a test suite and even has an old one of the multileg orders in its sample set that I just had to uncomment to get to run.
Of course, this didn't work since the options dates were from 2016 and I got a reasonable sort of error in the logs:
Code: 200, Msg: No security definition has been found for the request
I tried substituting a new options chain for this old one:
#ifdef BAD
Contract ContractSamples::OptionComboContract(){
//! [bagoptcontract]
std::cerr << "Option Combo!---------------------------------" << std::endl ;
Contract contract;
contract.symbol = "AAPL";
contract.secType = "BAG";
contract.currency = "USD";
contract.exchange = "BOX";
ComboLegSPtr leg1(new ComboLeg);
leg1->conId = 353810203;
//leg1->localSymbol = "C AAPL Oct 18 215"
leg1->action = "BUY";
leg1->ratio = 1;
leg1->exchange = "BOX";
ComboLegSPtr leg2(new ComboLeg);
leg2->conId =353810186;
//leg2->localSymbol = "C AAPL Oct 18 220"
leg2->action = "SELL";
leg2->ratio = 1;
leg2->exchange = "BOX";
contract.comboLegs.reset(new Contract::ComboLegList());
contract.comboLegs->push_back(leg1);
contract.comboLegs->push_back(leg2);
//! [bagoptcontract]
return contract;
}
#else
Contract ContractSamples::OptionComboContract(){
//! [bagoptcontract]
Contract contract;
contract.symbol = "DBK";
contract.secType = "BAG";
contract.currency = "EUR";
contract.exchange = "DTB";
ComboLegSPtr leg1(new ComboLeg);
leg1->conId = 197397509;
leg1->action = "BUY";
leg1->ratio = 1;
leg1->exchange = "DTB";
ComboLegSPtr leg2(new ComboLeg);
leg2->conId = 197397584;
leg2->action = "SELL";
leg2->ratio = 1;
leg2->exchange = "DTB";
contract.comboLegs.reset(new Contract::ComboLegList());
contract.comboLegs->push_back(leg1);
contract.comboLegs->push_back(leg2);
//! [bagoptcontract]
return contract;
}
#endif
... and I get no useful error message for this one at all.
Anybody got this working (in Python or C++ or Java)? I am stuck ...
Any suggestions would be greatly appreciated!