smart route in IBBridge is causing trouble

[clearpicks]

In my IB trading account, trading stocks list on some foreign exchanges (such as AEB, etc.) is enabled. In IBBridge, I map "DIA" to Smart routing with USD as base currency. However it seems the orders of buy/sell DIA using SMART in IBBridge
are often routed to AEB. By further researching the contract selection in IB TWS, SMART does not include AEB. Is this a bug of IBBridge or IB TWS?

- Clearpicks

[eSignal_Brent]

Pre-Set Routing

Hi Clearpicks,

Would you please check the order defaults and let me know if you've pre-set instructions for DIA?

You can access it from eSignal's main menu, under "Trade - Interactive Brokers -> Order Defaults".

Once there, you can pre-set the routing instructions to SMART for a specific:

1. Asset class (stocks, futures, forex, etc.)

2. Asset (eg, ES;FUT;USD;GLOBEX;2007 Mar)

Let me know if that's what you needed,

Brent
Integrated Trading Product Management
[email protected]

[clearpicks]

Re: Pre-Set Routing

Hi Brent,

No matter whether I map symbol in eSignal to IB using "SMART" , "ISLAND" or any other ECN, as long as I call closeAllPositions() to close my position of DIA, the order will almost always be routed to AEB.

I can not figure out how to pre-set instruction for DIA as shown in your post. In the "Format Order Default" window, there is no place to set default route. I made a screenshot of it.

- Clearpicks

Originally posted by eSignal_Brent
Hi Clearpicks,

Would you please check the order defaults and let me know if you've pre-set instructions for DIA?

You can access it from eSignal's main menu, under "Trade - Interactive Brokers -> Order Defaults".

Once there, you can pre-set the routing instructions to SMART for a specific:

1. Asset class (stocks, futures, forex, etc.)

2. Asset (eg, ES;FUT;USD;GLOBEX;2007 Mar)

Let me know if that's what you needed,

Brent
Integrated Trading Product Management
[email protected]

[eSignal_Brent]

Order Defaults

Hi Clearpicks,

Thanks for the fast response.

Have you clicked the "find asset" button (framed in red), and associate the specific destination to the symbol?



If not, would you please try and let me know if that resolves your issue with EFS?

Thanks in advance for your patience,

Brent

[clearpicks]

Screenshot of the dictionary window

[eSignal_Brent]

Order Defaults

Hi Clearpicks,

Thank you again.
Would you please also post an image of your order default settings for DIA?

I'm sorry I wasn't more clear. We've separated Order Entry (ie, destination) settings from the Dictionary (quote source) to enable our trading engine to better support our various front-ends (like QuoteTrader), and give clients the option of pulling quotes from one source (ie, primary market), while sending trades to a different destination (ie, SMART).

If you haven't already, would you please go eSignal's main menu, and select "Trade -> Interactive Brokers -> Order Defaults", then click the "find asset" button (framed in red below), and associate DIA with the destination you'd prefer (SMART, ISLAND, etc.)?

Thanks again,

Brent

[clearpicks]

Re: Order Defaults

Hi Brent,


The screenshot of order default setting for DIA (SMART) is attached. It did not solve the routing error. When I used closeAllPositions() to close DIA position, the order was sent to AEB again. (This time I tested using IB edemo because no exchange is open in realtrading and papertrading accounts for DIA.) Therefore I suspect the routing to AEB is either caused by IB TWS not able to correctly handling that closing order correctly (which is less likely) or when IBBridge places order, it does not set those parameters correctly, especially when it calls

void placeOrder( OrderID id, const Contract &contract, const Order &order)

The extended order attribute "m_primaryExch" in Order object instance might not be set correctly.

According to IB API doc,

string m_primaryExch To clarify any ambiguity for Smart-routed contracts, include the primary exchange, along with the Smart designation, for the destination

If this is not set correctly in the implementation of EFS API closeAllPosition(), IB TWS might incorrectly route the order to AEB.

- Clearpicks

P.S. In the format order defaults window, it seems I can configure multiple default setting for DIA (for example, SMART, ISLAND, etc.), however they are all shown as "Symbol DIA, STK, USD." and there is no way to distinquish them in the pulldown list.

Originally posted by eSignal_Brent
Hi Clearpicks,

Thank you again.
Would you please also post an image of your order default settings for DIA?

I'm sorry I wasn't more clear. We've separated Order Entry (ie, destination) settings from the Dictionary (quote source) to enable our trading engine to better support our various front-ends (like QuoteTrader), and give clients the option of pulling quotes from one source (ie, primary market), while sending trades to a different destination (ie, SMART).

If you haven't already, would you please go eSignal's main menu, and select "Trade -> Interactive Brokers -> Order Defaults", then click the "find asset" button (framed in red below), and associate DIA with the destination you'd prefer (SMART, ISLAND, etc.)?

Thanks again,

Brent

[eSignal_Brent]

Order Routing

Hi Clearpicks,

Would you check "Trade -> InteractiveBrokers -> About" and let me know if you're using version 529 or higher?
I just tested that version, and was able to pre-set the routing destination in the order defaults.
I triggered the trade by double clicking a quote line, but the result was an order ticket with the pre-set routing instructions (in this case SMART).

If you're still not able to route to a pre-set destination, using version >529, would you please install the most recent version of QuoteTrader:
http://pmd.esignal.com/quotetrader/builds/qtrader.exe

During installation, you can choose "custom" and just select IB. That will install the most recent version of IB's trade engine.

Let me know if you can control routing with this engine via EFS or not.
If not, please send me an email with an ideal time that we can discuss this during business hours, whenever it's convenient for you.

Thanks,

Brent
[email protected]

[clearpicks]

Hello Brent,

Thanks for the prompt reply.

The IBBridge I was using is 1.2.529.1342, which was downloaded from pmd.esignal.com/ib. Obviously the IBBridge bundled in QuoteTrader is a much newer version (1.2.724.1134).

After upgrading IBBridge to version 1.2.724.1134, it seems some unfunctioning API work now, such as closePosition(symbol). However there are a few things I would like to point out.

First, closePosition(symbol) and closeAllPositions() not only close existing positions, but also cancel all active stop and limit orders.

Second, when calling closeAllPositions() to close positions in multiple instruments, it seems those closing orders are not sent out at the same time, instead it seems there are 1~3 seonds between two consecutive orders. In the attached example screenshot, to close positions of ES, YM, NQ, ER2, SPY, DIA, QQQQ and QM, it took 19 seconds to get all positions closed. Even if only counting the time to place orders, it still took 7 seconds (9:58:07 ~ 9:58:13) for all orders being sent out. Do you have idea why the order sending rate is limited?


Best Regards,
Clearpicks

[clearpicks]

I forgot to mention that cancelOrder(symbol) still not working.
cancelAllOrders() is working.

[eSignal_Brent]

Order Routing

Hi Clearpicks,

Thanks for your post and the extra analysis.
I'll have engineering check into issues 1 & 2 - it may take a few days to free up necessary resources to determine if the cause is in the trading engine, or in how EFS processes the requests.
Thanks in advance for your patience.

Is it correct to assume that the original routing issue has been resolved?

Thank you again,

Brent

[clearpicks]

Re: Order Routing

Hi Brent,

According to my primary testing, it seems the routing issue has been solved after upgrading. Do you have any idea what caused that problem?

- Clearpicks

Originally posted by eSignal_Brent
Hi Clearpicks,

Thanks for your post and the extra analysis.
I'll have engineering check into issues 1 & 2 - it may take a few days to free up necessary resources to determine if the cause is in the trading engine, or in how EFS processes the requests.
Thanks in advance for your patience.

Is it correct to assume that the original routing issue has been resolved?

Thank you again,

Brent

[demarcog]

Brent,

I wanted to get the latest version of IBBridge to correct the problem I've been having with my automated strategies because closePosition() was not working and perhaps mistakenly installed ALL of QuoteTrader on my laptop which I don't have a license for and actually have no idea what it does or how to use it.

I see in my trade options that I do have the 724 version of IBBridge which is what you referred to earlier, but also have the plugins for a whole slew of other brokers.

Should I uninstall this product and is having it installed going to cause any problems with my eSignal configuration?

If there was an updated version of IBBridge that resolved many of the problems that were being posted here, it would have been very helpful to make that information known and made the latest version of the code available to eSignal users.


Thanks Glen

[eSignal_Brent]

QuoteTrader & Trading Engines

Hi Glen,

Thank you for your message.

If you've already installed QT 724, then you have the most recent IB trading engine (ie, bridge, plugin).

I'll forward to engineering that you're not able to use "closePosition()", to determine if the issue is in EFS or the engine.

You're seeing all the new trading engines in eSignal, because they're installed with each version of QuoteTrader. However, one can opt for "custom installation", and install the new engines for the brokers of their choice (ie, just IB).

If you'd like to register for QuoteTrader, you can do so on the QuoteTrader website, or send me a PM, or email, with your eSignal username or CID, and I'll have it done for you.

You can uninstall QuoteTrader, and reinstall it with just IB if you chose. If IB's your only broker, there won't be any impact to your existing eSignal installation.

Finally, we're implementing an "auto-update" feature that prompts users when new version of QuoteTrader are made available.
In addition to having access to any of the >12 broker trading engines, many find QuoteTrader to be a significant enhancement in their decision-making, order entry/management efforts.

Send me a PM or email if you'd like a demo, and when that would be most convenient for you.

Thanks again,

Brent
[email protected]
http://www.esignal.com/quotetrader

[demarcog]

Re: QuoteTrader & Trading Engines

Originally posted by eSignal_Brent
Hi Glen,

Thank you for your message.

If you've already installed QT 724, then you have the most recent IB trading engine (ie, bridge, plugin).

I'll forward to engineering that you're not able to use "closePosition()", to determine if the issue is in EFS or the engine.

Thanks for the prompt response. The problem with closePosition() was verified by Jason in an earlier and reported to development by him.

You're seeing all the new trading engines in eSignal, because they're installed with each version of QuoteTrader. However, one can opt for "custom installation", and install the new engines for the brokers of their choice (ie, just IB).

I actually did select Custom-IB and it still installed all the other brokerage interfaces, which doesn't seem to be adversly effecting the IB or eSignal brokerage interfaces.

However when an automated trade is triggered I am getting prompted to define the symbol in the sysmbol map which I beleive was done earlier.

If you'd like to register for QuoteTrader, you can do so on the QuoteTrader website, or send me a PM, or email, with your eSignal username or CID, and I'll have it done for you.

You can uninstall QuoteTrader, and reinstall it with just IB if you chose. If IB's your only broker, there won't be any impact to your existing eSignal installation.

I apprecaite the offer I may do that. I need to research the product as I know nothing about it.

Finally, we're implementing an "auto-update" feature that prompts users when new version of QuoteTrader are made available.
In addition to having access to any of the >12 broker trading engines, many find QuoteTrader to be a significant enhancement in their decision-making, order entry/management efforts.

Send me a PM or email if you'd like a demo, and when that would be most convenient for you.

Thanks again,

Brent
[email protected]
http://www.esignal.com/quotetrader

I appreciate the response.

I also wanted to ask about "SMART" as a default exchange setting. Does is route to the exchange with the best price as the name implies?

If so is that the recommended routing parameter assuming no preference regarding where my order gets executed?

Thaanks again for all your help as the problem with closePosition() was a show stopper for my automated strategies and I'll know very soon if this newer 724 version corrects the problem.

It has resolved the problem for Clearpicks and I anticipate will also for me. You may want to point the link in the IBPlugin doc to the newer code.


Glen