IB/EFS Symbology of E-Mini

[ebr]

Version 7.7 build 679 (I know 7.9 is out but I haven't upgraded yet).

I think all of my testing has been with ER2 (AB in eSignal). Also, my EFS already converts the AB symbol to IBs ER2 so I have to enter it into symbology as ER2/ER2.

Thanks.

[eSignal_JasonK]

Hello ebr,

Using our demo account I was able to successfully submit trades to TWS through EFS, both market and limit orders for ES #F (version 7.8). The key was to specify the exchange and expiry parameters through the generic broker calls, which weren't included in your code example. The symbol parameter should be a string of the eSignal symbol your are trading. You should have ES #F (or other contract symbols) setup in your IB symbology under Trade-->Interactive Brokers-->Symbology. Don't worry about the exchange value there. The broker call in the EFS will override it.

For market orders I used:
buyMarket(getSymbol(), 1, "GLOBEX", "200506");

For limit orders I used:
var myLimit = getMostRecentAsk().toFixed(4);
buyLimit(getSymbol(), 1, myLimit, "GLOBEX", "200506");



Give this a try in 7.7 and if it still doesn't work, I would recommend upgrading to 7.8. Let me know if this solves your problems.

[ebr]

I will try specifying the exchange as soon as I can and get back to you on my results. However, the "expiry" parameter is documented as the time in force of the order, not the expiry of the contract, so your example doesn't really seem right on that part...

Thanks for the help.

UPDATE: I tried this in bar replay mode against the demo account and I get the following error when trying to send the order:

IB ERROR: Error validating request:-'PlaceOrder' : cause - Please enter a valid security type

This is just as I had suspected, since there is nowhere for me to specify this. I will try upgrading to 7.9 and see if this error goes away (although, at that point, I'm going to want to know what you guys are doing behind the scenes to fill in the security type).

UPDATE 2: I got it to finally get an order all the way to TWS. At first, 7.9 exhibited the exact same behaviour as 7.7 so I got to thinking about the security type and figured, you guys had to be translating that behind the scenes based on your esignal symbols and, since I was translating to ER2 myself this "behind the scenes" code would not know that is a futures contract. So, I changed my code to use "getSymbol()" and, viola, the order went through. I also had to be sure I entered an expiration in the symbology (even though I was supposedly overriding it with the parameter in the function call - or, maybe not as this still looks to me like Time in Force, not expiry). Yet another thing I must now go change on rollovers...

UPDATE 3: I confirmed that the function calls still work if I use SB_DAY for the "expiry" parameter (and the orders go in as day orders).

However, the bug I found earlier with whole numbers still completely shuts me down as any attempt to place a limit order for a whole number goes into TWS with "infinity" as the price. There are a lot of whole numbers in futures contracts. What is the schedule for getting this fixed?

[ebr]

I have found another symbology bug. You cannot have more than one eSignal symbol decode to the same IB symbol. It appears to take it on symbology entry, but if you go back in the new one replaced the old one.

This means you cannot have both AB #F and AB M5 defined.

[ebr]

Any word on the schedule of the "whole number" bug? Will it be in an interim release or will we have to wait for 8.0 for that?

[ebr]

Is this "whole number" bug fixed in 7.9.1?

[turboloser]

No, this "whole number" bug not fixed in 7.9.1.
I have the same problem with 7.9.1, but I have solution:

var stop =1260.00;
stop+=0.000000001;
sellStop(getSymbol(), 1, stop);

Tested with:
eSignal 7.91 (Build 732)
TWS Build 860.9