IB/e-Signal Trading Integration

[arbifox]

To anyone out there who is trying to integrate automated trading with IB, through an automated EFS, OR, who has succeedded in doing so, please help us all out.

I want to put together documentation on how to do this from start to finish. I am not looking for strategies, we all have our own and I am sure everyone thinks theirs is the best. I am sure they are all great. What I am looking for is all the activities that had to be accomplished from a working PaperTrade EFS, to a working IB EFS.

Honestly, I have been searching for folks who are doing this and so far I have been in contact with Brad M., Matt G., wombat53, and Matt Briand. We seem to be the leading pack, and I would love to know who else out there is working in this line of work.

I will be more than happy to share ANY work I have done, I am just looking for detailed code that allows you to trade and manage your trade from an automated EFS. I think I will use DynaSoft, I know Matt B. is using that and says it works.

If anyone has any info out there, please let me know. I will read this thread, I am up on the File Share site, and you can mail me at [email protected] directly if you wish.

Thomas

[dloomis]

I use this for a long entry

if (toOpen==+1&&inMarket=="StoppedOut") //long order entry
{ lastOrderID = dots5.call("BuyStopLimit", sym, fut, exp, ri, 0, xchg, cur, 1,entryinit,entryinit);
//lastOrderID = dots5.call("BuyMarket", sym, fut, exp, ri, 0, xchg, cur, 1);
debugPrintln ("LONG Order@ "+sym+entryinit);
inMarket="long";
}

prolly needs a LOT more code to be bullet proof but it works

[dloomis]

after I get filled I use this OCA for the stops

if (inMarket=="long")
{ debugPrintln ("Checking for LONG fill "+sym);
OrderStatus=dots5.call("GetOrderStatusN",lastOrder ID);
debugPrintln (lastOrderID," Waiting ",OrderStatus);
if((OrderStatus==0||OrderStatus>=4)&&inMarket=="lo ng")
{ var FillPrice=dots5.call("GetOrderPrice", lastOrderID);
debugPrintln ("Long Order filled @ "+sym+FillPrice);
dots5.call("StartOCAGroup", "Stop"+sym+lastOrderID);
var SSL1=dots5.call("SellStopLimit", sym, fut, exp, ri, 0, xchg, cur, 1,FillPrice+Goal,FillPrice+Goal);
var SSL2=dots5.call("SellStopLimit", sym, fut, exp, ri, 0, xchg, cur, 1,FillPrice-Goal, FillPrice-Goal);
//var SSL1=dots5.call("SellMarket", sym, fut, exp, ri, 0, xchg, cur, 1);
dots5.call("StopOCAGroup");
inMarket="SellStopPlaced";
}
}

[dloomis]

I use this code to see if the stop has been hit and it is time to find a new trade

if(inMarket=="SellStopPlaced")
{ debugPrintln("inMarket44= "+inMarket);
ss1=dots5.call("GetOrderPrice",SSL1);
debugPrintln("inMarket5= "+inMarket);
ss2=dots5.call("GetOrderPrice",SSL2);
debugPrintln("SellStopPlaced"+ss1+ss2+inMarket+SSL 1+SSL2);
if(ss1==0||ss2==0)
{
inMarket="StoppedOut";
debugPrintln(inMarket+"Stopped Out");
//toOpen=0;
}
}

this code sux because it doesnt follow the documentation, but it seems to work.

[dloomis]

http://www.dynaorder.com/Help/Dots5es/

has the documentation I try to follow

[tigerwings]

Re: Reply to post 'IB/e-Signal Trading Integration'

Are any of you guys working with Globex direct for the order entry or are
you going through an Introducing Broker

Janice
---- Original Message -----
From: "eSignal Bulletin Board Mailer" <[email protected]>
To: <[email protected]>
Sent: Wednesday, December 04, 2002 6:02 PM
Subject: Reply to post 'IB/e-Signal Trading Integration'


> Hello tigerwings,
>
> ~~~~~~~~~~~~~~~~~~~~~~~~~~~~
>

[underdog430]

DLoomis -

RQ was so much easier (and now seems so long ago).

I posted a version of my system under an EFS Studies thread called getCurrentBarIndex. As I've said before, it is embarrassingly simple.

I've gotten a lot of help from Garth and others on this board. The trading time limitation was from Brad M., some of the order logic was from Dynastore, and mbriand's example was instructive.

That actually sounds like a lot of help for something so simple but this has been a real challenge (even though I'm convinced that this is the way to go).

I'll provide any assistance I can and I look forward to seeing more great comments posted by others.

Mark

[arbifox]

Let the work begin!!!

Guys,

Great start, I am coding in Dyna-whatever this weekend. I handle all my logic in the EFS, so all I need is -

Buy
Sell
Check order status
Get fill price

I will try to contact some of you in the next few days if I get specific questions. Anything new I will post either here or in

http://share.esignal.com/groupcontents.jsp?folder=&groupid=9

which is my share folder in E-Sig. Thanks for the start, I will keep all posted on my progress.

Thomas

[Dana]

I have considering writing an automated script and I have two implementation questions for those who are actually doing it.

1. Do we need program like DynaSoft or can we code an EFS with native IB calls?

2. If we don't need DynaSoft, what are the benefits of using this program?

I appreciate the jump-start.

Dana

[dloomis]

Re: Reply to post 'IB/e-Signal Trading Integration'

dyna order is only needed if you want to automate your buy sell signals

it is an interface to IB - and has an excellent paper trading component for
testing

----- Original Message -----
From: "eSignal Bulletin Board Mailer" <[email protected]>
To: <[email protected]>
Sent: Thursday, December 05, 2002 6:47 PM
Subject: Reply to post 'IB/e-Signal Trading Integration'


> Hello dloomis,
>
> ~~~~~~~~~~~~~~~~~~~~~~~~~~~~
>

[arbifox]

DynaOrder . . .

also, from what I can tell, and this all applies to trading from the EFS directly, is that e-sig has yet to port over ALL the functions that might be needed to make trade management possible, hence the need for DynaOrder to act as an intermediary.

True, e-sig has integrated IB into their app, but many of the functions are still hands on. Only the buy and sell has been ported to the EFS code, and the rest are on the way.

T

[Dana]

Thanks for the response, guys.

Let me see if I have this straight. I need DynaSoft (or something like it) to manage my automatic trading today. However, when eSignal gets around to completing the IB integration that won't be necessary. However, DynaSoft might have some other useful functions (dloomis mentioned that it has a good papertrading capability) that might still make it worthwile.

Dana

[underdog430]

The idea that eSignal might incorporate all of Dynaorder's functionality does make it less palatable to pay the $250 to buy Dynaorder.

1) Dynaorder does have a lot of functionality (including a useful paper trader) and there's no telling when (or even if) eSignal will incorporate it all.

The list of functions is available here:

http://www.dynaorder.com/Help/Dots5es/

2) Dynaorder service seems pretty good and they (or maybe he) offers useful help. It seems like IB changes their software frequently without telling anybody. Even though eSignal support and service is great, it may be that Dynaorder is more on top of this simply because it is a higher priority for them.

So while I'd rather keep things simple (and cheap) myself, Dynaorder currently seems like the way to go even if you don't have to use it (you could stick to just eSignal or you could use something else like Bracket Trader). Just my current thinking.

[dynastore]

Let me add my 2 cents

The whole idea of Dynaorder (DO) is not a replacement of integrated IB interface of eSignal.
DO is multi-platform system, i.e. it has interfaces for eSignal, Tradestation, Wealth-Lab Developer, NeoTicker, even Visual Basic or (virtually) any other platform/language that can load and call 32-bit DLLs.

And DO is only currently closely linked to IB. We plan to add compatibility with another brokerages as well (the nearest thing is a PATSYSTEMS, or JTrader).
From the point of view of the coder, he uses the same functions of DO for trading every possible broker (maybe with some little exceptions).
Right now the example of such "added broker interface" is our paper Trader Station which is very useful for the testing of the coded system in realtime, as it emulates real broker behavior.

And right now we provide only "low-level DO API" which is sometimes mentioned here at eSignal Central, but we also prepare for release a "high-level API" which is much more easier for coding.

Regards,
DB
Dynastore Software

[gspiker]

The idea that eSignal might incorporate all of Dynaorder's functionality does make it less palatable to pay the $250 to buy Dynaorder.

If that is 250.00 for a flat out buy, including update support it sounds like a good value to me...

I still am highly suspect of doing full autotrading unless you have some very good logic. I can think of dozens of ways for a system to screw up - and most of them are hard to test for.

I used to design and build highly reliable system and network architectures for a living, and I doubt many people have a real clue about how to do this safely.