IB/EFS Symbology of E-Mini

[artlu]

When i goto Trade-->Interactive Brokers-->Symbology then I hit new.
For the boxes I enter:
Esignal: "ES #F"
IB: "ES"
Exchange: "GLOBEX"
Expiry: "June"

Then, I hit save. When I open the symbology back up the symbol is not there. Also, if i try to do a direct trade there is no error, but nothing gets transferred to IB>
Ideas?

[Mike2]

Try Expiry "200506"

[ebr]

Has anyone actually gotten this to work with futures?

I can't make it work at all. Changes to the Sybology table just won't stick so you have to delete and re-add them. Even then, no matter what I do I cannot make an exchange of "GLOBEX" stick. Every time I go back to symbology, it says "SMART" and then when I try to submit an order it says the exchange is wrong - no duh.

Also, the IB API requires a security type (STK or FUT, etc) and this is not an option anywhere - how does eSignal know this should be FUT if there is nowhere I can tell it that?

[ebr]

No one?

eSignal folks, what do you say about this? Was it ever tested with futures?

[MKen]

eSignal:

Please respond to this user. I am having the same problem. I have spoken to IB and eSignal twice each today and am currently on hold. IB Symbology does not retain ECBOT for the YM contract or GLOBEX for the ES contract, but changes back to SMART every time.

One of your techs suggested downloading the new version 7.9, so I did and reinstalled the plug-in. That is not the solution. I have tried every variation I could thing of and then tried to enter a trade, but in each of the 8 attempts so far, I receive a message window stating that IB did not accept this order. The message looks like it's coming from an obcib.dll and the message states that Symbology needs correction.

There are several other posts specific to the question of trading futures using IB elsewhere in the Broker Plug-Ins section of your BBS, none of which answer any of the users questions about whether trading futures with the IB plug-in is even possible, such as:

http://forum.esignalcentral.com/showthread.php?s=&threadid=6549

http://forum.esignalcentral.com/showthread.php?s=&threadid=13219

http://forum.esignalcentral.com/showthread.php?s=&postid=59741&highlight=IB+AND+symbol#post59741

[ebr]

The complete lack of response from eSignal representatives (whom are very active in other threads) can leave me with only one conclusion:

This "functionality" exists only so it can be listed on a competitive feature sheet and so they can say they have automated/integrated trading too when asked about eSignal vs. TradeStation. Whether or not it actually works appears to not be very important.

This is very sad for me as I have an annual renewal date approaching rapidly and may now need to switch to a platform where, at the very least, I won't be ignored.

[DuaneG]

ebr,

We've been working to replicate this and have been able to reproduce the error in house. This issue has been identified as a bug and has been assigned an EDL # 11233 (eSignal Development List). We do not have a firm timeline for when this will be fixed, but as Jason mentioned, we are guiding some resources for the Generic Broker Function in eSignal 8.0. Once we have isolated the cause, we can work to find a resolution that will put this issue behind us. Thank you for your patience.

[ebr]

Thank you very much for the response.

Which issue have you identified as a bug? I ask just because I believe there are a number of issues here - one may be a bug and others may be design deficiencies.

The most obvious problem is the fact that you cannot get the exchange to take anything other than SMART, but, even if that is fixed, I don't think futures will work as we also need the ability to give the TWS api the FUT security type.

So, is the issue a broad one of "cannot trade futures with integrated trading"?

Thanks again.

[MKen]

I may have found a solution to this problem, as I can now trade the eMinis through Interactive Brokers using an eSignal attached order ticket.

I had thought that Symbology was the problem, as the routing cannot be changed from SMART. In the Symbology window, the IB Symbol is ES (or YM, NQ, etc.) and the eSignal Symbol is ES M5. For YM, I entered the Exchange as ECBOT and for ES and NQ, I entered the Exchange as GLOBEX. Although this Exchange information does not appear to be retained by Symbology, due to its reversion back to SMART every time, this is not affecting my ability to place trades. For the Expiry, I have this entered as a six digit number for the current contract's expiration. The M5 in entered as 200506 in the Expiry entry, so the next expiration, U5 (when I change over on June 9th next month), will be 200509.

The problem, it appears, is that eSignal and the IB TWS will not interface with each other correctly IF (<==Big If) the eSignal Order Ticket is not attached while the Interactive Broker's Trader WorkStation is running and you are logged onto it. The steps I took that finally worked, after attempting dozens of other trades and getting error windows (all while making sure I was trading in the correct direction so it wouldn't hurt the account too much :~), were the following:

1. Close the Interactive Brokers Trader WorkStation (if running).

2. Remove all Attached Order Tickets from all of your eSignal charts.

3. Start the IB Traders WorkStation.

4. Select The Trade Menu at the top of the eSignal application, and scroll down to Interactive Brokers, and select logon.

5. Go to the IB Trader Workstation window and click Yes to 'Accept incoming connection attempt?'.

6. Go back to the eSignal program's Trade menu and select 'Attach Order Ticket'. (Rather than the Order Ticket title showing the template name followed by the symbol and the word Web, it will now display the symbol followed by the name Interactive Brokers.)

You should now be able to trade. This is now working for me. The only difference in the procedure I followed that was different from the above was that I created a new template while the IB TWS interface was open. I tried the existing ones and they worked, so creation of a new template probably is not necessary.

When you click on your first trade, the IB TWS will add two new Portfolio pages. The first is named API and the second is Pending. All of the trades I have making to test this process have transitioned through the Pending page into the API page, and the API page is once again blank after I have closed the position (but don't let this stop you from making sure all trades are closed using your execution reports and account information).

I must have tried a dozen different things over the past two trading days (Friday and today), so hopefully I didn't miss anything in the above instructions. Please let me know if this works for you.

Ken

[ebr]

I am trying to trade via EFS, not using an order ticket window so I doubt your method will work for me. Honestly, I don't see much advantage to the order ticket route as it is no easier than using the TWS interface (any one of the myriad of possible methods over there). The real power of integrated trading, in my opinion, is to allow your charts to define when you take a trade, thus automating your trading strategy and being sure it is executed properly.

However, I did try placing a trade with your method (using the order ticket window) and, while the trade did get passed to TWS, the limit amount was invalid. I entered a valid amount (for ER2) and it shows up in TWS as some sort of extra character set character. Of course TWS complains about it and doesn't actually accept the order.

Obviously, there are a lot of problems with this interface so there is no way I can trust it with my money at this point.

[MKen]

ebr, I don't an EFS take trades and have never tried it. The reason I want to use an attached order ticket is for the buttons, where I can click once and be in or pending a trade with whatever parameters I want to assign to the buttons. I like the idea of having the trade entry possibilities with parameters right on the chart I'm trading. My psychology doesn't accept the drawdowns associated with mechanicals, so I've become completely discretionary in my trading.

I'm sorry, but I didn't try the ER2 equals AB M5 with a Globex exchange routing, as I'm not currently trading the Russell, so I'll leave that issue and the EFS trading to the eSignal folks.

Ken

[eSignal_JasonK]

Hello ebr,

Please give me some code snippets that you are using in your EFS to send the trades. I'll do some testing on my end and see if we can get this figured out. Also, what version and build number of eSignal are you using with your EFS setup?

[JayF]

.

Originally posted by ebr
However, I did try placing a trade with your method (using the order ticket window) and, while the trade did get passed to TWS, the limit amount was invalid. I entered a valid amount (for ER2) and it shows up in TWS as some sort of extra character set character. Of course TWS complains about it and doesn't actually accept the order.

This bug has been duplicated and assigned to EDL#11234. Essentially, if a limit order is passed as a whole number through the IB Plug-in, then an Infinity sign is displayed in TWS instead of the correct limit amount.

[ebr]

MKen - Just to be clear I did not mean to "disparage" your usage of this interface - I just stated my opinion for my own usage - others may find it very useful to use the order ticket interface from eSignal. So, more power to you and I'm glad you've found a way to make it work for you. On a side note - you might also check out some of the shareware apps out there like AutoTrader and Bracket Trader which will give you some nice "one click" trading functions as well as automatically place stop and target orders for you. Just thought I'd mention that since you said easy trade management was your goal.

Jason - the code that actually calls the interface is very simple (one function call) just like the example efs I copied it from but here is that line and some of the preceding code:

    if (getCurrentBarIndex() == 0 && autoTrade) { // place trade with integration
        if (broker == "AT") {
            var openPosition = new HTTP("http://localhost:"+atPort+"/placeOrder?symbol="+product+"&action=BUY&qty="+posSize/dollarsPerPt+"&orderType=LMT&lmtPrice="+entryPrice);
            openPosition.open(); //execute
            debugPrintln(openPosition.readln()+" Long @"+entryPrice+" "+today);
        } else
        if (broker == "ES") {
            buyLimit(product,posSize/dollarsPerPt,entryPrice);
        }

I know the function is being called properly because if it executes when I am not connected to TWS the dialog to connect is produced. However, nothing happens after that. Since there are no defined return codes for these functions I don't bother to test for some sort of failure. If I try to place the trade through the "order entry" dialog of eSignal, I get the message I referenced above about the exchange or routing being incorrect. I suspect the problem lies in the security type as there is no way for me to define within this function call or the symbology that my product is a futures contract, not a stock. I notice the order ticket has an "equity" and "futures" setting but this is not exposed to the EFS interface (or, at least isn't documented).

Thanks for your help.

[eSignal_JasonK]

Hello ebr,

Thank you for the code snippet. What version and build number of eSignal are you using with your EFS setup? Also, please give me some of the futures symbols you are using.