Integrated Trading with IB

[arbifox]

I am currently using IB, DynaOrder, and TWS for an automated trading system. I have been using E-Sig for some time, and I just downloaded version 8.

How far along is the seamless integration of placing orders from EFS to IB TWS all in one shot. Has that functionality been finished?

If so, are there any sample commands out there? For instance, DynaOrder does it through a DLL, so that is the type of functionality I am looking for.

All the best,

Thomas

[clearpicks]

Re: Integrated Trading with IB

Hi Thomas,

I monitored your file sharing group long time ago and I know you are an expert with tons of hand-on experience with real world automatic trading system development. Maybe you can help with some technical issues regarding using DLL to send orders to TWS.

I never got a chance to use DynoOrder because when I was ready to switch my focus from generating trading signals using EFS to automatic order execution in TWS, the DynaOrder got discontinued. Since then I have been looking for a good tool to glue EFS and TWS together. This weekend I just found TWSLink
which is a DLL library similar to DynaOrder. I wish you can answer some questions regarding using DLL to trade within TWS.

1. Is it possible to create multiple DLL objects to connect to TWS?
( I'd like to attach one automatic trading EFS to one or multiple advanced charts so that the symbol of the chart on which an automatic trading EFS is running will be automatically monitored by the script. Moreover because I'd like to trade multiple TWS instance, I may create multiple DLL objects within one EFS script, is it possible? )

2. What will happen if a DLL object is not explicitly unloaded? A DLL object is created by "new DLL()" and there is no function
called when an EFS is removed or the primary symbol of an advanced chart is changed, in this case there is no way to explicitly disconnect from the TWS, right? What will happen to those threads forked in the DLL after the dll object is distroyed by the garbage collection of javascript?

These are just some basic issues I encounted when I am design my semi-automatic trading script. Your help is greatly appreciated.

- Clearpicks

Originally posted by arbifox
I am currently using IB, DynaOrder, and TWS for an automated trading system. I have been using E-Sig for some time, and I just downloaded version 8.

How far along is the seamless integration of placing orders from EFS to IB TWS all in one shot. Has that functionality been finished?

If so, are there any sample commands out there? For instance, DynaOrder does it through a DLL, so that is the type of functionality I am looking for.

All the best,

Thomas

[arbifox]

Clearpicks,

Hmmm . . . great questions.

I have been using DO now with TWS for close to 2 years. I am not happy with the idea that it is discontinued, but it works like a charm, I have not had any errors of any sort, and I trade both the Russell and Nasdaq with it.

Regarding your questions, if I understand it correctly, there is only one relationship from an EFS that can be loaded through a DLL which connects to IB. In this sense, once that port is taken, it is taken. I have worked with many app. servers, so I do understand your question, but I have never tried loading more than one DLL to connect to TWS from one EFS.

Regarding the processes forked, this is really not an issue. With my experience, once I unload the EFS, they are automatically cleaned up. If they weren't, trust me, my machine would be crashing all the time.

I simply load the EFS at night, and I start up DO first, and then around 6 AM I launch TWS. It is routine, no real issues.

To my knowledge, trading one machine, and multiple TWS instances is not possible. But honestly, that is a layer of issue I would not even want to tackle. I have designed my systems to trade 2 markets, one machine, and about $100K account at a time. Outside of that, I build a new machine, new feed, to keep the whole concept nodal.

What I think you might be asking is how to combine the signals from multiple charts on one coherant chart, and then trade the signals from that? If that is what you may be looking into, it is a little more complicated but suffice it to say, the time frame you use on the chart you run the EFS in is the dominant time frame, but you can make calls to any time frame using EFS2. I use another method, which I had to use prior EFS2, but now that is a non issue, and I got used to my scripts.

If you have any more questions, just PM me, and I will be able to help you out.

Honestly, I trade a significant amount of cash with DO, and I really think it is production grade. I never had an issue.

All the best,

Thomas.

[windswepttom]

Hi Clearpicks,

I have a number of DLLs in my efs and bring up numerous charts to trade with IB at the same time and have never had a problem.

If I want to communcate between charts, I just use a Global variable. I prefix the variable value with something like the getSymbol() and getInterval() so I know where it came from.

With Ninjatrader you can specify an IB account so you can trade as many IB acounts that you have all at the same time with the same efs.

Tom

[clearpicks]

Tom,

Beware of this, it may trigger false trading signal.

http://forum.esignalcentral.com/showthread.php?s=&threadid=21240

- Clearpicks

Originally posted by windswepttom
Hi Clearpicks,

I have a number of DLLs in my efs and bring up numerous charts to trade with IB at the same time and have never had a problem.

If I want to communcate between charts, I just use a Global variable. I prefix the variable value with something like the getSymbol() and getInterval() so I know where it came from.

With Ninjatrader you can specify an IB account so you can trade as many IB acounts that you have all at the same time with the same efs.

Tom

[demarcog]

Re: Integrated Trading with IB

Originally posted by arbifox
I am currently using IB, DynaOrder, and TWS for an automated trading system. I have been using E-Sig for some time, and I just downloaded version 8.

How far along is the seamless integration of placing orders from EFS to IB TWS all in one shot. Has that functionality been finished?

If so, are there any sample commands out there? For instance, DynaOrder does it through a DLL, so that is the type of functionality I am looking for.

All the best,

Thomas

Thomas,

If you had asked this question a few days ago I would have said it was seemless and worked flawlessly.

However I ran into a problem with one of the generic broker functions last night trading which hopefully will be resolved soon.

You can check out the generic broker functions which asthe name implies can be used for either the eSignal Paper Broker, the demo IB account, a simulated IB account or an actual IB account.

The functions right now are the most commonly used order types that simply send an order to IB.

There is no functionality to query order status, positions, P&L, etc. but it'smy inderstand that they are planned.

Glen