Api Reference Guide
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Trader Workstation API
Reference Guide
Version 973.07
Table of Contents
Chapter 1 Introduction 3
Chapter 2 Initial Setup 7
Chapter 3 Using Third Party API Platforms 11
Chapter 4 Excel APIs 19
Chapter 5 Troubleshooting and Support 55
Chapter 6 Programming the API: Architecture 59
Chapter 7 Connectivity 61
Chapter 8 Financial Instruments (Contracts) 65
Chapter 9 Orders 89
Chapter 10 Streaming Market Data 199
Chapter 11 Historical Market Data 241
Chapter 12 Account & Portfolio Data 255
Chapter 13 Options 273
Chapter 14 Financial Advisors 279
Chapter 15 Fundamental Data 295
Chapter 16 Error Handling 297
Chapter 17 Market Scanners 315
Chapter 18 News 321
Chapter 19 IB Bulletins 327
Chapter 20 Display Groups 329
Chapter 21 Namespace Index 332
Chapter 22 Hierarchical Index 333
Chapter 23 Class Index 337
Chapter 24 Namespace Documentation 339
Chapter 25 Class Documentation 341
Chapter 1
Introduction
http://interactivebrokers.github.io/tws-api/introduction.html
The TWS API is a simple yet powerful interface through which IB clients can automate their trading strategies,
request market data and monitor your account balance and portfolio in real time.
2.1 Audience
Our TWS API components are aimed at experienced professional developers willing to enhance the current TWS
functionality. Regrettably, Interactive Brokers cannot offer any programming consulting. Before contacting our API
support, please always refer to our available documentation, sample applications and Recorded Webinars
2.2 How to use this guide
This guide reflects the very latest version of the TWS API -9.72 and higher- and constantly references the Java,
VB, C#, C++ and Python Testbed sample projects to demonstrate the TWS API functionality. All code snippets are
extracted from these projects and we suggest all those users new to the TWS API to get familiar with them in order
to quickly understand the fundamentals of our programming interface. The Testbed sample projects can be found
within the samples folder of the TWS API's installation directory.
2.3 Requirements
• • The TWS API is an interface to TWS or IB Gateway, and as such requires network connectivity to a running
instance of one of these programs.
•To obtain the TWS API source and sample code, download the API Components.
•To make use of TWS API 9.72+, will require TWS build 952.x or higher.
• A working knowledge of the programming language our Testbed sample projects are developed in.
• • To obtain the TWS API source and sample code, download the API Components.
• To make use of TWS API 9.72+, will require TWS build 952.x or higher.
• A working knowledge of the programming language our Testbed sample projects are developed in.
• Java 8 or higher is required for running the Java API client.
Code samples in this guide are presented in the order:
•C#
•Java
•VB.NET
•C++
•Python
4 Introduction
• • To obtain the TWS API source and sample code, download the API Components.
• To make use of TWS API 9.72+, will require TWS build 952.x or higher.
• A working knowledge of the programming language our Testbed sample projects are developed in.
• Microsoft .Net Framework 4.5 or higher is required for running the VB API client.
• • To obtain the TWS API source and sample code, download the API Components.
• To make use of TWS API 9.72+, will require TWS build 952.x or higher.
• A working knowledge of the programming language our Testbed sample projects are developed in.
• A compiler that supports C++11 is required for running the C++ API client.
• For Windows users who use Visual Studio, a version of 2012 or higher is required.
• • To obtain the TWS API source and sample code, download the API Components (API version 9.73 or
higher is required).
• To make use of TWS API 9.73+, will require TWS build 952.x or higher.
• A working knowledge of the programming language our Testbed sample projects are developed in.
• Python version 3.1 or higher is required to interpret Python API client.
2.4 Limitations
Our programming interface is designed to automate some of the operations a user normally performs manually
within the TWS Software such as placing orders, monitoring your account balance and positions, viewing an instru-
ment's live data... etc. There is no logic within the API other than to ensure the integrity of the exchanged messages.
Most validations and checks occur in the backend of TWS and our servers. Because of this it is highly convenient to
familiarize with the TWS itself, in order to gain a better understanding on how our platform works. Before spending
precious development time troubleshooting on the API side, it is recommended to first experiment with the TWS
directly.
Remember: If a certain feature or operation is not available in the TWS, it will not be available on the API side
either!
2.4.1 Requests
The TWS is designed to accept up to fifty messages per second coming from the client side. Anything coming
from the client application to the TWS counts as a message (i.e. requesting data, placing orders, requesting your
portfolio... etc.). This limitation is applied to all connected clients in the sense were all connected client applications
to the same instance of TWS combined cannot exceed this number. On the other hand, there are no limits on the
amount of messages the TWS can send to the client application.
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2.4 Limitations 5
2.4.2 Paper Trading
If your regular trading account has been approved and funded, you can use your Account Management page to open
aPaper Trading Account which lets you use the full range of trading facilities in a simulated environment
using real market conditions. Using a Paper Trading Account will allow you not only to get familiar with the TWS API
but also to test your trading strategies without risking your capital. Note the paper trading environment has inherent
limitations.
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Chapter 2
Initial Setup
http://interactivebrokers.github.io/tws-api/initial_setup.html
The TWS API is an interface to IB's standalone trading applications, TWS and IB Gateway. These are both
standalone, Java-based trading applications which were designed to require the use of a graphical user interface
for the security of user authentication. For that reason, "headless" operation is not supported.
3.1 The Trader Workstation
Our market maker-designed IB Trader Workstation (TWS) lets traders, investors, and institutions trade stocks, op-
tions, futures, forex, bonds and funds on over 100 markets worldwide from a single account. The TWS API is a
programming interface to TWS and as such, it forcefully requires a TWS to connect to. To use version 9.72+ of the
API, it is necessary to have TWS version 952 or higher.
3.2 The IB Gateway
As an alternative to TWS for API users, IB also offers IB Gateway (IBG). From the perspective of an API application,
IB Gateway and TWS are essentially identical; both represent a server to which an API client application can open
a socket connection once the user has first authenticated a session. In either case (TWS or IBG), the user must
authenticate a session by manually entering credentials into the login window- for security reasons, a headless
session of TWS or IBG without a GUI is not supported. From the user's perspective, IB Gateway is a lighter
application which consumes about 40% fewer resources and has some advantages over using an API connection
to TWS- most noticeably, it does not have the designed limitation that an autologoff time is programmed when it
must shutdown to be restarted. IB Gateway does not update automatically and it is recommended to upgrade to a
current version from the website every few months or less.
•There are however some times in which it will also be necessary to restart IB Gateway, for instance if there is
a change to IB's contract database because of a ticker symbol changed or the introduction of a new contract,
it will be necessary to restart IBG to access the updated contract information.
The advantages of TWS over IBG is that it provides the end user with many tools (Risk Navigator, OptionTrader,
BookTrader, etc) and a graphical user interface which can be used to monitor an account or place orders. For
beginning API users, it is recommended to first become acquainted with TWS before using IBG.
For simplicity, this guide will mostly refer to the TWS although the reader should understand that for the
TWS API's purposes, TWS and IB Gateway are synonymous.
8 Initial Setup
3.3 Enable API connections
Before any client application can connect to the Trader Workstation, the TWS needs to be configured to listen
for incoming API connections on a very specific port. By default when TWS is first installed it will not allow API
connections. IBG by contrast accepts socket-based API connections by default. To enable API access in TWS,
navigate to the TWS' API settings at Edit ->Global Configuration ->API ->Settings and make sure the "Enable
ActiveX and Socket Clients" option is activated as shown below:
Also important to mention is the "Socket port". By default a production account TWS session will be set for socket
port 7496, and a paper account session will listen on socket port 7497. However these are just default values
chosen because they are almost always available on any computer. They can be changed to any open socket port,
as long as the socket ports specified in the API client and TWS settings match. If there are multiple TWS sessions
on one computer, the socket port is used to distinguish the TWS session. Since only one application can listen on
one port at a time you will need to assign different ports to each running TWS.
Important: when running paper and live TWS on the same computer, make sure your client application is
connecting to the right TWS!
3.4 Read Only API
The API Settings dialogue allows you to configure TWS to note accept API orders with the "Read Only" setting. By
default, "Read Only" is enabled as an additional precautionary measure. Information about orders is not available
to the API when read-only mode is enabled.
3.5 Master Client ID
By default the "Master Client ID" field is unset. To specify that a certain client should automatically receive updates
about all open orders, as well as commission reports from orders placed from all clients, the client's ID should be set
as the Master Client ID in TWS or IBG Global Configuration. The clientID is specified from an API client application
in the initial function call to IBApi::EClientSocket::eConnect (p. ??).
3.6 Installing the API source
The API itself can be downloaded and installed from:
http://interactivebrokers.github.io/
Many third party applications already have their own version of the API which is installed in the process of installing
the third party application. If using a third party product, it should first be verified if the API must be separately
installed and what version of the API is needed- many third party products are only compatible with a specific API
version.
The Windows version of the API installer will create a directory "C:\\TWS API\" for the API source code in addition
to automatically copying two files into the Windows directory for the ActiveX/DDE and C++ APIs. It is important
that the API installs to the C: drive, as otherwise API applications may not be able to find the associated files.
The Windows installer also copies compiled dynamic linked libraries (DLL) of the 32 versions of the ActiveX control
TWSLib.dll, C# API CSharpAPI.dll, and C++ API TwsSocketClient.dll. Starting in version 973.03, the Windows
installer also installs a 32 bit version of the RTDServer control. To use a 64 bit application which loads the API as a
dynamic library, it is necessary to compile and install a 64 bit version of the desired control.
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3.7 Changing the installed API version 9
3.7 Changing the installed API version
(On Windows Only)
If a different version of the ActiveX (v9.71 or lower) or C++ API is required than the one currently installed on the
system, there are additional steps required to uninstall the previous API version to manually remove a file called
"TwsSocketClient.dll":
1) Uninstall the API from the "Add/Remove Tool" in the Windows Control Panel as usual
2) Delete the C:\TWS API\ folder if any files are still remaining to prevent a version mismatch.
3) Locate the file "C:\Windows\SysWOW64\TwsSocketClient.dll". Delete this file.
4) Restart the computer before installing a different API version.
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Chapter 3
Using Third Party API Platforms
http://interactivebrokers.github.io/tws-api/third_party.html
Third party software vendors make use of the TWS' programming interface (API) to integrate their platforms with
Interactive Broker's. Thanks to the TWS API, well known platforms such as Ninja Trader or Multicharts can interact
with the TWS to fetch market data, place orders and/or manage account and portfolio information.
•It is important to keep in mind that most third party API platforms are not compatible with all IB
account structures. Always check first with the software vendor before opening a specific account type or
converting an IB account type. For instance, many third party API platforms such as NinjaTrader and Trade←-
Navigator are not compatible with IB linked account structures, so it is highly recommended to first check with
the third party vendor before linking your IB accounts.
A non-exhaustive list of third party platforms implementing our interface can be found in our Investor's
Marketplace. As stated in the marketplace, the vendors' list is in no way a recommendation from Interac-
tive Brokers. If you are interested in a given platform that is not listed, please contact the platform's vendor directly
for further information.
4.1 Frequently Asked Questions
Below is a list of frequently asked questions. All answers are given considering a standard usage of the TWS. Note
that some vendors might provide an additional customisation level to simplify things. If the below description does
not reflect the way you operate your third party software with the TWS, please contact your vendor directly.
•How to connect a 3rd party platform to Interactive Brokers' Trader Workstation
•Where to get support for a third party software connecting to the TWS.
•My program's vendor did not find any issue on its side and asked me to contact Interactive Brokers
directly.
•TWS generates warning messages that block my orders being automatically transmitted
•I cannot see any market data in my third party program
•I do have the Live Data Subscriptions I need but when using my paper trading user name I am still
unable to obtain it.
•I am obtaining a message saying "Historical data request pacing violation"
•I am obtaining a "HMDS query returned no data" message.
12 Using Third Party API Platforms
•I cannot chart CFDs from my third party program yet the TWS shows the data correctly.
•Can I connect simultaneously to my live and paper TWS?
•The charts shown by my charting software differ from the ones shown by the TWS
•Is there a fee involved to receive data from the API?
•Can the TWS API be used with trial accounts?
•What types of APIs are available?
•What are differences between connecting to the TWS API and using a FIX/CTCI connection?
•Can I use another trading application (IBKR mobile, WebTrader, TWS) while an API program is
con-nected?
•Can the TWS API be used with any IB account?
•Why does an order from the API appear as untransmitted in TWS with a 'T' button next to it?
•Is autolaunching of TWS or IB Gateway supported by IB?
•Is it possible to disable the daily auto-logoff requirement of TWS?
•Do you recommend any third party products or programming consultants?
•What are the differences between using an API application with TWS and IB Gateway?
•Is it possible to run TWS or IB Gateway on a headless server?
•Do I ever need to upgrade the TWS API?
•The data indicator in IB Gateway is red. Is something wrong?
•How do I report a problem to the API Support team?
•Are historical account positions or account values available from the TWS API?
•Does IB provide hosting services for custom algorithms?
•Is there an Excel API for MacOS?
4.1.1 How to connect a 3rd party platform to Interactive Brokers' Trader Workstation
Connecting any third party program to the TWS requires you to enable API connectivity on the TWS itself as
explained in Enable API connections section. Your third party program will need to provide means for you to
specify at least a host and a port. In the vast majority of cases the third party program will be running on the exact
same computer as the TWS therefore the host IP can be specified as 127.0.0.1 whereas the port needs to be the
exact same as the one configured in the TWS' API Settings, typically 7496 or 7497. Below is an illustration showing
one of our API sample applications highlighting the typical connectivity fields a program connecting to the TWS
should provide. Note there is an additional field for "clientId". You can set this id to any positive integer including zero
or to whatever your third party application's provider recommends.
Note: for vendor-specific instructions please contact your third party provider directly.
4.1.2 Where to get support for a third party software connecting to the TWS.
Interactive Brokers cannot provide any kind of support or advice for software not developed by IB itself. Depending
on the nature of your inquiry, our support staff's advice might be quite limited since in most of cases it is not realistic
to reverse-engineer a third party program in order to understand how is it using our API. Because of this, the third
party vendor's support team should always be the first contact option.
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4.1 Frequently Asked Questions 13
4.1.3 My program's vendor did not find any issue on its side and asked me to contact Interactive Brokers
directly.
There will be occasions when a given operation will not be fulfilled as expected not because of a malfunction in
either platform but because of the business logic involved. The typical behaviour of the TWS is to either perform the
requested operation or to return an explanatory message which will point you in the right direction. It is the duty of
the third party program to clearly show these TWS' messages within its own user interface. Without a relevant error
message our support team will not be able to give any advice.
In case of a malfunction on Interactive Broker's side, clear and concise technical information needs to be provided
including evidence of the malfunction in the form of TWS or API message log files as detailed in Log Files section of
this guide. Collecting all the needed information is not a trivial process and might require a very detailed knowledge
of our API. To prevent being caught in between support teams, please request your third party vendor to contact us
directly via email to api@interactivebrokers.com with as much information as possible.
4.1.4 TWS generates warning messages that block my orders being automatically transmitted
There are precautionary settings in TWS that are designed to be a order safety check. TWS would usually generate
a pop-up warning dialogue, or sent back an error message via the API, when there is any violation to the pre-define
precautionary settings in TWS Presets.
For users who uses a third party software to place orders but also receives data feed from a different vendor other
than IB, TWS would also generate a default warning "You are trying to submit an order without having market data
for this instrument" on receiving orders from third party. The checked order will not be transmitted automatically
unless user click "Transmit" button of the order in TWS.
TWS precautions can be bypassed by navigating to File/Edit → Global Configuration → API → Precautions, and
check the box "Bypass Order Precautions for API Orders". Once this is done, API orders placed from a third party
software will not be checked by TWS precautions.
4.1.5 I cannot see any market data in my third party program
As explained in our Streaming Market Data page, in order to be able to pull market data from the TWS, you need
to acquire the Live Market Data of the product(s) you are interested in.
4.1.6 I do have the Live Data Subscriptions I need but when using my paper trading user name I am still
unable to obtain it.
Make sure you are Sharing Market Data Subscriptions
4.1.7 I am obtaining a message saying "Historical data request pacing violation"
Please refer to our Historical Data Limitations page
4.1.8 My third party program shows "No data of type EODChart is available" when trying to load a chart
This message is returned when the requested End of Day (EOD) market data is not available in our systems. You
can easily verify this by loading the exact same chart using the TWS to obtain the same result:
Please contact our General Support team's Market Data department for further information.
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14 Using Third Party API Platforms
4.1.9 I am obtaining a "HMDS query returned no data" message.
Sometimes the data prior to the specified requested date is also not available for several reasons. Suppose a
product started quoting (generating data) on 1st January 2016 but your third party program requests data prior to
this date. To prevent this error message adjust your third party program's charting parameters accordingly.
4.1.10 I cannot chart CFDs from my third party program yet the TWS shows the data correctly.
Except for Index CFDs, CFDs do not have any market data of their own. What the TWS displays is the CFD's
underlying contract's data. Whenever you try to fetch non-Index CFD data from the TWS, you will obtain an error
message asking you to pull it's underlying contract's data instead. Some third party programs' user interface only
allow placing orders via their charts. Given that no data can be loaded for these products and the impossibility of
the third party program to apply a similar conversion as the TWS, you might find your third party software not able
to place orders as a consequence!
4.1.11 How can I connect my third party program to my paper trading account?
Connections via the TWS API are not aware of the user name with which you are logged in with in your TWS.
From this point of view the API makes no difference between live or paper trading. Since third party programs only
connect any running TWS on the specified host and port it only takes you to launch the TWS and log into it with your
paper trading credentials, make sure you Enable API connections and connect to it from your third party
application using the same procedure.
4.1.12 Can I connect simultaneously to my live and paper TWS?
From our side, yes. You can launch as many instances of the TWS as you need using different user name/password
combinations. It is crucial though to make sure each TWS is listening on a different port as described in the Enable
API connections section. Note that your might as well need to launch multiple instances of your third party
program and/or have a way of telling when is your program using the paper or the live accounts.
4.1.13 The charts shown by my charting software differ from the ones shown by the TWS
Given that the historical data sent down the TWS API comes from the same source as the one displayed by the
TWS itself it is almost impossible for it to differ.
Some charting platforms circumvent our Historical Data Limitations by combining real time and historical data.
Since our real time market data is not tick-by-tick, bars built from it will hardly match those retrieved from our
historical market data service.
Alternatively, you might as well be comparing different charts without noticing. A chart displaying data from NYSE
will never be the same as another built from the ARCA exchange or from our SMART routing strategy. inadvertently
you might as well be looking at TRADES on one side while having MIDPOINT or BID_ASK on another. Another
common mistake involves having different timezones between the TWS and your client application.
4.1.14 Is there a fee involved to receive data from the API?
Streaming real time data or receiving historical bars from the API requires streaming level 1 market data subscrip-
tions. Subscriptions for instruments other than forex, bonds, and index CFDs incur a monthly fee.
http://interactivebrokers.github.io/tws-api/market_data.html
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4.1 Frequently Asked Questions 15
4.1.15 Can the TWS API be used with trial accounts?
Yes it is possible to connect an API application to a trial account. However it is not possible to receive real time
market data or historical candlesticks for most instruments from the TWS API with a trial account login.
4.1.16 What types of APIs are available?
There is an API for Traders Workstation (TWS API). It is the most full-featured and can be used by all clients with
trading access. There is a WT Web API for white-branded advisors and introducing brokers that provides streaming
and historical data. There is a REST WebAPI for third party companies and institutions. It can be used to place
stock and forex orders, receive market data snapshots, and receive account and portfolio information. https←-
://www.interactivebrokers.com/en/index.php?f=1325
4.1.17 What are differences between connecting to the TWS API and using a FIX/CTCI connection?
The TWS API is an interface to TWS or IB Gateway. It provides many functionalities, such as the ability to receive
market data, place orders, and receive account information. The TWS API requires that the user first login to either
TWS or IB Gateway, both standalone desktop applications. The TWS API has an order rate limitation of 50 orders
per second.
FIX/CTCI connectivity can be configured to connect either with IB Gateway or directly to IB. Unlike the TWS API,
FIX/CTCI is only for order placement and can not be used to receive market data. Also, FIX/CTCI has monthly
minimum commissions involved.
4.1.18 Can I use another trading application (IBKR mobile, WebTrader, TWS) while an API program is con-
nected?
To connect to the same IB account simultaneously with multiple trading applications it is necessary to have multiple
usernames. Additional usernames can be created through Account Management free of charge. Market data
subscriptions however only apply to individual usernames so the fees would be charged separately.
4.1.19 Can the TWS API be used with any IB account?
Most third party API applications do not support all IB account structures, so it is highly recommended to consult
with the third party software vendor before opening or converting to a specific IB account type to use with a third
party application.
4.1.20 Why does an order from the API appear as untransmitted in TWS with a 'T' button next to it?
If an order appears in TWS as untransmitted and is not sent to IB, there are generally three causes: (1) There is
an error in the order preventing transmission (2) There is a TWS precautionary setting preventing transmission to
IB. Precautionary settings can be globally overridden in TWS through the settings in Global Configuration at API ->
Precautions ->Bypass Order Precautions for API Orders (3) The order was sent with the 'transmit' boolean flag in
the API Order class set to False. By default, its value is True.
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16 Using Third Party API Platforms
4.1.21 Is autolaunching of TWS or IB Gateway supported by IB?
Unfortunately for security reasons auto-launching of TWS or IB Gateway is not supported. Both applications are
designed to require the user to manually enter his or her credentials into the UI.
4.1.22 Is it possible to disable the daily auto-logoff requirement of TWS?
It is possible to adjust the time of auto-logoff, but not disable it. However, IB Gateway can be substituted for TWS
for use with an API application and it does not have the daily logoff requirement.
4.1.23 Do you recommend any third party products or programming consultants?
IB does not recommend particular third parties, but a list is maintained on the Investors Marketplace. https←-
://gdcdyn.interactivebrokers.com/Universal/servlet/MarketPlace.MarketPlace←-
Servlet
4.1.24 What are the differences between using an API application with TWS and IB Gateway?
From the point of view of an API application, TWS and IB Gateway are essentially identical. TWS additionally offers
the user the ability to directly view positions, trades, and market data, and provides a number of tools for trading, re-
search, and analysis. IB Gateway has a simple graphical user interface that is only used for modifying settings. The
advantages of IB Gateway is that it consumes 40% fewer resources and can run for longer periods without automat-
ically closing down. http://interactivebrokers.github.io/tws-api/initial_setup.html
4.1.25 Is it possible to run TWS or IB Gateway on a headless server?
Both TWS and IB Gateway are designed to have a user interface for the client to enter their account credentials.
For that reason, headless or GUI-less operation is not supported.
4.1.26 Do I ever need to upgrade the TWS API?
TWS is very backwards compatible with the API so it is not necessary to upgrade the API when upgrading to a new
version of TWS. Generally the only reason it is necessary to upgrade the API is to take advantage of a new feature
introduced in a more recent API version.
4.1.27 The data indicator in IB Gateway is red. Is something wrong?
It is normal for the market data farm connection indicator to stay red until a market data request is made from the
API application. The farms can also turn red after extended inactivity.
4.1.28 How do I report a problem to the API Support team?
Diagnosing specific issues will generally require that API logging is enabled in TWS or IB Gateway when the issue
occurs. In TWS this is done by navigating to Global Configuration ->API ->Settings and checking the box "Create
API Message Log", and setting the logging level to "Detail" In IB Gateway, these settings are found at Configure ->
Settings ->API ->Settings If an issue occurs after logs are enabled, they can be uploaded using the combination
Ctrl-Alt-Q and then clicking Submit. Please let API Support know logs have been uploaded.
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4.1 Frequently Asked Questions 17
4.1.29 Are historical account positions or account values available from the TWS API?
Since the API cannot provide information not available in TWS, historical portfolio information is not available. It is
available from statements and flex queries in Account Management.
4.1.30 Does IB provide hosting services for custom algorithms?
Unfortunately no, web hosting is not provided.
4.1.31 Is there an Excel API for MacOS?
The Excel APIs require a Windows computer with Microsoft Excel.
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Chapter 4
Excel APIs http://interactivebrokers.github.io/tws-api/excel_apis.html
5.1 Available Excel APIs
There are several API technologies available for Microsoft Excel. Since they utilize Windows technologies the Excel
APIs require a Windows OS.
•RTD Server for Excel
•Dynamic Data Exchange
•ActiveX for Excel API
Important: Sample spreadsheet applications are distributed with the API download for each of the API technologies
(RTD Server, ActiveX, DDE). It is important to keep in mind that the sample applications are intended as simple
demonstrations of API functionality for third party programmers. They do not have robust error handling functionality
and are not intended to be used as production level trading tools.
Recorded webinars providing an introduction to Excel API technologies are available from the IB website at←-
:Recorded Excel API Webinars
5.2 Excel API comparison
RTDServer DDE ActiveX
Full API functionality Not currently No Yes
Easy to use formulas Yes Sometimes No
Use without VBA Yes Sometimes No
Designed to not overwhelm Excel Yes No No
Open Source Yes No Yes
Market Data Refresh rate 250 ms 250 ms 1 sec
Sample compatible with 64 bit Excel No∗Yes Yes∗∗
∗expected in next API release, to be named 973.07
∗∗API ActiveX installer is compatible with both 32 and 64 bit applications starting with v973.05
20 Excel APIs
5.3 Limitations of Microsoft Excel APIs
By design, Microsoft Excel gives precedence to the user interface over the data connection to other applications.
For that reason, Excel only receives updates when it is in a 'ready' state, and may ignore data sent for instance
when a modal dialogue box is displayed to the user, a cell is being edited, or Excel is busy doing other things. A
new Excel Real Time Data server (RTD) API has been introduced to help address some of these limitations, but
they are inherent to Excel as a trading application and not specific to an API technology.
5.4 RTD Server for Excel
5.4.1 Introduction
TWS RTD Server API is a dynamic link library which allows user to request real-time market data from TWS via API
using Microsoft Excel®. The TWS RTD Server API directly uses the C# API Client source, which connects to TWS
via the socket. It allows displaying streaming live (or 15-minute delayed) market data in Excel by entering formulas
into an Excel cell following a specific syntax.
Note: At the current stage, only top-level market data is supported via TWS RTD Server API. No trading capability
or other data types are supported. Both Delayed and Real-Time data are supported via TWS RTD Server API.
Market Data Subscription is required for requesting live streaming market data.
5.4.2 What You Will Need
5.4.2.1 - Windows Operating System
Since the TWS RTD Server API technology directly refers to the C# API client source functions, it is supported on
Windows Environment only.
5.4.2.2 - API version 9.73.03+
You need to download IB API Windows version 9.73.03 or higher and install on your computer. Once you have
installed the API, you can verify the API Version by checking C:\TWS API\API_VersionNum.txt by default.
5.4.2.3 - TWS (or IB Gateway) Build 963+
By default, market data requests sent via TWS RTD Server will automatically request for all possible Generic Tick
Types (p. ??). There are several generic tick types being requested that are only supported in TWS 963 or higher.
Sending any RTD market data request with default generic tick list to an old build of TWS will trigger a "TwsRtd←-
Server error" indicating incorrect generic tick list is sent. Make sure a TWS builds 963+ is downloaded from IB
website and kept running at the background for TWS RTD Server API to function properly.
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5.4 RTD Server for Excel 21
5.4.2.4 - Enable Socket Client in TWS (or IB Gateway)
Since the TWS RTD Server API directly refers to the C# API source, RTD market data requests will be sent via the
socket layer. Please make sure to Enable ActiveX and Socket Client settings in your TWS.
Please also be mindful of the socket port that you configure in your TWS API settings. The default socket port TWS
will listen on is 7496 for a live session, and 7497 for a paper session. It is further discussed in section Connection
Parameters that TWS RTD Server connects to port 7496 by default, and you are able to customize the port number
to connect by specifying pre-defined Connection Parameters or using rtd_complex_syntax string "port=<port>".
You can use any valid port for connection as you wish, and you just need to make sure that the port you are trying to
connect to via the API is the same port your TWS is listening on.
5.4.2.5 - Microsoft Excel®
After installing the API, the pre-compiled RTD library file (located at C:\TWS API\source\csharpclient\TwsRtd←-
Server\bin\Release\TwsRtdServer.dll by default) registered on your computer will be in 32-bit by default for API
versions from 973.03 to 973.06. If you are using 64-bit Microsoft Excel, you would need to re-compile RTD server dll
file into 64-bit and register the library by re-building the RTD source solution using Visual Studio. Please refer to the
TWS Excel APIs, featuring the RealTimeData Server recorded webinar for more information.
Beginning in API v973.07∗ it is expected that the API installer for RTD Server will be compatible with both 32 bit and
64 bit Excel (∗ expected version number).
5.4.3 TWS RTD Server Formula Syntax
Customer can request market data by entering the following formula with corresponding parameters into an Excel
spreadsheet cell:
=RTD(ProgID, Server, String1, String2, ...)
where
•ProgID = "Tws.TwsRtdServerCtrl"
•Server = "" (empty string)
•String1,String2, ... is a list of strings representing Ticker,Topic,Connection Parameters or other Com-
plex Syntax strings.
Note: TWS RTD Server API formula is not case-sensitive.
There are three ways to compose an RTD Formula:
•Simple Syntax
•Complex Syntax
•Mixed Syntax
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22 Excel APIs
5.4.4 Syntax Samples
A resourceful Syntax Samples page is provided for demonstration of RTD formulas categorized by security type
using different syntaxs.
•Forex Pairs
•Stocks
•Indexes
•CFDs
•Futures
•Options
•Futures Options
•Bonds
•Mutual Funds
•Commodities
•Spreads
Besides reading through the written documentation, you can also watch the TWS Excel APIs, featuring
the RealTimeData Server recorded webinar for a more interactive tutorial video.
5.4.5 Outgoing message rate limit
• It is important to keep in mind the 50 message/second API limit applies to RTD Server in the same way as
other socket-based API technologies. So the Excel spreadsheet can send no more than 50 messages/second
to TWS. Each subscription or cancellation request counts as 1 message (messages in the opposite direction
are not included). So a spreadsheet can have hundreds of streaming tickers, but the subscriptions must be
spread out over time so that no more than 50 new subscriptions are made per second, or the spreadsheet
can become disconnected.
5.4.6 Change Data Refresh Rate
•Change Data Refresh Rate
5.4.7 Troubleshooting Common Errors
•Troubleshooting Common Errors
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5.4 RTD Server for Excel 23
5.4.8 Simple Syntax
Basic components of a Simple Syntax RTD formula are ProgID, Server, Ticker (p. ??), Topic and Connec-tion
Parameters (optional):
=RTD(ProgID, Server, Ticker, Topic, ConnectionParams...)
where
•ProgID = "Tws.TwsRtdServerCtrl"
•Server = "" (empty string)
5.4.8.1 Ticker
Besides ProgID and Server, the first string should represent the Ticker in Simple Syntax.
To define a contract Ticker properly, you would need to find the correct contract attributes first. The easiest way to
find contract attributes is to directly look at the Contract Description page in TWS.
The syntax for Ticker should strictly follow the below squence:
Forex Contract:
"CURRENCY1.CURRENCY2/CASH"
e.g. EUR.USD Forex can be defined as "EUR.USD/CASH"
Other Contract Types:
"SYMBOL@EXCHANGE/PRIMEXCH/SECTYPE/EXPIRATION/RIGHT/STRIKE/CURRENCY"
e.g. The E-mini futures can be defined as "ES@GLOBEX//FUT/201712///USD"
Notes:
1. Not all contract attributes are required to be specified. You can leave the field to be blank to make that field
un-specified. Sequencially, if you only need to specify several contract attributes at the begining part of the
Ticker string, you can leave out the rest of the string entriely as well. For example, instead of specifying
"IBM@SMART//////", "IBM@SMART" would be sufficient to define the contract properly.
2. There are several default contract attributes in the Ticker string. If you leave them un-specified, they will take
the default values as following:
•EXCHANGE = "SMART"
•SECTYPE = "STK"
•CURRENCY = "USD"
For example, Ticker = "IBM" is the same as "IBM@SMART//STK////USD".
See more Syntax examples (p. ??).
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24 Excel APIs
5.4.8.2 Topic
The second (or other strings) can be Topic.Topic string defines the tick type you would like to receive in the formula
cell. Topic can be specified within the Ticker string, or as a separate string.
For exmaple, the two formulas below both request the Bid Size for IBM from ISLAND exchange, where the first
formula includes Topic in Ticker and the second formula specifies Topic as a separate string:
=RTD("Tws.TwsRtdServerCtrl"„"IBM@ISLAND BidSize")
=RTD("Tws.TwsRtdServerCtrl"„"IBM@ISLAND", "BidSize")
If no Topic string is defined, the Topic will be defaulted to "Last".
For example, the below formula will request the last price for IBM from Island exchange:
=RTD("Tws.TwsRtdServerCtrl"„"IBM@ISLAND")
5.4.8.2.1 Basic Tick Types
The table below shows a full list of available basic tick types that can be specified for the Topic:
Tick Name Topic String Description
Bid Size "BidSize" Number of contracts (or lots) offered at the bid price.
Bid Price "Bid" Highest bid price for the contract.
Ask Price "Ask" Lowest offer price for the contract.
Ask Size "AskSize" Number of contracts (or lots) offered at the ask price.
Last Price "Last" Last price at which the contract traded.
Last Size "LastSize" Number of contracts or lots traded at the last price.
High "High" High price for the day.
Low "Low" Low price for the day.
Volume "Volume" Trading volume for the day for the selected contract (Vol-
ume for US Stocks are quoted in lots. The actual number
of shares in volume can be calculated by multiplying 100).
Close Price "Close" The last available closing price for the previous day. For US
Equities, we use corporate action processing to get the clos-
ing price, so the close price is adjusted to reflect forward and
reverse splits and cash and stock dividends.
Open Price "Open" Today's opening price. The official opening price requires a
market data subscription to the native exchange of a con-
tract.
Last Exchange "LastExch" The exchange where the Last Price is provided from.
Bid Exchange "BidExch" The exchange where the Bid Price is provided from.
Ask Exchange "AskExch" The exchange where the Ask Price is provided from.
Last Timestamp "LastTime" Time of the last trade (in UNIX time).
Halted "Halted" Indicates if a contract is halted. See Halted
Bid Implied Volatility "BidImpliedVol" Implied volatility calculated from option bid prices.
Bid Delta "BidDelta" Delta calculated from the option bid prices.
Bid Option Price "BidOptPrice" Current bid price for the option contract.
Bid PV Dividend "BidPvDividend" The present value of dividends expected on the option's un-
derlying.
Bid Gamma "BidGamma" The option gamma value calculated from the option bid
prices.
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5.4 RTD Server for Excel 25
Tick Name Topic String Description
Bid Vega "BidVega" The option vega value calculated from the option bid prices.
Bid Theta "BidTheta" The option theta value calculated from the option bid prices.
Bid Price of Underlying "BidUndPrice" The current bid price of the option underlying.
Ask Implied Volatility "AskImpliedVol" Implied volatility calculated from option ask prices.
Ask Delta "AskDelta" Delta calculated from the option ask prices.
Ask Option Price "AskOptPrice" Current ask price for the option contract.
Ask PV Dividend "AskPvDividend" The present value of dividends expected on the option's un-
derlying.
Ask Gamma "AskGamma" The option gamma value calculated from the option ask
prices.
Ask Vega "AskVega" The option vega value calculated from the option ask prices.
Ask Theta "AskTheta" The option theta value calculated from the option ask prices.
Ask Price of Underlying "AskUndPrice" The current ask price of the option underlying.
Last Implied Volatility "LastImpliedVol" Implied volatility calculated from option last prices.
Last Delta "LastDelta" Delta calculated from the option last prices.
Last Option Price "LastOptPrice" Current last price for the option contract.
Last PV Dividend "LastPvDividend" The present value of dividends expected on the option's un-
derlying.
Last Gamma "LastGamma" The option gamma value calculated from the option last
prices.
Last Vega "LastVega" The option vega value calculated from the option last prices.
Last Theta "LastTheta" The option theta value calculated from the option last prices.
Last Price of Underlying "LastUndPrice" The current last price of the option underlying.
Model Implied Volatility "ModelImpliedVol" Implied volatility calculated from option model prices.
Model Delta "ModelDelta" Delta calculated from the option model prices.
Model Option Price "ModelOptPrice" Current model price for the option contract.
Model PV Dividend "ModelPvDividend" The present value of dividends expected on the option's un-
derlying.
Model Gamma "ModelGamma" The option gamma value calculated from the option model
prices.
Model Vega "ModelVega" The option vega value calculated from the option model
prices.
Model Theta "ModelTheta" The option theta value calculated from the option model
prices.
Model Price of Underlying "ModelUndPrice" The current model price of the option underlying.
Note: If you do not have the corresponding Market Data Subscription ( p. ??), '0' will be displayed if you request
for live tick types above. Please refer to Delayed Tick Types if you are interested.
API version 9.73.05 or higher is required to request option greeks data.
5.4.8.2.2 Generic Tick Types
A selection of Generic Tick Types are also supported in TWS RTD Server API. To request for any Generic Tick
Type, you just need to specify the name of the generic tick type as the Topic string in the RTD formula.
For example, the below formula will request the 52-Week High price for IBM@SMART:
=RTD("Tws.TwsRtdServerCtrl"„"IBM@SMART", "Week52Hi")
See table below for a full list of currently supported Generic Tick Types:
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26 Excel APIs
Generic Tick Type
Name
Topic String Description Generic Tick Required
Auction Volume "AuctionVolume" The number of shares
that would trade if no
new orders were received
and the auction were held
now.
225
Auction Imbalance "AuctionImbalance" The number of un-
matched shares for the
next auction; returns how
many more shares are on
one side of the auction
than the other.
225
Auction Price "AuctionPrice" The price at which the
auction would occur if no
new orders were received
and the auction were held
now. The indicative price
for the auction.
225
Regulatory Imbalance "RegulatoryImbalance" The imbalance that
is used to determine
which at-the-open or
at-the-close orders can
be entered following
the publishing of the
regulatory imbalance.
225
PL Price "PlPrice" The PL Price, also known
as the Mark Price, is the
current theoretical calcu-
lated value of an instru-
ment. Since it is a calcu-
lated value, it will typically
have many digits of preci-
sion.
232
Creditmanager Mark
Price
"CreditmanMarkPrice" Not currently available. 221
Creditmanager Slow
Mark Price
"CreditmanSlowMark←-
Price"
Slow Mark Price update
used in system calcu-
lations (same as Mark
Price update in TWS Ac-
count Window ->Portfo-
lio).
619
Call Option Volume "CallOptionVolume" Call option volume for the
trading day.
100
Put Option Volume "PutOptionVolume" Put option volume for the
trading day.
100
Call Option Open Interest "CallOptionOpenInterest" Call option open interest. 101
Put Option Open Interest "PutOptionOpenInterest" Put option open interest. 101
Option Historical Volatility "OptionHistoricalVol" The 30-day historical
volatility (currently for
stocks).
104
RT Historical Volatility "RTHistoricalVol" 30-day real time historical
volatility (Futures only).
411
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Generic Tick Type
Name
Topic String Description Generic Tick Required
Option Implied Volatility "OptionImpliedVol" A prediction of how
volatile an underlying will
be in the future. The IB
30-day volatility is the
at-market volatility esti-
mated for a maturity thirty
calendar days forward
of the current trading
day, and is based on
option prices from two
consecutive expiration
months.
106
Index Future Premium "IndexFuturePremium" The number of points that
the index is over the cash
index (Indeses only).
162
Shortable "Shortable" Describes the level of dif-
ficulty with which the con-
tract can be sold short.
See Shortable .
236
Fundamental Ratios "Fundamentals" Provides the available
Reuter's Fundamental
Ratios. See Funda-
mental Ratios .
258
Trade Count "TradeCount" Trade count for the day. 293
Trade Rate "TradeRate" Trade count per minute. 294
Volume Rate "VolumeRate" Volume per minute. 295
Last RTH Trade "LastRthTrade" Last Regular Trading
Hours traded price.
318
IB Dividends "IBDividends" Contract's dividends.
See IB Dividends .
456
Bond Factor Multipler "BondMultiplier" Not currenctly available. 460
Average Volume "AvgVolume" The average daily trad-
ing volume over 90 days
(multiply this value times
100).
165
High 13 Weeks "Week13Hi" Highest price for the last
13 weeks.
165
Low 13 Weeks "Week13Lo" Lowest price for the last
13 weeks.
165
High 26 Weeks "Week26Hi" Highest price for the last
26 weeks.
165
Low 26 Weeks "Week26Lo" Lowest price for the last
26 weeks.
165
High 52 Weeks "Week52Hi" Highest price for the last
52 weeks.
165
Low 52 Weeks "Week52Lo" Lowest price for the last
52 weeks.
165
Short-Term Volume 3
Minutes
"ShortTermVolume3Min" The past three minutes
volume. Interpolation
may be applied.
595
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Generic Tick Type
Name
Topic String Description Generic Tick Required
Short-Term Volume 5
Minutes
"ShortTermVolume5Min" The past five minutes vol-
ume. Interpolation may
be applied.
595
Short-Term Volume 10
Minutes
"ShortTermVolume10←-
Min"
The past ten minutes vol-
ume. Interpolation may
be applied.
595
Futures Open Interest "FuturesOpenInterest" Total number of outstand-
ing futures contracts (T←-
WS Build 965+ is re-
quired)
588
Average Option Volume "AvgOptVolume" Average volume of the
corresponding option
contracts (TWS Build
970+ is required)
105
By default, all Generic Tick Types are automatically requested. User just need to directly specify the Topic as the
name of a generic tick type to populate the data to Excel.
In order to consume less data resource and make your market data request more efficient, you can directly specify
the Generic Tick Type to be requested by defining string "genticks=id1,id2,...".
For example, to request 52-Week High price, only Generic Tick Type = 165 is required. The below formula will only
request Generic Tick Type = 165:
=RTD("Tws.TwsRtdServerCtrl"„"IBM@SMART", "Week52Hi", "genticks=165")
5.4.8.2.3 Delayed Tick Types
When live streaming market data is not availale because of missing Market Data Subscription (p. ??), delayed
data will be automatically relayed back. To request delayed data via RTD, you need to specify delayed tick types for
the Topic. The table below shows a full list of available delayed tick types:
Tick Name Topic String Description
Delayed Bid Size "DelayedBidSize" Number of contracts (or lots) offered at the bid price.
Delayed Bid Price "DelayedBid" Highest bid price for the contract.
Delayed Ask Price "DelayedAsk" Lowest offer price for the contract.
Delayed Ask Size "DelayedAskSize" Number of contracts (or lots) offered at the ask price.
Delayed Last Price "DelayedLast" Last price at which the contract traded.
Delayed Last Size "DelayedLastSize" Number of contracts or lots traded at the last price.
Delayed High "DelayedHigh" High price for the day.
Delayed Low "DelayedLow" Low price for the day.
Delayed Volume "DelayedVolume" Trading volume for the day for the selected contract
(Volume for US Stocks are quoted in lots. The actual
number of shares in volume can be calculated by mul-
tiplying 100).
Delayed Close Price "DelayedClose" The last available closing price for the previous day. For
US Equities, we use corporate action processing to get
the closing price, so the close price is adjusted to re-
flect forward and reverse splits and cash and stock div-
idends.
Delayed Open Price "DelayedOpen" Today's opening price. The official opening price re-
quires a market data subscription to the native ex-
change of a contract.
Delayed Last Timestamp "DelayedLastTimestamp" Delayed time of the last trade (in UNIX time) (TWS Build
970+ is required).
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5.4 RTD Server for Excel 29
For example, the below formula will request the delayed bid price for IBM from Island exchange:
=RTD("Tws.TwsRtdServerCtrl"„"IBM@ISLAND", "DelayedBid")
Note: Delayed tick types are 15-minute delayed. Requesting for live tick types without market data subscription will
result in error message "Requested market data is not subscribed. Displaying delayed market data..."
See more Syntax examples (p. ??).
5.4.8.3 Connection Parameters
Since the TWS RTD Server API directly refers to the C# API Client, so it connects to TWS (or IB Gateway) the
same as C# via the socket. The Host IP Address,Socket Port and Client ID are required parameters for initiating
a socket connection.
• The Host IP Address is the IP address where your TWS is running on. For a local connection, local IP
127.0.0.1 can be used.
• The Socket Port is the port for socket connection. You can setup the host port in TWS API Settings (p. ??),
and you need to have your API connect to the same port as you setup in TWS.
• The Client ID is an identification for each API connection. TWS can maintain up to 32 API Clients connecting
at the same time, and the Client ID is used to distinguish each connection. This was originally designed so
that API users can have multiple API programs (i.e. clients) running at the same using different strategies to
trade separately. Since the TWS RTD Server API is only provided for relaying real-time data, there is no need
to use multiple client IDs.
The above three parameters are defaulted to the following values if not directly specified by the user:
•Host = "127.0.0.1" (i.e. the "localhost")
•Port = "7496"
•ClientID = Integer.MaxValue - 1
Simple Syntax supports several pre-defined Connection Parameters that can be specified as a separate string
(i.e. String2, String3...) in the RTD formula:
•"paper": use port=7497 for connection instead (7497 is the default port for paper TWS essions)
•"gw": use port=4001 for connection instead (4001 is the default port for live IB Gateway sessions)
•"gwpaper": use port=4002 for connection instead (4002 is the default port for paper IB Gateway sessions)
For example, to request High price for IBM@SMART while connecting to a TWS logged with a paper account via
port 7497:
=RTD("Tws.TwsRtdServerCtrl"„"IBM@ISLAND", "High", "paper")
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5.4.8.4 Additional Info
See also:
•Complex Syntax
•Mixed Syntax
5.4.9 Complex Syntax
Complex Syntax provides the most flexibility that it allows users to customize all formula strings individually, where
each string only represent one single parameter. There is no rule for the sequence of the appearance of each
parameter.
=RTD(ProgID,Server,String1,String2,String3...)
where
•ProgID = "Tws.TwsRtdServerCtrl"
•Server = "" (empty string)
For exmaple, the formula below will request the Ask Size for IBM@ISLAND:
=RTD("Tws.TwsRtdServerCtrl"„"sym=IBM", "sec=STK", "exch=ISLAND", "qt=Ask←-
Size")
The formula below will request the Bid price for IBM:
=RTD("Tws.TwsRtdServerCtrl"„"sym=ES", "sec=FUT", "exch=GLOBEX", "cur=USD",
"exp=201712", "qt=Bid")
5.4.9.1 Complex Syntax Strings
See table below for a full list available Complex Syntax strings:
Name String Syntax Description
Contract ID "conid=" The unique contract ID generated by IB. Can be found at
TWS Contract Description .
Symbol "sym=" The contract symbol.
SecurityType "sec=" The type of security, e.g. 'STK', 'FUT' and so on.
LastTradeDateOrContractMonth "exp=" Format 'YYYYMMDD' is used for defining the Last Trade
Date, while format 'YYYYMM' is used for defining the Con-
tract Month.
Strike "strike=" The strike price for an option contract.
Right "right=" 'C' or 'P' for an option contract.
Multiplier "mult=" The contract multiplier.
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Name String Syntax Description
Exchange "exch=" The exchange where to get market data from. For equities,
'SMART' means top data from all possible exchanges.
PrimaryExchange "prim=" The primary exchange of the contract. It is mostly speci-
fied when an contract ambiguity occurs for equity symbols
that are listed on multiple exchanges.
Currency "cur=" The currency the contract is traded in.
LocalSymbol "loc=" The local symbol of the contract. Note the Local Symbol is
mostly used for futures and options, and is different from
the Symbol.
TradingClass "tc=" The trading class of the contract.
Combo "cmb=" Combo contract has to be defined using Complex Syntax
or Mixed Syntax. The syntax for defining the combo is:
"cmb=<conid1>#<ratio1>#<action1>#<exchange1>;<conid2>#<ratio2>#<action2>#<exchange2>;"
,where combo legs are separated by ';' and individ-
ual leg parameters are separated by '#'. See more
Spread Samples .
DeltaNeutralContract "und=" Delta-Neutral Contract. The syntax for defining the delta-
neutral contract is:
"und=<<conid>#<delta>#<price>"
, where delta-neutral contract parameters are sepa-
rated by '#'.
MktDataOptions "opt=" Currently not supported.
GenericTickList "genticks=" A comma separated Ids of available Generic Tick Types.
Topic "qt=" Topic of market data request.
Host "host=" Host IP address.
Port "port=" Socket port.
ClientId "clientid=" The client ID for socket connection. Note that the client ID
is used for identify multiple simultaneous API connections
to the same TWS. It was originally designed for API users
who would like to manage their strategies separately from
different API programs. Since the TWS RTD Server API is
currently only supported for real-time market data, there is
no need to use multiple client IDs.
5.4.9.2 Additional Info
See also:
•Simple Syntax
•Mixed Syntax
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5.4.10 Mixed Syntax
The Complex Syntax can be mixed with Simple Syntax with only one restriction that Ticker string must be the first
string (i.e. String1) that appears in the RTD formula.
=RTD(ProgID, Server, Ticker, String2, String3...)
where
•ProgID = "Tws.TwsRtdServerCtrl"
•Server = "" (empty string)
For example, the formula below will request the Bid Price for IBM while connecting through a customized Host, Port
and Client ID:
=RTD("Tws.TwsRtdServerCtrl"„"IBM@SMART", "host=1.2.3.4", "port=1234", "client←-
Id=1", "Bid")
See more Syntax Samples (p. ??).
5.4.10.1 Additional Info
See also:
•Simple Syntax
•Complex Syntax
5.4.11 TWS RTD Server Samples
This page is provided as a demonstration of RTD formulas categorized by security type as well as syntax type. Make
sure to get yourself familiar with the various available Syntaxs for RTD formula before looking into the samples.
•Simple Syntax
•Complex Syntax
•Mixed Syntax
5.4.11.1 Forex Pairs
5.4.11.1.1 - Simple Syntax
=RTD("Tws.TwsRtdServerCtrl"„"EUR.USD/CASH", "Bid")
Comment: Forex Ticker is defined in format "CURRENCY1.CURRENCY2/CASH".
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5.4.11.1.2 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"sym=EUR","cur=USD", "exch=IDEALPRO", "sec=CAS←-
H", "qt=Bid")
Comment: For Complex Syntax, Forex Symbol is defined as the foreign currency, and the Currency is defined as
the base currency.
5.4.11.1.3 - Mixed Syntax
=RTD("Tws.TwsRtdServerCtrl"„"EUR.USD/CASH", "Bid", "port=1234", "client←-
Id=1")
5.4.11.2 Stocks
5.4.11.2.1 - Simple Syntax
=RTD("Tws.TwsRtdServerCtrl"„"IBM")
Comment: Default values are used: Exchange = "SMART", Currency = "USD", Security Type = "STK", Topic =
"Last".
=RTD("Tws.TwsRtdServerCtrl"„"IBM@ISLAND", "Bid")
Comment: Specifying the Exchange directly means requesting data from that exchange specifically.
=RTD("Tws.TwsRtdServerCtrl"„"BMO@SMART//////CAD", "Bid")
Comment: Currency = "CAD" is needed for BMO listed on TSE, but the rest of the fields can be left out as blank.
=RTD("Tws.TwsRtdServerCtrl"„"ABG.P@SMART//////EUR", "Close")
Comment: Stock symbols that contain a '.' are supported in Simple Syntax as well.
=RTD("Tws.TwsRtdServerCtrl"„"MSFT@SMART/ISLAND", "Ask")
Comment: For certain smart-routed stock contracts that have the same Symbol,Currency and Exchange, you
would also need to specify the PrimaryExchange attribute to uniquely define the contract. This should be defined
as the native exchange of a contract, and is good practice for all stocks.
5.4.11.2.2 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"sym=IBM", "sec=STK", "exch=SMART", "cur=USD",
"qt=Volume")
Comment: Generally speaking, using the Symbol,SecurityType="STK", Currency and Exchange is sufficient to
define a stock.
=RTD("Tws.TwsRtdServerCtrl"„"sym=MSFT", "sec=STK", "exch=SMART", "cur=USD",
"prim=ISLAND", "qt=Open")
Comment: Specifying the PrimaryExchange as a seprate string to resolve contract ambiguity.
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34 Excel APIs
5.4.11.2.3 - Mixed Syntax
=RTD("Tws.TwsRtdServerCtrl"„"MSFT@SMART", "prim=ISLAND", "qt=High", "paper")
Comment: Use the pre-defined string "paper" to connect to the default port 7497 for paper TWS sessions.
5.4.11.3 Indexes
5.4.11.3.1 - Simple Syntax
=RTD("Tws.TwsRtdServerCtrl"„"SPX@CBOE//IND", "Last")
Comment: Default Currency = "USD" is used.
=RTD("Tws.TwsRtdServerCtrl"„"DAX@DTB//IND////EUR", "Last")
5.4.11.3.2 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"sym=INDU","cur=USD", "exch=NYSE", "sec=IND",
"qt=Close")
5.4.11.3.3 - Mixed Syntax
=RTD("Tws.TwsRtdServerCtrl"„"DAX@DTB//IND", "cur=EUR", "qt=Last", "host=1.←-
2.3.4")
5.4.11.4 CFDs
5.4.11.4.1 - Simple Syntax
=RTD("Tws.TwsRtdServerCtrl"„"IBDE30@SMART//CFD////EUR", "Bid")
5.4.11.4.2 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"sym=IBDE30","cur=EUR", "exch=SMART", "sec=CF←-
D", "qt=ASK")
5.4.11.4.3 - Mixed Syntax
=RTD("Tws.TwsRtdServerCtrl"„"IBDE30@SMART//CFD", "cur=EUR", "Bid", "gw")
Comment: Use the pre-defined string "gw" to connect to the default port 4001 for live IB Gateway sessions.
Note: Only Index CFD data can be directly queried via the API, but not equity CFD. Please directly request data for
the underlying equity if you need data for an equity CFD contract.
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5.4.11.5 Futures
5.4.11.5.1 - Simple Syntax
=RTD("Tws.TwsRtdServerCtrl"„"ES@GLOBEX//FUT/201712///USD", "Bid")
Comment: Use underlying Symbol and LastTradeDateOrContractMonth to define futures contract.
5.4.11.5.2 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"loc=ESZ7","cur=USD", "exch=GLOBEX", "sec=FUT",
"qt=Ask")
Comment: The LastTradeDateOrContractMonth and underlying Symbol can be replaced with the contract's own
symbol, also known as LocalSymbol (named as Symbol within the TWS' Contract Description dialog). Local
Symbol is not available in Simple Syntax.
5.4.11.5.3 - Mixed Syntax
=RTD("Tws.TwsRtdServerCtrl"„"DAX@DTB//FUT/201706///EUR", "mult=5", "Low")
Comment: For futures that have multipler Multipliers (e.g. DAX has 5 and 25), Simple Syntax is not adequate to
define the contract uniquely. Mixed Syntax can help to add addition specification for the Multiplier.
5.4.11.6 Options
5.4.11.6.1 - Simple Syntax
=RTD("Tws.TwsRtdServerCtrl"„"GOOG@SMART//OPT/20170421/C/835/USD", "Bid")
Comment: Use Symbol,LastTradeDateOrContractMonth,Right and Strike to define options contract.
5.4.11.6.2 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"loc=C DBK DEC 20 1600", "cur=EUR", "exch=DTB",
"sec=OPT", "qt=Close")
Comment: Use LocalSymbol to define options contract.
5.4.11.6.3 - Mixed Syntax
=RTD("Tws.TwsRtdServerCtrl"„"SANT@MEFFRV//OPT/20190621/C/7.5/EUR", "mult=100",
"tc=SANEU", "Close")
Comment: For options that have multipler Multipliers or TradingClasses, Simple Syntax is not adequate to define
the contract uniquely. Mixed Syntax can help to add addition specifications for Multipler and TradingClass properly.
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36 Excel APIs
5.4.11.7 Futures Options
5.4.11.7.1 - Simple Syntax
=RTD("Tws.TwsRtdServerCtrl"„"ES@GLOBEX//FOP/20180316/C/1000/USD", "Close")
Comment: Futures Options follow the same rule as conventional option contracts.
5.4.11.7.2 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"loc=ESH8 C1000", "cur=USD", "exch=GLOBEX",
"sec=FOP", "qt=Close")
5.4.11.7.3 - Mixed Syntax
=RTD("Tws.TwsRtdServerCtrl"„"ES@GLOBEX//FOP/20180316/C/1000/USD", "mult=50",
"tc=ES", "Close")
5.4.11.8 Bonds
5.4.11.8.1 - Simple Syntax
=RTD("Tws.TwsRtdServerCtrl"„"912828C57@SMART//BOND", "Bid")
Comment: Bonds can be specified by defining the Symbol as the CUSIP. Currency = "USD" is used as default
here.
5.4.11.8.2 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"sym=912828C57","cur=USD", "exch=SMART", "sec=←-
BOND", "qt=Bid")
=RTD("Tws.TwsRtdServerCtrl"„"conid=147554578", "exch=SMART", "qt=Ask")
Comment: Bonds can also be defined with the ConId and Exchange as with any security type.
5.4.11.8.3 - Mixed Syntax
=RTD("Tws.TwsRtdServerCtrl"„"912828C57@SMART, "sec=BOND", "Bid", "gwpaper")
Comment: Use the pre-defined string "gwpaper" to connect to the default port 4002 for paper IB Gateway sessions.
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5.4 RTD Server for Excel 37
5.4.11.9 Mutual Funds
5.4.11.9.1 - Simple Syntax
=RTD("Tws.TwsRtdServerCtrl"„"VINIX@FUNDSERV//FUND", "Close")
5.4.11.9.2 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"sym=VINIX","cur=USD", "exch=FUNDSERV", "sec=F←-
UND", "qt=Close")
5.4.11.9.3 - Mixed Syntax
=RTD("Tws.TwsRtdServerCtrl"„"VINIX@FUNDSERV//FUND", "Bid", "host=1.2.3.4",
"port=1234", "clientId=1")
5.4.11.10 Commodities
5.4.11.10.1 - Simple Syntax
=RTD("Tws.TwsRtdServerCtrl"„"XAUUSD@SMART//CMDTY", "Bid")
5.4.11.10.2 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"sym=XAUUSD","cur=USD", "exch=SMART", "sec=CMD←-
TY", "qt=Ask")
5.4.11.10.3 - Mixed Syntax
=RTD("Tws.TwsRtdServerCtrl"„"XAUUSD@SMART//CMDTY", "Last", "port=1234",
"clientId=1")
5.4.11.11 Spreads
Spread contracts, also known as combos or combinations, combine two or more instruments. To define a com-
bination contract it is required to know the Contract ID of the combo legs. The ConId can be easily found in the
Contract Description page in TWS.
The spread contract's symbol can be either the symbol of one of the contract legs or, for two-legged combinations
the symbols of both legs separated by a comma as shown in the examples below.
Simple Syntax is not sufficient to define spread contracts. You need to use either Complex Syntax or Mixed
Syntax . As a reminder, here is the string formula for defining the Combo Legs:
"cmb=<conid1>#<ratio1>#<action1>#<exchange1>;<conid2>#<ratio2>#<action2>#<exchange2>;"
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38 Excel APIs
5.4.11.11.1 Stock Spread
Buy 1 IBKR@SMART + Sell 1 MCD@SMART:
5.4.11.11.1.1 - Complex Syntax
=RTD("Tws.TwsRtdServerCtrl"„"sym=IBKR,MCD", "exch=SMART", "cur=USD", "sec=←-
BAG", "cmb=43645865#1#BUY#SMART;9408#1#SELL#SMART;", "Bid")
5.4.11.11.1.2 - Mixed Syntax
=RTD("tws.twsrtdserverctrl"„"IBKR,MCD@SMART//BAG////USD", "cmb=43645865#1#←-
BUY#SMART;9408#1#SELL#SMART;", "Bid")
Note: EFPs are simply defined as a bag contract of stock and corresponding SSF with a ratio of 100:1.
5.4.11.11.2 Futures Spread
Buy 1 VXJ7@CFE + Sell 1 VXK7@CFE:
5.4.11.11.2.1 - Complex Syntax
=RTD("tws.twsrtdserverctrl"„"sym=VIX", "exch=CFE", "cur=USD", "sec=BAG",
"cmb=249139906#1#BUY#CFE;252623425#1#SELL#CFE;", "Bid")
5.4.11.11.2.2 - Mixed Syntax
=RTD("tws.twsrtdserverctrl"„"VIX@CFE//BAG////USD", "cmb=249139906#1#BUY#CF←-
E;252623425#1#SELL#CFE;", "Bid")
5.4.11.11.3 Options Spread
Buy 1 DBK May19'17 15 CALL @DTB + Sell 1 DBK May19'17 16 CALL @DTB:
5.4.11.11.3.1 - Complex Syntax
=RTD("tws.twsrtdserverctrl"„"sym=DBK", "exch=DTB", "cur=EUR", "sec=BAG",
"cmb=270579950#1#BUY#DTB;270579957#1#SELL#DTB;", "Bid")
5.4.11.11.3.2 - Mixed Syntax
=RTD("tws.twsrtdserverctrl"„"DBK@DTB//BAG////EUR", "cmb=270579950#1#BUY#DT←-
B;270579957#1#SELL#DTB;", "Bid")
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5.4.11.11.4 Inter-Commodity Futures Spread
For Inter-Commodity futures, the 'Local Symbol' field in TWS is used for the 'Symbol' field in the TWS Contract
Description (p. ??).
Buy 1 CL May'17 @NYMEX + Sell 1 BZ Jun'17 @NYMEX:
5.4.11.11.4.1 - Complex Syntax
=RTD("tws.twsrtdserverctrl"„"sym=CL.BZ", "exch=NYMEX", "cur=USD", "sec=BA←-
G", "cmb=55977404#1#BUY#NYMEX;55807026#1#SELL#NYMEX;", "Bid")
5.4.11.11.4.2 - Mixed Syntax
=RTD("tws.twsrtdserverctrl"„"CL.BZ@NYMEX//BAG////USD", "cmb=55977404#1#BU←-
Y#NYMEX;55807026#1#SELL#NYMEX;", "Bid")
Note: Please be mindful of the fact that Inter-commodity Futures contracts are spread contracts offered by the
exchange directly, and the contract definition is different from regular combo contracts. Please make sure all the
contract attributes are specified in accordance with TWS Contract Description page.
5.4.11.12 Sample Spreadsheet
A sample RTD spreadsheet is provided within the API installation directory. By default, you will be able to find it
under C:\TWS API\samples\ExcelTwsRtdServer.xls.
5.4.12 Change Data Refresh Rate
It is important to mention that our real time market data is not tick-by-tick, meaning you will not obtain every single
price movement happening in the market. Instead, real time data is given as snapshots generated at a fixed given
pace:
Product Frequency
Stocks, Futures and others 250 ms
US Options 100 ms
FX pairs 5 ms
Microsoft RTD interface has a ThrottleInterval property that determines the interval between data re-
freshes. By default, the value is set to 2000 milliseconds, which means Excel waits at least 2000 milliseconds
between checks for updates. You are able to manually change the Throttle Interval to a smaller value∗so as to
increase the refresh rate of real time data.
The easiest way to change the ThrottleInterval property is through VBA:
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40 Excel APIs
1. In Excel, go to the Visual Basic Editor window by pressing Alt_F11.
2. On the Visual Basic Editor window, click on View ->Immediate Window or hold Ctrl_G to open the Imme-
diate Window.
3. On the Immediate Window, type in the following code and then click Enter:
Application.RTD.ThrottleInterval=250
4. To verify that it is set correctly, type this line of code on the Immediate Window and click Enter:
? Application.RTD.ThrottleInterval
5. Verify the next line should display 250. If this value is changed, the new value will persist when Microsoft
Excel is restarted.
∗Warning: As the ThrottleInterval is lowered, updates can come in so frequently that Excel is continuously
updating values and doing calculations, Excel might end up in a state where it never gives the user a chance to do
anything, effectively getting in a hung state. If this happens, set the Excel throttle interval higher.
Source: Microsoft Real-Time Data: Frequently Asked Questions How Do I Configure the RTD Throttle Interval in
Excel?.
5.4.13 Troubleshooting Common Errors for RTD
5.4.13.1 Troubleshooting Common Errors
•TwsRtdServer error: Cannot connect to TWS.
•TwsRtdServer error: No security definition has been found for the request.
•TwsRtdServer error: The contract description specified for <SYMBOL> is ambiguous.
•TwsRtdServer error: Requested market data is not subscribed. Displaying delayed market
data...(p. ??)
•TwsRtdServer error: Error validating request:-'zd':cause - Incorrect generic tick list of
•Some data show '0' when requesting data for many securities
5.4.13.1.1 TwsRtdServer error: Cannot connect to TWS.
This error message is most likely triggered because your TWS has not been configured properly for API socket
connection. Please make sure to Enable ActiveX and Socket Client settings in your TWS. Also bear in mind that
TWS Rtd Server connects to socket port 7496 by default. You will see the above error message if the socket port
configured in your TWS API settings does not match what RTD is trying to connect to. See more details in What You
Will Need .
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5.4 RTD Server for Excel 41
5.4.13.1.2 TwsRtdServer error: RTD Server disconnects from TWS such that cells stop updating
This can occur if the API message rate of 50 messages/second is exceeded. No more than 50 messages can be
sent from an API application such as RTD Server to TWS per second (this does not include messages in the oppo-
site direction). Each ticker subscription request and subscription cancellation request corresponds to 1 message. If
the 50 messages/second rate is exceeded, TWS will eventually close the connection. So for constructing an RTD
spreadsheet with more than 50 tickers, it must be built to only make at most 50 new subscriptions or cancellations
per second.
5.4.13.1.3 TwsRtdServer error: No security definition has been found for the request.
This error message is triggered to indicate the contract definition provided in your RTD formula cannot be found
by TWS. Usually it is caused by incorrect contract attribute definitions or typo. You are suggested to refer to some
Syntax Samples and find out the issue in your RTD formula.
5.4.13.1.4 TwsRtdServer error: The contract description specified for <SYMBOL> is ambiguous.
This error message indicates the contract definition provided by you does not uniquely define one single contract. It
is mostly triggered for stock symbols, such as MSFT and CSCO, that are listed on multiple primary exchanges.
Specifying the PrimaryExchange will resolve the issue. Please refer to Syntax Sample for MSFT .
5.4.13.1.5 TwsRtdServer error: Requested market data is not subscribed. Displaying delayed market data...
The error message is displayed when you are trying to request for a live tick type, while only delayed data is
available due to missing Market Data Subscription (p. ??). You need to either subscribe to market data pacakegs
via Account Management, or request for Delayed Tick Types instead.
5.4.13.1.6 TwsRtdServer error: Error validating request:-'zd':cause - Incorrect generic tick list of <list>
As explained in What You Will Need , TWS Build 963+ is required because there are some generic tick types
requested by RTD by default that are not supported in older TWS builds. Upgrade TWS to any build above 963
will resolve the issue.
5.4.13.1.7 Some data show '0' when requesting data for many securities
This is most likely because you have exceeded the limit of Market Data Lines . You can verify if this is
reason by going to TWS and hold Ctrl_Alt_= at the same time. This should show a small pop-up window and
indicate the maximum allowed market data lines as well as the currently subscribed top market data count. If you
are subscribed to more than the maximum allowed, some of the data point will show '0'.
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42 Excel APIs
5.5 Dynamic Data Exchange
The Dynamic Data Exchange protocol is a method of inter-process communication developed by Microsoft to es-
tablish communication between Windows applications running on the same computer. The DDE API is available for
Windows computers to create a means of communication between Microsoft Excel and TWS or IB Gateway.
Requirements for the DDE API
• Windows OS
•32 bit version of TWS or IB Gateway
• Microsoft Excel
• TWS API installed to the C: drive
• Excel must be set to the US settings for commas and periods. That is, commas denote thousands and periods
denote decimals.
Interactive Brokers does not offer any programming assistance and therefore it is strongly advised to anyone willing
to use any of the TWS DDE API to become familiar with the technologies involved such as the DDE protocol and
VBA.
You can get started by following the Tutorial and learn how to use DDE to communicate with TWS.
Limitations specific to DDE
• DDE does not have the full range of tick types available to the socket-based APIs
• DDE requires live market data in TWS to receive either streaming or historical market data. It is not com-
patible with delayed data.
• Other applications running DDE in the background can interfere with Excel DDE and cannot be used simul-
taneously.
• A DDE command string can be at most 255 characters. For that reason very lengthy commands such as
those involving four-legged spreads are not available.
5.5.1 Troubleshooting Excel DDE
•Error: "Remote Data Not Accessible..." causes
When this error is encountered in using a DDE formula in an Excel spreadsheet it indicates a general problem in
the DDE connection between Excel and TWS. This can have any of the following causes:
•1) TWS is not 32 bit. By default 64 bit TWS is installed on modern computers. It is necessary to select the 32
bit version when downloading to use the DDE API.
•2) The API is not installed to the C: drive. The API can be downloaded from http://interactivebrokers.←-
github.io/ . After installation, there should be a folder "TWS API" on the C: drive. If the API installs to
any other drive this can cause issues.
•3) "Enable DDE" is not checked in the TWS (or IB Gateway Global Configuration). In TWS this setting is at
Global Configuration ->API ->Settings ->"Enable DDE".
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5.5 Dynamic Data Exchange 43
•4) The incorrect username is input into a formula in Excel. The username in the spreadsheet must match the
username used to login to TWS. For paper accounts, it must be the paper account username and not the live
username (every paper account has its own username distinct from the live username).
(5) In rare cases it is necessary to run Excel as Administrator to use DDE.
Note: Other programs running on the same computer which use DDE can interfere with the communication between
Excel and TWS and cause Excel to 'hang' or 'freeze' after making the initial request. The only solution to this problem
is to close other programs using DDE one-by-one to find the culprit. Programs which are known to cause this issue
include Google Chrome, Microsoft OneNote, Skype and Adobe Creative Cloud.
• The DDE API is now considered completed and will not have additional functionality that is added to socket-
based APIs.
5.5.2 Limitations of Microsoft Excel APIs
By design, Microsoft Excel gives precedence to the user interface over the data connection to other applications.
For that reason, Excel only receives updates when it is in a 'ready' state, and may ignore data sent for instance
when a modal dialogue box is displayed to the user, a cell is being edited, or Excel is busy doing other things. A
new Excel Real Time Data server (RTD) API is being introduced to help address some of these deficiencies, but
unfortunately these limitations are inherent to Excel as a trading application and not specific to an API technology.
5.5.3 Tutorial
5.5.3.1 What You Will Need
This tutorial has been developed using Excel 2010 around the 9.72 version of the TWS API components. This
version needs to be downloaded and installed before proceeding. You can download this version from http←-
://interactivebrokers.github.io/.
The TWS must be up and running while using the DDE connection to TWS. DDE client connectivity must also be
enabled via Edit ->Global Configuration ->API ->Settings: Enable DDE clients as indicated in the picture below:
5.5.3.2 Ddedll.dll Error
TWS users running add-on applications in Excel using DDE on a Windows 64-bit operating systems may receive
the following error message upon log in or when enabling the DDE client:
Please follow the instruction How to fix the error: "Ddedll.dll file missing or out of
date" to resolve the error before going forward to Tutorials.
5.5.3.3 Tutorial Topics
•Real Time Data with Excel
•Historical Data with Excel
•DDE Formula Reference
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44 Excel APIs
5.5.3.4 Real Time Data with Excel
One of the most common inquiries we receive at Interactive Brokers is about export data from the TWS into Excel.
Since the TWS does not have functionality to export intra-day, customers are often directed at the TWS API and its
Excel sheets in particular. Customers, however, need to be aware of the fact that the distributed sheets are not tools
to be used on a daily basis. All our sample applications are merely a demonstration of the API capabilities aimed at
experienced programmers who will in turn use them as a reference to develop more complex and robust systems.
It is possible to view live quotes for multiple products updating real time within Excel. Requests via the TWS DDE
API are nothing but Excel formulas (DDE data links) each of them serving a very specific purpose. Market Data
retrieval requires at least two different DDE links: one to start the market data subscription and another one which
will be receiving the specific tick type.
This document is a brief tutorial explaining the process behind market data retrieval through MS Excel via the TWS
DDE API. All the VBA code is kept to a minimum and its purpose is merely illustrative.
5.5.3.4.1 Requisites
Please make sure you have already acquired What You Will Need before going forward in this tutorial.
5.5.3.4.2 Preparing the request
The formula to start the request will need to provide the TWS with enough information so that the TWS can un-
ambiguously identify which instrument we are interested in. As a first example, we will request FX market data
(EUR.USD). The resulting formula will therefore be:
=Ssample123|tik!'id1?req?EUR_CASH_IDEALPRO_USD_∼/'
Note that sample123 will have to be replaced with the exact same user name entered when logging into the TWS.
This applies for all subsequent DDE links shown in this guide.
For more contract definition samples via DDE, please refer to How to Find the Definition of a Contract . If the
above formula is copied into any cell of a spreadsheet, the cell should automatically display 0 on it.
After we have done this, the TWS will be aware that a DDE link is requesting EUR.USD data.
5.5.3.4.3 Receiving the data
Once the TWS recognizes our DDE link trying to pull EUR.USD data, we can proceed to read it. We are currently
interested in knowing the bid price of the EUR.USD FX pair, therefore we need to make use of:
=Ssample123|tik!id1?bid
Pasting the above formula into the same sheet will have a more exciting result:
The value displayed on cell D2 is the exact same value the TWS displays for the EUR.USD bid price (at the moment
of writing this document) and will keep updating as long as the request is active.
5.5.3.4.4 Understanding the Formulas
As it was already mentioned, the first formula will ask the TWS to open a DDE channel through which we can obtain
EUR.USD data while the second one is merely pulling the bid price for it. To understand the formulas' syntax refer
to the Real Time Data section from the DDE Formula Reference page.
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5.5 Dynamic Data Exchange 45
5.5.3.4.5 Obtain the Last Available Error
Unfortunately things do not always work as expected. The slightest error in the DDE link or the contract description
that you provide will prevent you from receiving the market data from TWS. The first and most obvious step in
solving this problem is to make sure that your DDE links are correct and contain no spelling errors or typographical
errors such as unwanted spaces or characters.
If the formula is correct but you are still not able to see any data, you can ask the TWS about any errors generated
in response to your request. In most cases, TWS will be able to point us in the right direction.
TWS can only remember the most recent error. This is very important to remember because your Excel spreadsheet
will often have many active requests with multiple possibilities for errors. Be sure that all previous requests are
working as expected before creating a new one. This will help identify any problem.
There are three formulas that you need to use. Enter each formula into its own cell in your Excel worksheet:
Formula Description
=S[twsuser]|err!id Obtains the failed request’s unique ID.
=S[twsuser]|err!errorCode The error code.
=S[twsuser]|err!errorMsg The description of the error.
Let's look at an example. In the following figure, the real time data request formula’s symbol has been intentionally
modified to EUE instead of EUR. We've entered the three error formulas into three separate cells. We will receive
an error for that request (the request ID is 1), along with the error code and description (No security definition has
been found for the request). This error means that the contract for which we are requesting data cannot be found.
In other words, the description of the contract in the DDE link is wrong.
Once you know what caused the error, you should clear the error formulas first, and then correct the original DDE
link. When you do this, you will notice that the error formulas will return a 0 value:
5.5.3.4.5.1 Why is it important to first clear the error formula before correcting our request?
We mentioned earlier on that TWS will hold the last available error message of the last failed request. This implies
that TWS will remember that, as in our example, the request identified with id X, has an error associated to it. It is
very tempting to simply correct the typo in our request. However, this will create an “orphan” error in TWS and this
"Can't find EId" error will also be sent to your Excel worksheet, as shown in the following image. This orphan error
is basically TWS saying “I cannot find an error for this request.”
You might think that you can easily ignore this error. Imagine, however, that you have many DDE links in your Excel
worksheet and one of them resulted in a “no security definition has been found” error. Later, another link in your
sheet causes the “Can’t find EId” error to appear. You will only be able to see the last error, which is not really telling
you much about why your Excel worksheet is not working as you expect. While this logic applies to all errors, this
last error can be particularly misleading.
REMEMBER: Be sure that all of your previous requests are working as expected before moving to the next
one.
5.5.3.5 Historical Data with Excel
In the previous tutorial, we showed you how to request real time quotes from TWS using the DDE TWS API. In this
tutorial, we will show you how to request historical data from TWS, although the process for doing so is slightly more
complicated. You will need to add some simple Visual Basic (VBA) code to your Excel worksheet to obtain the data.
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46 Excel APIs
5.5.3.5.1 Requisites
Please make sure you have already acquired What You Will Need before going forward in this tutorial.
5.5.3.5.2 Preparing the request
Just as with real time data, historical data requests need first to ask the TWS to “prepare” the data we are interested
in. The TWS needs to know not only the specific instrument but also:
• The ending date and time from which we want to collect the data, formatted as: yyyymmdd hh:mm:ss.
• The time duration comprising the data from the ending date going back in time.
• The bar size (IB provides historical data in open, high, low and close bar data format).
• The type of data (i.e. MIDPOINT, TRADES, etc.).
• Whether we want data generated during regular trading session or not.
• The date format in which each bar’s time and date will be presented.
The formula to be used for historical data requests is:
=[twsuser]|hist!'id[requestId]?req?[symbol]_[type]_[exchange]_[currency]_∼/[yyyymmdd]singleSpace[HH]single←-
Colon[mm]singleColon[ss]_[duration amount]singleSpace[duration unit]_[bar size]_[rth only?]_[what to
show]_[date format]'
Attribute Description
twsuser The username with which you logged into TWS.
requestId The request’s unique identifier (any positive integer).
symbol The instrument’s symbol.
type The type of instrument.
exchange The instrument’s exchange.
currency The instrument’s currency (USD).
yyyymmdd hh:mm:ss End date for the historical data query.
duration amount The number of time units for the duration time.
duration unit The duration's time unit.
bar size The bar size.
rth only Set to 1 to obtain only data generated during regular trading hours (RTH), or set to 0 to
get all data generated during and outside of of RTH.
what to show The type of data: MIDPOINT, TRADES, BID, ASK, etc.
data format Set to 1 to format the resulting bars’ date as yyyymmss hh:mm:ss. Set to 2 to express
the resulting bars’ time as the number of seconds since 1970.
5.5.3.5.2.1 How to Handle Spaces and Colons in the Formula
Our DDE links cannot contain certain special characters such as spaces or colons, but you will need to use these
characters in your DDE formula. To overcome this limitation, we have provided keywords that you can use in place
of the actual special character: singleSpace and singleColon. For example, if you want to specify an end date and
time such as March 2, 2015 at 23:59:59 in the format specified above, you would then enter:
20150302 23:59:59
This translates into:
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5.5 Dynamic Data Exchange 47
20150302singleSpace23singleColon59singleColon59
This applies to all cases in which you need spaces or colons in the DDE formula. This is particularly important when
describing futures or options contracts because you can then use their local symbols, which often include spaces.
For example, the DBK futures contract expiring on May 2015 has a local symbol DBKG MAY 15 which you would
provide as:
DBKGsingleSpaceMAYsingleSpace15
5.5.3.5.2.2 Enter the Historical Data Request
Let's continue with our historical data request. As an example, try to pull MIDPOINT historical data for the EUR.USD
currency pair prior to February 27th 2015 at 23:59:59 in thirty minutes bars (9), for a duration of one day (1 D). The
correct formula for this request is:
=Ssample123|hist!'id4?req?EUR_CASH_IDEALPRO_USD_∼/20150227singleSpace23singleColon59single←-
Colon59_1singleSpaceD_9_MIDPOINT_1_1'
Copy the above formula into an empty cell in your Excel worksheet. Notice that the cell displays PROCESSING,
which, if everything proceeds without error, will change into RECEIVED”:
At this point, you have just told TWS that you want our EUR.USD historical data and TWS replied that the data has
been received from the server and is ready to be viewed.
This is where the process becomes slightly complicated because, unlike real time market data, where each incoming
price is obtained using a very specific formula, you will not fetch each bar one by one with a formula (this is quite
fortunate since we could be expecting hundreds of bars!). Instead, you will read all the bars together using a single
DDE request and then display them in your worksheet with the help of some VBA code. For purposes of simplicity,
we will keep the coding to minimum.
In the next steps, we will briefly describe how to add a button to a spreadsheet for the sake of completeness but
remember that it is out of the scope of IB's support to provide any assistance on using Excel.
5.5.3.5.3 Receiving the data
•Receiving the Data - Add a Button
•Receiving the Data - Add the Code
5.5.3.5.4 Understanding the Formula
To understand the formulas' syntax, please refer to the Historical Data section from the DDE Formula
Reference page.
For more contract definition samples via DDE, please refer to How to Find the Definition of a Contract .
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48 Excel APIs
5.5.3.5.5 Receiving the Data - Add a Button
In this step, you will add a button to your blank worksheet which, once the TWS has replied to your historical data
request with the “RECEIVED” status, will help you manually invoke the VBA routines which pull the historical data
from TWS.
First, open the Developer tab in Excel and click on the Button form control:
Next, click anywhere in your spreadsheet to place the button. The Assign Macro dialog opens; this is where you
associate a VBA macro with your button. Name your function fetchHistoricalData and then click the New button in
the dialog.
Excel automatically opens the VBA editor, which displays the skeleton of the newly-created macro.
In the next step, you will add the code to the macro you just created.
•Receiving the Data - Add the Code
5.5.3.5.6 Receiving the Data - Add the Code
Here are the routines which will finally obtain the data from the TWS:
Sub fetchHistoricalData()
’This variable will store the incoming data
Dim TheArray() As Variant
’Fetch the data from the TWS...
’(Replace sample123 with your own TWS username!)
TheArray = getData("Ssample123", "hist", "id4?result")
’... and pass the result into another function which will populate the sheet
Call populate(TheArray)
End Sub
’This function triggers a DDE request and returns its response
Function getData(serverName, topic, request)
Dim chan As Integer
’Initiate the DDE channel
chan = Application.DDEInitiate(serverName, topic)
’Perform the request
getData = Application.DDERequest(chan, request)
’Terminate the channel
Application.DDETerminate chan
End Function
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5.5 Dynamic Data Exchange 49
’Populate our blank sheet with the incoming data
Sub populate(ByRef TheArray() As Variant)
’Watch out for empty possible errors and handle properly.
On Error GoTo ErrHandler
For i = 1 To UBound(TheArray)
Range("F" & i + 1).Value = TheArray(i, 1)
Range("G" & i + 1).Value = TheArray(i, 2)
Range("H" & i + 1).Value = TheArray(i, 3)
Range("I" & i + 1).Value = TheArray(i, 4)
Range("J" & i + 1).Value = TheArray(i, 5)
Range("K" & i + 1).Value = TheArray(i, 6)
Range("L" & i + 1).Value = TheArray(i, 7)
Range("M" & i + 1).Value = TheArray(i, 8)
Range("N" & i + 1).Value = TheArray(i, 9)
Next
ErrHandler:
Exit Sub
End Sub
The fetchHistoricalData method invokes the getData function passing in:
• The DDE server name, which is your TWS username prefixed with a capital S
• The DDE “topic” for historical data: “hist”
• A third parameter which is just the remaining fragment of the DDE link: id[requestId]?result
The third parameter contains the request ID you used in the requesting formula (4). Remember this same procedure
from the previous tutorial when you requested real time data. Your request/retrieve formulas both need to include
the exact same ID.
If you correctly entered the code into your macro in the VBA editor as shown above, your Excel worksheet should
look very similar to the image below. (Note that we have changed the button label to Historical from its default
value).
Just after the data is retrieved from TWS, the requesting formula will change its output to FINISHED.
It is very important for to wait until the request formula’s output changes from PROCESSING to RECEIVED before
you try to pull the actual data from TWS. If the cell displays PROCESSING for too long, then it is very likely there
was an error in your request. If this happens, make use of the error retrieval formulas explained in Obtain the Last
Available Error (p. ??).
The next step is to Understand the Formula (p. ??).
5.5.3.6 DDE Formula Reference
5.5.3.6.1 Real Time Data
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50 Excel APIs
Attribute Description
twsuser The user name with which you logged into the TWS
requestId The request unique identifier (any positive integer)
symbol The contract symbol
sectype The kind of contract
exchange The exchange from which we want to pull the data from
currency The contract currency
5.5.3.6.1.1 Initial Request
=S[twsuser]|tik!'id[reqestId]?req?[symbol]_[sectype]_[exchange]_[currency]_∼/'
5.5.3.6.1.2 Data Reception
=S[twsuser]|tik!id[requestId]?bidSize
=S[twsuser]|tik!id[requestId]?bid
=S[twsuser]|tik!id[requestId]?ask
=S[twsuser]|tik!id[requestId]?askSize
=S[twsuser]|tik!id[requestId]?last
=S[twsuser]|tik!id[requestId]?lastSize
=S[twsuser]|tik!id[requestId]?high
=S[twsuser]|tik!id[requestId]?low
=S[twsuser]|tik!id[requestId]?volume
=S[twsuser]|tik!id[requestId]?close
=S[twsuser]|tik!id[requestId]?bidImpliedVol
5.5.3.6.1.3 Option-specific Ticks
=S[twsuser]|tik!id[requestId]?bidDelta
=S[twsuser]|tik!id[requestId]?askImpliedVol
=S[twsuser]|tik!id[requestId]?askDelta
=S[twsuser]|tik!id[requestId]?lastImpliedVol
=S[twsuser]|tik!id[requestId]?lastDelta
=S[twsuser]|tik!id[requestId]?modelVolatility
=S[twsuser]|tik!id[requestId]?modelDelta
=S[twsuser]|tik!id[requestId]?modelPrice
=S[twsuser]|tik!id[requestId]?pvDividend
=S[twsuser]|tik!id[requestId]?modelGamma
=S[twsuser]|tik!id[requestId]?modelVega
=S[twsuser]|tik!id[requestId]?modelTheta
=S[twsuser]|tik!id[requestId]?modelUndPrice
5.5.3.6.2 Historical Data
In the example Receiving the data (p. ??), you pulled midpoint historical data for EUR.USD from TWS.
Most of the formula’s components are self-explanatory with the exception of duration and bar sizes, which require
very specific codes as listed below:
5.5.3.6.2.1 Duration
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5.5 Dynamic Data Exchange 51
Time Unit Formula Abbreviation
Seconds S
Day D
Week W
Month M
Year Y
5.5.3.6.2.2 Bar Sizes
Bar Size Formula Parameter
1 second 1
5 seconds 2
15 seconds 3
30 seconds 4
1 minute 5
2 minutes 6
5 minutes 7
15 minutes 8
30 minutes 9
1 hour 10
1 day 11
For available whatToShow parameters and detailed descriptions, please refer to the Historical Data Types (p. ??).
Please also be mindful of the Historical Data Limitations (p. ??).
5.5.3.6.3 Contract Definitions
The TWS DDE for Excel API lets you retrieve data for any instrument available in TWS. So far we have been using
the simplest instrument of all: CASH. Using slight variations of the same formula, you can define any security type
available in TWS.
5.5.3.6.3.1 How to Find the Definition of a Contract
The best way of finding a contract’s description is within the TWS itself. Within the TWS, you can easily check a
contract’s description either by double clicking it or through the Contract Info ->Description menu, which you
access by right-clicking a contract in TWS:
The description will then appear:
5.5.3.6.3.2 Formulas for Different Security Types
Note: There are two different request types, i.e. "req1" and "req2", that differentiate in defining contracts with
underlying Symbol (req1) or Local Symbol (req2) of the contract. While either request type can be used, the Local
Symbol is most common for FUT, OPT and FOP.
Please find available contract parameters and sample contracts for each security type below:
FX Pairs
Formula
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52 Excel APIs
=S[twsuser]|tik!'id[reqId]?req?[symbol]_[SecType]_[exchange]_[currency]_∼/'
Example
=Ssample123|tik!'id1?req?EUR_CASH_IDEALPRO_USD_∼/'
STK
Formula
=S[twsuser]|tik!'id[reqId]?req?[symbol]_[SecType]_[exchange]_[currency]_∼/'
Example
=Ssample123|tik!'id2?req?IBKR_STK_SMART_USD_∼/'
FUT
FUT using the contract’s local symbol
Formula
=S[twsuser]|tik!'id[reqId]?req2?[symbol]_[SecType]_[exchange]_[currency]_∼/'
Example
=Ssample123|tik!'id3?req2?ESZ6_FUT_GLOBEX_USD_∼/'
FUT using underlying’s symbol, multiplier and expiration date
Formula
=S[twsuser]|tik!'id[reqId]?req?[underlying_symbol]_[SecType]_[expiry]_[multiplier]_[exchange]_[currency]_∼_∼/'
Example
=Ssample123|tik!'id3?req?ES_FUT_201612_50_GLOBEX_USD_∼_∼/'
OPT
OPT using the contract’s local symbol
Formula
=S[twsuser]|tik!'id[reqId]?req2?[symbol]_[SecType]_[exchange]_[currency]_∼/'
Example
=Ssample123|tik!'id4?req2?C DBK DEC 16 1300_OPT_DTB_EUR_∼/'
Note: The format of the option local symbol conforms to the Option Symbology Initiative (OSI).
OPT using underlying’s symbol, multiplier and expiration date
Formula
=S[twsuser]|tik!'id[reqId]?req?[underlying_symbol]_[SecType]_[expiry]_[strike]_[P/C]_[multiplier]_[exchange]_←-
[currency]_∼_∼/'
Example
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5.5 Dynamic Data Exchange 53
=Ssample123|tik!'id4?req?DBK_OPT_20161216_13_C_100_DTB_EUR_∼_∼/'
FOP
FOP using the contract’s local symbol
Formula
=S[twsuser]|tik!'id[reqId]?req2?[symbol]_[SecType]_[exchange]_[currency]_∼/'
Example
=Ssample123|tik!'id5?req2?XTZ6 C1100_FOP_GLOBEX_USD_∼/'
FOP using underlying’s symbol, multiplier and expiration date
Formula
=S[twsuser]|tik!'id[reqId]?req?[underlying_symbol]_[SecType]_[expiry]_[strike]_[P/C]_[multiplier]_[exchange]_←-
[currency]_∼_[tradingClass]/'
Example
=Ssample123|tik!'id5?req?EUR_FOP_20161209_1.1_C_125000_GLOBEX_USD_∼_XT/'
IND
Formula
=S[twsuser]|tik!'id[reqId]?req?[symbol]_[SecType]_[exchange]_[currency]_∼/'
Example
=Ssample123|tik!'id6?req?ES_IND_GLOBEX_USD_∼/'
BAG
Formula
=S[twsuser]|tik!'id[reqId]?req?[symbol]_[SecType]_[exchange]_[currency]_CMBLGS_[num of legs]_[legId]_[leg←-
Quantity]_[legAction]_[legExchange]_[legPrice]...CMBLGS_∼/'
Example
=Ssample123|tik!'id7?req?
SPY_BAG_SMART_USD_CMBLGS_2_141149249_1_BUY_SMART_0_141149252_1_SELL_SMART_0_CMB←-
LGS_∼/'
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54 Excel APIs
5.6 ActiveX for Excel API
The ActiveX API wraps the C#/.NET API and is provided as an open source project TWSLib. It is suggested to also
consider using the C# API directly as it provides seamless integration with the .NET framework.
One possible advantage of using the ActiveX for Excel API as compared to RTDServer or DDE is that ActiveX
does provide the same number of functions as the other socket-based technologies (C#, Java, C++, Python).
Disadvantages of the ActiveX Excel API is that it is more difficult to program as compared to other Excel APIs and
not as robust as non-Excel socket-based API applications.
See Excel API comparison
5.6.1 ActiveX Sample Spreadsheet
A sample ActiveX for Excel spreadsheet is included with the API installation and installs to C:\TWS API\samples\←-
Excel\TwsActiveX.xls. The spreadsheet and the included ActiveX control are built for the 32 bit version of Excel for
API versions until 973.05. With API versions 973.05+, the provided installed ActiveX control and Excel spreadsheet
sample will work with either 32 bit or 64 bit applications. If version 9.73 of the ActiveX API is used, it is recommended
to use version 973.07 or higher.
Important: Please note the sample ActiveX spreadsheet provided with the API is meant only as a demonstration
of API functionality, and not intended as a production-level tool to be used in trading. While it is designed with
examples of almost all API functions, it does not have the necessary functionality to handle problems that may
occur during trading such as disconnections, error codes, or dropped events in a robust way.
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Chapter 5
Troubleshooting & Support
The API documentation contains a complete description of all API functions. Additionally the source code of the
API itself is distributed freely and is a great resource for more in-depth understanding of how the API works. If after
reviewing these resources there are remaining questions about available API functionality, the API Support group is
available to help.
-> It is important to keep in mind that that IB cannot provide programming assistance or give suggestions on how
to code custom applications. The API group can review log files which contain a record of communications between
API applications and TWS, and give details about what the API can provide.
General suggestions on starting out with the IB system:
•Become familiar with the analogous functionality in TWS before using the API: the TWS API is nothing
but a communication channel between your client application and TWS. Each API function has a correspond-
ing tool in TWS. For instance, the market data tick types in the API correspond to watchlist columns in TWS.
Any order which can be created in the API can first be created in TWS, and it is recommended to do so.
Additionally, if information is not available in TWS, it will not be available in the API. Before using IB Gateway
with the API, it is recommended to first become familiar with TWS.
•Make use of the sample API applications: the sample applications distributed with the API download have
examples of essentially every API function in each of the available programming languages. If an issue
does not occur in the corresponding sample application, that implies there is a problem with the custom
implementation.
•Upgrade TWS or IB Gateway periodically: TWS and IB Gateway often have new software releases that
have enhancements, and that can sometimes have bug fixes. Because of this, we strongly recommend our
users to keep their software as up to date as possible. There is no problem with staying with a version of
the API and upgrading TWS, as TWS/IB Gateway are designed to be backwards compatible with older API
versions. If you are experiencing a specific problem that is occurring in TWS or IB Gateway and not in the
API program, it is quite possible it does not occur in the more recent software build.
6.1 Log Files
The log files are essential to provide detailed information about how a custom application may be malfunctioning.
They are useful tools for direct review by an API application programmer, and additionally they can be uploaded for
review by the API Support group.
http://interactivebrokers.github.io/tws-api/support.html
56 Troubleshooting & Support
6.1.1 API Log
TWS and IB Gateway can be configured to create a separate log file which has a record of just communications with
API applications. This log is not enabled by default; but needs to be enabled by the Global Configuration setting
"Create API Message Log File"(picture below).
• API logs contain a record of exchanged messages between API applications and TWS/IB Gateway. Since
only API messages are recorded, the API logs are more compact and easier to handle. However they do not
contain general diagnostic information about TWS/IBG as the TWS/IBG logs. In TWS/IBG versions above
956, the API message log files will be created within a subdirectory of the TWS settings folder that is specific
to that user. The TWS/IBG settings folder is by default C:\Jts (or IBJts on Mac/Linux). The API logs are
named api.[clientId].[day].log, where [clientId] corresponds to the Id the client application used to connect
to the TWS and [day] to the week day (i.e. api.123.Thu.log).
• There is also a setting "Include Market Data in API Log" that will include streaming market data values in the
API log file.
Enabling creation of API logs
TWS:
• Navigate to File/Edit →Global Configuration →API →Settings
• Check the box Create API message log file
• Click Apply and Ok
IB Gateway:
• Navigate to Configure →Settings →API →Settings
• Check the box Create API message log file
• Click Apply and Ok
6.1.2 TWS Log File
The TWS Logging Level must be set to the 'Detail' level to record information pertinent to the API. By default it is
at the 'Error' level which records a minimum of diagnostic information. To capture API messages it is necessary
to change the Logging Level to 'Detail'. Note the 'Logging Level', like all TWS/IBG settings, is saved separately for
different users and for TWS and IBG.
•Important: The TWS/IB Gateway log file setting has to be set to 'Detail' level before an issue occurs so that
information recorded correctly when it manifests. However due to the high amount of information that will be
generated under this level, the resulting logs can grow considerably in size. It is therefore recommended to
use the 'Detail' level only when troubleshooting and/or tracking a very specific issue. This can also be done
from the API client itself using the IBApi.EClient.setServerLogLevel function. Some third party applications,
such as NinjaTrader, are configured to invoke this function to set the TWS Logging Level every time they
connect, and so to set the TWS Log to 'Detail' this will have to be done from within the API client program.
Steps to set TWS Logging Level to Detail
TWS:
• Navigate to File/Edit →Global Configuration →API →Settings
• Set Logging Level to Detail
IB Gateway:
• Navigate to Configure →Settings →API →Settings
• Set Logging Level to Detail
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6.1 Log Files 57
6.1.3 Local location of logs
For TWS and IB Gateway versions above 956 the TWS, IB Gateway, and API logs are stored in a common folder
for each username. This folder is within the TWS settings directory, C:\Jts\ by default on a Windows computer (the
default can be configured differently on the login screen).
The path to the log file directory can be found from a TWS or IB Gateway session by using the combination Ctrl-←-
Alt-U. This will reveal path such as C:\Jts\detcfsvirl\ (on Windows).
6.1.4 Uploading logs
• If API logging has been enabled with the setting "Create API Message Log" during the time when an issue
occurs, it can be uploaded to the API group using the combination Ctrl-Alt-Q, then clicking Submit. If logs
have been uploaded, please let the API Support group know by creating a webticket in the Message Center
in Account Management (under Support) indicating the username of the associated TWS session. In some
cases a TWS log may also be requested at the Detailed logging level. The TWS log can grow quite large and
may not be uploadable by the automatic method; in this case an alternative means of upload can be found.
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Chapter 6
Programming the API: Architecture
7.1 EClientSocket and EWrapper Classes
Once the TWS is up and running and actively listening for incoming connections we are ready to write our code. This
brings us to the TWS API's two major classes: the IBApi.EWrapper interface and the IBApi.EClientSocket
7.2 Implementing the EWrapper Interface
The IBApi.EWrapper interface is the mechanism through which the TWS delivers information to the A←-PI client
application. By implementing this interface the client application will be able to receive and handle the information
coming from the TWS. For further information on how to implement interfaces, refer to your programming language's
documentation.
•public class EWrapperImpl : EWrapper
{
•public class EWrapperImpl implements EWrapper {
•Public Class EWrapperImpl
Implements EWrapper
•class TestCppClient : public EWrapper
{
•class TestWrapper(wrapper.EWrapper):
7.3 The EClientSocket Class
The class used to send messages to TWS is IBApi.EClientSocket (p. ??). Unlike EWrapper, this class is not
overriden as the provided functions in EClientSocket are invoked to send messages to TWS. To use EClientSocket,
first it may be necessary to implement the IBApi.EWrapper interface as part of its constructor parameters so that
the application can handle all returned messages. Messages sent from TWS as a response to function calls in
IBApi.EClientSocket require a EWrapper implementation so they can processed to meet the needs of the API
client.
Another crucial element is the IBApi.EReaderSignal object passed to theEClientSocket's constructor. With the
exception of Python, this object is used in APIs to signal a message is ready for processing in the queue. (In
Python the Queue class handles this task directly). We will discuss this object in more detail in the The EReader
Thread section.
http://interactivebrokers.github.io/tws-api/client_wrapper.html
60 Programming the API: Architecture
•EClientSocket clientSocket;
public readonly EReaderSignal Signal;
...
public EWrapperImpl()
{
Signal = new EReaderMonitorSignal();
clientSocket = new EClientSocket(this, Signal);
}
•private EReaderSignal readerSignal;
private EClientSocket clientSocket;
protected int currentOrderId = -1;
...
public EWrapperImpl() {
readerSignal = new EJavaSignal();
clientSocket = new EClientSocket(this, readerSignal);
}
•Public eReaderSignal As EReaderSignal
Public socketClient As EClientSocket
...
Sub New()
eReaderSignal = New EReaderMonitorSignal
socketClient = New EClientSocket(Me, eReaderSignal)
End Sub
•EReaderOSSignal m_osSignal;
EClientSocket *const m_pClient;
...
TestCppClient::TestCppClient() :
m_osSignal(2000)//2-seconds timeout
, m_pClient(new EClientSocket(this, &m_osSignal))
, m_state(ST_CONNECT)
, m_sleepDeadline(0)
, m_orderId(0)
, m_pReader(0)
, m_extraAuth(false)
{
}
•class TestClient(EClient):
def __init__(self, wrapper):
EClient.__init__(self, wrapper)
...
class TestApp(TestWrapper, TestClient):
def __init__(self):
TestWrapper.__init__(self)
TestClient.__init__(self, wrapper=self)
Note: The EReaderSignal class is not used for Python API. The Python Queue module is used for inter-
thread communication and data exchange.
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Chapter 7
Connectivity http://interactivebrokers.github.io/tws-api/connection.html
A TCP connection between the API client application and TWS needs to first be established via the IBApi.EClient←-
Socket.eConnect function. TWS acts as a server to receive requests from the API application (the client) and
responds by taking appropriate actions. The first step is for the API client to initiate a connection to the socket port on
which TWS is listening. It is possible to have multiple TWS instances running on the same computer if each is
configured with a different API socket port number. Also, each TWS session can receive up to 32 different client
applications simultaneously. The client ID field specified in the API connection is used to distinguish different API
clients.
8.1 Establishing an API connection
Once our two main objects have been created, EWrapper and ESocketClient, the client application can connect via
the IBApi.EClientSocket object:
•clientSocket.eConnect("127.0.0.1", 7497, 0);
•m_client.eConnect("127.0.0.1", 7497, 2);
•socketClient.eConnect("127.0.0.1", 7497, 0)
•bool bRes = m_pClient->eConnect( host, port, clientId, m_extraAuth);
•app.connect("127.0.0.1", args.port, clientId=0)
eConnect starts by requesting from the OS that a TCP socket be opened to the specified IP address and host
number- the first two parameters in the function call. If the socket cannot be opened, the OS returns an error
condition which the API returns as error code 502 to IBApi.EWrapper.error (p. ??). Since this error is not generated
by TWS it is not captured in TWS log files. Most commonly error 502 will indicate that TWS is not running with the
API enabled or is listening for connection requests on a different socket port. If connecting across a network, it can
also occur if there is a firewall or antivirus program blocking connections.
After the socket has been opened, both applications need to exchange essential information for the API session.
First, the version numbers of the client (API program) and server (TWS) are exchanged so that the server and client
each know the function calls supported by one another. In this way backwards compatibility can be maintained
between TWS and previous API versions. Next TWS will always return certain information for the client session,
namely the accounts which are accessible by the TWS session, the next valid order identifier (ID), and the time of
connection. In the most common mode of operation the EClient.AsyncEConnect field is set to false and the initial
handshake is taken to completion immediately after the socket connection is established. TWS will then immediately
provides the API client with this information.
• Important: The IBApi.EWrapper.nextValidID callback is commonly used to indicate that the connection is
completed and other messages can be sent from the API client to TWS. There is the possibility that function
calls made prior to this time could be dropped by TWS.
There is also an alternative mode of connection used in special cases in wich the variable AsyncEconnect is set to
true, and the call to startAPI is only called from the connectAck() function. All IB samples use the mode Async←-
Econnect = False.
62 Connectivity
8.2 The EReader Thread
API programs always have at least two threads of execution. One thread is used for sending messages to TWS,
and another thread is used for reading returned messages. The second thread uses the API EReader class to
read from the socket and add messages to a queue. Everytime a new message is added to the message queue,
a notification flag is triggered to let other threads now that there is a message waiting to be processed. In the
two-thread design of an API program, the message queue is also processed by the first thread. In a three-thread
design, an additional thread is created to perform this task. The thread responsible for the message queue will
decode messages and invoke the appropriate functions in EWrapper. The two-threaded design is used in the IB
Python sample Program.py and the C++ sample TestCppClient, while the 'Testbed' samples in the other languages
use a three-threaded design. Commonly in a Python asynchronous network application, the asyncio module
will be used to create a more sequential looking code design.
The class which has functionality for reading and parsing raw messages from TWS is the IBApi.EReader class.
•//Create a reader to consume messages from the TWS. The EReader will consume the incoming
messages and put them in a queue
var reader = new EReader(clientSocket, readerSignal);
reader.Start();
//Once the messages are in the queue, an additional thread can be created to fetch them
new Thread(() => { while (clientSocket.IsConnected()) { readerSignal.waitForSignal(); reader.
processMsgs(); } }) { IsBackground = true }.Start();
•final EReader reader = new EReader(m_client, m_signal);
reader.start();
//An additional thread is created in this program design to empty the messaging queue
new Thread(() -> {
while (m_client.isConnected()) {
m_signal.waitForSignal();
try {
reader.processMsgs();
}catch (Exception e) {
System.out.println("Exception: "+e.getMessage());
}
}
}).start();
•’Once the messages are in the queue, an additional thread need to fetch them
Dim msgThread As Thread = New Thread(AddressOf messageProcessing)
msgThread.IsBackground = True
If (wrapperImpl.serverVersion() > 0) Then Call msgThread.Start()
...
Private Sub messageProcessing()
Dim reader As EReader = New EReader(wrapperImpl.socketClient, wrapperImpl.eReaderSignal)
reader.Start()
While (wrapperImpl.socketClient.IsConnected)
wrapperImpl.eReaderSignal.waitForSignal()
reader.processMsgs()
End While
End Sub
•m_pReader = new EReader(m_pClient, &m_osSignal);
m_pReader->start();
• In Python IB API, the code below is included in Client::connect(), so the EReader thread is automatically
started upon connection. There is no need for user to start the reader.
# You don’t need to run this in your code!
self.reader = reader.EReader(self.conn, self.msg_queue)
self.reader.start() # start thread
Once the client is connected, a reader thread will be automatically created to handle incoming messages
and put the messages into a message queue for further process. User is required to trigger Client::run()
below, where the message queue is processed in an infinite loop and the EWrapper call-back functions are
automatically triggered.
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8.3 Accepting an API connection from TWS 63
app.run()
Now it is time to revisit the role of IBApi.EReaderSignal initially introduced in The EClientSocket Class (p. ??). As
mentioned in the previous paragraph, after the EReader thread places a message in the queue, a notification is
issued to make known that a message is ready for processing. In the (C++, C#/.NET, Java) APIs, this is done via
the IBApi.EReaderSignal object we initiated within the IBApi.EWrapper (p. ??)'s implementer. In the Python
API, it is handled automatically by the Queue class.
The client application is now ready to work with the Trader Workstation! At the completion of the connection, the API
program will start receiving events such as IBApi.EWrapper.nextValidId and IBApi.EWrapper.managed←-
Accounts (p. ??). In TWS (not IB Gateway) if there is an active network connection, there will also immediately be
callbacks to IBApi::EWrapper::error with errorId as -1 and errorCode=2104,2106, errorMsg = "Market Data Server
is ok" to indicate there is an active connection to the IB market data server. Callbacks to IBApi::E←-Wrapper::error
with errorId as -1 do not represent true 'errors' but only notifications that a connection has been made successfully to
the IB market data farms.
IB Gateway by contrast will not make connections to market data farms until a request is made by the IB client. Until
this time the connection indicator in the IB Gateway GUI will show a yellow color of 'inactive' rather than an 'active'
green indication.
When initially making requests from an API application it is important that the verifies that a response is received
rather than proceeding assuming that the network connection is ok and the subscription request (portfolio updates,
account information, etc) was made successfully.
8.3 Accepting an API connection from TWS
For security reasons, by default the API is not configured to automatically accept connection requests from API
applications. After a connection attempt, a dialogue will appear in TWS asking the user to manually confirm that a
connection can be made:
To prevent the TWS from asking the end user to accept the connection, it is possible to configure it to automatically
accept the connection from a trusted IP address and/or the local machine. This can easily be done via the TWS API
settings:
Note: you have to make sure the connection has been fully established before attempting to do any requests to
the TWS. Failure to do so will result in the TWS closing the connection. Typically this can be done by waiting for
a callback from an event and the end of the initial connection handshake, such as
IBApi.EWrapper.nextValidId or IBApi.EWrapper.managedAccounts (p. ??).
In rare cases in which IB Gateway or TWS has a momentarily delay in establishing connecting to the IB servers,
messages sent immediately after receiving the nextValidId could be dropped and would need to be resent. If the API
client has not receive the expected callbacks from issued requests, it should not proceed assumming the connection
is ok.
8.4 Broken API socket connection
If there is a problem with the socket connection between TWS and the API client, for instance if TWS suddenly
closes, this will trigger an exception in the EReader thread which is reading from the socket. This exception will also
occur if an API client attempts to connect with a client ID that is already in use.
The socket EOF is handled slightly differently in different API languages. For instance in Java, it is caught and sent to
the client application to IBApi::EWrapper::error with errorCode 507: "Bad Message". In C# it is caught and sent to
IBApi::EWrapper::error with errorCode -1. The client application needs to handle this error message and use it to
indicate that an exception has been thrown in the socket connection. Associated functions such as
IBApi::EWrapper::connectionClosed and IBApi::EClient::IsConnected functions are not called automatically
by the API code but need to be handled at the API client-level∗.
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64 Connectivity
• This has been changed in API version 973.04
Generated by Doxygen
Chapter 8
Financial Instruments (Contracts)
9.1 Overview
An IBApi.Contract object represents trading instruments such as a stocks, futures or options.
Every time a new request that requires a contract (i.e. market data, order placing, etc.) is sent to TWS, the platform
will try to match the provided contract object with a single candidate. If there is more than one contract matching
the same description, TWS will return an error notifying you there is an ambiguity. In these cases the TWS needs
further information to narrow down the list of contracts matching the provided description to a single element.
The best way of finding a contract’s description is within the TWS itself. Within the TWS, you can easily check a
contract’s description either by double clicking it or through the Contract Info -> Description menu, which you
access by right-clicking a contract in TWS:
The description will then appear:
Note: you can see the extended contract details by choosing Contract Info -> Details. This option will open a
web page showing all available information on the contract.
Whenever a contract description is provided via the TWS API, the TWS will try to match the given description to a
single contract. This mechanism allows for great flexibility since it gives the possibility to define the same contract
in multiple ways.
The simplest way to define a contract is by providing its symbol, security type, currency and exchange. The vast
majority of stocks, CFDs, Indexes or FX pairs can be uniquely defined through these four attributes. More com-
plex contracts such as options and futures require some extra information due to their nature. Below are several
examples for different types of instruments.
See also:
•Requesting Contract Details
•Stock Contract Search
•Basic Contracts
•Spreads
http://interactivebrokers.github.io/tws-api/contracts.html
66 Financial Instruments (Contracts)
9.2 Requesting Contract Details
Complete details about a contract in IB's database can be retrieved using the function IBApi.EClient.reqContract←-
Details (p. ??). This includes information about a contracts conID, symbol, local symbol, currency, etc. which is
returned in a IBApi.ContractDetails object IBApi.EWrapper.contractDetail. reqContractDetails takes as an
argument a Contract object which may uniquely match an argument, and unlike other API functions it can also take
a Contract object which matches multiple contracts in IB's database. When there are multiple matches, they will
each be returned individually to the function IBApi::EWrapper::contractDetails (p. ??).
Note: Invoking reqContractDetails with a Contract object which has currency = USD will only return US contracts,
even if there are non-US instruments which have the USD currency.
Request for Bond details will be returned to IBApi::EWrapper::bondContractDetails instead. Because of bond
market data license restrictions, there are only a few available fields to be returned in a bond contract description,
namely the minTick, exchange, and short name.
One particular use of the IBApi::EClient::reqContractDetails function is to request an option chain. See
Option Chains for more details.
9.2.1 BroadTape News List
The example below shows an "incomplete" news IBApi.Contract with no symbol or currency defined. In most cases
using such a contract would result in an invalid contract details error since a symbol or localSymbol is required.
IBApi.EClient.reqContractDetails will instead use it to obtain the whole BroadTape news chain from the TWS.
•Contract contract = new Contract();
contract.SecType = "NEWS";
contract.Exchange = "BT";//Briefing Trader
...
client.reqContractDetails(211, ContractSamples.NewsFeedForQuery());
•Contract contract = new Contract();
contract.secType("NEWS");
contract.exchange("BT"); //Briefing Trader
...
client.reqContractDetails(211, ContractSamples.NewsFeedForQuery());
•Dim contract As Contract = New Contract()
contract.SecType = "NEWS"
contract.Exchange = "BT" ’Briefing Trader
...
client.reqContractDetails(211, ContractSamples.NewsFeedForQuery())
•Contract contract;
contract.secType = "NEWS";
contract.exchange = "BT";//Briefing Trader
...
m_pClient->reqContractDetails(211, ContractSamples::NewsFeedForQuery());
•contract = Contract()
contract.secType = "NEWS"
contract.exchange = "BT" #Briefing Trader
...
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9.2 Requesting Contract Details 67
self.reqContractDetails(213, ContractSamples.NewsFeedForQuery())
All returned objects will be delivered via IBApi.EWrapper.contractDetails (p. ??). Once all contracts have been
delivered the IBApi.EWrapper.contractDetailsEnd marker will be triggered to notify it.
•public class EWrapperImpl : EWrapper
{
...
public virtual void contractDetails(int reqId, ContractDetails contractDetails)
{
Console.WriteLine("ContractDetails begin. ReqId: " + reqId);
printContractMsg(contractDetails.Contract);
printContractDetailsMsg(contractDetails);
Console.WriteLine("ContractDetails end. ReqId: " + reqId);
}
...
public virtual void contractDetailsEnd(int reqId)
{
Console.WriteLine("ContractDetailsEnd. "+reqId+"\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void contractDetails(int reqId, ContractDetails contractDetails) {
System.out.println(EWrapperMsgGenerator.contractDetails(reqId, contractDetails));
}
...
@Override
public void contractDetailsEnd(int reqId) {
System.out.println("ContractDetailsEnd. "+reqId+"\n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub contractDetails(reqId As Integer, contractDetails As IBApi.ContractDetails) Implements
IBApi.EWrapper.contractDetails
Console.WriteLine("ContractDetails begin. ReqId: " & reqId)
printContractMsg(contractDetails.Contract)
printContractDetailsMsg(contractDetails)
Console.WriteLine("ContractDetails end. ReqId: " & reqId)
End Sub
...
Public Sub contractDetailsEnd(reqId As Integer) Implements IBApi.EWrapper.contractDetailsEnd
Console.WriteLine("ContractDetailsEnd - ReqId [" & reqId & "]")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::contractDetails( int reqId, const ContractDetails& contractDetails) {
printf( "ContractDetails begin. ReqId: %d\n", reqId);
printContractMsg(contractDetails.contract);
printContractDetailsMsg(contractDetails);
printf( "ContractDetails end. ReqId: %d\n", reqId);
}
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68 Financial Instruments (Contracts)
...
void TestCppClient::contractDetailsEnd( int reqId) {
printf( "ContractDetailsEnd. %d\n", reqId);
}
•class TestWrapper(wrapper.EWrapper):
...
def contractDetails(self, reqId: int, contractDetails: ContractDetails):
super().contractDetails(reqId, contractDetails)
printinstance(contractDetails.contract)
...
def contractDetailsEnd(self, reqId: int):
super().contractDetailsEnd(reqId)
print("ContractDetailsEnd. ", reqId, "\n")
Important: due to the potentially high amount of data resulting from such queries this request is subject to pacing.
Although a request such as the above one will be answered immediately, a similar subsequent one will be kept on
hold for one minute. This amount of time will increase if more such requests are performed. To prevent this narrow
down the amount of eligible contracts by providing an expiration date specifying at least the year (i.e. 2016) or the
year and the month (i.e. 201603 for March 2016).
9.3 Stock Contract Search
Starting in API v973.02 and TWS v964, a function IBApi::EClient::reqMatchingSymbols is available to search for
stock contracts. The input can be either the first few letters of the ticker symbol, or for longer strings, a character
sequence matching a word in the security name. For instance to search for the stock symbol 'IBKR', the input 'I' or
'IB' can be used, as well as the word 'Interactive'. Up to 16 matching results are returned.
• There must be an interval of at least 1 second between successive calls to reqMatchingSymbols
•client.reqMatchingSymbols(211, "IB");
•client.reqMatchingSymbols(211, "IB");
•client.reqMatchingSymbols(202, "IB")
•m_pClient->reqMatchingSymbols(11001, "IBM");
•self.reqMatchingSymbols(212, "IB")
Matching stock contracts are returned to IBApi::EWrapper::symbolSamples with information about types of
derivative contracts which exist (warrants, options, dutch warrants, futures).
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9.3 Stock Contract Search 69
•public void symbolSamples(int reqId, ContractDescription[] contractDescriptions)
{
string derivSecTypes;
Console.WriteLine("Symbol Samples. Request Id: {0}", reqId);
foreach (var contractDescription in contractDescriptions)
{
derivSecTypes = "";
foreach (var derivSecType in contractDescription.DerivativeSecTypes)
{
derivSecTypes += derivSecType;
derivSecTypes += " ";
}
Console.WriteLine("Contract: conId - {0}, symbol - {1}, secType - {2}, primExchange - {3},
currency - {4}, derivativeSecTypes - {5}",
contractDescription.Contract.ConId, contractDescription.Contract.Symbol,
contractDescription.Contract.SecType,
contractDescription.Contract.PrimaryExch, contractDescription.Contract.Currency,
derivSecTypes);
}
}
•@Override
public void symbolSamples(int reqId, ContractDescription[] contractDescriptions) {
System.out.println("Contract Descriptions. Request: " + reqId + "\n");
for (ContractDescription cd : contractDescriptions) {
Contract c = cd.contract();
StringBuilder derivativeSecTypesSB = new StringBuilder();
for (String str : cd.derivativeSecTypes()) {
derivativeSecTypesSB.append(str);
derivativeSecTypesSB.append(",");
}
System.out.print("Contract. ConId: " + c.conid() + ", Symbol: " + c.symbol() + ", SecType: " +
c.secType() +
", PrimaryExch: " + c.primaryExch() + ", Currency: " + c.currency() +
", DerivativeSecTypes:[" + derivativeSecTypesSB.toString() + "]");
}
System.out.println();
}
•Public Sub symbolSamples(reqId As Integer, contractDescriptions As ContractDescription())
Implements EWrapper.symbolSamples
Dim derivSecTypes As String
Console.WriteLine("Symbol Samples. Request Id: " & reqId)
For Each contractDescription In contractDescriptions
derivSecTypes = ""
For Each derivSecType In contractDescription.DerivativeSecTypes
derivSecTypes += derivSecType
derivSecTypes += " "
Next
Console.WriteLine("Contract: conId - " & contractDescription.Contract.ConId & ", symbol - "
& contractDescription.Contract.Symbol &
", secType -" & contractDescription.Contract.SecType & ", primExchange -
" & contractDescription.Contract.PrimaryExch &
", currency - " & contractDescription.Contract.Currency & ",
derivativeSecTypes - " & derivSecTypes)
Next
End Sub
•void TestCppClient::symbolSamples(int reqId, const std::vector<ContractDescription> &contractDescriptions)
{
printf("Symbol Samples (total=%lu) reqId: %d\n", contractDescriptions.size(), reqId);
for (unsigned int i = 0; i < contractDescriptions.size(); i++) {
Contract contract = contractDescriptions[i].contract;
std::vector<std::string> derivativeSecTypes = contractDescriptions[i].derivativeSecTypes;
printf("Contract (%u): %ld %s %s %s %s, ", i, contract.conId, contract.symbol.c_str(), contract.
secType.c_str(), contract.primaryExchange.c_str(), contract.currency.c_str());
printf("Derivative Sec-types (%lu):", derivativeSecTypes.size());
for (unsigned int j = 0; j < derivativeSecTypes.size(); j++) {
printf(" %s", derivativeSecTypes[j].c_str());
}
printf("\n");
}
}
•def symbolSamples(self, reqId: int,
contractDescriptions: ListOfContractDescription):
super().symbolSamples(reqId, contractDescriptions)
print("Symbol Samples. Request Id: ", reqId)
for contractDescription in contractDescriptions:
derivSecTypes = ""
for derivSecType in contractDescription.derivativeSecTypes:
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70 Financial Instruments (Contracts)
derivSecTypes += derivSecType
derivSecTypes += " "
print("Contract: conId:%s, symbol:%s, secType:%s primExchange:%s, "
"currency:%s, derivativeSecTypes:%s" % (
contractDescription.contract.conId,
contractDescription.contract.symbol,
contractDescription.contract.secType,
contractDescription.contract.primaryExchange,
contractDescription.contract.currency, derivSecTypes))
9.4 Basic Contracts
9.4.1 FX Pairs
•Contract contract = new Contract();
contract.Symbol = "EUR";
contract.SecType = "CASH";
contract.Currency = "GBP";
contract.Exchange = "IDEALPRO";
•Contract contract = new Contract();
contract.symbol("EUR");
contract.secType("CASH");
contract.currency("GBP");
contract.exchange("IDEALPRO");
•Dim contract As Contract = New Contract
contract.Symbol = "EUR"
contract.SecType = "CASH"
contract.Currency = "GBP"
contract.Exchange = "IDEALPRO"
•Contract contract;
contract.symbol = "EUR";
contract.secType = "CASH";
contract.currency = "GBP";
contract.exchange = "IDEALPRO";
•contract = Contract()
contract.symbol = "EUR"
contract.secType = "CASH"
contract.currency = "GBP"
contract.exchange = "IDEALPRO"
9.4.2 Stocks
•Contract contract = new Contract();
contract.Symbol = "IBKR";
contract.SecType = "STK";
contract.Currency = "USD";
//In the API side, NASDAQ is always defined as ISLAND in the exchange field
contract.Exchange = "ISLAND";
•Contract contract = new Contract();
contract.conid(46636665);
contract.secType("STK");
//contract.currency("USD");
//In the API side, NASDAQ is always defined as ISLAND
contract.exchange("SEHK");
•Dim contract As Contract = New Contract
contract.Symbol = "IBKR"
contract.SecType = "STK"
contract.Currency = "USD"
’! In the API side, NASDAQ Is always defined as ISLAND for routing purposes
contract.Exchange = "ISLAND"
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9.4 Basic Contracts 71
•Contract contract;
contract.symbol = "IBKR";
contract.secType = "STK";
contract.currency = "USD";
//In the API side, NASDAQ is always defined as ISLAND
contract.exchange = "ISLAND";
•contract = Contract()
contract.symbol = "IBKR"
contract.secType = "STK"
contract.currency = "USD"
#In the API side, NASDAQ is always defined as ISLAND in the exchange field
contract.exchange = "ISLAND"
For certain smart-routed stock contracts that have the same symbol,currency and exchange, you would also
need to specify the primary exchange attribute to uniquely define the contract. This should be defined as the
native exchange of a contract, and is good practice to include for all stocks:
•Contract contract = new Contract();
contract.Symbol = "MSFT";
contract.SecType = "STK";
contract.Currency = "USD";
contract.Exchange = "SMART";
//Specify the Primary Exchange attribute to avoid contract ambiguity
// (there is an ambiguity because there is also a MSFT contract with primary exchange = "AEB")
contract.PrimaryExch = "ISLAND";
•Contract contract = new Contract();
contract.symbol("MSFT");
contract.secType("STK");
contract.currency("USD");
contract.exchange("SMART");
// Specify the Primary Exchange attribute to avoid contract ambiguity
// (there is an ambiguity because there is also a MSFT contract with primary exchange = "AEB")
contract.primaryExch("ISLAND");
•Dim Contract As Contract = New Contract
Contract.symbol = "MSFT"
Contract.secType = "STK"
Contract.currency = "USD"
Contract.exchange = "SMART"
’Specify the Primary Exchange attribute to avoid contract ambiguity
’(there is an ambiguity because there is also a MSFT contract with primary exchange = "AEB")
Contract.PrimaryExch = "ISLAND"
•Contract contract;
contract.symbol = "AAPL";
contract.secType = "STK";
contract.currency = "USD";
contract.exchange = "SMART";
// Specify the Primary Exchange attribute to avoid contract ambiguity
// (there is an ambiguity because there is also a MSFT contract with primary exchange = "AEB")
contract.primaryExchange = "ISLAND";
•contract = Contract()
contract.symbol = "MSFT"
contract.secType = "STK"
contract.currency = "USD"
contract.exchange = "SMART"
#Specify the Primary Exchange attribute to avoid contract ambiguity
#(there is an ambiguity because there is also a MSFT contract with primary exchange = "AEB")
contract.primaryExchange = "ISLAND"
For the purpose of requesting market data, the routing exchange and primary exchange can be specified in a single
'exchange' field if they are separated by a valid component exchange separator, for instance exchange = "SMAR←-
T:ARCA". The default separators available are colon ":" and slash "/". Other component exchange separators can
be defined using the field defined in TWS Global Configuration under API ->Settings. The component exchange
separator syntax in TWS versions prior to 971 can only be used to request market data and not to place orders.
9.4.3 Indexes
ISINs for indices which are available in IB's database are available in the API as of TWS 965+.
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72 Financial Instruments (Contracts)
•Contract contract = new Contract();
contract.Symbol = "DAX";
contract.SecType = "IND";
contract.Currency = "EUR";
contract.Exchange = "DTB";
•Contract contract = new Contract();
contract.symbol("DAX");
contract.secType("IND");
contract.currency("EUR");
contract.exchange("DTB");
•Dim contract As Contract = New Contract
contract.Symbol = "DAX"
contract.SecType = "IND"
contract.Currency = "EUR"
contract.Exchange = "DTB"
•Contract contract;
contract.symbol = "DAX";
contract.secType = "IND";
contract.currency = "EUR";
contract.exchange = "DTB";
•contract = Contract()
contract.symbol = "DAX"
contract.secType = "IND"
contract.currency = "EUR"
contract.exchange = "DTB"
9.4.4 CFDs
•Contract contract = new Contract();
contract.Symbol = "IBDE30";
contract.SecType = "CFD";
contract.Currency = "EUR";
contract.Exchange = "SMART";
•Contract contract = new Contract();
contract.symbol("IBDE30");
contract.secType("CFD");
contract.currency("EUR");
contract.exchange("SMART");
•Dim contract As Contract = New Contract
contract.Symbol = "IBDE30"
contract.SecType = "CFD"
contract.Currency = "EUR"
contract.Exchange = "SMART"
•Contract contract;
contract.symbol = "IBDE30";
contract.secType = "CFD";
contract.currency = "EUR";
contract.exchange = "SMART";
•contract = Contract()
contract.symbol = "IBDE30"
contract.secType = "CFD"
contract.currency = "EUR"
contract.exchange = "SMART"
9.4.5 Futures
A regular futures contract is commonly defined using an expiry and the symbol field defined as the symbol of the
underlying. Historical data for futures is available up to 2 years after they expire by setting the includeExpired flag
within the Contract class to True.
•Contract contract = new Contract();
contract.Symbol = "ES";
contract.SecType = "FUT";
contract.Exchange = "GLOBEX";
contract.Currency = "USD";
contract.LastTradeDateOrContractMonth = "201803";
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9.4 Basic Contracts 73
•Contract contract = new Contract();
contract.symbol("ES");
contract.secType("FUT");
contract.currency("USD");
contract.exchange("GLOBEX");
contract.lastTradeDateOrContractMonth("201803");
•Dim contract As Contract = New Contract
contract.Symbol = "ES"
contract.SecType = "FUT"
contract.Exchange = "GLOBEX"
contract.Currency = "USD"
contract.LastTradeDateOrContractMonth = "201803"
•Contract contract;
contract.symbol = "ES";
contract.secType = "FUT";
contract.exchange = "GLOBEX";
contract.currency = "USD";
contract.lastTradeDateOrContractMonth = "201803";
•contract = Contract()
contract.symbol = "ES"
contract.secType = "FUT"
contract.exchange = "GLOBEX"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "201803"
By contract the 'local symbol' field is IB's symbol for the future itself (the Symbol within the TWS' Contract Description
dialog). Since a local symbol uniquely defines a future, an expiry is not necessary.
•Contract contract = new Contract();
contract.SecType = "FUT";
contract.Exchange = "GLOBEX";
contract.Currency = "USD";
contract.LocalSymbol = "ESU6";
•Contract contract = new Contract();
contract.localSymbol("ESU6");
contract.secType("FUT");
contract.currency("USD");
contract.exchange("GLOBEX");
•Dim contract As Contract = New Contract
contract.SecType = "FUT"
contract.Exchange = "GLOBEX"
contract.Currency = "USD"
contract.LocalSymbol = "ESU6"
•Contract contract;
contract.secType = "FUT";
contract.exchange = "GLOBEX";
contract.currency = "USD";
contract.localSymbol = "ESZ6";
•contract = Contract()
contract.secType = "FUT"
contract.exchange = "GLOBEX"
contract.currency = "USD"
contract.localSymbol = "ESU6"
Occasionally, you can expect to have more than a single future contract for the same underlying with the same
expiry. To rule out the ambiguity, the contract's multiplier can be given as shown below:
•Contract contract = new Contract();
contract.Symbol = "DAX";
contract.SecType = "FUT";
contract.Exchange = "DTB";
contract.Currency = "EUR";
contract.LastTradeDateOrContractMonth = "201609";
contract.Multiplier = "5";
•Contract contract = new Contract();
contract.symbol("DAX");
contract.secType("FUT");
contract.currency("EUR");
contract.exchange("DTB");
contract.lastTradeDateOrContractMonth("201609");
contract.multiplier("5");
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74 Financial Instruments (Contracts)
•Dim contract As Contract = New Contract()
contract.Symbol = "DAX"
contract.SecType = "FUT"
contract.Exchange = "DTB"
contract.Currency = "EUR"
contract.LastTradeDateOrContractMonth = "201609"
contract.Multiplier = "5"
•Contract contract;
contract.symbol = "DAX";
contract.secType = "FUT";
contract.exchange = "DTB";
contract.currency = "EUR";
contract.lastTradeDateOrContractMonth = "201609";
contract.multiplier = "5";
•contract = Contract()
contract.symbol = "DAX"
contract.secType = "FUT"
contract.exchange = "DTB"
contract.currency = "EUR"
contract.lastTradeDateOrContractMonth = "201609"
contract.multiplier = "5"
A project is under development to allow for continuous futures from the API to receive historical data, real time
bars, or contract details (requires TWS v966+). Continuous futures cannot be used with real time data or to place
orders. To request historical data with continuous futures it is recommended to use TWS Build 971 or higher.
•Contract contract = new Contract();
contract.Symbol = "ES";
contract.SecType = "CONTFUT";
contract.Exchange = "GLOBEX";
•Contract contract = new Contract();
contract.symbol("ES");
contract.secType("CONTFUT");
contract.exchange("GLOBEX");
•Dim contract As Contract = New Contract()
contract.Symbol = "ES"
contract.SecType = "CONTFUT"
contract.Exchange = "GLOBEX"
•Contract contract;
contract.symbol = "ES";
contract.secType = "CONTFUT";
contract.exchange = "GLOBEX";
•contract = Contract()
contract.symbol = "ES"
contract.secType = "CONTFUT"
contract.exchange = "GLOBEX"
The security type "FUT+CONTFUT" can be used to request contract details about the futures and continuous futures
on an underlying. This security type cannot be used with other functionality.
•Contract contract = new Contract();
contract.Symbol = "ES";
contract.SecType = "FUT+CONTFUT";
contract.Exchange = "GLOBEX";
•Contract contract = new Contract();
contract.symbol("ES");
contract.secType("FUT+CONTFUT");
contract.exchange("GLOBEX");
•Dim contract As Contract = New Contract()
contract.Symbol = "ES"
contract.SecType = "FUT+CONTFUT"
contract.Exchange = "GLOBEX"
•Contract contract;
contract.symbol = "ES";
contract.secType = "FUT+CONTFUT";
contract.exchange = "GLOBEX";
•contract = Contract()
contract.symbol = "ES"
contract.secType = "FUT+CONTFUT"
contract.exchange = "GLOBEX"
Generated by Doxygen
9.4 Basic Contracts 75
9.4.6 Options
Options, like futures, also require an expiration date plus a strike and a multiplier:
•Contract contract = new Contract();
contract.Symbol = "GOOG";
contract.SecType = "OPT";
contract.Exchange = "BOX";
contract.Currency = "USD";
contract.LastTradeDateOrContractMonth = "20170120";
contract.Strike = 615;
contract.Right = "C";
contract.Multiplier = "100";
•Contract contract = new Contract();
contract.symbol("GOOG");
contract.secType("OPT");
contract.currency("USD");
contract.exchange("BOX");
contract.lastTradeDateOrContractMonth("20170120");
contract.right("C");
contract.strike(615);
contract.multiplier("100");
•Dim contract As Contract = New Contract
contract.Symbol = "GOOG"
contract.SecType = "OPT"
contract.Exchange = "BOX"
contract.Currency = "USD"
contract.LastTradeDateOrContractMonth = "20170120"
contract.Strike = 615
contract.Right = "C"
contract.Multiplier = "100"
•Contract contract;
contract.symbol = "GOOG";
contract.secType = "OPT";
contract.exchange = "BOX";
contract.currency = "USD";
contract.lastTradeDateOrContractMonth = "20170120";
contract.strike = 615;
contract.right = "C";
contract.multiplier = "100";
•contract = Contract()
contract.symbol = "GOOG"
contract.secType = "OPT"
contract.exchange = "BOX"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "20170120"
contract.strike = 615
contract.right = "C"
contract.multiplier = "100"
It is not unusual to find many option contracts with an almost identical description (i.e. underlying symbol, strike,
last trading date, multiplier, etc.). Adding more details such as the trading class will help:
•Contract contract = new Contract();
contract.Symbol = "SANT";
contract.SecType = "OPT";
contract.Exchange = "MEFFRV";
contract.Currency = "EUR";
contract.LastTradeDateOrContractMonth = "20190621";
contract.Strike = 7.5;
contract.Right = "C";
contract.Multiplier = "100";
contract.TradingClass = "SANEU";
•Contract contract = new Contract();
contract.symbol("SANT");
contract.secType("OPT");
contract.currency("EUR");
contract.exchange("MEFFRV");
contract.lastTradeDateOrContractMonth("20190621");
contract.right("C");
contract.strike(7.5);
contract.multiplier("100");
contract.tradingClass("SANEU");
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76 Financial Instruments (Contracts)
•Dim contract As Contract = New Contract
contract.Symbol = "SANT"
contract.SecType = "OPT"
contract.Exchange = "MEFFRV"
contract.Currency = "EUR"
contract.LastTradeDateOrContractMonth = "20190621"
contract.Strike = 7.5
contract.Right = "C"
contract.Multiplier = "100"
contract.TradingClass = "SANEU"
•Contract contract;
contract.symbol = "SANT";
contract.secType = "OPT";
contract.exchange = "MEFFRV";
contract.currency = "EUR";
contract.lastTradeDateOrContractMonth = "20190621";
contract.strike = 7.5;
contract.right = "C";
contract.multiplier = "100";
contract.tradingClass = "SANEU";
•contract = Contract()
contract.symbol = "SANT"
contract.secType = "OPT"
contract.exchange = "MEFFRV"
contract.currency = "EUR"
contract.lastTradeDateOrContractMonth = "20190621"
contract.strike = 7.5
contract.right = "C"
contract.multiplier = "100"
contract.tradingClass = "SANEU"
The OCC options symbol can be used to define an option contract in the API through the option's 'local symbol'
field.
•Contract contract = new Contract();
//Watch out for the spaces within the local symbol!
contract.LocalSymbol = "C DBK DEC 20 1600";
contract.SecType = "OPT";
contract.Exchange = "DTB";
contract.Currency = "EUR";
•Contract contract = new Contract();
//Watch out for the spaces within the local symbol!
contract.localSymbol("C DBK DEC 20 1600");
contract.secType("OPT");
contract.exchange("DTB");
contract.currency("EUR");
•Dim contract As Contract = New Contract()
’Watch out for the spaces within the local symbol!
contract.LocalSymbol = "C DBK DEC 20 1600"
contract.SecType = "OPT"
contract.Exchange = "DTB"
contract.Currency = "EUR"
•Contract contract;
//Watch out for the spaces within the local symbol!
contract.localSymbol = "C DBK DEC 20 1600";
contract.secType = "OPT";
contract.exchange = "DTB";
contract.currency = "EUR";
•contract = Contract()
#Watch out for the spaces within the local symbol!
contract.localSymbol = "C DBK DEC 20 1600"
contract.secType = "OPT"
contract.exchange = "DTB"
contract.currency = "EUR"
9.4.7 Futures Options
Futures options follow the same rules as conventional option contracts. For some futures options (e.g GE) it will be
necessary to define a trading class, or use the local symbol or conId.
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9.4 Basic Contracts 77
•Contract contract = new Contract();
contract.Symbol = "ES";
contract.SecType = "FOP";
contract.Exchange = "GLOBEX";
contract.Currency = "USD";
contract.LastTradeDateOrContractMonth = "20180316";
contract.Strike = 2800;
contract.Right = "C";
contract.Multiplier = "50";
•Contract contract = new Contract();
contract.symbol("ES");
contract.secType("FOP");
contract.currency("USD");
contract.exchange("GLOBEX");
contract.lastTradeDateOrContractMonth("20180316");
contract.right("C");
contract.strike(2800);
contract.multiplier("50");
•Dim contract As Contract = New Contract
contract.Symbol = "ES"
contract.SecType = "FOP"
contract.Exchange = "GLOBEX"
contract.Currency = "USD"
contract.LastTradeDateOrContractMonth = "20180316"
contract.Strike = 2800
contract.Right = "C"
contract.Multiplier = "50"
•Contract contract;
contract.symbol = "ES";
contract.secType = "FOP";
contract.exchange = "GLOBEX";
contract.currency = "USD";
contract.lastTradeDateOrContractMonth = "20180316";
contract.strike = 2800;
contract.right = "C";
contract.multiplier = "50";
•contract = Contract()
contract.symbol = "SPX"
contract.secType = "FOP"
contract.exchange = "GLOBEX"
contract.currency = "USD"
contract.lastTradeDateOrContractMonth = "20180315"
contract.strike = 1025
contract.right = "C"
contract.multiplier = "250"
9.4.8 Bonds
Bonds can be specified by defining the symbol as the CUSIP or ISIN.
•Contract contract = new Contract();
// enter CUSIP as symbol
contract.Symbol = "912828C57";
contract.SecType = "BOND";
contract.Exchange = "SMART";
contract.Currency = "USD";
•Contract contract = new Contract();
// enter CUSIP as symbol
contract.symbol("912828C57");
contract.secType("BOND");
contract.exchange("SMART");
contract.currency("USD");
•Dim Contract As Contract = New Contract
’ enter CUSIP as symbol
contract.symbol= "912828C57"
contract.secType = "BOND"
contract.exchange = "SMART"
contract.currency = "USD"
•Contract contract;
// enter CUSIP as symbol
contract.symbol= "912828C57";
contract.secType = "BOND";
contract.exchange = "SMART";
contract.currency = "USD";
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78 Financial Instruments (Contracts)
•contract = Contract()
# enter CUSIP as symbol
contract.symbol= "912828C57"
contract.secType = "BOND"
contract.exchange = "SMART"
contract.currency = "USD"
Bonds can also be defined with the conId and exchange as with any security type.
•Contract contract = new Contract();
contract.ConId = 285191782;
contract.Exchange = "SMART";
•Contract contract = new Contract();
contract.conid(285191782);
contract.exchange("SMART");
•Dim Contract As Contract = New Contract
Contract.ConId = 285191782
Contract.exchange = "SMART"
•Contract contract;
contract.conId = 285191782;
contract.exchange = "SMART";
•contract = Contract()
contract.conId = 15960357
contract.exchange = "SMART"
9.4.9 Mutual Funds
Trading Mutual Funds is not currently fully-supported from the API. Note: Mutual Funds orders cannot be placed in
paper accounts from any trading system.
•Contract contract = new Contract();
contract.Symbol = "VINIX";
contract.SecType = "FUND";
contract.Exchange = "FUNDSERV";
contract.Currency = "USD";
•Contract contract = new Contract();
contract.symbol("VINIX");
contract.secType("FUND");
contract.exchange("FUNDSERV");
contract.currency("USD");
•Dim Contract As Contract = New Contract
Contract.symbol = "VINIX"
Contract.secType = "FUND"
Contract.exchange = "FUNDSERV"
Contract.currency = "USD"
•Contract contract;
contract.symbol = "VINIX";
contract.secType = "FUND";
contract.exchange = "FUNDSERV";
contract.currency = "USD";
•contract = Contract()
contract.symbol = "VINIX"
contract.secType = "FUND"
contract.exchange = "FUNDSERV"
contract.currency = "USD"
Generated by Doxygen
9.4 Basic Contracts 79
9.4.10 Commodities
•Contract contract = new Contract();
contract.Symbol = "XAUUSD";
contract.SecType = "CMDTY";
contract.Exchange = "SMART";
contract.Currency = "USD";
•Contract contract = new Contract();
contract.symbol("XAUUSD");
contract.secType("CMDTY");
contract.exchange("SMART");
contract.currency("USD");
•Dim Contract As Contract = New Contract
Contract.symbol = "XAUUSD"
Contract.secType = "CMDTY"
Contract.exchange = "SMART"
Contract.currency = "USD"
•Contract contract;
contract.symbol = "XAUUSD";
contract.secType = "CMDTY";
contract.exchange = "SMART";
contract.currency = "USD";
•contract = Contract()
contract.symbol = "XAUUSD"
contract.secType = "CMDTY"
contract.exchange = "SMART"
contract.currency = "USD"
9.4.11 Dutch Warrants and Structured Products
To unambiguously define a Dutch Warrant or Structured Product (IOPTs) the conId or localSymbol field must be
used.
• It is important to note that if reqContractDetails is used with an incompletely-defined IOPT contract definition,
that thousands of results can be returned and the API connection broken.
• IOPT contract definitions will often change and it will be necessary to restart TWS or IB Gateway to download
the new contract definition.
•Contract contract = new Contract();
contract.LocalSymbol = "B881G";
contract.SecType = "IOPT";
contract.Exchange = "SBF";
contract.Currency = "EUR";
•Contract contract = new Contract();
contract.localSymbol("B881G");
contract.secType("IOPT");
contract.exchange("SBF");
contract.currency("EUR");
•Dim contract As Contract = New Contract()
contract.LocalSymbol = "B881G"
contract.SecType = "IOPT"
contract.Exchange = "SBF"
contract.Currency = "EUR"
•Contract contract;
contract.localSymbol = "B881G";
contract.secType = "IOPT";
contract.exchange = "SBF";
contract.currency = "EUR";
•contract = Contract()
contract.localSymbol = "B881G"
contract.secType = "IOPT"
contract.exchange = "SBF"
contract.currency = "EUR"
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80 Financial Instruments (Contracts)
9.5 Spreads
Spread contracts, also known as combos or combinations, combine two or more instruments. To define a combina-
tion contract it is required to know the conId of the IBApi.Contract in question. The conId of an instrument can
easily be obtained via the IBApi.EClientSocket.reqContractDetails request.
The spread contract's symbol can be either the symbol of one of the contract legs or, for two-legged combinations
the symbols of both legs separated by a comma as shown in the examples below.
9.5.1 Stock Spread
Beginning with TWS v971, Stock/Stock combos will have ticker symbols in alphabetical order when they are both
used in the symbol field, e.g. "AMD,IBKR"
•Contract contract = new Contract();
contract.Symbol = "IBKR,MCD";
contract.SecType = "BAG";
contract.Currency = "USD";
contract.Exchange = "SMART";
ComboLeg leg1 = new ComboLeg();
leg1.ConId = 43645865;//IBKR STK
leg1.Ratio = 1;
leg1.Action = "BUY";
leg1.Exchange = "SMART";
ComboLeg leg2 = new ComboLeg();
leg2.ConId = 9408;//MCD STK
leg2.Ratio = 1;
leg2.Action = "SELL";
leg2.Exchange = "SMART";
contract.ComboLegs = new List<ComboLeg>();
contract.ComboLegs.Add(leg1);
contract.ComboLegs.Add(leg2);
•Contract contract = new Contract();
contract.symbol("MCD");
contract.secType("BAG");
contract.currency("USD");
contract.exchange("SMART");
ComboLeg leg1 = new ComboLeg();
ComboLeg leg2 = new ComboLeg();
List<ComboLeg> addAllLegs = new ArrayList<>();
leg1.conid(43645865);//IBKR STK
leg1.ratio(1);
leg1.action("BUY");
leg1.exchange("SMART");
leg2.conid(9408);//MCD STK
leg2.ratio(1);
leg2.action("SELL");
leg2.exchange("SMART");
addAllLegs.add(leg1);
addAllLegs.add(leg2);
contract.comboLegs(addAllLegs);
•Dim contract As Contract = New Contract
contract.Symbol = "MCD"
contract.SecType = "BAG"
contract.Currency = "USD"
contract.Exchange = "SMART"
Dim leg1 As ComboLeg = New ComboLeg
leg1.ConId = 43645865
leg1.Ratio = 1
leg1.Action = "BUY"
leg1.Exchange = "SMART"
Dim leg2 As ComboLeg = New ComboLeg
leg2.ConId = 9408
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9.5 Spreads 81
leg2.Ratio = 1
leg2.Action = "SELL"
leg2.Exchange = "SMART"
contract.ComboLegs = New List(Of ComboLeg)
contract.ComboLegs.Add(leg1)
contract.ComboLegs.Add(leg2)
•Contract contract;
contract.symbol = "MCD";
contract.secType = "BAG";
contract.currency = "USD";
contract.exchange = "SMART";
ComboLegSPtr leg1(new ComboLeg);
leg1->conId = 43645865;
leg1->action = "BUY";
leg1->ratio = 1;
leg1->exchange = "SMART";
ComboLegSPtr leg2(new ComboLeg);
leg2->conId = 9408;
leg2->action = "SELL";
leg2->ratio = 1;
leg2->exchange = "SMART";
contract.comboLegs.reset(new Contract::ComboLegList());
contract.comboLegs->push_back(leg1);
contract.comboLegs->push_back(leg2);
•contract = Contract()
contract.symbol = "IBKR,MCD"
contract.secType = "BAG"
contract.currency = "USD"
contract.exchange = "SMART"
leg1 = ComboLeg()
leg1.conId = 43645865#IBKR STK
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "SMART"
leg2 = ComboLeg()
leg2.conId = 9408#MCD STK
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "SMART"
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
Note: EFPs are simply defined as a bag contract of stock and corresponding SSF with a ratio of 100:1.
9.5.2 Options Spread
•Contract contract = new Contract();
contract.Symbol = "DBK";
contract.SecType = "BAG";
contract.Currency = "EUR";
contract.Exchange = "DTB";
ComboLeg leg1 = new ComboLeg();
leg1.ConId = 197397509;//DBK JUN 15 ’18 C
leg1.Ratio = 1;
leg1.Action = "BUY";
leg1.Exchange = "DTB";
ComboLeg leg2 = new ComboLeg();
leg2.ConId = 197397584;//DBK JUN 15 ’18 P
leg2.Ratio = 1;
leg2.Action = "SELL";
leg2.Exchange = "DTB";
contract.ComboLegs = new List<ComboLeg>();
contract.ComboLegs.Add(leg1);
contract.ComboLegs.Add(leg2);
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82 Financial Instruments (Contracts)
•Contract contract = new Contract();
contract.symbol("DBK");
contract.secType("BAG");
contract.currency("EUR");
contract.exchange("DTB");
ComboLeg leg1 = new ComboLeg();
ComboLeg leg2 = new ComboLeg();
List<ComboLeg> addAllLegs = new ArrayList<>();
leg1.conid(197397509);//DBK JUN 15 ’18 C
leg1.ratio(1);
leg1.action("BUY");
leg1.exchange("DTB");
leg2.conid(197397584);//DBK JUN 15 ’18 P
leg2.ratio(1);
leg2.action("SELL");
leg2.exchange("DTB");
addAllLegs.add(leg1);
addAllLegs.add(leg2);
contract.comboLegs(addAllLegs);
•Dim contract As Contract = New Contract
contract.Symbol = "DBK"
contract.SecType = "BAG"
contract.Currency = "EUR"
contract.Exchange = "DTB"
Dim leg1 As ComboLeg = New ComboLeg
leg1.ConId = 197397509 ’DBK JUN 15 ’18 C
leg1.Ratio = 1
leg1.Action = "BUY"
leg1.Exchange = "DTB"
Dim leg2 As ComboLeg = New ComboLeg
leg2.ConId = 197397584 ’DBK JUN 15 ’18 P
leg2.Ratio = 1
leg2.Action = "SELL"
leg2.Exchange = "DTB"
contract.ComboLegs = New List(Of ComboLeg)
contract.ComboLegs.Add(leg1)
contract.ComboLegs.Add(leg2)
•Contract contract;
contract.symbol = "DBK";
contract.secType = "BAG";
contract.currency = "EUR";
contract.exchange = "DTB";
ComboLegSPtr leg1(new ComboLeg);
leg1->conId = 197397509;
leg1->action = "BUY";
leg1->ratio = 1;
leg1->exchange = "DTB";
ComboLegSPtr leg2(new ComboLeg);
leg2->conId = 197397584;
leg2->action = "SELL";
leg2->ratio = 1;
leg2->exchange = "DTB";
contract.comboLegs.reset(new Contract::ComboLegList());
contract.comboLegs->push_back(leg1);
contract.comboLegs->push_back(leg2);
•contract = Contract()
contract.symbol = "DBK"
contract.secType = "BAG"
contract.currency = "EUR"
contract.exchange = "DTB"
leg1 = ComboLeg()
leg1.conId = 197397509 #DBK JUN 15 2018 C
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "DTB"
leg2 = ComboLeg()
leg2.conId = 197397584 #DBK JUN 15 2018 P
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "DTB"
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9.5 Spreads 83
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
9.5.3 Guaranteed Futures Spread
•Contract contract = new Contract();
contract.Symbol = "VIX";
contract.SecType = "BAG";
contract.Currency = "USD";
contract.Exchange = "CFE";
ComboLeg leg1 = new ComboLeg();
leg1.ConId = 195538625;//VIX FUT 20160217
leg1.Ratio = 1;
leg1.Action = "BUY";
leg1.Exchange = "CFE";
ComboLeg leg2 = new ComboLeg();
leg2.ConId = 197436571;//VIX FUT 20160316
leg2.Ratio = 1;
leg2.Action = "SELL";
leg2.Exchange = "CFE";
contract.ComboLegs = new List<ComboLeg>();
contract.ComboLegs.Add(leg1);
contract.ComboLegs.Add(leg2);
•Contract contract = new Contract();
contract.symbol("VIX");
contract.secType("BAG");
contract.currency("USD");
contract.exchange("CFE");
ComboLeg leg1 = new ComboLeg();
ComboLeg leg2 = new ComboLeg();
List<ComboLeg> addAllLegs = new ArrayList<>();
leg1.conid(195538625);//VIX FUT 20160217
leg1.ratio(1);
leg1.action("BUY");
leg1.exchange("CFE");
leg2.conid(197436571);//VIX FUT 20160316
leg2.ratio(1);
leg2.action("SELL");
leg2.exchange("CFE");
addAllLegs.add(leg1);
addAllLegs.add(leg2);
contract.comboLegs(addAllLegs);
•Dim contract As Contract = New Contract
contract.Symbol = "VIX"
contract.SecType = "BAG"
contract.Currency = "USD"
contract.Exchange = "CFE"
Dim leg1 As ComboLeg = New ComboLeg
leg1.ConId = 195538625
leg1.Ratio = 1
leg1.Action = "BUY"
leg1.Exchange = "CFE"
Dim leg2 As ComboLeg = New ComboLeg
leg2.ConId = 197436571
leg2.Ratio = 1
leg2.Action = "SELL"
leg2.Exchange = "CFE"
contract.ComboLegs = New List(Of ComboLeg)
contract.ComboLegs.Add(leg1)
contract.ComboLegs.Add(leg2)
•Contract contract;
contract.symbol = "VIX";
contract.secType = "BAG";
contract.currency = "USD";
contract.exchange = "CFE";
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84 Financial Instruments (Contracts)
ComboLegSPtr leg1(new ComboLeg);
leg1->conId = 195538625;
leg1->action = "BUY";
leg1->ratio = 1;
leg1->exchange = "CFE";
ComboLegSPtr leg2(new ComboLeg);
leg2->conId = 197436571;
leg2->action = "SELL";
leg2->ratio = 1;
leg2->exchange = "CFE";
contract.comboLegs.reset(new Contract::ComboLegList());
contract.comboLegs->push_back(leg1);
contract.comboLegs->push_back(leg2);
•contract = Contract()
contract.symbol = "VIX"
contract.secType = "BAG"
contract.currency = "USD"
contract.exchange = "CFE"
leg1 = ComboLeg()
leg1.conId = 256038899 # VIX FUT 201708
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "CFE"
leg2 = ComboLeg()
leg2.conId = 260564703 # VIX FUT 201709
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "CFE"
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
9.5.4 Smart-Routed Futures Spread
Futures spreads can also be defined as Smart-routed (non-guaranteed) combos. When placing an order for a non-
guaranteed combo from the API, the non-guaranteed flag must be set to 1. Historical data for smart-routed futures
spreads is generally available from the API with the requisite market data subscriptions.
•Contract contract = new Contract();
contract.Symbol = "WTI";// WTI,COIL spread. Symbol can be defined as first leg symbol ("WTI")
or currency ("USD").
contract.SecType = "BAG";
contract.Currency = "USD";
contract.Exchange = "SMART";
ComboLeg leg1 = new ComboLeg();
leg1.ConId = 55928698;//WTI future June 2017
leg1.Ratio = 1;
leg1.Action = "BUY";
leg1.Exchange = "IPE";
ComboLeg leg2 = new ComboLeg();
leg2.ConId = 55850663;//COIL future June 2017
leg2.Ratio = 1;
leg2.Action = "SELL";
leg2.Exchange = "IPE";
contract.ComboLegs = new List<ComboLeg>();
contract.ComboLegs.Add(leg1);
contract.ComboLegs.Add(leg2);
•Contract contract = new Contract();
contract.symbol("WTI"); // WTI,COIL spread. Symbol can be defined as first leg symbol ("WTI") or
currency ("USD").
contract.secType("BAG");
contract.currency("USD");
contract.exchange("SMART"); // smart-routed rather than direct routed
ComboLeg leg1 = new ComboLeg();
ComboLeg leg2 = new ComboLeg();
List<ComboLeg> addAllLegs = new ArrayList<>();
leg1.conid(55928698);// WTI future June 2017
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9.5 Spreads 85
leg1.ratio(1);
leg1.action("BUY");
leg1.exchange("IPE");
leg2.conid(55850663);// COIL future June 2017
leg2.ratio(1);
leg2.action("SELL");
leg2.exchange("IPE");
addAllLegs.add(leg1);
addAllLegs.add(leg2);
contract.comboLegs(addAllLegs);
•Dim contract As Contract = New Contract
contract.Symbol = "WTI" ’ WTI,COIL spread. Symbol can be defined as first leg symbol ("WTI") or
currency ("USD")
contract.SecType = "BAG"
contract.Currency = "USD"
contract.Exchange = "SMART"
Dim leg1 As ComboLeg = New ComboLeg
leg1.ConId = 55928698 ’ WTI future June 2017
leg1.Ratio = 1
leg1.Action = "BUY"
leg1.Exchange = "IPE"
Dim leg2 As ComboLeg = New ComboLeg
leg2.ConId = 55850663 ’ COIL future June 2017
leg2.Ratio = 1
leg2.Action = "SELL"
leg2.Exchange = "IPE"
contract.ComboLegs = New List(Of ComboLeg)
contract.ComboLegs.Add(leg1)
contract.ComboLegs.Add(leg2)
•Contract contract;
contract.symbol = "WTI";// WTI,COIL spread. Symbol can be defined as first leg symbol ("WTI") or
currency ("USD").
contract.secType = "BAG";
contract.currency = "USD";
contract.exchange = "SMART";
ComboLegSPtr leg1(new ComboLeg);
leg1->conId = 55928698; // WTI future June 2017
leg1->action = "BUY";
leg1->ratio = 1;
leg1->exchange = "IPE";
ComboLegSPtr leg2(new ComboLeg);
leg2->conId = 55850663; // COIL future June 2017
leg2->action = "SELL";
leg2->ratio = 1;
leg2->exchange = "IPE";
contract.comboLegs.reset(new Contract::ComboLegList());
contract.comboLegs->push_back(leg1);
contract.comboLegs->push_back(leg2);
•contract = Contract()
contract.symbol = "WTI" # WTI,COIL spread. Symbol can be defined as first leg symbol ("WTI") or
currency ("USD")
contract.secType = "BAG"
contract.currency = "USD"
contract.exchange = "SMART"
leg1 = ComboLeg()
leg1.conId = 55928698 # WTI future June 2017
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "IPE"
leg2 = ComboLeg()
leg2.conId = 55850663 # COIL future June 2017
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "IPE"
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
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86 Financial Instruments (Contracts)
9.5.5 Inter-Commodity Futures
For Inter-Commodity futures, the 'Local Symbol' field in TWS is used for the 'Symbol' field in the API contract
definition, e.g. "CL.BZ". They are always guaranteed combos, which is the default in the API.
•Contract contract = new Contract();
contract.Symbol = "CL.BZ";
contract.SecType = "BAG";
contract.Currency = "USD";
contract.Exchange = "NYMEX";
ComboLeg leg1 = new ComboLeg();
leg1.ConId = 47207310; //CL Dec’16 @NYMEX
leg1.Ratio = 1;
leg1.Action = "BUY";
leg1.Exchange = "NYMEX";
ComboLeg leg2 = new ComboLeg();
leg2.ConId = 47195961; //BZ Dec’16 @NYMEX
leg2.Ratio = 1;
leg2.Action = "SELL";
leg2.Exchange = "NYMEX";
contract.ComboLegs = new List<ComboLeg>();
contract.ComboLegs.Add(leg1);
contract.ComboLegs.Add(leg2);
•Contract contract = new Contract();
contract.symbol("CL.BZ");
contract.secType("BAG");
contract.currency("USD");
contract.exchange("NYMEX");
ComboLeg leg1 = new ComboLeg();
ComboLeg leg2 = new ComboLeg();
List<ComboLeg> addAllLegs = new ArrayList<>();
leg1.conid(47207310); //CL Dec’16 @NYMEX
leg1.ratio(1);
leg1.action("BUY");
leg1.exchange("NYMEX");
leg2.conid(47195961); //BZ Dec’16 @NYMEX
leg2.ratio(1);
leg2.action("SELL");
leg2.exchange("NYMEX");
addAllLegs.add(leg1);
addAllLegs.add(leg2);
contract.comboLegs(addAllLegs);
•Dim contract As Contract = New Contract
contract.Symbol = "CL.BZ"
contract.SecType = "BAG"
contract.Currency = "USD"
contract.Exchange = "NYMEX"
Dim leg1 As ComboLeg = New ComboLeg
leg1.ConId = 47207310 ’ CL Dec’16 @NYMEX
leg1.Ratio = 1
leg1.Action = "BUY"
leg1.Exchange = "NYMEX"
Dim leg2 As ComboLeg = New ComboLeg
leg2.ConId = 47195961 ’ BZ Dec’16 @NYMEX
leg2.Ratio = 1
leg2.Action = "SELL"
leg2.Exchange = "NYMEX"
contract.ComboLegs = New List(Of ComboLeg)
contract.ComboLegs.Add(leg1)
contract.ComboLegs.Add(leg2)
•Contract contract;
contract.symbol = "CL.BZ";
contract.secType = "BAG";
contract.currency = "USD";
contract.exchange = "NYMEX";
ComboLegSPtr leg1(new ComboLeg);
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9.5 Spreads 87
leg1->conId = 47207310; //CL Dec’16 @NYMEX
leg1->action = "BUY";
leg1->ratio = 1;
leg1->exchange = "NYMEX";
ComboLegSPtr leg2(new ComboLeg);
leg2->conId = 47195961; //BZ Dec’16 @NYMEX
leg2->action = "SELL";
leg2->ratio = 1;
leg2->exchange = "NYMEX";
contract.comboLegs.reset(new Contract::ComboLegList());
contract.comboLegs->push_back(leg1);
contract.comboLegs->push_back(leg2);
•contract = Contract()
contract.symbol = "CL.BZ" #symbol is ’local symbol’ of intercommodity spread.
contract.secType = "BAG"
contract.currency = "USD"
contract.exchange = "NYMEX"
leg1 = ComboLeg()
leg1.conId = 47207310 #CL Dec’16 @NYMEX
leg1.ratio = 1
leg1.action = "BUY"
leg1.exchange = "NYMEX"
leg2 = ComboLeg()
leg2.conId = 47195961 #BZ Dec’16 @NYMEX
leg2.ratio = 1
leg2.action = "SELL"
leg2.exchange = "NYMEX"
contract.comboLegs = []
contract.comboLegs.append(leg1)
contract.comboLegs.append(leg2)
Please be mindful of the fact that inter-commodity spreads are offered by the exchange directly, and so they are
direct-routed though the legs have different underlyings. Only real time, and not historical, data is offered for inter-
commodity spread contracts through the API.
It is also possible in many cases to create a spread of the same future contracts in a inter-commodity spread which
is smart-routed and non-guaranteed. Historical data for this spread would generally be available from the API. Also,
historical data for expired spread contracts is not available in TWS or the API.
Generated by Doxygen
Chapter 9
Orders
10.1 Overview
Through the TWS API it is possible to define most orders already available within the TWS.
•Available Orders
•Order Management
•Minimum Price Increment
•Checking Margin Changes
10.2 Available Orders
•Basic Orders
•Advanced Orders and Algos
10.2.1 Basic Orders
10.2.1.1 Auction
An Auction order is entered into the electronic trading system during the pre-market opening period for execution
at the Calculated Opening Price (COP). If your order is not filled on the open, the order is re-submitted as a limit
order with the limit price set to the COP or the best bid/ask after the market opens.
• Products: FUT, STK
•Supported exchanges
http://interactivebrokers.github.io/tws-api/orders.html
90 Orders
•Order order = new Order();
order.Action = action;
order.Tif = "AUC";
order.OrderType = "MTL";
order.TotalQuantity = quantity;
order.LmtPrice = price;
•Order order = new Order();
order.action(action);
order.tif("AUC");
order.orderType("MTL");
order.totalQuantity(quantity);
order.lmtPrice(price);
•Dim order As Order = New Order
order.Action = action
order.Tif = "AUC"
order.OrderType = "MTL"
order.TotalQuantity = quantity
order.LmtPrice = price
•Order order;
order.action = action;
order.tif = "AUC";
order.orderType = "MTL";
order.totalQuantity = quantity;
order.lmtPrice = price;
•order = Order()
order.action = action
order.tif = "AUC"
order.orderType = "MTL"
order.totalQuantity = quantity
order.lmtPrice = price
10.2.1.2 Discretionary
An Discretionary order is a limit order submitted with a hidden, specified 'discretionary' amount off the limit
price which may be used to increase the price range over which the limit order is eligible to execute. The market
sees only the limit price.
• Products: STK
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "LMT";
order.TotalQuantity = quantity;
order.LmtPrice = price;
order.DiscretionaryAmt = discretionaryAmount;
•Order order = new Order();
order.action(action);
order.orderType("LMT");
order.totalQuantity(quantity);
order.lmtPrice(price);
order.discretionaryAmt(discretionaryAmt);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "LMT"
order.TotalQuantity = quantity
order.LmtPrice = price
order.DiscretionaryAmt = discretionaryAmount
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10.2 Available Orders 91
•Order order;
order.action = action;
order.orderType = "LMT";
order.totalQuantity = quantity;
order.lmtPrice = price;
order.discretionaryAmt = discretionaryAmount;
•order = Order()
order.action = action
order.orderType = "LMT"
order.totalQuantity = quantity
order.lmtPrice = price
order.discretionaryAmt = discretionaryAmount
10.2.1.3 Market
AMarket order is an order to buy or sell at the market bid or offer price. A market order may increase the likelihood
of a fill and the speed of execution, but unlike the Limit order a Market order provides no price protection and may
fill at a price far lower/higher than the current displayed bid/ask.
• Products: BOND, CFD, EFP, CASH, FUND, FUT, FOP, OPT, STK, WAR
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "MKT";
order.TotalQuantity = quantity;
•Order order = new Order();
order.action(action);
order.orderType("MKT");
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "MKT"
order.TotalQuantity = quantity
•Order order;
order.action = action;
order.orderType = "MKT";
order.totalQuantity = quantity;
•order = Order()
order.action = action
order.orderType = "MKT"
order.totalQuantity = quantity
10.2.1.4 Market If Touched
AMarket If Touched (MIT) is an order to buy (or sell) a contract below (or above) the market. Its purpose is
to take advantage of sudden or unexpected changes in share or other prices and provides investors with a trigger
price to set an order in motion. Investors may be waiting for excessive strength (or weakness) to cease, which might
be represented by a specific price point. MIT orders can be used to determine whether or not to enter the market
once a specific price level has been achieved. This order is held in the system until the trigger price is touched, and
is then submitted as a market order. An MIT order is similar to a stop order, except that an MIT sell order is placed
above the current market price, and a stop sell order is placed below
• Products: BOND, CFD, CASH, FUT, FOP, OPT, STK, WAR
•Supported exchanges
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92 Orders
•Order order = new Order();
order.Action = action;
order.OrderType = "MIT";
order.TotalQuantity = quantity;
order.AuxPrice = price;
•Order order = new Order();
order.action(action);
order.orderType("MIT");
order.totalQuantity(quantity);
order.auxPrice(price);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "MIT"
order.TotalQuantity = quantity
order.AuxPrice = price
•Order order;
order.action = action;
order.orderType = "MIT";
order.totalQuantity = quantity;
order.auxPrice = price;
•order = Order()
order.action = action
order.orderType = "MIT"
order.totalQuantity = quantity
order.auxPrice = price
10.2.1.5 Market On Close
AMarket On Close (MOC) order is a market order that is submitted to execute as close to the closing price as
possible.
• Products: CFD, FUT, STK, WAR
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "MOC";
order.TotalQuantity = quantity;
•Order order = new Order();
order.action(action);
order.orderType("MOC");
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "MOC"
order.TotalQuantity = quantity
•Order order;
order.action = action;
order.orderType = "MOC";
order.totalQuantity = quantity;
•order = Order()
order.action = action
order.orderType = "MOC"
order.totalQuantity = quantity
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10.2 Available Orders 93
10.2.1.6 Market On Open
AMarket On Open (MOO) combines a market order with the OPG time in force to create an order that is
automatically submitted at the market's open and fills at the market price.
• Products: CFD, FUT, STK, WAR
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "MKT";
order.TotalQuantity = quantity;
order.Tif = "OPG";
•Order order = new Order();
order.action(action);
order.orderType("MKT");
order.totalQuantity(quantity);
order.tif("OPG");
•Dim order As Order = New Order
order.Action = action
order.OrderType = "MKT"
order.TotalQuantity = quantity
order.Tif = "OPG"
•Order order;
order.action = action;
order.orderType = "MKT";
order.totalQuantity = quantity;
order.tif = "OPG";
•order = Order()
order.action = action
order.orderType = "MKT"
order.totalQuantity = quantity
order.tif = "OPG"
10.2.1.7 Pegged to Market
Apegged-to-market order is designed to maintain a purchase price relative to the national best offer (N←-
BO) or a sale price relative to the national best bid (NBB). Depending on the width of the quote, this order may be
passive or aggressive. The trader creates the order by entering a limit price which defines the worst limit price that
they are willing to accept. Next, the trader enters an offset amount which computes the active limit price as follows:
Sell order price = Bid price + offset amount Buy order price = Ask price - offset amount
• Products: STK
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "PEG MKT";
order.TotalQuantity = 100;
order.AuxPrice = marketOffset;//Offset price
•Order order = new Order();
order.action(action);
order.orderType("PEG MKT");
order.totalQuantity(100);
order.auxPrice(marketOffset);//Offset price
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94 Orders
•Dim order As Order = New Order
order.Action = action
order.OrderType = "PEG MKT"
order.TotalQuantity = 100
order.AuxPrice = marketOffset ’ Offset price
•Order order;
order.action = action;
order.orderType = "PEG MKT";
order.totalQuantity = quantity;
order.auxPrice = marketOffset;
•order = Order()
order.action = action
order.orderType = "PEG MKT"
order.totalQuantity = quantity
order.auxPrice = marketOffset#Offset price
10.2.1.8 Pegged to Stock
APegged to Stock order continually adjusts the option order price by the product of a signed user-define
delta and the change of the option's underlying stock price. The delta is entered as an absolute and assumed to
be positive for calls and negative for puts. A buy or sell call order price is determined by adding the delta times a
change in an underlying stock price to a specified starting price for the call. To determine the change in price, the
stock reference price is subtracted from the current NBBO midpoint. The Stock Reference Price can be defined by
the user, or defaults to the NBBO midpoint at the time of the order if no reference price is entered. You may also
enter a high/low stock price range which cancels the order when reached. The delta times the change in stock price
will be rounded to the nearest penny in favor of the order.
• Products: OPT
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "PEG STK";
order.TotalQuantity = quantity;
order.Delta = delta;
order.LmtPrice = stockReferencePrice;
order.StartingPrice = startingPrice;
•Order order = new Order();
order.action(action);
order.orderType("PEG STK");
order.totalQuantity(quantity);
order.delta(delta);
order.lmtPrice(stockReferencePrice);
order.startingPrice(startingPrice);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "PEG STK"
order.TotalQuantity = quantity
order.Delta = delta
order.LmtPrice = stockReferencePrice
order.StartingPrice = startingPrice
•Order order;
order.action = action;
order.orderType = "PEG STK";
order.totalQuantity = quantity;
order.delta = delta;
order.lmtPrice = stockReferencePrice;
order.startingPrice = startingPrice;
•order = Order()
order.action = action
order.orderType = "PEG STK"
order.totalQuantity = quantity
order.delta = delta
order.lmtPrice = stockReferencePrice
order.startingPrice = startingPrice
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10.2 Available Orders 95
10.2.1.9 Pegged to Primary
Relative (a.k.a. Pegged-to-Primary) orders provide a means for traders to seek a more aggressive price than the
National Best Bid and Offer (NBBO). By acting as liquidity providers, and placing more aggressive bids and offers
than the current best bids and offers, traders increase their odds of filling their order. Quotes are automatically
adjusted as the markets move, to remain aggressive. For a buy order, your bid is pegged to the NBB by a more
aggressive offset, and if the NBB moves up, your bid will also move up. If the NBB moves down, there will be no
adjustment because your bid will become even more aggressive and execute. For sales, your offer is pegged to
the NBO by a more aggressive offset, and if the NBO moves down, your offer will also move down. If the NBO
moves up, there will be no adjustment because your offer will become more aggressive and execute. In addition
to the offset, you can define an absolute cap, which works like a limit price, and will prevent your order from being
executed above or below a specified level. Stocks, Options and Futures - not available on paper trading
• Products: CFD, STK, OPT, FUT
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "REL";
order.TotalQuantity = quantity;
order.LmtPrice = priceCap;
order.AuxPrice = offsetAmount;
•Order order = new Order();
order.action(action);
order.orderType("REL");
order.totalQuantity(quantity);
order.lmtPrice(priceCap);
order.auxPrice(offsetAmount);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "REL"
order.TotalQuantity = quantity
order.LmtPrice = priceCap
order.AuxPrice = offsetAmount
•Order order;
order.action = action;
order.orderType = "REL";
order.totalQuantity = quantity;
order.lmtPrice = priceCap;
order.auxPrice = offsetAmount;
•order = Order()
order.action = action
order.orderType = "REL"
order.totalQuantity = quantity
order.lmtPrice = priceCap
order.auxPrice = offsetAmount
10.2.1.10 Sweep to Fill
Sweep-to-fill orders are useful when a trader values speed of execution over price. A sweep-to-fill order
identifies the best price and the exact quantity offered/available at that price, and transmits the corresponding portion
of your order for immediate execution. Simultaneously it identifies the next best price and quantity offered/available,
and submits the matching quantity of your order for immediate execution.
• Products: CFD, STK, WAR (SMART only)
•Order order = new Order();
order.Action = action;
order.OrderType = "LMT";
order.TotalQuantity = quantity;
order.LmtPrice = price;
order.SweepToFill = true;
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96 Orders
•Order order = new Order();
order.action(action);
order.orderType("LMT");
order.totalQuantity(quantity);
order.lmtPrice(price);
order.sweepToFill(true);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "LMT"
order.TotalQuantity = quantity
order.LmtPrice = price
order.SweepToFill = True
•Order order;
order.action = action;
order.orderType = "LMT";
order.totalQuantity = quantity;
order.lmtPrice = price;
order.sweepToFill = true;
•order = Order()
order.action = action
order.orderType = "LMT"
order.totalQuantity = quantity
order.lmtPrice = price
order.sweepToFill = True
10.2.1.11 Auction Limit
For option orders routed to the Boston Options Exchange (BOX) you may elect to participate in the BOX's price
improvement auction in pennies. All BOX-directed price improvement orders are immediately sent from
Interactive Brokers to the BOX order book, and when the terms allow, IB will evaluate it for inclusion in a price
improvement auction based on price and volume priority. In the auction, your order will have priority over broker-
dealer price improvement orders at the same price. An Auction Limit order at a specified price. Use of a limit order
ensures that you will not receive an execution at a price less favorable than the limit price. Enter limit orders in
penny increments with your auction improvement amount computed as the difference between your limit order price
and the nearest listed increment.
• Products: OPT (BOX only)
•Order order = new Order();
order.Action = action;
order.OrderType = "LMT";
order.TotalQuantity = quantity;
order.LmtPrice = price;
order.AuctionStrategy = auctionStrategy;
•Order order = new Order();
order.action(action);
order.orderType("LMT");
order.totalQuantity(quantity);
order.lmtPrice(price);
order.auctionStrategy(auctionStrategy);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "LMT"
order.TotalQuantity = quantity
order.LmtPrice = price
order.AuctionStrategy = auctionStrategy
•Order order;
order.action = action;
order.orderType = "LMT";
order.totalQuantity = quantity;
order.lmtPrice = price;
order.auctionStrategy = auctionStrategy;
•order = Order()
order.action = action
order.orderType = "LMT"
order.totalQuantity = quantity
order.lmtPrice = price
order.auctionStrategy = auctionStrategy
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10.2 Available Orders 97
10.2.1.12 Auction Pegged to Stock
For option orders routed to the Boston Options Exchange (BOX) you may elect to participate in the BOX's price
improvement auction in pennies. All BOX-directed price improvement orders are immediately sent from
Interactive Brokers to the BOX order book, and when the terms allow, IB will evaluate it for inclusion in a price
improvement auction based on price and volume priority. In the auction, your order will have priority over broker-
dealer price improvement orders at the same price. An Auction Pegged to Stock order adjusts the order price by the
product of a signed delta (which is entered as an absolute and assumed to be positive for calls, negative for puts)
and the change of the option's underlying stock price. A buy or sell call order price is determined by adding the
delta times a change in an underlying stock price change to a specified starting price for the call. To determine the
change in price, a stock reference price (NBBO midpoint at the time of the order is assumed if no reference price is
entered) is subtracted from the current NBBO midpoint. A stock range may also be entered that cancels an order
when reached. The delta times the change in stock price will be rounded to the nearest penny in favor of the order
and will be used as your auction improvement amount.
• Products: OPT (BOX only)
•Order order = new Order();
order.Action = action;
order.OrderType = "PEG STK";
order.TotalQuantity = quantity;
order.Delta = delta;
order.StartingPrice = startingPrice;
•Order order = new Order();
order.action(action);
order.orderType("PEG STK");
order.totalQuantity(quantity);
order.delta(delta);
order.startingPrice(startingPrice);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "PEG STK"
order.TotalQuantity = quantity
order.Delta = delta
order.StartingPrice = startingPrice
•Order order;
order.action = action;
order.orderType = "PEG STK";
order.totalQuantity = quantity;
order.delta = delta;
order.startingPrice = startingPrice;
•order = Order()
order.action = action
order.orderType = "PEG STK"
order.totalQuantity = quantity
order.delta = delta
order.startingPrice = startingPrice
10.2.1.13 Auction Relative
For option orders routed to the Boston Options Exchange (BOX) you may elect to participate in the BOX's price
improvement auction in pennies. All BOX-directed price improvement orders are immediately sent from
Interactive Brokers to the BOX order book, and when the terms allow, IB will evaluate it for inclusion in a price
improvement auction based on price and volume priority. In the auction, your order will have priority over broker-
dealer price improvement orders at the same price. An Auction Relative order that adjusts the order price by the
product of a signed delta (which is entered as an absolute and assumed to be positive for calls, negative for puts)
and the change of the option's underlying stock price. A buy or sell call order price is determined by adding the
delta times a change in an underlying stock price change to a specified starting price for the call. To determine the
change in price, a stock reference price (NBBO midpoint at the time of the order is assumed if no reference price is
entered) is subtracted from the current NBBO midpoint. A stock range may also be entered that cancels an order
when reached. The delta times the change in stock price will be rounded to the nearest penny in favor of the order
and will be used as your auction improvement amount.
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98 Orders
• Products: OPT (BOX only)
•Order order = new Order();
order.Action = action;
order.OrderType = "REL";
order.TotalQuantity = quantity;
order.AuxPrice = offset;
•Order order = new Order();
order.action(action);
order.orderType("REL");
order.totalQuantity(quantity);
order.auxPrice(offset);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "REL"
order.TotalQuantity = quantity
order.AuxPrice = offset
•Order order;
order.action = action;
order.orderType = "REL";
order.totalQuantity = quantity;
order.auxPrice = offset;
•order = Order()
order.action = action
order.orderType = "REL"
order.totalQuantity = quantity
order.auxPrice = offset
10.2.1.14 Block
The Block attribute is used for large volume option orders on ISE that consist of at least 50 contracts. To execute
large-volume orders over time without moving the market, use the Accumulate/Distribute algorithm.
• Products: OPT
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "LMT";
order.TotalQuantity = quantity;//Large volumes!
order.LmtPrice = price;
order.BlockOrder = true;
•Order order = new Order();
order.action(action);
order.orderType("LMT");
order.totalQuantity(quantity);//Large volumes!
order.lmtPrice(price);
order.blockOrder(true);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "LMT"
order.TotalQuantity = quantity ’ Large volumes!
order.LmtPrice = price
order.BlockOrder = True
•Order order;
order.action = action;
order.orderType = "LMT";
order.totalQuantity = quantity;
order.lmtPrice = price;
order.blockOrder = true;
•order = Order()
order.action = action
order.orderType = "LMT"
order.totalQuantity = quantity#Large volumes!
order.lmtPrice = price
order.blockOrder = True
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10.2 Available Orders 99
10.2.1.15 Box Top
ABox Top order executes as a market order at the current best price. If the order is only partially filled, the
remainder is submitted as a limit order with the limit price equal to the price at which the filled portion of the order
executed.
• Products: OPT (BOX only)
•Order order = new Order();
order.Action = action;
order.OrderType = "BOX TOP";
order.TotalQuantity = quantity;
•Order order = new Order();
order.action(action);
order.orderType("BOX TOP");
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "BOX TOP"
order.TotalQuantity = quantity
•Order order;
order.action = action;
order.orderType = "BOX TOP";
order.totalQuantity = quantity;
•order = Order()
order.action = action
order.orderType = "BOX TOP"
order.totalQuantity = quantity
10.2.1.16 Limit Order
ALimit order is an order to buy or sell at a specified price or better. The Limit order ensures that if the order
fills, it will not fill at a price less favorable than your limit price, but it does not guarantee a fill.
• Products: BOND, CFD, CASH, FUT, FOP, OPT, STK, WAR
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "LMT";
order.TotalQuantity = quantity;
order.LmtPrice = limitPrice;
•Order order = new Order();
order.action(action);
order.orderType("LMT");
order.totalQuantity(quantity);
order.lmtPrice(limitPrice);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "LMT"
order.TotalQuantity = quantity
order.LmtPrice = limitPrice
•Order order;
order.action = action;
order.orderType = "LMT";
order.totalQuantity = quantity;
order.lmtPrice = limitPrice;
•order = Order()
order.action = action
order.orderType = "LMT"
order.totalQuantity = quantity
order.lmtPrice = limitPrice
Generated by Doxygen
100 Orders
10.2.1.17 Forex Cash Quantity Order
Forex orders can be placed in denomination of second currency in pair using cashQty field.
Requires TWS or IBG 963+
• Products: CASH
•Forex Cash Quantity Orders
•Order order = new Order();
order.Action = action;
order.OrderType = "LMT";
order.TotalQuantity = quantity;
order.LmtPrice = limitPrice;
order.CashQty = cashQty;
•Order order = new Order();
order.action(action);
order.orderType("LMT");
order.totalQuantity(quantity);
order.lmtPrice(limitPrice);
order.cashQty(cashQty);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "LMT"
order.TotalQuantity = quantity
order.LmtPrice = limitPrice
order.CashQty = cashQty
•Order order;
order.action = action;
order.orderType = "LMT";
order.totalQuantity = quantity;
order.lmtPrice = limitPrice;
order.cashQty = cashQty;
•order = Order()
order.action = action
order.orderType = "LMT"
order.totalQuantity = quantity
order.lmtPrice = limitPrice
order.cashQty = cashQty
10.2.1.18 Limit if Touched
ALimit if Touched is an order to buy (or sell) a contract at a specified price or better, below (or above) the
market. This order is held in the system until the trigger price is touched. An LIT order is similar to a stop limit order,
except that an LIT sell order is placed above the current market price, and a stop limit sell order is placed below.
• Products: BOND, CFD, CASH, FUT, FOP, OPT, STK, WAR
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "LIT";
order.TotalQuantity = quantity;
order.LmtPrice = limitPrice;
order.AuxPrice = triggerPrice;
•Order order = new Order();
order.action(action);
order.orderType("LIT");
order.totalQuantity(quantity);
order.lmtPrice(limitPrice);
order.auxPrice(triggerPrice);
Generated by Doxygen
10.2 Available Orders 101
•Dim order As Order = New Order
order.Action = action
order.OrderType = "LIT"
order.TotalQuantity = quantity
order.LmtPrice = limitPrice
order.AuxPrice = triggerPrice
•Order order;
order.action = action;
order.orderType = "LIT";
order.totalQuantity = quantity;
order.lmtPrice = limitPrice;
order.auxPrice = triggerPrice;
•order = Order()
order.action = action
order.orderType = "LIT"
order.totalQuantity = quantity
order.lmtPrice = limitPrice
order.auxPrice = triggerPrice
10.2.1.19 Limit on Close
ALimit-on-close (LOC) order will be submitted at the close and will execute if the closing price is at or better
than the submitted limit price.
• Products: CFD, FUT, STK, WAR
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "LOC";
order.TotalQuantity = quantity;
order.LmtPrice = limitPrice;
•Order order = new Order();
order.action(action);
order.orderType("LOC");
order.totalQuantity(quantity);
order.lmtPrice(limitPrice);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "LOC"
order.TotalQuantity = quantity
order.LmtPrice = limitPrice
•Order order;
order.action = action;
order.orderType = "LOC";
order.totalQuantity = quantity;
order.lmtPrice = limitPrice;
•order = Order()
order.action = action
order.orderType = "LOC"
order.totalQuantity = quantity
order.lmtPrice = limitPrice
10.2.1.20 Limit on Open
ALimit-on-Open (LOO) order combines a limit order with the OPG time in force to create an order that is
submitted at the market's open, and that will only execute at the specified limit price or better. Orders are filled in
accordance with specific exchange rules.
• Products: CFD, STK, OPT, WAR
•Supported exchanges
Generated by Doxygen
102 Orders
•Order order = new Order();
order.Action = action;
order.Tif = "OPG";
order.OrderType = "LMT";
order.TotalQuantity = quantity;
order.LmtPrice = limitPrice;
•Order order = new Order();
order.action(action);
order.tif("OPG");
order.orderType("LOC");
order.totalQuantity(quantity);
order.lmtPrice(limitPrice);
•Dim order As Order = New Order
order.Action = action
order.Tif = "OPG"
order.OrderType = "LMT"
order.TotalQuantity = quantity
order.LmtPrice = limitPrice
•Order order;
order.action = action;
order.orderType = "LMT";
order.tif = "OPG";
order.totalQuantity = quantity;
order.lmtPrice = limitPrice;
•order = Order()
order.action = action
order.tif = "OPG"
order.orderType = "LMT"
order.totalQuantity = quantity
order.lmtPrice = limitPrice
10.2.1.21 Passive Relative
Passive Relative orders provide a means for traders to seek a less aggressive price than the National Best
Bid and Offer (NBBO) while keeping the order pegged to the best bid (for a buy) or ask (for a sell). The order price
is automatically adjusted as the markets move to keep the order less aggressive. For a buy order, your order price
is pegged to the NBB by a less aggressive offset, and if the NBB moves up, your bid will also move up. If the NBB
moves down, there will be no adjustment because your bid will become aggressive and execute. For a sell order,
your price is pegged to the NBO by a less aggressive offset, and if the NBO moves down, your offer will also move
down. If the NBO moves up, there will be no adjustment because your offer will become aggressive and execute.
In addition to the offset, you can define an absolute cap, which works like a limit price, and will prevent your order
from being executed above or below a specified level. The Passive Relative order is similar to the Relative/Pegged-
to-Primary order, except that the Passive relative subtracts the offset from the bid and the Relative adds the offset
to the bid.
• Products: STK, WAR
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "PASSV REL";
order.TotalQuantity = quantity;
order.AuxPrice = offset;
•Order order = new Order();
order.action(action);
order.orderType("PASSV REL");
order.totalQuantity(quantity);
order.auxPrice(offset);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "PASSV REL"
order.TotalQuantity = quantity
order.AuxPrice = offset
Generated by Doxygen
10.2 Available Orders 103
•Order order;
order.action = action;
order.orderType = "PASSV REL";
order.totalQuantity = quantity;
order.auxPrice = offset;
•order = Order()
order.action = action
order.orderType = "PASSV REL"
order.totalQuantity = quantity
order.auxPrice = offset
10.2.1.22 Pegged to Midpoint
Apegged-to-midpoint order provides a means for traders to seek a price at the midpoint of the National
Best Bid and Offer (NBBO). The price automatically adjusts to peg the midpoint as the markets move, to remain
aggressive. For a buy order, your bid is pegged to the NBBO midpoint and the order price adjusts automatically
to continue to peg the midpoint if the market moves. The price only adjusts to be more aggressive. If the market
moves in the opposite direction, the order will execute.
• Products: STK
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "PEG MID";
order.TotalQuantity = quantity;
order.AuxPrice = offset;
order.LmtPrice = limitPrice;
•Order order = new Order();
order.action(action);
order.orderType("PEG MID");
order.totalQuantity(quantity);
order.auxPrice(offset);
order.lmtPrice(limitPrice);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "PEG MID"
order.TotalQuantity = quantity
order.AuxPrice = offset
order.LmtPrice = limitPrice
•Order order;
order.action = action;
order.orderType = "PEG MID";
order.totalQuantity = quantity;
order.auxPrice = offset;
order.lmtPrice = limitPrice;
•order = Order()
order.action = action
order.orderType = "PEG MID"
order.totalQuantity = quantity
order.auxPrice = offset
order.lmtPrice = limitPrice
10.2.1.23 Market to Limit
AMarket-to-Limit (MTL) order is submitted as a market order to execute at the current best market price. If
the order is only partially filled, the remainder of the order is canceled and re-submitted as a limit order with the limit
price equal to the price at which the filled portion of the order executed.
• Products: CFD, FUT, FOP, OPT, STK, WAR
•Supported exchanges
Generated by Doxygen
104 Orders
•Order order = new Order();
order.Action = action;
order.OrderType = "MTL";
order.TotalQuantity = quantity;
•Order order = new Order();
order.action(action);
order.orderType("MTL");
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "MTL"
order.TotalQuantity = quantity
•Order order;
order.action = action;
order.orderType = "MTL";
order.totalQuantity = quantity;
•order = Order()
order.action = action
order.orderType = "MTL"
order.totalQuantity = quantity
10.2.1.24 Market with Protection
This order type is useful for futures traders using Globex. A Market with Protection order is a market
order that will be cancelled and resubmitted as a limit order if the entire order does not immediately execute at the
market price. The limit price is set by Globex to be close to the current market price, slightly higher for a sell order
and lower for a buy order.
• Products: FUT, FOP
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "MKT PRT";
order.TotalQuantity = quantity;
•Order order = new Order();
order.action(action);
order.orderType("MKT PRT");
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "MKT PRT"
order.TotalQuantity = quantity
•Order order;
order.action = action;
order.orderType = "MKT PRT";
order.totalQuantity = quantity;
•order = Order()
order.action = action
order.orderType = "MKT PRT"
order.totalQuantity = quantity
10.2.1.25 Stop
AStop order is an instruction to submit a buy or sell market order if and when the user-specified stop trigger price
is attained or penetrated. A Stop order is not guaranteed a specific execution price and may execute significantly
away from its stop price. A Sell Stop order is always placed below the current market price and is typically used to
limit a loss or protect a profit on a long stock position. A Buy Stop order is always placed above the current market
price. It is typically used to limit a loss or help protect a profit on a short sale.
Generated by Doxygen
10.2 Available Orders 105
• Products: CFD, BAG, CASH, FUT, FOP, OPT, STK, WAR
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "STP";
order.AuxPrice = stopPrice;
order.TotalQuantity = quantity;
•Order order = new Order();
order.action(action);
order.orderType("STP");
order.auxPrice(stopPrice);
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "STP"
order.AuxPrice = stopPrice
order.TotalQuantity = quantity
•Order order;
order.action = action;
order.orderType = "STP";
order.totalQuantity = quantity;
order.auxPrice = stopPrice;
•order = Order()
order.action = action
order.orderType = "STP"
order.auxPrice = stopPrice
order.totalQuantity = quantity
10.2.1.26 Stop Limit
AStop-Limit order is an instruction to submit a buy or sell limit order when the user-specified stop trigger price
is attained or penetrated. The order has two basic components: the stop price and the limit price. When a trade has
occurred at or through the stop price, the order becomes executable and enters the market as a limit order, which
is an order to buy or sell at a specified price or better.
• Products: CFD, CASH, FUT, FOP, OPT, STK, WAR
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "STP LMT";
order.TotalQuantity = quantity;
order.LmtPrice = limitPrice;
order.AuxPrice = stopPrice;
•Order order = new Order();
order.action(action);
order.orderType("STP LMT");
order.lmtPrice(limitPrice);
order.auxPrice(stopPrice);
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "STP LMT"
order.TotalQuantity = quantity
order.LmtPrice = limitPrice
order.AuxPrice = stopPrice
•Order order;
order.action = action;
order.orderType = "STP LMT";
order.totalQuantity = quantity;
order.lmtPrice = limitPrice;
order.auxPrice = stopPrice;
•order = Order()
order.action = action
order.orderType = "STP LMT"
order.totalQuantity = quantity
order.lmtPrice = limitPrice
order.auxPrice = stopPrice
Generated by Doxygen
106 Orders
10.2.1.27 Stop with Protection
AStop with Protection order combines the functionality of a stop limit order with a market with protection
order. The order is set to trigger at a specified stop price. When the stop price is penetrated, the order is triggered
as a market with protection order, which means that it will fill within a specified protected price range equal to the
trigger price +/- the exchange-defined protection point range. Any portion of the order that does not fill within this
protected range is submitted as a limit order at the exchange-defined trigger price +/- the protection points.
• Products: FUT
•Supported exchanges
•Order order = new Order();
order.TotalQuantity = quantity;
order.Action = action;
order.OrderType = "STP PRT";
order.AuxPrice = stopPrice;
•Order order = new Order();
order.action(action);
order.orderType("STP PRT");
order.auxPrice(stopPrice);
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.TotalQuantity = quantity
order.Action = action
order.OrderType = "STP PRT"
order.AuxPrice = stopPrice
•Order order;
order.action = action;
order.orderType = "STP PRT";
order.totalQuantity = quantity;
order.auxPrice = stopPrice;
•order = Order()
order.totalQuantity = quantity
order.action = action
order.orderType = "STP PRT"
order.auxPrice = stopPrice
10.2.1.28 Trailing Stop
A sell trailing stop order sets the stop price at a fixed amount below the market price with an attached
"trailing" amount. As the market price rises, the stop price rises by the trail amount, but if the stock price falls,
the stop loss price doesn't change, and a market order is submitted when the stop price is hit. This technique is
designed to allow an investor to specify a limit on the maximum possible loss, without setting a limit on the maximum
possible gain. "Buy" trailing stop orders are the mirror image of sell trailing stop orders, and are most appropriate
for use in falling markets.
Note that Trailing Stop orders can have the trailing amount specified as a percent, as in the example below, or as
an absolute amount which is specified in the auxPrice field.
• Products: CFD, CASH, FOP, FUT, OPT, STK, WAR
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "TRAIL";
order.TotalQuantity = quantity;
order.TrailingPercent = trailingPercent;
order.TrailStopPrice = trailStopPrice;
Generated by Doxygen
10.2 Available Orders 107
•Order order = new Order();
order.action(action);
order.orderType("TRAIL");
order.trailingPercent(trailingPercent);
order.trailStopPrice(trailStopPrice);
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "TRAIL"
order.TotalQuantity = quantity
order.TrailingPercent = trailingPercent
order.TrailStopPrice = trailStopPrice
•Order order;
order.action = action;
order.orderType = "TRAIL";
order.totalQuantity = quantity;
order.trailingPercent = trailingPercent;
order.trailStopPrice = trailStopPrice;
•order = Order()
order.action = action
order.orderType = "TRAIL"
order.totalQuantity = quantity
order.trailingPercent = trailingPercent
order.trailStopPrice = trailStopPrice
10.2.1.29 Trailing Stop Limit
Atrailing stop limit order is designed to allow an investor to specify a limit on the maximum possible
loss, without setting a limit on the maximum possible gain. A SELL trailing stop limit moves with the market price,
and continually recalculates the stop trigger price at a fixed amount below the market price, based on the user-
defined "trailing" amount. The limit order price is also continually recalculated based on the limit offset. As the
market price rises, both the stop price and the limit price rise by the trail amount and limit offset respectively, but if
the stock price falls, the stop price remains unchanged, and when the stop price is hit a limit order is submitted at
the last calculated limit price. A "Buy" trailing stop limit order is the mirror image of a sell trailing stop limit, and is
generally used in falling markets.
Trailing Stop Limit orders can be sent with the trailing amount specified as an absolute amount, as in the example
below, or as a percentage, specified in the trailingPercent field.
Important: the 'limit offset' field is set by default in the TWS/IBG settings in v963+. This setting either needs to
be changed in the Order Presets, the default value accepted, or the limit price offset sent from the API as in the
example below. Not both the 'limit price' and 'limit price offset' fields can be set in TRAIL LIMIT orders.
• Products: BOND, CFD, CASH, FUT, FOP, OPT, STK, WAR
•Order order = new Order();
order.Action = action;
order.OrderType = "TRAIL LIMIT";
order.TotalQuantity = quantity;
order.TrailStopPrice = trailStopPrice;
order.LmtPriceOffset = lmtPriceOffset;
order.AuxPrice = trailingAmount;
•Order order = new Order();
order.action(action);
order.orderType("TRAIL LIMIT");
order.lmtPriceOffset(lmtPriceOffset);
order.auxPrice(trailingAmount);
order.trailStopPrice(trailStopPrice);
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "TRAIL LIMIT"
order.TotalQuantity = quantity
order.LmtPriceOffset = lmtPriceOffset
order.TrailStopPrice = trailStopPrice
order.AuxPrice = trailingAmount
Generated by Doxygen
108 Orders
•Order order;
order.action = action;
order.orderType = "TRAIL LIMIT";
order.totalQuantity = quantity;
order.trailStopPrice = trailStopPrice;
order.lmtPriceOffset = lmtPriceOffset;
order.auxPrice = trailingAmount;
•order = Order()
order.action = action
order.orderType = "TRAIL LIMIT"
order.totalQuantity = quantity
order.trailStopPrice = trailStopPrice
order.lmtPriceOffset = lmtPriceOffset
order.auxPrice = trailingAmount
10.2.1.30 Combo Limit
Create combination orders that include options, stock and futures legs (stock legs can be included if the order is
routed through SmartRouting). Although a combination/spread order is constructed of separate legs, it is executed
as a single transaction if it is routed directly to an exchange. For combination orders that are SmartRouted, each
leg may be executed separately to ensure best execution.
• Products: OPT, STK, FUT
•Order order = new Order();
order.Action = action;
order.OrderType = "LMT";
order.TotalQuantity = quantity;
order.LmtPrice = limitPrice;
if (nonGuaranteed)
{
order.SmartComboRoutingParams = new List<TagValue>();
order.SmartComboRoutingParams.Add(new TagValue("NonGuaranteed","1"));
}
•Order order = new Order();
order.action(action);
order.orderType("LMT");
order.lmtPrice(limitPrice);
order.totalQuantity(quantity);
if (nonGuaranteed)
{
order.smartComboRoutingParams().add(new TagValue("NonGuaranteed","1"));
}
•Dim order As Order = New Order
order.Action = action
order.OrderType = "LMT"
order.TotalQuantity = quantity
order.LmtPrice = limitPrice
If (nonGuaranteed) Then
order.SmartComboRoutingParams = New List(Of TagValue)
order.SmartComboRoutingParams.Add(New TagValue("NonGuaranteed", "1"))
End If
•Order order;
order.action = action;
order.orderType = "LMT";
order.totalQuantity = quantity;
order.lmtPrice = limitPrice;
if(nonGuaranteed){
TagValueSPtr tag1(new TagValue("NonGuaranteed","1"));
order.smartComboRoutingParams.reset(new TagValueList());
order.smartComboRoutingParams->push_back(tag1);
}
•order = Order()
order.action = action
order.orderType = "LMT"
order.totalQuantity = quantity
order.lmtPrice = limitPrice
if nonGuaranteed:
order.smartComboRoutingParams = []
order.smartComboRoutingParams.append(TagValue("NonGuaranteed","1"))
Generated by Doxygen
10.2 Available Orders 109
10.2.1.31 Combo Market
Create combination orders that include options, stock and futures legs (stock legs can be included if the order is
routed through SmartRouting). Although a combination/spread order is constructed of separate legs, it is executed
as a single transaction if it is routed directly to an exchange. For combination orders that are SmartRouted, each
leg may be executed separately to ensure best execution.
• Products: OPT, STK, FUT
•Order order = new Order();
order.Action = action;
order.OrderType = "MKT";
order.TotalQuantity = quantity;
if (nonGuaranteed)
{
order.SmartComboRoutingParams = new List<TagValue>();
order.SmartComboRoutingParams.Add(new TagValue("NonGuaranteed","1"));
}
•Order order = new Order();
order.action(action);
order.orderType("MKT");
order.totalQuantity(quantity);
if (nonGuaranteed)
{
order.smartComboRoutingParams().add(new TagValue("NonGuaranteed","1"));
}
•Dim order As Order = New Order
order.Action = action
order.OrderType = "MKT"
order.TotalQuantity = quantity
If (nonGuaranteed) Then
order.SmartComboRoutingParams = New List(Of TagValue)
order.SmartComboRoutingParams.Add(New TagValue("NonGuaranteed", "1"))
End If
•Order order;
order.action = action;
order.orderType = "MKT";
order.totalQuantity = quantity;
if(nonGuaranteed){
TagValueSPtr tag1(new TagValue("NonGuaranteed","1"));
order.smartComboRoutingParams.reset(new TagValueList());
order.smartComboRoutingParams->push_back(tag1);
}
•order = Order()
order.action = action
order.orderType = "MKT"
order.totalQuantity = quantity
if nonGuaranteed:
order.smartComboRoutingParams = []
order.smartComboRoutingParams.append(TagValue("NonGuaranteed","1"))
10.2.1.32 Combo Limit with Price per Leg
Create combination orders that include options, stock and futures legs (stock legs can be included if the order is
routed through SmartRouting). Although a combination/spread order is constructed of separate legs, it is executed
as a single transaction if it is routed directly to an exchange. For combination orders that are SmartRouted, each
leg may be executed separately to ensure best execution.
• Products: OPT, STK, FUT
Generated by Doxygen
110 Orders
•Order order = new Order();
order.Action = action;
order.OrderType = "LMT";
order.TotalQuantity = quantity;
order.OrderComboLegs = new List<OrderComboLeg>();
foreach(double price in legPrices)
{
OrderComboLeg comboLeg = new OrderComboLeg();
comboLeg.Price = 5.0;
order.OrderComboLegs.Add(comboLeg);
}
if (nonGuaranteed)
{
order.SmartComboRoutingParams = new List<TagValue>();
order.SmartComboRoutingParams.Add(new TagValue("NonGuaranteed","1"));
}
•Order order = new Order();
order.action(action);
order.orderType("LMT");
order.totalQuantity(quantity);
order.orderComboLegs(new ArrayList<>());
for(double price : legPrices) {
OrderComboLeg comboLeg = new OrderComboLeg();
comboLeg.price(5.0);
order.orderComboLegs().add(comboLeg);
}
if (nonGuaranteed)
{
order.smartComboRoutingParams().add(new TagValue("NonGuaranteed","1"));
}
•Dim order As Order = New Order
order.Action = action
order.OrderType = "LMT"
order.TotalQuantity = quantity
order.OrderComboLegs = New List(Of OrderComboLeg)
For Each price As Double In legPrices
Dim ComboLeg As OrderComboLeg = New OrderComboLeg
ComboLeg.Price = 5.0
order.OrderComboLegs.Add(ComboLeg)
Next price
If (nonGuaranteed) Then
order.SmartComboRoutingParams = New List(Of TagValue)
order.SmartComboRoutingParams.Add(New TagValue("NonGuaranteed", "1"))
End If
•Order order;
order.action = action;
order.orderType = "LMT";
order.totalQuantity = quantity;
order.orderComboLegs.reset(new Order::OrderComboLegList());
for(unsigned int i = 0; i < legprices.size(); i++){
OrderComboLegSPtr comboLeg(new OrderComboLeg());
comboLeg->price = legprices[i];
order.orderComboLegs->push_back(comboLeg);
}
if(nonGuaranteed){
TagValueSPtr tag1(new TagValue("NonGuaranteed","1"));
order.smartComboRoutingParams.reset(new TagValueList());
order.smartComboRoutingParams->push_back(tag1);
}
•order = Order()
order.action = action
order.orderType = "LMT"
order.totalQuantity = quantity
order.orderComboLegs = []
for price in legPrices:
comboLeg = OrderComboLeg()
comboLeg.price = price
order.orderComboLegs.append(comboLeg)
if nonGuaranteed:
order.smartComboRoutingParams = []
order.smartComboRoutingParams.append(TagValue("NonGuaranteed","1"))
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10.2 Available Orders 111
10.2.1.33 Relative Limit Combo
Create combination orders that include options, stock and futures legs (stock legs can be included if the order is
routed through SmartRouting). Although a combination/spread order is constructed of separate legs, it is executed
as a single transaction if it is routed directly to an exchange. For combination orders that are SmartRouted, each
leg may be executed separately to ensure best execution.
• Products: OPT, STK, FUT
•Order order = new Order();
order.Action = action;
order.TotalQuantity = quantity;
order.OrderType = "REL + LMT";
order.LmtPrice = limitPrice;
if (nonGuaranteed)
{
order.SmartComboRoutingParams = new List<TagValue>();
order.SmartComboRoutingParams.Add(new TagValue("NonGuaranteed","1"));
}
•Order order = new Order();
order.action(action);
order.orderType("REL + LMT");
order.totalQuantity(quantity);
order.lmtPrice(limitPrice);
if (nonGuaranteed)
{
order.smartComboRoutingParams().add(new TagValue("NonGuaranteed","1"));
}
•Dim order As Order = New Order
order.Action = action
order.TotalQuantity = quantity
order.OrderType = "REL + LMT"
order.LmtPrice = limitPrice
If (nonGuaranteed) Then
order.SmartComboRoutingParams = New List(Of TagValue)
order.SmartComboRoutingParams.Add(New TagValue("NonGuaranteed", "1"))
End If
•Order order;
order.action = action;
order.totalQuantity = quantity;
order.orderType = "Rel + LMT";
order.lmtPrice = limitPrice;
if(nonGuaranteed){
TagValueSPtr tag1(new TagValue("NonGuaranteed","1"));
order.smartComboRoutingParams.reset(new TagValueList());
order.smartComboRoutingParams->push_back(tag1);
}
•order = Order()
order.action = action
order.totalQuantity = quantity
order.orderType = "REL + LMT"
order.lmtPrice = limitPrice
if nonGuaranteed:
order.smartComboRoutingParams = []
order.smartComboRoutingParams.append(TagValue("NonGuaranteed","1"))
10.2.1.34 Relative Market Combo
Create combination orders that include options, stock and futures legs (stock legs can be included if the order is
routed through SmartRouting). Although a combination/spread order is constructed of separate legs, it is executed
as a single transaction if it is routed directly to an exchange. For combination orders that are SmartRouted, each
leg may be executed separately to ensure best execution.
• Products: OPT, STK, FUT
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112 Orders
•Order order = new Order();
order.Action = action;
order.TotalQuantity = quantity;
order.OrderType = "REL + MKT";
if (nonGuaranteed)
{
order.SmartComboRoutingParams = new List<TagValue>();
order.SmartComboRoutingParams.Add(new TagValue("NonGuaranteed","1"));
}
•Order order = new Order();
order.action(action);
order.orderType("REL + MKT");
order.totalQuantity(quantity);
if (nonGuaranteed)
{
order.smartComboRoutingParams().add(new TagValue("NonGuaranteed","1"));
}
•Dim order As Order = New Order
order.Action = action
order.TotalQuantity = quantity
order.OrderType = "REL + MKT"
If (nonGuaranteed) Then
order.SmartComboRoutingParams = New List(Of TagValue)
order.SmartComboRoutingParams.Add(New TagValue("NonGuaranteed", "1"))
End If
•Order order;
order.action = action;
order.totalQuantity = quantity;
order.orderType = "Rel + MKT";
if(nonGuaranteed){
TagValueSPtr tag1(new TagValue("NonGuaranteed","1"));
order.smartComboRoutingParams.reset(new TagValueList());
order.smartComboRoutingParams->push_back(tag1);
}
•order = Order()
order.action = action
order.totalQuantity = quantity
order.orderType = "REL + MKT"
if nonGuaranteed:
order.smartComboRoutingParams = []
order.smartComboRoutingParams.append(TagValue("NonGuaranteed","1"))
10.2.1.35 Volatility
Specific to US options, investors are able to create and enter Volatility-type orders for options and com-
binations rather than price orders. Option traders may wish to trade and position for movements in the price of
the option determined by its implied volatility. Because implied volatility is a key determinant of the premium on an
option, traders position in specific contract months in an effort to take advantage of perceived changes in implied
volatility arising before, during or after earnings or when company specific or broad market volatility is predicted
to change. In order to create a Volatility order, clients must first create a Volatility Trader page from the Trading
Tools menu and as they enter option contracts, premiums will display in percentage terms rather than premium.
The buy/sell process is the same as for regular orders priced in premium terms except that the client can limit the
volatility level they are willing to pay or receive.
• Products: FOP, OPT
•Supported exchanges
•Order order = new Order();
order.Action = action;
order.OrderType = "VOL";
order.TotalQuantity = quantity;
order.Volatility = volatilityPercent;//Expressed in percentage (40%)
order.VolatilityType = volatilityType;// 1=daily, 2=annual
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10.2 Available Orders 113
•Order order = new Order();
order.action(action);
order.orderType("VOL");
order.volatility(volatilityPercent);//Expressed in percentage (40%)
order.volatilityType(volatilityType);// 1=daily, 2=annual
order.totalQuantity(quantity);
•Dim order As Order = New Order
order.Action = action
order.OrderType = "VOL"
order.TotalQuantity = quantity
order.Volatility = volatilityPercent ’Expressed in percentage (40%)
order.VolatilityType = volatilityType ’ 1=daily, 2=annual
•Order order;
order.action = action;
order.orderType = "VOL";
order.totalQuantity = quantity;
order.volatility = volatilityPercent; //Expressed in percentage (40%)
order.volatilityType = volatilityType; // 1=daily, 2=annual
•order = Order()
order.action = action
order.orderType = "VOL"
order.totalQuantity = quantity
order.volatility = volatilityPercent#Expressed in percentage (40%)
order.volatilityType = volatilityType# 1=daily, 2=annual
10.2.1.36 Pegged to Benchmark
The Pegged to Benchmark order is similar to the Pegged to Stock order for options, except that the Pegged
to Benchmark allows you to specify any asset type as the reference (benchmark) contract for a stock or option order.
Both the primary and reference contracts must use the same currency.
• Products: STK, OPT
•Supported exchanges
•Order order = new Order();
order.OrderType = "PEG BENCH";
//BUY or SELL
order.Action = action;
order.TotalQuantity = quantity;
//Beginning with price...
order.StartingPrice = startingPrice;
//increase/decrease price..
order.IsPeggedChangeAmountDecrease = peggedChangeAmountDecrease;
//by... (and likewise for price moving in opposite direction)
order.PeggedChangeAmount = peggedChangeAmount;
//whenever there is a price change of...
order.ReferenceChangeAmount = referenceChangeAmount;
//in the reference contract...
order.ReferenceContractId = referenceConId;
//being traded at...
order.ReferenceExchange = referenceExchange;
//starting reference price is...
order.StockRefPrice = stockReferencePrice;
//Keep order active as long as reference contract trades between...
order.StockRangeLower = referenceContractLowerRange;
//and...
order.StockRangeUpper = referenceContractUpperRange;
•Order order = new Order();
order.orderType("PEG BENCH");
//BUY or SELL
order.action(action);
order.totalQuantity(quantity);
//Beginning with price...
order.startingPrice(startingPrice);
//increase/decrease price...
order.isPeggedChangeAmountDecrease(peggedChangeAmountDecrease);
//by... (and likewise for price moving in opposite direction)
order.peggedChangeAmount(peggedChangeAmount);
//whenever there is a price change of...
order.referenceChangeAmount(referenceChangeAmount);
//in the reference contract...
order.referenceContractId(referenceConId);
//being traded at...
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114 Orders
order.referenceExchangeId(referenceExchange);
//starting reference price is...
order.stockRefPrice(stockReferencePrice);
//Keep order active as long as reference contract trades between...
order.stockRangeLower(referenceContractLowerRange);
//and...
order.stockRangeUpper(referenceContractUpperRange);
•Dim order As Order = New Order
order.OrderType = "PEG BENCH"
’BUY Or SELL
order.Action = action
order.TotalQuantity = quantity
’Beginning with price...
order.StartingPrice = startingPrice
’increase/decrease price..
order.IsPeggedChangeAmountDecrease = peggedChangeAmountDecrease
’by... (And likewise for price moving in opposite direction)
order.PeggedChangeAmount = peggedChangeAmount
’whenever there Is a price change of...
order.ReferenceChangeAmount = referenceChangeAmount
’in the reference contract...
order.ReferenceContractId = referenceConId
’being traded at...
order.ReferenceExchange = referenceExchange
’starting reference price Is...
order.StockRefPrice = stockReferencePrice
’Keep order active as long as reference contract trades between...
order.StockRangeLower = referenceContractLowerRange
’And...
order.StockRangeUpper = referenceContractUpperRange
•Order order;
order.orderType = "PEG BENCH";
//BUY or SELL
order.action = action;
order.totalQuantity = quantity;
//Beginning with price...
order.startingPrice = startingPrice;
//increase/decrease price..
order.isPeggedChangeAmountDecrease = peggedChangeAmountDecrease;
//by... (and likewise for price moving in opposite direction)
order.peggedChangeAmount = peggedChangeAmount;
//whenever there is a price change of...
order.referenceChangeAmount = referenceChangeAmount;
//in the reference contract...
order.referenceContractId = referenceConId;
//being traded at...
order.referenceExchangeId = referenceExchange;
//starting reference price is...
order.stockRefPrice = stockReferencePrice;
//Keep order active as long as reference contract trades between...
order.stockRangeLower = referenceContractLowerRange;
//and...
order.stockRangeUpper = referenceContractUpperRange;
•order = Order()
order.orderType = "PEG BENCH"
#BUY or SELL
order.action = action
order.totalQuantity = quantity
#Beginning with price...
order.startingPrice = startingPrice
#increase/decrease price..
order.isPeggedChangeAmountDecrease = peggedChangeAmountDecrease
#by... (and likewise for price moving in opposite direction)
order.peggedChangeAmount = peggedChangeAmount
#whenever there is a price change of...
order.referenceChangeAmount = referenceChangeAmount
#in the reference contract...
order.referenceContractId = referenceConId
#being traded at...
order.referenceExchange = referenceExchange
#starting reference price is...
order.stockRefPrice = stockReferencePrice
#Keep order active as long as reference contract trades between...
order.stockRangeLower = referenceContractLowerRange
#and...
order.stockRangeUpper = referenceContractUpperRange
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10.2 Available Orders 115
10.2.2 Advanced Orders and Algos
On top of the basic order types, it is possible to make use of the following advanced features:
•Hedging
•Bracket Orders
•One Cancels All
•Adjustable stops
•Conditioning
•IB Algos
10.2.3 Hedging
Hedging orders are similar to Bracket Orders. With hedging order, a child order is submitted only on execution of
the parent. Orders can be hedged by an attached forex trade, Beta hedge, or Pair Trade, just as in TWS:
Hedging Orders in TWS
For an example of a forex hedge, when buying a contract on a currency other than your base, you can attach an FX
order to convert base currency to the currency of the contract to cover the cost of the trade thanks to the TWS API's
Attaching Orders mechanism.
•public static Order MarketFHedge(int parentOrderId, string action)
{
//FX Hedge orders can only have a quantity of 0
Order order = MarketOrder(action, 0);
order.ParentId = parentOrderId;
order.HedgeType = "F";
return order;
}
...
//Parent order on a contract which currency differs from your base currency
Order parent = OrderSamples.LimitOrder("BUY", 100, 10);
parent.OrderId = nextOrderId++;
//Hedge on the currency conversion
Order hedge = OrderSamples.MarketFHedge(parent.OrderId, "BUY");
//Place the parent first...
client.placeOrder(parent.OrderId, ContractSamples.EuropeanStock(), parent);
//Then the hedge order
client.placeOrder(nextOrderId++, ContractSamples.EurGbpFx(), hedge);
•public static Order MarketFHedge(int parentOrderId, String action) {
//FX Hedge orders can only have a quantity of 0
Order order = MarketOrder(action, 0);
order.parentId(parentOrderId);
order.hedgeType("F");
return order;
}
...
//Parent order on a contract which currency differs from your base currency
Order parent = OrderSamples.LimitOrder("BUY", 100, 10);
parent.orderId(nextOrderId++);
//Hedge on the currency conversion
Order hedge = OrderSamples.MarketFHedge(parent.orderId(), "BUY");
//Place the parent first...
client.placeOrder(parent.orderId(), ContractSamples.EuropeanStock(), parent);
//Then the hedge order
client.placeOrder(nextOrderId++, ContractSamples.EurGbpFx(), hedge);
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116 Orders
•Public Shared Function MarketFHedge(parentOrderId As Integer, action As String) As Order
’FX Hedge orders can only have a quantity of 0
Dim Order As Order = MarketOrder(action, 0)
Order.ParentId = parentOrderId
Order.HedgeType = "F"
Return Order
End Function
...
’Parent order on a contract which currency differs from your base currency
Dim parent As Order = OrderSamples.LimitOrder("BUY", 100, 10)
parent.OrderId = increment(nextOrderId)
’Hedge on the currency conversion
Dim hedge As Order = OrderSamples.MarketFHedge(parent.OrderId, "BUY")
’Place the parent first...
client.placeOrder(parent.OrderId, ContractSamples.EuropeanStock(), parent)
’Then the hedge order
client.placeOrder(increment(increment(nextOrderId)), ContractSamples.EurGbpFx(), hedge)
•Order OrderSamples::MarketFHedge(int parentOrderId, std::string action){
//FX Hedge orders can only have a quantity of 0
Order order = MarketOrder(action, 0);
order.parentId = parentOrderId;
order.hedgeType = "F";
return order;
}
...
//Parent order on a contract which currency differs from your base currency
Order parent = OrderSamples::LimitOrder("BUY", 100, 10);
parent.orderId = m_orderId++;
//Hedge on the currency conversion
Order hedge = OrderSamples::MarketFHedge(parent.orderId, "BUY");
//Place the parent first...
m_pClient->placeOrder(parent.orderId, ContractSamples::EuropeanStock(), parent);
//Then the hedge order
m_pClient->placeOrder(m_orderId++, ContractSamples::EurGbpFx(), hedge);
•@staticmethod
def MarketFHedge(parentOrderId:int, action:str):
#FX Hedge orders can only have a quantity of 0
order = OrderSamples.MarketOrder(action, 0)
order.parentId = parentOrderId
order.hedgeType = "F"
return order
...
# Parent order on a contract which currency differs from your base currency
parent = OrderSamples.LimitOrder("BUY", 100, 10)
parent.orderId = self.nextOrderId()
# Hedge on the currency conversion
hedge = OrderSamples.MarketFHedge(parent.orderId, "BUY")
# Place the parent first...
self.placeOrder(parent.orderId, ContractSamples.EuropeanStock(), parent)
# Then the hedge order
self.placeOrder(self.nextOrderId(), ContractSamples.EurGbpFx(), hedge)
Note that in some cases it will be necessary to include a small delay of 50 ms or less after placing the parent order
for processing, before placing the child order. Otherwise the error "10006: Missing parent order" will be triggered.
10.2.4 Bracket Orders
Bracket Orders are designed to help limit your loss and lock in a profit by "bracketing" an order with two
opposite-side orders. A BUY order is bracketed by a high-side sell limit order and a low-side sell stop order. A SELL
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10.2 Available Orders 117
order is bracketed by a high-side buy stop order and a low side buy limit order. Note how bracket orders make
use of the TWS API's Attaching Orders mechanism.
One key thing to keep in mind is to handle the order transmission accurately. Since a Bracket consists of three
orders, there is always a risk that at least one of the orders gets filled before the entire bracket is sent. To avoid it,
make use of the IBApi.Order.Transmit flag. When this flag is set to 'false', the TWS will receive the order but it will
not send (transmit) it to the servers. In the example below, the first (parent) and second (takeProfit) orders will be
send to the TWS but not transmitted to the servers. When the last child order (stopLoss) is sent however and given
that its IBApi.Order.Transmit flag is set to true, the TWS will interpret this as a signal to transmit not only its parent
order but also the rest of siblings, removing the risks of an accidental execution.
•public static List<Order> BracketOrder(int parentOrderId, string action, double quantity, double
limitPrice,
double takeProfitLimitPrice, double stopLossPrice)
{
//This will be our main or "parent" order
Order parent = new Order();
parent.OrderId = parentOrderId;
parent.Action = action;
parent.OrderType = "LMT";
parent.TotalQuantity = quantity;
parent.LmtPrice = limitPrice;
//The parent and children orders will need this attribute set to false to prevent accidental
executions.
//The LAST CHILD will have it set to true,
parent.Transmit = false;
Order takeProfit = new Order();
takeProfit.OrderId = parent.OrderId + 1;
takeProfit.Action = action.Equals("BUY") ? "SELL" :"BUY";
takeProfit.OrderType = "LMT";
takeProfit.TotalQuantity = quantity;
takeProfit.LmtPrice = takeProfitLimitPrice;
takeProfit.ParentId = parentOrderId;
takeProfit.Transmit = false;
Order stopLoss = new Order();
stopLoss.OrderId = parent.OrderId + 2;
stopLoss.Action = action.Equals("BUY") ? "SELL" :"BUY";
stopLoss.OrderType = "STP";
//Stop trigger price
stopLoss.AuxPrice = stopLossPrice;
stopLoss.TotalQuantity = quantity;
stopLoss.ParentId = parentOrderId;
//In this case, the low side order will be the last child being sent. Therefore, it needs to
set this attribute to true
//to activate all its predecessors
stopLoss.Transmit = true;
List<Order> bracketOrder = new List<Order>();
bracketOrder.Add(parent);
bracketOrder.Add(takeProfit);
bracketOrder.Add(stopLoss);
return bracketOrder;
}
...
List<Order> bracket = OrderSamples.BracketOrder(nextOrderId++, "BUY", 100, 30, 40, 20);
foreach (Order o in bracket)
client.placeOrder(o.OrderId, ContractSamples.EuropeanStock(), o);
•public static List<Order> BracketOrder(int parentOrderId, String action, double quantity, double
limitPrice, double takeProfitLimitPrice, double stopLossPrice) {
//This will be our main or "parent" order
Order parent = new Order();
parent.orderId(parentOrderId);
parent.action(action);
parent.orderType("LMT");
parent.totalQuantity(quantity);
parent.lmtPrice(limitPrice);
//The parent and children orders will need this attribute set to false to prevent accidental
executions.
//The LAST CHILD will have it set to true.
parent.transmit(false);
Order takeProfit = new Order();
takeProfit.orderId(parent.orderId() + 1);
takeProfit.action(action.equals("BUY") ? "SELL" :"BUY");
takeProfit.orderType("LMT");
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118 Orders
takeProfit.totalQuantity(quantity);
takeProfit.lmtPrice(takeProfitLimitPrice);
takeProfit.parentId(parentOrderId);
takeProfit.transmit(false);
Order stopLoss = new Order();
stopLoss.orderId(parent.orderId() + 2);
stopLoss.action(action.equals("BUY")?"SELL" :"BUY");
stopLoss.orderType("STP");
//Stop trigger price
stopLoss.auxPrice(stopLossPrice);
stopLoss.totalQuantity(quantity);
stopLoss.parentId(parentOrderId);
//In this case, the low side order will be the last child being sent. Therefore, it needs to set
this attribute to true
//to activate all its predecessors
stopLoss.transmit(true);
List<Order> bracketOrder = new ArrayList<>();
bracketOrder.add(parent);
bracketOrder.add(takeProfit);
bracketOrder.add(stopLoss);
return bracketOrder;
}
...
List<Order> bracket = OrderSamples.BracketOrder(nextOrderId++, "BUY", 100, 30, 40, 20);
for(Order o : bracket) {
client.placeOrder(o.orderId(), ContractSamples.EuropeanStock(), o);
}
•’This will be our main Or "parent" order
Dim parent As Order = New Order
parent.OrderId = parentOrderId
parent.Action = action
parent.OrderType = "LMT"
parent.TotalQuantity = quantity
parent.LmtPrice = limitPrice
’The parent And children orders will need this attribute set to false to prevent accidental
executions.
’The LAST CHILD will have it set to true,
parent.Transmit = False
Dim takeProfit As Order = New Order
’
takeProfit.OrderId = parent.OrderId + 1
If action.Equals("BUY") Then takeProfit.Action = "SELL" Else takeProfit.Action = "BUY"
takeProfit.OrderType = "LMT"
takeProfit.TotalQuantity = quantity
takeProfit.LmtPrice = takeProfitLimitPrice
takeProfit.ParentId = parentOrderId
takeProfit.Transmit = False
Dim stopLoss As Order = New Order
stopLoss.OrderId = parent.OrderId + 2
If action.Equals("BUY") Then stopLoss.Action = "SELL" Else stopLoss.Action = "BUY"
stopLoss.OrderType = "STP"
’Stop trigger price
stopLoss.AuxPrice = stopLossPrice
stopLoss.TotalQuantity = quantity
stopLoss.ParentId = parentOrderId
’In this case, the low side order will be the last child being sent. Therefore, it needs to set
this attribute to true
’to activate all its predecessors
stopLoss.Transmit = True
Dim orders As List(Of Order) = New List(Of Order)
orders.Add(parent)
orders.Add(takeProfit)
orders.Add(stopLoss)
...
Dim bracket As List(Of Order) = OrderSamples.BracketOrder(increment(nextOrderId), "BUY", 100, 30,
40, 20)
For Each o As Order In bracket
client.placeOrder(o.OrderId, ContractSamples.EuropeanStock(), o)
Next
•void OrderSamples::BracketOrder(int parentOrderId, Order& parent, Order& takeProfit, Order& stopLoss,
std::string action, double quantity, double limitPrice, double takeProfitLimitPrice, double stopLossPrice){
//This will be our main or "parent" order
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10.2 Available Orders 119
parent.orderId = parentOrderId;
parent.action = action;
parent.orderType = "LMT";
parent.totalQuantity = quantity;
parent.lmtPrice = limitPrice;
//The parent and children orders will need this attribute set to false to prevent accidental
executions.
//The LAST CHILD will have it set to true,
parent.transmit = false;
takeProfit.orderId = parent.orderId + 1;
takeProfit.action = (action == "BUY")?"SELL" :"BUY";
takeProfit.orderType = "LMT";
takeProfit.totalQuantity = quantity;
takeProfit.lmtPrice = takeProfitLimitPrice;
takeProfit.parentId = parentOrderId;
takeProfit.transmit = false;
stopLoss.orderId = parent.orderId + 2;
stopLoss.action = (action == "BUY")?"SELL" :"BUY";
stopLoss.orderType = "STP";
//Stop trigger price
stopLoss.auxPrice = stopLossPrice;
stopLoss.totalQuantity = quantity;
stopLoss.parentId = parentOrderId;
//In this case, the low side order will be the last child being sent. Therefore, it needs to set this
attribute to true
//to activate all its predecessors
stopLoss.transmit = true;
}
...
OrderSamples::BracketOrder(m_orderId++, parent, takeProfit, stopLoss, "BUY", 100, 30, 40, 20);
m_pClient->placeOrder(parent.orderId, ContractSamples::EuropeanStock(), parent);
m_pClient->placeOrder(takeProfit.orderId, ContractSamples::EuropeanStock(), takeProfit);
m_pClient->placeOrder(stopLoss.orderId, ContractSamples::EuropeanStock(), stopLoss);
•@staticmethod
def BracketOrder(parentOrderId:int, action:str, quantity:float,
limitPrice:float, takeProfitLimitPrice:float,
stopLossPrice:float):
#This will be our main or "parent" order
parent = Order()
parent.orderId = parentOrderId
parent.action = action
parent.orderType = "LMT"
parent.totalQuantity = quantity
parent.lmtPrice = limitPrice
#The parent and children orders will need this attribute set to False to prevent accidental
executions.
#The LAST CHILD will have it set to True,
parent.transmit = False
takeProfit = Order()
takeProfit.orderId = parent.orderId + 1
takeProfit.action = "SELL" if action == "BUY" else "BUY"
takeProfit.orderType = "LMT"
takeProfit.totalQuantity = quantity
takeProfit.lmtPrice = takeProfitLimitPrice
takeProfit.parentId = parentOrderId
takeProfit.transmit = False
stopLoss = Order()
stopLoss.orderId = parent.orderId + 2
stopLoss.action = "SELL" if action == "BUY" else "BUY"
stopLoss.orderType = "STP"
#Stop trigger price
stopLoss.auxPrice = stopLossPrice
stopLoss.totalQuantity = quantity
stopLoss.parentId = parentOrderId
#In this case, the low side order will be the last child being sent. Therefore, it needs to set
this attribute to True
#to activate all its predecessors
stopLoss.transmit = True
bracketOrder = [parent, takeProfit, stopLoss]
return bracketOrder
...
bracket = OrderSamples.BracketOrder(self.nextOrderId(), "BUY", 100, 30, 40, 20)
for oin bracket:
self.placeOrder(o.orderId, ContractSamples.EuropeanStock(), o)
self.nextOrderId() # need to advance this we’ll skip one extra oid, it’s fine
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120 Orders
10.2.5 One Cancels All
The One-Cancels All (OCA) order type allows an investor to place multiple and possibly unrelated orders
assigned to a group. The aim is to complete just one of the orders, which in turn will cause TWS to cancel the
remaining orders. The investor may submit several orders aimed at taking advantage of the most desirable price
within the group. Completion of one piece of the group order causes cancellation of the remaining group orders
while partial completion causes the group to re-balance. An investor might desire to sell 1000 shares of only ONE
of three positions held above prevailing market prices. The OCA order group allows the investor to enter prices at
specified target levels and if one is completed, the other two will automatically cancel. Alternatively, an investor may
wish to take a LONG position in eMini S&P stock index futures in a falling market or else SELL US treasury futures
at a more favorable price. Grouping the two orders using an OCA order type offers the investor two chances to enter
a similar position, while only running the risk of taking on a single position.
•public static List<Order> OneCancelsAll(string ocaGroup, List<Order> ocaOrders, int ocaType)
{
foreach (Order o in ocaOrders)
{
o.OcaGroup = ocaGroup;
o.OcaType = ocaType;
}
return ocaOrders;
}
...
List<Order> ocaOrders = new List<Order>();
ocaOrders.Add(OrderSamples.LimitOrder("BUY", 1, 10));
ocaOrders.Add(OrderSamples.LimitOrder("BUY", 1, 11));
ocaOrders.Add(OrderSamples.LimitOrder("BUY", 1, 12));
OrderSamples.OneCancelsAll("TestOCA_" + nextOrderId, ocaOrders, 2);
foreach (Order o in ocaOrders)
client.placeOrder(nextOrderId++, ContractSamples.USStock(), o);
•public static List<Order> OneCancelsAll(String ocaGroup, List<Order> ocaOrders, int ocaType) {
for (Order o : ocaOrders) {
o.ocaGroup(ocaGroup);
o.ocaType(ocaType);
}
return ocaOrders;
}
...
List<Order> OcaOrders = new ArrayList<>();
OcaOrders.add(OrderSamples.LimitOrder("BUY", 1, 10));
OcaOrders.add(OrderSamples.LimitOrder("BUY", 1, 11));
OcaOrders.add(OrderSamples.LimitOrder("BUY", 1, 12));
OcaOrders = OrderSamples.OneCancelsAll("TestOCA_" + nextOrderId, OcaOrders, 2);
for (Order o : OcaOrders) {
client.placeOrder(nextOrderId++, ContractSamples.USStock(), o);
}
•For Each o As Order In ocaOrders
o.OcaGroup = ocaGroup
o.OcaType = ocaType
’Same as with Bracket orders. To prevent accidental executions, set all orders’ transmit
flag to false.
’This will tell the TWS Not to send the orders, allowing your program to send them all
first.
o.Transmit = False
Next o
’Telling the TWS to transmit the last order in the OCA will also cause the transmission of its
predecessors.
ocaOrders.Item(ocaOrders.Count - 1).Transmit = True
...
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10.2 Available Orders 121
Dim ocaOrders As List(Of Order) = New List(Of Order)
ocaOrders.Add(OrderSamples.LimitOrder("BUY", 1, 10))
ocaOrders.Add(OrderSamples.LimitOrder("BUY", 1, 11))
ocaOrders.Add(OrderSamples.LimitOrder("BUY", 1, 12))
OrderSamples.OneCancelsAll("TestOCA_" + nextOrderId, ocaOrders, 2)
For Each o As Order In ocaOrders
client.placeOrder(increment(nextOrderId), ContractSamples.USStock(), o)
Next
•void OrderSamples::OneCancelsAll(std::string ocaGroup, Order& ocaOrder, int ocaType){
ocaOrder.ocaGroup = ocaGroup;
ocaOrder.ocaType = ocaType;
}
...
std::vector<Order> ocaOrders;
ocaOrders.push_back(OrderSamples::LimitOrder("BUY", 1, 10));
ocaOrders.push_back(OrderSamples::LimitOrder("BUY", 1, 11));
ocaOrders.push_back(OrderSamples::LimitOrder("BUY", 1, 12));
for(unsigned int i = 0; i < ocaOrders.size(); i++){
OrderSamples::OneCancelsAll("TestOca", ocaOrders[i], 2);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStock(), ocaOrders[i]);
}
•@staticmethod
def OneCancelsAll(ocaGroup:str, ocaOrders:ListOfOrder, ocaType:int):
for oin ocaOrders:
o.ocaGroup = ocaGroup
o.ocaType = ocaType
return ocaOrders
...
ocaOrders = [OrderSamples.LimitOrder("BUY", 1, 10), OrderSamples.LimitOrder("BUY", 1, 11),
OrderSamples.LimitOrder("BUY", 1, 12)]
OrderSamples.OneCancelsAll("TestOCA_" + self.nextValidOrderId, ocaOrders, 2)
for oin ocaOrders:
self.placeOrder(self.nextOrderId(), ContractSamples.USStock(), o)
10.2.5.0.1 OCA Types
Via the IBApi.Order.OcaType attribute, the way in which remaining orders should be handled after an execution
can be configured as indicated in the table below:
Value Description
1 Cancel all remaining orders with block.∗
2 Remaining orders are proportionately reduced in size with block.∗
3 Remaining orders are proportionately reduced in size with no block.
Note∗: if you use a value "with block" gives your order has overfill protection. This means that only one order in the
group will be routed at a time to remove the possibility of an overfill.
10.2.6 Adjustable Stops
You can attach one-time adjustments to stop, stop limit, trailing stop and trailing stop limit orders. When you attach
an adjusted order, you set a trigger price that triggers a modification of the original (or parent) order, instead of
triggering order transmission.
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122 Orders
10.2.6.0.1 Adjusted to Stop
•//Attached order is a conventional STP order in opposite direction
Order order = Stop(parent.Action.Equals("BUY")?"SELL" :"BUY", parent.TotalQuantity,
attachedOrderStopPrice);
order.ParentId = parent.OrderId;
//When trigger price is penetrated
order.TriggerPrice = triggerPrice;
//The parent order will be turned into a STP order
order.AdjustedOrderType = "STP";
//With the given STP price
order.AdjustedStopPrice = adjustStopPrice;
•Order order = new Order();
//Attached order is a conventional STP order in opposite direction
order.action("BUY".equals(parent.getAction()) ? "SELL" :"BUY");
order.totalQuantity(parent.totalQuantity());
order.auxPrice(attachedOrderStopPrice);
order.parentId(parent.orderId());
//When trigger price is penetrated
order.triggerPrice(triggerPrice);
//The parent order will be turned into a STP order
order.adjustedOrderType(OrderType.STP);
//With the given STP price
order.adjustedStopPrice(adjustStopPrice);
•’Attached order Is a conventional STP order in opposite direction
Dim action As String = "BUY"
If (parent.Action.Equals("BUY")) Then
action = "SELL"
End If
Dim order As Order = StopOrder(action, parent.TotalQuantity, attachedOrderStopPrice)
order.ParentId = parent.OrderId
’When trigger price Is penetrated
order.TriggerPrice = triggerPrice
’The parent order will be turned into a STP order
order.AdjustedOrderType = "STP"
’With the given STP price
order.AdjustedStopPrice = adjustStopPrice
•//Attached order is a conventional STP order in opposite direction
Order order;
order.action = (parent.action == "BUY")?"SELL":"BUY";
order.orderType = "STP";
order.totalQuantity = parent.totalQuantity;
order.auxPrice = attachedOrderStopPrice;
order.parentId = parent.orderId;
//When trigger price is penetrated
order.triggerPrice = triggerPrice;
//The parent order will be turned into a STP order
order.adjustedOrderType = "STP";
//With the given STP price
order.adjustedStopPrice = adjustStopPrice;
•# Attached order is a conventional STP order in opposite direction
order = OrderSamples.Stop("SELL" if parent.action == "BUY" else "BUY",
parent.totalQuantity, attachedOrderStopPrice)
order.parentId = parent.orderId
#When trigger price is penetrated
order.triggerPrice = triggerPrice
#The parent order will be turned into a STP order
order.adjustedOrderType = "STP"
#With the given STP price
order.adjustedStopPrice = adjustStopPrice
10.2.6.0.2 Adjusted to Stop Limit
•//Attached order is a conventional STP order
Order order = Stop(parent.Action.Equals("BUY")?"SELL" :"BUY", parent.TotalQuantity,
attachedOrderStopPrice);
order.ParentId = parent.OrderId;
//When trigger price is penetrated
order.TriggerPrice = triggerPrice;
//The parent order will be turned into a STP LMT order
order.AdjustedOrderType = "STP LMT";
//With the given stop price
order.AdjustedStopPrice = adjustedStopPrice;
//And the given limit price
order.AdjustedStopLimitPrice = adjustedStopLimitPrice;
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10.2 Available Orders 123
•Order order = new Order();
//Attached order is a conventional STP order
order.action("BUY".equals(parent.getAction()) ? "SELL" :"BUY");
order.totalQuantity(parent.totalQuantity());
order.auxPrice(attachedOrderStopPrice);
order.parentId(parent.orderId());
//When trigger price is penetrated
order.triggerPrice(triggerPrice);
//The parent order will be turned into a STP LMT order
order.adjustedOrderType(OrderType.STP_LMT);
//With the given stop price
order.adjustedStopPrice(adjustStopPrice);
//And the given limit price
order.adjustedStopLimitPrice(adjustedStopLimitPrice);
•’Attached order Is a conventional STP order
Dim action As String = "BUY"
If (parent.Action.Equals("BUY")) Then
action = "SELL"
End If
Dim order As Order = StopOrder(action, parent.TotalQuantity, attachedOrderStopPrice)
order.ParentId = parent.OrderId
’When trigger price Is penetrated
order.TriggerPrice = triggerPrice
’The parent order will be turned into a STP LMT order
order.AdjustedOrderType = "STP LMT"
’With the given stop price
order.AdjustedStopPrice = adjustedStopPrice
’And the given limit price
order.AdjustedStopLimitPrice = adjustedStopLimitPrice
•//Attached order is a conventional STP order
Order order;
order.action = (parent.action == "BUY")?"SELL":"BUY";
order.orderType = "STP";
order.totalQuantity = parent.totalQuantity;
order.auxPrice = attachedOrderStopPrice;
order.parentId = parent.orderId;
//When trigger price is penetrated
order.triggerPrice = triggerPrice;
//The parent order will be turned into a STP LMT order
order.adjustedOrderType = "STP LMT";
//With the given stop price
order.adjustedStopPrice = adjustStopPrice;
//And the given limit price
order.adjustedStopLimitPrice = adjustedStopLimitPrice;
•#Attached order is a conventional STP order
order = OrderSamples.Stop("SELL" if parent.action == "BUY" else "BUY",
parent.totalQuantity, attachedOrderStopPrice)
order.parentId = parent.orderId
#When trigger price is penetrated
order.triggerPrice = triggerPrice
#The parent order will be turned into a STP LMT order
order.adjustedOrderType = "STP LMT"
#With the given stop price
order.adjustedStopPrice = adjustedStopPrice
#And the given limit price
order.adjustedStopLimitPrice = adjustedStopLimitPrice
10.2.6.0.3 Adjusted to Trail
•//Attached order is a conventional STP order
Order order = Stop(parent.Action.Equals("BUY")?"SELL" :"BUY", parent.TotalQuantity,
attachedOrderStopPrice);
order.ParentId = parent.OrderId;
//When trigger price is penetrated
order.TriggerPrice = triggerPrice;
//The parent order will be turned into a TRAIL order
order.AdjustedOrderType = "TRAIL";
//With a stop price of...
order.AdjustedStopPrice = adjustedStopPrice;
//traling by and amount (0) or a percent (1)...
order.AdjustableTrailingUnit = trailUnit;
//of...
order.AdjustedTrailingAmount = adjustedTrailAmount;
•Order order = new Order();
//Attached order is a conventional STP order
order.action("BUY".equals(parent.getAction()) ? "SELL" :"BUY");
order.totalQuantity(parent.totalQuantity());
order.auxPrice(attachedOrderStopPrice);
order.parentId(parent.orderId());
//When trigger price is penetrated
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124 Orders
order.triggerPrice(triggerPrice);
//The parent order will be turned into a TRAIL order
order.adjustedOrderType(OrderType.TRAIL);
//With a stop price of...
order.adjustedStopPrice(adjustStopPrice);
//trailing by and amount (0) or a percent (1)...
order.adjustableTrailingUnit(trailUnit);
//of...
order.adjustedTrailingAmount(adjustedTrailAmount);
•’Attached order Is a conventional STP order
Dim action As String = "BUY"
If (parent.Action.Equals("BUY")) Then
action = "SELL"
End If
Dim order As Order = StopOrder(action, parent.TotalQuantity, attachedOrderStopPrice)
order.ParentId = parent.OrderId
’When trigger price Is penetrated
order.TriggerPrice = triggerPrice
’The parent order will be turned into a TRAIL order
order.AdjustedOrderType = "TRAIL"
’With a stop price of...
order.AdjustedStopPrice = adjustedStopPrice
’traling by And amount (0) Or a percent (1)...
order.AdjustableTrailingUnit = trailUnit
’of...
order.AdjustedTrailingAmount = adjustedTrailAmount
•//Attached order is a conventional STP order
Order order;
order.action = (parent.action == "BUY")?"SELL":"BUY";
order.orderType = "STP";
order.totalQuantity = parent.totalQuantity;
order.auxPrice = attachedOrderStopPrice;
order.parentId = parent.orderId;
//When trigger price is penetrated
order.triggerPrice = triggerPrice;
//The parent order will be turned into a TRAIL order
order.adjustedOrderType = "TRAIL";
//With a stop price of...
order.adjustedStopPrice = adjustStopPrice;
//traling by and amount (0) or a percent (1)...
order.adjustableTrailingUnit = trailUnit;
//of...
order.adjustedTrailingAmount = adjustedTrailAmount;
•#Attached order is a conventional STP order
order = OrderSamples.Stop("SELL" if parent.action == "BUY" else "BUY",
parent.totalQuantity, attachedOrderStopPrice)
order.parentId = parent.orderId
#When trigger price is penetrated
order.triggerPrice = triggerPrice
#The parent order will be turned into a TRAIL order
order.adjustedOrderType = "TRAIL"
#With a stop price of...
order.adjustedStopPrice = adjustedStopPrice
#traling by and amount (0) or a percent (1)...
order.adjustableTrailingUnit = trailUnit
#of...
order.adjustedTrailingAmount = adjustedTrailAmount
10.2.7 Order Conditioning
Conditions allow to activate orders given a certain criteria...
•Order mkt = OrderSamples.MarketOrder("BUY", 100);
//Order will become active if conditioning criteria is met
mkt.ConditionsCancelOrder = true;
mkt.Conditions.Add(OrderSamples.PriceCondition(208813720, "SMART", 600, false,false));
mkt.Conditions.Add(OrderSamples.ExecutionCondition("EUR.USD","CASH","IDEALPRO",true));
mkt.Conditions.Add(OrderSamples.MarginCondition(30, true,false));
mkt.Conditions.Add(OrderSamples.PercentageChangeCondition(15.0, 208813720, "SMART",true,true)
);
mkt.Conditions.Add(OrderSamples.TimeCondition("20160118 23:59:59",true,false));
mkt.Conditions.Add(OrderSamples.VolumeCondition(208813720, "SMART",false, 100, true));
client.placeOrder(nextOrderId++, ContractSamples.EuropeanStock(), mkt);
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10.2 Available Orders 125
•Order mkt = OrderSamples.MarketOrder("BUY", 100);
//Order will become active if conditioning criteria is met
mkt.conditionsCancelOrder(true);
mkt.conditions().add(OrderSamples.PriceCondition(208813720, "SMART", 600, false,false));
mkt.conditions().add(OrderSamples.ExecutionCondition("EUR.USD","CASH","IDEALPRO",true));
mkt.conditions().add(OrderSamples.MarginCondition(30, true,false));
mkt.conditions().add(OrderSamples.PercentageChangeCondition(15.0, 208813720, "SMART",true,true));
mkt.conditions().add(OrderSamples.TimeCondition("20160118 23:59:59",true,false));
mkt.conditions().add(OrderSamples.VolumeCondition(208813720, "SMART",false, 100, true));
client.placeOrder(nextOrderId++, ContractSamples.EuropeanStock(), mkt);
•Dim mkt As Order = OrderSamples.MarketOrder("BUY", 100)
’Order will become active if conditioning criteria Is met
mkt.ConditionsCancelOrder = True
mkt.Conditions.Add(OrderSamples.PriceCondition(208813720, "SMART", 600, False, False))
mkt.Conditions.Add(OrderSamples.ExecutionCondition("EUR.USD", "CASH", "IDEALPRO", True))
mkt.Conditions.Add(OrderSamples.MarginCondition(30, True, False))
mkt.Conditions.Add(OrderSamples.PercentageChangeCondition(15.0, 208813720, "SMART", True, True))
mkt.Conditions.Add(OrderSamples.TimeCondition("20160118 23:59:59", True, False))
mkt.Conditions.Add(OrderSamples.VolumeCondition(208813720, "SMART", False, 100, True))
client.placeOrder(increment(nextOrderId), ContractSamples.EuropeanStock(), mkt)
•Order lmt = OrderSamples::LimitOrder("BUY", 100, 10);
//Order will become active if conditioning criteria is met
PriceCondition*priceCondition = dynamic_cast<PriceCondition *>(OrderSamples::Price_Condition(208813720
,"SMART", 600, false,false));
ExecutionCondition*execCondition = dynamic_cast<ExecutionCondition *>(
OrderSamples::Execution_Condition("EUR.USD","CASH","IDEALPRO",true));
MarginCondition*marginCondition = dynamic_cast<MarginCondition *>(OrderSamples::Margin_Condition(30,
true,false));
PercentChangeCondition*pctChangeCondition = dynamic_cast<PercentChangeCondition *>(
OrderSamples::Percent_Change_Condition(15.0, 208813720, "SMART",true,true));
TimeCondition*timeCondition = dynamic_cast<TimeCondition *>(OrderSamples::Time_Condition("20160118
23:59:59",true,false));
VolumeCondition*volumeCondition = dynamic_cast<VolumeCondition *>(OrderSamples::Volume_Condition(20881
3720, "SMART",false, 100, true));
lmt.conditions.push_back(std::shared_ptr<PriceCondition>(priceCondition));
lmt.conditions.push_back(std::shared_ptr<ExecutionCondition>(execCondition));
lmt.conditions.push_back(std::shared_ptr<MarginCondition>(marginCondition));
lmt.conditions.push_back(std::shared_ptr<PercentChangeCondition>(pctChangeCondition));
lmt.conditions.push_back(std::shared_ptr<TimeCondition>(timeCondition));
lmt.conditions.push_back(std::shared_ptr<VolumeCondition>(volumeCondition));
m_pClient->placeOrder(m_orderId++, ContractSamples::USStock(),lmt);
•mkt = OrderSamples.MarketOrder("BUY", 100)
# Order will become active if conditioning criteria is met
mkt.conditionsCancelOrder = True
mkt.conditions.append(
OrderSamples.PriceCondition(PriceCondition.TriggerMethodEnum.Default,
208813720, "SMART", 600, False,False))
mkt.conditions.append(OrderSamples.ExecutionCondition("EUR.USD","CASH","IDEALPRO",True))
mkt.conditions.append(OrderSamples.MarginCondition(30, True,False))
mkt.conditions.append(OrderSamples.PercentageChangeCondition(15.0, 208813720, "SMART",True,True))
mkt.conditions.append(OrderSamples.TimeCondition("20160118 23:59:59",True,False))
mkt.conditions.append(OrderSamples.VolumeCondition(208813720, "SMART",False, 100, True))
self.placeOrder(self.nextOrderId(), ContractSamples.EuropeanStock(), mkt)
Or cancel them
•Order lmt = OrderSamples.LimitOrder("BUY", 100, 20);
//The active order will be cancelled if conditioning criteria is met
lmt.ConditionsCancelOrder = true;
lmt.Conditions.Add(OrderSamples.PriceCondition(208813720, "SMART", 600, false,false));
client.placeOrder(nextOrderId++, ContractSamples.EuropeanStock(), lmt);
•Order lmt = OrderSamples.LimitOrder("BUY", 100, 20);
//The active order will be cancelled if conditioning criteria is met
lmt.conditionsCancelOrder(true);
lmt.conditions().add(OrderSamples.PriceCondition(208813720, "SMART", 600, false,false));
client.placeOrder(nextOrderId++, ContractSamples.EuropeanStock(), lmt);
•Dim lmt As Order = OrderSamples.LimitOrder("BUY", 100, 20)
’The active order will be cancelled if conditioning criteria Is met
lmt.ConditionsCancelOrder = True
lmt.Conditions.Add(OrderSamples.PriceCondition(208813720, "SMART", 600, False, False))
client.placeOrder(increment(nextOrderId), ContractSamples.EuropeanStock(), lmt)
•Order lmt2 = OrderSamples::LimitOrder("BUY", 100, 20);
//The active order will be cancelled if conditioning criteria is met
lmt2.conditionsCancelOrder = true;
PriceCondition*priceCondition2 = dynamic_cast<PriceCondition *>(OrderSamples::Price_Condition(20881372
0, "SMART", 600, false,false));
lmt2.conditions.push_back(std::shared_ptr<PriceCondition>(priceCondition2));
m_pClient->placeOrder(m_orderId++, ContractSamples::EuropeanStock(), lmt2);
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126 Orders
•lmt = OrderSamples.LimitOrder("BUY", 100, 20)
# The active order will be cancelled if conditioning criteria is met
lmt.conditionsCancelOrder = True
lmt.conditions.append(
OrderSamples.PriceCondition(PriceCondition.TriggerMethodEnum.Last,
208813720, "SMART", 600, False,False))
self.placeOrder(self.nextOrderId(), ContractSamples.EuropeanStock(), lmt)
10.2.7.0.1 Price Conditions
•//Conditions have to be created via the OrderCondition.Create
PriceCondition priceCondition = (PriceCondition)OrderCondition.Create(OrderConditionType.Price)
;
//When this contract...
priceCondition.ConId = conId;
//traded on this exchange
priceCondition.Exchange = exchange;
//has a price above/below
priceCondition.IsMore = isMore;
//this quantity
priceCondition.Price = price;
//AND | OR next condition (will be ignored if no more conditions are added)
priceCondition.IsConjunctionConnection = isConjunction;
•//Conditions have to be created via the OrderCondition.Create
PriceCondition priceCondition = (PriceCondition)OrderCondition.create(OrderConditionType.Price);
//When this contract...
priceCondition.conId(conId);
//traded on this exchange
priceCondition.exchange(exchange);
//has a price above/below
priceCondition.isMore(isMore);
//this quantity
priceCondition.price(price);
//AND | OR next condition (will be ignored if no more conditions are added)
priceCondition.conjunctionConnection(isConjunction);
•’Conditions have to be created via the OrderCondition.Create
Dim _priceCondition As PriceCondition = OrderCondition.Create(OrderConditionType.Price) ’cast
to priceCondition
’When this contract...
_priceCondition.ConId = conId
’traded on this exchange
_priceCondition.Exchange = exchange
’has a price above/below
_priceCondition.IsMore = isMore
’this quantity
_priceCondition.Price = price
’And | Or next condition (will be ignored if no more conditions are added)
_priceCondition.IsConjunctionConnection = isConjunction
•//Conditions have to be created via the OrderCondition.Create
PriceCondition*priceCondition = dynamic_cast<PriceCondition *>(OrderCondition::create(
OrderCondition::OrderConditionType::Price));
//When this contract...
priceCondition->conId(conId);
//traded on this exchange
priceCondition->exchange(exchange);
//has a price above/below
priceCondition->isMore(isMore);
//this quantity
priceCondition->price(price);
//AND | OR next condition (will be ignored if no more conditions are added)
priceCondition->conjunctionConnection(isConjunction);
•#Conditions have to be created via the OrderCondition.create
priceCondition = order_condition.Create(OrderCondition.Price)
#When this contract...
priceCondition.conId = conId
#traded on this exchange
priceCondition.exchange = exchange
#has a price above/below
priceCondition.isMore = isMore
priceCondition.triggerMethod = triggerMethod
#this quantity
priceCondition.price = price
#AND | OR next condition (will be ignored if no more conditions are added)
priceCondition.isConjunctionConnection = isConjunction
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10.2 Available Orders 127
10.2.7.0.2 Execution Conditions
•ExecutionCondition execCondition = (ExecutionCondition)OrderCondition.Create(OrderConditionType
.Execution);
//When an execution on symbol
execCondition.Symbol = symbol;
//at exchange
execCondition.Exchange = exchange;
//for this secType
execCondition.SecType = secType;
//AND | OR next condition (will be ignored if no more conditions are added)
execCondition.IsConjunctionConnection = isConjunction;
•ExecutionCondition execCondition = (ExecutionCondition)OrderCondition.create(OrderConditionType.
Execution);
//When an execution on symbol
execCondition.symbol(symbol);
//at exchange
execCondition.exchange(exchange);
//for this secType
execCondition.secType(secType);
//AND | OR next condition (will be ignored if no more conditions are added)
execCondition.conjunctionConnection(isConjunction);
•Dim execCondition As ExecutionCondition = OrderCondition.Create(OrderConditionType.Execution) ’
cast to (ExecutionCondition)
’When an execution on symbol
execCondition.Symbol = symbol
’at exchange
execCondition.Exchange = exchange
’for this secType
execCondition.SecType = secType
’And | Or next condition (will be ignored if no more conditions are added)
execCondition.IsConjunctionConnection = isConjunction
•ExecutionCondition*execCondition = dynamic_cast<ExecutionCondition *>(OrderCondition::create(
OrderCondition::OrderConditionType::Execution));
//When an execution on symbol
execCondition->symbol(symbol);
//at exchange
execCondition->exchange(exchange);
//for this secType
execCondition->secType(secType);
//AND | OR next condition (will be ignored if no more conditions are added)
execCondition->conjunctionConnection(isConjunction);
•execCondition = order_condition.Create(OrderCondition.Execution)
#When an execution on symbol
execCondition.symbol = symbol
#at exchange
execCondition.exchange = exchange
#for this secType
execCondition.secType = secType
#AND | OR next condition (will be ignored if no more conditions are added)
execCondition.isConjunctionConnection = isConjunction
10.2.7.0.3 Margin Conditions
•MarginCondition marginCondition = (MarginCondition)OrderCondition.Create(OrderConditionType.
Margin);
//If margin is above/below
marginCondition.IsMore = isMore;
//given percent
marginCondition.Percent = percent;
//AND | OR next condition (will be ignored if no more conditions are added)
marginCondition.IsConjunctionConnection = isConjunction;
•MarginCondition marginCondition = (MarginCondition)OrderCondition.create(OrderConditionType.Margin)
;
//If margin is above/below
marginCondition.isMore(isMore);
//given percent
marginCondition.percent(percent);
//AND | OR next condition (will be ignored if no more conditions are added)
marginCondition.conjunctionConnection(isConjunction);
•Dim _MarginCondition As MarginCondition = OrderCondition.Create(OrderConditionType.Margin) ’
cast to (MarginCondition)
’If margin Is above/below
_MarginCondition.IsMore = isMore
’given percent
_MarginCondition.Percent = percent
’And | Or next condition (will be ignored if no more conditions are added)
_MarginCondition.IsConjunctionConnection = isConjunction
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128 Orders
•MarginCondition*marginCondition = dynamic_cast<MarginCondition *>(OrderCondition::create(
OrderCondition::OrderConditionType::Margin));
//If margin is above/below
marginCondition->percent(percent);
//given percent
marginCondition->isMore(isMore);
//AND | OR next condition (will be ignored if no more conditions are added)
marginCondition->conjunctionConnection(isConjunction);
•marginCondition = order_condition.Create(OrderCondition.Margin)
#If margin is above/below
marginCondition.isMore = isMore
#given percent
marginCondition.percent = percent
#AND | OR next condition (will be ignored if no more conditions are added)
marginCondition.isConjunctionConnection = isConjunction
10.2.7.0.4 Percentage Conditions
•PercentChangeCondition pctChangeCondition = (PercentChangeCondition)OrderCondition.Create(
OrderConditionType.PercentCange);
//If there is a price percent change measured against last close price above or below...
pctChangeCondition.IsMore = isMore;
//this amount...
pctChangeCondition.ChangePercent = pctChange;
//on this contract
pctChangeCondition.ConId = conId;
//when traded on this exchange...
pctChangeCondition.Exchange = exchange;
//AND | OR next condition (will be ignored if no more conditions are added)
pctChangeCondition.IsConjunctionConnection = isConjunction;
•PercentChangeCondition pctChangeCondition = (PercentChangeCondition)OrderCondition.create(
OrderConditionType.PercentChange);
//If there is a price percent change measured against last close price above or below...
pctChangeCondition.isMore(isMore);
//this amount...
pctChangeCondition.changePercent(pctChange);
//on this contract
pctChangeCondition.conId(conId);
//when traded on this exchange...
pctChangeCondition.exchange(exchange);
//AND | OR next condition (will be ignored if no more conditions are added)
pctChangeCondition.conjunctionConnection(isConjunction);
•Dim pctChangeCondition As PercentChangeCondition =
OrderCondition.Create(OrderConditionType.PercentCange) ’cast (PercentChangeCondition)
’If there Is a price percent change measured against last close price above Or below...
pctChangeCondition.IsMore = isMore
’this amount...
pctChangeCondition.ChangePercent = pctChange
’on this contract
pctChangeCondition.ConId = conId
’when traded on this exchange...
pctChangeCondition.Exchange = exchange
’And | Or next condition (will be ignored if no more conditions are added)
pctChangeCondition.IsConjunctionConnection = isConjunction
•PercentChangeCondition*pctChangeCondition = dynamic_cast<PercentChangeCondition *>(
OrderCondition::create(OrderCondition::OrderConditionType::PercentChange));
//If there is a price percent change measured against last close price above or below...
pctChangeCondition->isMore(isMore);
//this amount...
pctChangeCondition->changePercent(pctChange);
//on this contract
pctChangeCondition->conId(conId);
//when traded on this exchange...
pctChangeCondition->exchange(exchange);
//AND | OR next condition (will be ignored if no more conditions are added)
pctChangeCondition->conjunctionConnection(isConjunction);
•pctChangeCondition = order_condition.Create(OrderCondition.PercentChange)
#If there is a price percent change measured against last close price above or below...
pctChangeCondition.isMore = isMore
#this amount...
pctChangeCondition.changePercent = pctChange
#on this contract
pctChangeCondition.conId = conId
#when traded on this exchange...
pctChangeCondition.exchange = exchange
#AND | OR next condition (will be ignored if no more conditions are added)
pctChangeCondition.isConjunctionConnection = isConjunction
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10.2 Available Orders 129
10.2.7.0.5 Time Conditions
•TimeCondition timeCondition = (TimeCondition)OrderCondition.Create(OrderConditionType.Time);
//Before or after...
timeCondition.IsMore = isMore;
//this time..
timeCondition.Time = time;
//AND | OR next condition (will be ignored if no more conditions are added)
timeCondition.IsConjunctionConnection = isConjunction;
•TimeCondition timeCondition = (TimeCondition)OrderCondition.create(OrderConditionType.Time);
//Before or after...
timeCondition.isMore(isMore);
//this time...
timeCondition.time(time);
//AND | OR next condition (will be ignored if no more conditions are added)
timeCondition.conjunctionConnection(isConjunction);
•Dim _TimeCondition As TimeCondition = OrderCondition.Create(OrderConditionType.Time) ’cast
(timeCondition)
’Before Or after...
_TimeCondition.IsMore = isMore
’this time..
_TimeCondition.Time = time
’And | Or next condition (will be ignored if no more conditions are added)
_TimeCondition.IsConjunctionConnection = isConjunction
•TimeCondition*timeCondition = dynamic_cast<TimeCondition *>(OrderCondition::create(
OrderCondition::OrderConditionType::Time));
//Before or after...
timeCondition->isMore(isMore);
//this time..
timeCondition->time(time);
//AND | OR next condition (will be ignored if no more conditions are added)
timeCondition->conjunctionConnection(isConjunction);
•timeCondition = order_condition.Create(OrderCondition.Time)
#Before or after...
timeCondition.isMore = isMore
#this time..
timeCondition.time = time
#AND | OR next condition (will be ignored if no more conditions are added)
timeCondition.isConjunctionConnection = isConjunction
10.2.7.0.6 Volume Conditions
•VolumeCondition volCond = (VolumeCondition)OrderCondition.Create(OrderConditionType.Volume);
//Whenever contract...
volCond.ConId = conId;
//When traded at
volCond.Exchange = exchange;
//reaches a volume higher/lower
volCond.IsMore = isMore;
//than this...
volCond.Volume = volume;
//AND | OR next condition (will be ignored if no more conditions are added)
volCond.IsConjunctionConnection = isConjunction;
•VolumeCondition volCon = (VolumeCondition)OrderCondition.create(OrderConditionType.Volume);
//Whenever contract...
volCon.conId(conId);
//When traded at
volCon.exchange(exchange);
//reaches a volume higher/lower
volCon.isMore(isMore);
//than this...
volCon.volume(volume);
//AND | OR next condition (will be ignored if no more conditions are added)
volCon.conjunctionConnection(isConjunction);
•Dim volCond As VolumeCondition = OrderCondition.Create(OrderConditionType.Volume) ’cast
(VolumeCondition)
’Whenever contract...
volCond.ConId = conId
’When traded at
volCond.Exchange = exchange
’reaches a volume higher/lower
volCond.IsMore = isMore
’than this...
volCond.Volume = volume
’And | Or next condition (will be ignored if no more conditions are added)
volCond.IsConjunctionConnection = isConjunction
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130 Orders
•VolumeCondition*volCondition = dynamic_cast<VolumeCondition *>(OrderCondition::create(
OrderCondition::OrderConditionType::Volume));
//Whenever contract...
volCondition->conId(conId);
//When traded at
volCondition->exchange(exchange);
//reaches a volume higher/lower
volCondition->isMore(isMore);
//than this...
volCondition->volume(volume);
//AND | OR next condition (will be ignored if no more conditions are added)
volCondition->conjunctionConnection(isConjunction);
•volCond = order_condition.Create(OrderCondition.Volume)
#Whenever contract...
volCond.conId = conId
#When traded at
volCond.exchange = exchange
#reaches a volume higher/lower
volCond.isMore = isMore
#than this...
volCond.volume = volume
#AND | OR next condition (will be ignored if no more conditions are added)
volCond.isConjunctionConnection = isConjunction
10.2.8 Algorithms
Order behaviour can be further enhanced through Interactive Broker's powerful algorithmic strategies. To make use
of our variety of algorithms make use of IBApi.Order.AlgoStrategy and IBApi.Order.AlgoParams attributes.
•IB Algorithms
•CSFB Algorithms
•Jefferies Algorithms
10.2.9 IB Algorithms
10.2.9.0.0.1 Adaptive Algo
The Adaptive Algo combines IB's Smartrouting capabilities with user-defined priority settings in an effort to
achieve further cost efficiency at the point of execution. Using the Adaptive algo leads to better execution prices on
average than for regular limit or market orders.
Parameter Description Values
adaptivePriority The 'Priority' selector determines the time taken to scan for
better execution prices. The 'Urgent' setting scans only briefly,
while the 'Patient' scan works more slowly and has a higher
chance of achieving a better overall fill for your order.
Urgent >Normal >Patient
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
Generated by Doxygen
10.2 Available Orders 131
...
AvailableAlgoParams.FillAdaptiveParams(baseOrder, "Normal");
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillAdaptiveParams(Order baseOrder, string priority)
{
baseOrder.AlgoStrategy = "Adaptive";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("adaptivePriority", priority));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillAdaptiveParams(baseOrder, "Normal");
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillAdaptiveParams(Order baseOrder, String priority) {
baseOrder.algoStrategy("Adaptive");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("adaptivePriority", priority));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillAdaptiveParams(baseOrder, "Normal")
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillAdaptiveParams(baseOrder As Order, priority As String)
baseOrder.AlgoStrategy = "Adaptive"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("adaptivePriority", priority))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillAdaptiveParams(baseOrder, "Normal");
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillAdaptiveParams(Order& baseOrder, std::string priority){
baseOrder.algoStrategy = "Adaptive";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("adaptivePriority", priority));
baseOrder.algoParams->push_back(tag1);
}
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillAdaptiveParams(baseOrder, "Normal")
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
...
@staticmethod
def FillAdaptiveParams(baseOrder: Order, priority: str):
baseOrder.algoStrategy = "Adaptive"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("adaptivePriority", priority))
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132 Orders
10.2.9.0.0.2 ArrivalPrice
The Arrival Price algorithmic order type will attempt to achieve, over the course of the order, the bid/ask
midpoint at the time the order is submitted. The Arrival Price algo is designed to keep hidden orders that will impact
a high percentage of the average daily volume (ADV). The pace of execution is determined by the user-assigned
level of risk aversion and the user-defined target percent of average daily volume. How quickly the order is submitted
during the day is determined by the level of urgency: the higher the urgency the faster it will execute but will expose
it to a greater market impact. Market impact can be lessened by assigning lesser urgency, which is likely to lengthen
the duration of the order. The user can set the max percent of ADV from 1 to 50%. The order entry screen allows
the user to determine when the order will start and end regardless of whether or not the full amount of the order has
been filled. By checking the box marked Allow trading past end time the algo will continue to work past the specified
end time in an effort to fill the remaining portion of the order.
Parameter Description Values
maxPctVol Maximum percentage of ADV 0.1 (10%) - 0.5 (50%)
riskAversion Urgency/risk aversion Get Done, Aggressive, Neutral, Passive
startTime Algorithm starting time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
endTime Algorithm ending time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
allowPastEndTime Allow trading past end time 1 (true) or 0 (false)
forceCompletion Attempt completion by the end of the day 1 (true) or 0 (false)
monetaryValue Cash Quantity
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillArrivalPriceParams(baseOrder, 0.1, "Aggressive","09:00:00 CET","
16:00:00 CET",true,true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillArrivalPriceParams(Order baseOrder, double maxPctVol, string riskAversion,
string startTime, string endTime,
bool forceCompletion, bool allowPastTime, double monetaryValue)
{
baseOrder.AlgoStrategy = "ArrivalPx";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("maxPctVol", maxPctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("riskAversion", riskAversion));
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
baseOrder.AlgoParams.Add(new TagValue("forceCompletion", forceCompletion ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("allowPastEndTime", allowPastTime ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("monetaryValue", monetaryValue.ToString()));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillArrivalPriceParams(baseOrder, 0.1, "Aggressive","09:00:00 CET","16:00:00
CET",true,true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
Generated by Doxygen
10.2 Available Orders 133
public static void FillArrivalPriceParams(Order baseOrder, double maxPctVol, String riskAversion,
String startTime,
String endTime, boolean forceCompletion, boolean allowPastTime, double monetaryValue) {
baseOrder.algoStrategy("ArrivalPx");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("maxPctVol", String.valueOf(maxPctVol)));
baseOrder.algoParams().add(new TagValue("riskAversion", riskAversion));
baseOrder.algoParams().add(new TagValue("startTime", startTime));
baseOrder.algoParams().add(new TagValue("endTime", endTime));
baseOrder.algoParams().add(new TagValue("forceCompletion", forceCompletion ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("allowPastEndTime", allowPastTime ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("monetaryValue", String.valueOf(monetaryValue)));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillArrivalPriceParams(baseOrder, 0.10000000000000001, "Aggressive", "09:00:00
CET", "16:00:00 CET", True, True, 100000)
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillArrivalPriceParams(baseOrder As Order, maxPctVol As Double, riskAversion As
String, startTime As String, endTime As String,
forceCompletion As Boolean, allowPastTime As Boolean, monetaryValue As Double)
baseOrder.AlgoStrategy = "ArrivalPx"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("maxPctVol", maxPctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("riskAversion", riskAversion))
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
baseOrder.AlgoParams.Add(New TagValue("forceCompletion", BooleantoString(forceCompletion)))
baseOrder.AlgoParams.Add(New TagValue("allowPastEndTime", BooleantoString(allowPastTime)))
baseOrder.AlgoParams.Add(New TagValue("monetaryValue", monetaryValue.ToString()))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillArrivalPriceParams(baseOrder, 0.1, "Aggressive","09:00:00 CET","16:00:00 CET
",true,true, 100000);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillArrivalPriceParams(Order& baseOrder, double maxPctVol, std::string
riskAversion, std::string startTime, std::string endTime,
bool forceCompletion, bool allowPastTime, double monetaryValue){
baseOrder.algoStrategy = "ArrivalPx";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("maxPctVol", std::to_string(maxPctVol)));
TagValueSPtr tag2(new TagValue("riskAversion", riskAversion));
TagValueSPtr tag3(new TagValue("startTime", startTime));
TagValueSPtr tag4(new TagValue("endTime", endTime));
TagValueSPtr tag5(new TagValue("forceCompletion", forceCompletion ? "1" :"0"));
TagValueSPtr tag6(new TagValue("allowPastEndTime", allowPastTime ? "1" :"0"));
TagValueSPtr tag7(new TagValue("monetaryValue", std::to_string(monetaryValue)));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
baseOrder.algoParams->push_back(tag6);
baseOrder.algoParams->push_back(tag7);
}
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillArrivalPriceParams(baseOrder, 0.1,
"Aggressive","09:00:00 CET","16:00:00 CET",True,True
, 100000)
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
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134 Orders
...
@staticmethod
def FillArrivalPriceParams(baseOrder: Order, maxPctVol: float,
riskAversion: str, startTime: str, endTime: str,
forceCompletion: bool, allowPastTime: bool,
monetaryValue: float):
baseOrder.algoStrategy = "ArrivalPx"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("maxPctVol", maxPctVol))
baseOrder.algoParams.append(TagValue("riskAversion", riskAversion))
baseOrder.algoParams.append(TagValue("startTime", startTime))
baseOrder.algoParams.append(TagValue("endTime", endTime))
baseOrder.algoParams.append(TagValue("forceCompletion",
int(forceCompletion)))
baseOrder.algoParams.append(TagValue("allowPastEndTime",
int(allowPastTime)))
baseOrder.algoParams.append(TagValue("monetaryValue", monetaryValue))
10.2.9.0.0.3 Close Price
Investors submitting market or limit orders into the closing auction may adversely affect the closing price, especially
when the size of the order is large relative to the average close auction volume. In order to help investors attempting
to execute towards the end of the trading session we have developed the Close Price algo Strategy. This algo
breaks down large order amounts and determines the timing of order entry so that it will continuously execute in
order to minimize slippage. The start and pace of execution are determined by the user who assigns a level of
market risk and specifies the target percentage of volume, while the algo considers the prior volatility of the stock.
Parameter Description Values
maxPctVol Maximum percentage of ADV 0.1 (10%) - 0.5 (50%)
riskAversion Urgency/risk aversion Get Done, Aggressive, Neutral, Passive
startTime Algorithm starting time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
forceCompletion Attempt completion by the end of the day 1 (true) or 0 (false)
monetaryValue Cash Quantity
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillClosePriceParams(baseOrder, 0.5, "Neutral","12:00:00 EST",true, 10000
0);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillClosePriceParams(Order baseOrder, double maxPctVol, string riskAversion,
string startTime,
bool forceCompletion, double monetaryValue)
{
baseOrder.AlgoStrategy = "ClosePx";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("maxPctVol", maxPctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("riskAversion", riskAversion));
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("forceCompletion", forceCompletion ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("monetaryValue", monetaryValue.ToString()));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
Generated by Doxygen
10.2 Available Orders 135
AvailableAlgoParams.FillClosePriceParams(baseOrder, 0.5, "Neutral","12:00:00 EST",true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillClosePriceParams(Order baseOrder, double maxPctVol, String riskAversion, String
startTime,
boolean forceCompletion, double monetaryValue){
baseOrder.algoStrategy("ClosePx");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("maxPctVol", String.valueOf(maxPctVol)));
baseOrder.algoParams().add(new TagValue("riskAversion", riskAversion));
baseOrder.algoParams().add(new TagValue("startTime", startTime));
baseOrder.algoParams().add(new TagValue("forceCompletion", forceCompletion ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("monetaryValue", String.valueOf(monetaryValue)));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillClosePriceParams(baseOrder, 0.5, "Neutral", "12:00:00 EST", True, 100000)
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillClosePriceParams(baseOrder As Order, maxPctVol As Double, riskAversion As
String, startTime As String, forceCompletion As Boolean, monetaryValue As Double)
baseOrder.AlgoStrategy = "ClosePx"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("maxPctVol", maxPctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("riskAversion", riskAversion))
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("forceCompletion", BooleantoString(forceCompletion)))
baseOrder.AlgoParams.Add(New TagValue("monetaryValue", monetaryValue.ToString()))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillClosePriceParams(baseOrder, 0.5, "Neutral","12:00:00 EST",true, 100000);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillClosePriceParams(Order& baseOrder, double maxPctVol, std::string riskAversion
, std::string startTime, bool forceCompletion, double monetaryValue){
baseOrder.algoStrategy = "ClosePx";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("maxPctVol", std::to_string(maxPctVol)));
TagValueSPtr tag2(new TagValue("riskAversion",riskAversion));
TagValueSPtr tag3(new TagValue("startTime", startTime));
TagValueSPtr tag4(new TagValue("forceCompletion", forceCompletion ? "1" :"0"));
TagValueSPtr tag5(new TagValue("monetaryValue", std::to_string(monetaryValue)));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
}
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillClosePriceParams(baseOrder, 0.5, "Neutral",
"12:00:00 EST",True, 100000)
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
...
Generated by Doxygen
136 Orders
@staticmethod
def FillClosePriceParams(baseOrder: Order, maxPctVol: float, riskAversion: str,
startTime: str, forceCompletion: bool,
monetaryValue: float):
baseOrder.AlgoStrategy = "ClosePx"
baseOrder.AlgoParams = []
baseOrder.AlgoParams.append(TagValue("maxPctVol", maxPctVol))
baseOrder.AlgoParams.append(TagValue("riskAversion", riskAversion))
baseOrder.AlgoParams.append(TagValue("startTime", startTime))
baseOrder.AlgoParams.append(TagValue("forceCompletion", int(forceCompletion)))
baseOrder.AlgoParams.append(TagValue("monetaryValue", monetaryValue))
10.2.9.0.0.4 DarkIce
The Dark Ice order type develops the concept of privacy adopted by orders such as Iceberg or Reserve, using
a proprietary algorithm to further hide the volume displayed to the market by the order. Clients can determine the
timeframe an order remains live and have the option to allow trading past end time in the event it is unfilled by the
stated end time. In order to minimize market impact in the event of large orders, users can specify a display size to
be shown to the market different from the actual order size. Additionally, the Dark Ice algo randomizes the display
size +/- 50% based upon the probability of the price moving favorably. Further, using calculated probabilities, the
algo decides whether to place the order at the limit price or one tick lower than the current offer for buy orders and
one tick higher than the current bid for sell orders.
Parameter Description Values
displaySize Order size to be displayed
startTime Algorithm starting time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
endTime Algorithm ending time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
allowPastEndTime Allow trading past end time 1 (true) or 0 (false)
monetaryValue Cash Quantity
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillDarkIceParams(baseOrder, 10, "09:00:00 CET","16:00:00 CET",true, 1000
00);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillDarkIceParams(Order baseOrder, int displaySize, string startTime, string
endTime,
bool allowPastEndTime, double monetaryValue)
{
baseOrder.AlgoStrategy = "DarkIce";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("displaySize", displaySize.ToString()));
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
baseOrder.AlgoParams.Add(new TagValue("allowPastEndTime", allowPastEndTime ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("monetaryValue", monetaryValue.ToString()));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillDarkIceParams(baseOrder, 10, "09:00:00 CET","16:00:00 CET",true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
Generated by Doxygen
10.2 Available Orders 137
public static void FillDarkIceParams(Order baseOrder, int displaySize, String startTime, String endTime
,
boolean allowPastEndTime, double monetaryValue) {
baseOrder.algoStrategy("DarkIce");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("displaySize", String.valueOf(displaySize)));
baseOrder.algoParams().add(new TagValue("startTime", startTime));
baseOrder.algoParams().add(new TagValue("endTime", endTime));
baseOrder.algoParams().add(new TagValue("allowPastEndTime", allowPastEndTime ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("monetaryValue", String.valueOf(monetaryValue)));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillDarkIceParams(baseOrder, 10, "09:00:00 CET", "16:00:00 CET", True, 100000)
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillDarkIceParams(baseOrder As Order, displaySize As Integer, startTime As
String, endTime As String,
allowPastEndTime As Boolean, monetaryValue As Double)
baseOrder.AlgoStrategy = "DarkIce"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("displaySize", displaySize.ToString()))
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
baseOrder.AlgoParams.Add(New TagValue("allowPastEndTime", BooleantoString(allowPastEndTime)))
baseOrder.AlgoParams.Add(New TagValue("monetaryValue", monetaryValue.ToString()))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillDarkIceParams(baseOrder, 10, "09:00:00 CET","16:00:00 CET",true, 100000);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillDarkIceParams(Order& baseOrder, int displaySize, std::string startTime,
std::string endTime, bool allowPastEndTime, double monetaryValue){
baseOrder.algoStrategy = "DarkIce";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("displaySize", std::to_string(displaySize)));
TagValueSPtr tag2(new TagValue("startTime", startTime));
TagValueSPtr tag3(new TagValue("endTime", endTime));
TagValueSPtr tag4(new TagValue("allowPastEndTime", allowPastEndTime ? "1" :"0"));
TagValueSPtr tag5(new TagValue("monetaryValue", std::to_string(monetaryValue)));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
}
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillDarkIceParams(baseOrder, 10,
"09:00:00 CET","16:00:00 CET",True, 100000)
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
...
@staticmethod
def FillDarkIceParams(baseOrder: Order, displaySize: int, startTime: str,
endTime: str, allowPastEndTime: bool,
monetaryValue: float):
baseOrder.algoStrategy = "DarkIce"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("displaySize", displaySize))
baseOrder.algoParams.append(TagValue("startTime", startTime))
baseOrder.algoParams.append(TagValue("endTime", endTime))
baseOrder.algoParams.append(TagValue("allowPastEndTime",
int(allowPastEndTime)))
baseOrder.algoParams.append(TagValue("monetaryValue", monetaryValue))
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138 Orders
10.2.9.0.0.5 Accumulate/Distribute
The Accumulate/Distribute algo can help you to achieve the best price for a large volume order without
being noticed in the market, and can be set up for high frequency trading. By slicing your order into smaller
randomly-sized order increments that are released at random time intervals within a user-defined time period, the
algo allows the trading of large blocks of stock and other instruments without being detected in the market. The
algo allows limit, market, and relative order types. It is important to keep in mind the API A/D algo will not have all
available parameters of the A/D algos that can be created in TWS.
Parameter Description Values
componentSize Quantity of increment Cannot exceed initial size
timeBetweenOrders Time interval in seconds between each order
randomizeTime20 Randomise time period by +/- 20% 1 (true) or 0 (false)
randomizeSize55 Randomise size by +/- 55% 1 (true) or 0 (false)
giveUp Number associated with the clearing
catchUp Catch up in time 1 (true) or 0 (false)
waitForFill Wait for current order to fill before submitting next order 1 (true) or 0 (false)
startTime Algorithm starting time YYYYMMDD-hh:mm:ss TMZ
endTime Algorithm ending time YYYYMMDD-hh:mm:ss TMZ
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
// The Time Zone in "startTime" and "endTime" attributes is ignored and always defaulted to GMT
AvailableAlgoParams.FillAccumulateDistributeParams(baseOrder, 10, 60, true,true,1,true,true
,"20161010-12:00:00 GMT","20161010-16:00:00 GMT");
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillAccumulateDistributeParams(Order baseOrder, int componentSize, int
timeBetweenOrders, bool randomizeTime20, bool randomizeSize55,
int giveUp, bool catchUp, bool waitForFill, string startTime, string endTime)
{
baseOrder.AlgoStrategy = "AD";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("componentSize", componentSize.ToString()));
baseOrder.AlgoParams.Add(new TagValue("timeBetweenOrders", timeBetweenOrders.ToString()));
baseOrder.AlgoParams.Add(new TagValue("randomizeTime20", randomizeTime20 ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("randomizeSize55", randomizeSize55 ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("giveUp", giveUp.ToString()));
baseOrder.AlgoParams.Add(new TagValue("catchUp", catchUp ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("waitForFill", waitForFill ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
// The Time Zone in "startTime" and "endTime" attributes is ignored and always defaulted to GMT
AvailableAlgoParams.FillAccumulateDistributeParams(baseOrder, 10, 60, true,true,1,true,true,"
20161010-12:00:00 GMT","20161010-16:00:00 GMT");
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
Generated by Doxygen
10.2 Available Orders 139
public static void FillAccumulateDistributeParams(Order baseOrder, int componentSize, int
timeBetweenOrders, boolean randomizeTime20, boolean randomizeSize55,
int giveUp, boolean catchUp, boolean waitForFill, String startTime, String endTime) {
baseOrder.algoStrategy("AD");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("componentSize", String.valueOf(componentSize)));
baseOrder.algoParams().add(new TagValue("timeBetweenOrders", String.valueOf(timeBetweenOrders)));
baseOrder.algoParams().add(new TagValue("randomizeTime20", randomizeTime20 ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("randomizeSize55", randomizeSize55 ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("giveUp", String.valueOf(giveUp)));
baseOrder.algoParams().add(new TagValue("catchUp", catchUp ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("waitForFill", waitForFill ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("startTime", startTime));
baseOrder.algoParams().add(new TagValue("endTime", endTime));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
’ The Time Zone in "startTime" and "endTime" attributes is ignored and always defaulted to GMT
AvailableAlgoParams.FillAccumulateDistributeParams(baseOrder, 10, 60, True, True, 1, True, True,
"20161010-12:00:00 GMT", "20161010-16:00:00 GMT")
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillAccumulateDistributeParams(baseOrder As Order, componentSize As Integer,
timeBetweenOrders As Integer, randomizeTime20 As Boolean, randomizeSize55 As Boolean,
giveUp As Integer, catchUp As Boolean, waitForFill As Boolean, startTime As String, endTime As
String)
baseOrder.AlgoStrategy = "AD"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("componentSize", componentSize.ToString()))
baseOrder.AlgoParams.Add(New TagValue("timeBetweenOrders", timeBetweenOrders.ToString()))
baseOrder.AlgoParams.Add(New TagValue("randomizeTime20", BooleantoString(randomizeTime20)))
baseOrder.AlgoParams.Add(New TagValue("randomizeSize55", BooleantoString(randomizeSize55)))
baseOrder.AlgoParams.Add(New TagValue("giveUp", giveUp.ToString()))
baseOrder.AlgoParams.Add(New TagValue("catchUp", BooleantoString(catchUp)))
baseOrder.AlgoParams.Add(New TagValue("waitForFill", BooleantoString(waitForFill)))
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
// The Time Zone in "startTime" and "endTime" attributes is ignored and always defaulted to GMT
AvailableAlgoParams::FillAccumulateDistributeParams(baseOrder, 10, 60, true,true,1,true,true,"
20161010-12:00:00 GMT","20161010-16:00:00 GMT");
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillAccumulateDistributeParams(Order& baseOrder, int componentSize, int
timeBetweenOrders, bool randomizeTime20, bool randomizeSize55,
int giveUp, bool catchUp, bool waitForFill, std::string startTime, std::string endTime){
baseOrder.algoStrategy = "AD";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("componentSize", std::to_string(componentSize)));
TagValueSPtr tag2(new TagValue("timeBetweenOrders",std::to_string(timeBetweenOrders)));
TagValueSPtr tag3(new TagValue("randomizeTime20", randomizeTime20 ? "1" :"0"));
TagValueSPtr tag4(new TagValue("randomizeSize55", randomizeSize55 ? "1" :"0"));
TagValueSPtr tag5(new TagValue("giveUp", std::to_string(giveUp)));
TagValueSPtr tag6(new TagValue("catchUp", catchUp ? "1" :"0"));
TagValueSPtr tag7(new TagValue("waitForFill", waitForFill ? "1" :"0"));
TagValueSPtr tag8(new TagValue("startTime", startTime));
TagValueSPtr tag9(new TagValue("endTime", endTime));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
baseOrder.algoParams->push_back(tag6);
baseOrder.algoParams->push_back(tag7);
baseOrder.algoParams->push_back(tag8);
baseOrder.algoParams->push_back(tag9);
}
Generated by Doxygen
140 Orders
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
# The Time Zone in "startTime" and "endTime" attributes is ignored and always defaulted to GMT
AvailableAlgoParams.FillAccumulateDistributeParams(baseOrder, 10, 60,
True,True,1,True,True,
"20161010-12:00:00 GMT","20161010-16:00:00 GMT"
)
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
...
@staticmethod
def FillAccumulateDistributeParams(baseOrder: Order, componentSize: int,
timeBetweenOrders: int, randomizeTime20: bool, randomizeSize55: bool
,
giveUp: int, catchUp: bool, waitForFill: bool, startTime: str,
endTime: str):
baseOrder.algoStrategy = "AD"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("componentSize", componentSize))
baseOrder.algoParams.append(TagValue("timeBetweenOrders", timeBetweenOrders))
baseOrder.algoParams.append(TagValue("randomizeTime20",
int(randomizeTime20)))
baseOrder.algoParams.append(TagValue("randomizeSize55",
int(randomizeSize55)))
baseOrder.algoParams.append(TagValue("giveUp", giveUp))
baseOrder.algoParams.append(TagValue("catchUp", int(catchUp)))
baseOrder.algoParams.append(TagValue("waitForFill", int(waitForFill)))
baseOrder.algoParams.append(TagValue("startTime", startTime))
baseOrder.algoParams.append(TagValue("endTime", endTime))
10.2.9.0.0.6 Percentage of Volume
The Percent of Volume algo can limit the contribution of orders to overall average daily volume in order
to minimize impact. Clients can set a value between 1-50% to control their participation between stated start and
end times. Order quantity and volume distribution over the day is determined using the target percent of volume
you entered along with continuously updated volume forecasts calculated from TWS market data. In addition, the
algo can be set to avoid taking liquidity, which may help avoid liquidity-taker fees and could result in liquidity-adding
rebates. By checking the Attempt to never take liquidity box, the algo is discouraged from hitting the bid or lifting the
offer if possible. However, this may also result in greater deviations from the benchmark, and in partial fills, since
the posted bid/offer may not always get hit as the price moves up/down. IB will use best efforts not to take liquidity
when this box is checked, however, there will be times that it cannot be avoided.
Parameter Description Values
pctVol Target Percentage 0.1 (10%) - 0.5 (50%)
startTime Algorithm starting time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
endTime Algorithm ending time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
noTakeLiq Attempt to never take liquidity 1 (true) or 0 (false)
monetaryValue Cash Quantity
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillPctVolParams(baseOrder, 0.5, "12:00:00 EST","14:00:00 EST",true, 1000
00);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
Generated by Doxygen
10.2 Available Orders 141
public static void FillPctVolParams(Order baseOrder, double pctVol, string startTime, string
endTime, bool noTakeLiq, double monetaryValue)
{
baseOrder.AlgoStrategy = "PctVol";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("pctVol", pctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
baseOrder.AlgoParams.Add(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("monetaryValue", monetaryValue.ToString()));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillPctVolParams(baseOrder, 0.5, "12:00:00 EST","14:00:00 EST",true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillPctVolParams(Order baseOrder, double pctVol, String startTime, String endTime,
boolean noTakeLiq, double monetaryValue) {
baseOrder.algoStrategy("PctVol");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("pctVol", String.valueOf(pctVol)));
baseOrder.algoParams().add(new TagValue("startTime", startTime));
baseOrder.algoParams().add(new TagValue("endTime", endTime));
baseOrder.algoParams().add(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("monetaryValue", String.valueOf(monetaryValue)));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillPctVolParams(baseOrder, 0.5, "12:00:00 EST", "14:00:00 EST", True, 100000)
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillPctVolParams(baseOrder As Order, pctVol As Double, startTime As String,
endTime As String, noTakeLiq As Boolean, monetaryValue As Double)
baseOrder.AlgoStrategy = "PctVol"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("pctVol", pctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
baseOrder.AlgoParams.Add(New TagValue("noTakeLiq", BooleantoString(noTakeLiq)))
baseOrder.AlgoParams.Add(New TagValue("monetaryValue", monetaryValue.ToString()))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillPctVolParams(baseOrder, 0.5, "12:00:00 EST","14:00:00 EST",true, 100000);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillPctVolParams(Order& baseOrder, double pctVol, std::string startTime,
std::string endTime, bool noTakeLiq, double monetaryValue){
baseOrder.algoStrategy = "PctVol";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("pctVol", std::to_string(pctVol)));
TagValueSPtr tag2(new TagValue("startTime", startTime));
TagValueSPtr tag3(new TagValue("endTime", endTime));
TagValueSPtr tag4(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
TagValueSPtr tag5(new TagValue("monetaryValue", std::to_string(monetaryValue)));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
}
Generated by Doxygen
142 Orders
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillPctVolParams(baseOrder, 0.5,
"12:00:00 EST","14:00:00 EST",True, 100000)
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
...
@staticmethod
def FillPctVolParams(baseOrder: Order, pctVol: float, startTime: str,
endTime: str, noTakeLiq: bool,
monetaryValue: float):
baseOrder.algoStrategy = "PctVol"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("pctVol", pctVol))
baseOrder.algoParams.append(TagValue("startTime", startTime))
baseOrder.algoParams.append(TagValue("endTime", endTime))
baseOrder.algoParams.append(TagValue("noTakeLiq", int(noTakeLiq)))
baseOrder.algoParams.append(TagValue("monetaryValue", monetaryValue))
10.2.9.0.0.7 TWAP
The TWAP algo aims to achieve the time-weighted average price calculated from the time you submit the order to
the time it completes. Incomplete orders at the end of the stated completion time will continue to fill if the box 'allow
trading past end time' is checked. Users can set the order to trade only when specified conditions are met. Those
user-defined inputs include when the order is marketable, when the midpoint matches the required price, when the
same side (buy or sell) matches to make the order marketable or when the last traded price would make the order
marketable. For the TWAP algo, the average price calculation is calculated from the order entry time through the
close of the market and will only attempt to execute when the criterion is met. The order may not fill throughout its
stated duration and so the order is not guaranteed. TWAP is available for all US equities.
Parameter Description Values
strategyType Trade strategy Marketable, Matching, Midpoint, Matching Same Side,
Matching Last
startTime Algorithm starting time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
endTime Algorithm ending time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
allowPastEndTime Allow trading past end time 1 (true) or 0 (false)
monetaryValue Cash Quantity
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillTwapParams(baseOrder, "Marketable","09:00:00 CET","16:00:00 CET",
true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillTwapParams(Order baseOrder, string strategyType, string startTime, string
endTime, bool allowPastEndTime, double monetaryValue)
{
baseOrder.AlgoStrategy = "Twap";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("strategyType", strategyType));
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
baseOrder.AlgoParams.Add(new TagValue("allowPastEndTime", allowPastEndTime ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("monetaryValue", monetaryValue.ToString()));
}
Generated by Doxygen
10.2 Available Orders 143
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillTwapParams(baseOrder, "Marketable","09:00:00 CET","16:00:00 CET",true, 1
00000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillTwapParams(Order baseOrder, String strategyType, String startTime, String
endTime,
boolean allowPastEndTime, double monetaryValue) {
baseOrder.algoStrategy("Twap");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("strategyType", strategyType));
baseOrder.algoParams().add(new TagValue("startTime", startTime));
baseOrder.algoParams().add(new TagValue("endTime", endTime));
baseOrder.algoParams().add(new TagValue("allowPastEndTime", allowPastEndTime ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("monetaryValue", String.valueOf(monetaryValue)));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillTwapParams(baseOrder, "Marketable", "09:00:00 CET", "16:00:00 CET", True,
100000)
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillTwapParams(baseOrder As Order, strategyType As String, startTime As String,
endTime As String,
allowPastEndTime As Boolean, monetaryValue As Double)
baseOrder.AlgoStrategy = "Twap"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("strategyType", strategyType))
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
baseOrder.AlgoParams.Add(New TagValue("allowPastEndTime", BooleantoString(allowPastEndTime)))
baseOrder.AlgoParams.Add(New TagValue("monetaryValue", monetaryValue.ToString()))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillTwapParams(baseOrder, "Marketable","09:00:00 CET","16:00:00 CET",true, 1000
00);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillTwapParams(Order& baseOrder, std::string strategyType, std::string startTime,
std::string endTime, bool allowPastEndTime, double monetaryValue){
baseOrder.algoStrategy = "Twap";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("strategyType", strategyType));
TagValueSPtr tag2(new TagValue("startTime", startTime));
TagValueSPtr tag3(new TagValue("endTime", endTime));
TagValueSPtr tag4(new TagValue("allowPastEndTime", allowPastEndTime ? "1" :"0"));
TagValueSPtr tag5(new TagValue("monetaryValue", std::to_string(monetaryValue)));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
}
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
Generated by Doxygen
144 Orders
AvailableAlgoParams.FillTwapParams(baseOrder, "Marketable",
"09:00:00 CET","16:00:00 CET",True, 100000)
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
...
@staticmethod
def FillTwapParams(baseOrder: Order, strategyType: str, startTime: str,
endTime: str, allowPastEndTime: bool,
monetaryValue: float):
baseOrder.algoStrategy = "Twap"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("strategyType", strategyType))
baseOrder.algoParams.append(TagValue("startTime", startTime))
baseOrder.algoParams.append(TagValue("endTime", endTime))
baseOrder.algoParams.append(TagValue("allowPastEndTime",
int(allowPastEndTime)))
baseOrder.algoParams.append(TagValue("monetaryValue", monetaryValue))
10.2.9.0.0.8 Price Variant Percentage of Volume Strategy
Price Variant Percentage of Volume Strategy - This algo allows you to participate in volume at
a user-defined rate that varies over time depending on the market price of the security. This algo allows you to buy
more aggressively when the price is low and be more passive as the price increases, and just the opposite for sell
orders. The order quantity and volume distribution over the time during which the order is active is determined using
the target percent of volume you entered along with continuously updated volume forecasts calculated from TWS
market data.
Parameter Description Values
pctVol Target Percentage 0.1 (10%) - 0.5 (50%)
deltaPctVol Target Percentage Change Rate 0.1 (10%) - 0.5 (50%)
minPctVol4Px Minimum Target Percentage 0.1 (10%) - 0.5 (50%)
maxPctVol4Px Maximum Target Percentage 0.1 (10%) - 0.5 (50%)
startTime Algorithm starting time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
endTime Algorithm ending time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
noTakeLiq Attempt to never take liquidity 1 (true) or 0 (false)
monetaryValue Cash Quantity
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillPriceVariantPctVolParams(baseOrder, 0.1, 0.05, 0.01, 0.2, "12:00:00 EST
","14:00:00 EST",true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillPriceVariantPctVolParams(Order baseOrder, double pctVol, double deltaPctVol,
double minPctVol4Px,
double maxPctVol4Px, String startTime, String endTime, bool noTakeLiq, double monetaryValue)
{
baseOrder.AlgoStrategy = "PctVolPx";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("pctVol", pctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("deltaPctVol", deltaPctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("minPctVol4Px", minPctVol4Px.ToString()));
baseOrder.AlgoParams.Add(new TagValue("maxPctVol4Px", maxPctVol4Px.ToString()));
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
baseOrder.AlgoParams.Add(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("monetaryValue", monetaryValue.ToString()));
}
Generated by Doxygen
10.2 Available Orders 145
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillPriceVariantPctVolParams(baseOrder, 0.1, 0.05, 0.01, 0.2, "12:00:00 EST","
14:00:00 EST",true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillPriceVariantPctVolParams(Order baseOrder, double pctVol, double deltaPctVol,
double minPctVol4Px,
double maxPctVol4Px, String startTime, String endTime, boolean noTakeLiq, double monetaryValue)
{
baseOrder.algoStrategy("PctVolPx");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("pctVol", String.valueOf(pctVol)));
baseOrder.algoParams().add(new TagValue("deltaPctVol", String.valueOf(deltaPctVol)));
baseOrder.algoParams().add(new TagValue("minPctVol4Px", String.valueOf(minPctVol4Px)));
baseOrder.algoParams().add(new TagValue("maxPctVol4Px", String.valueOf(maxPctVol4Px)));
baseOrder.algoParams().add(new TagValue("startTime", startTime));
baseOrder.algoParams().add(new TagValue("endTime", endTime));
baseOrder.algoParams().add(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("monetaryValue", String.valueOf(monetaryValue)));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillPriceVariantPctVolParams(baseOrder, 0.10000000000000001,
0.050000000000000003, 0.01, 0.20000000000000001, "12:00:00 EST", "14:00:00 EST", True, 100000)
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillPriceVariantPctVolParams(baseOrder As Order, pctVol As Double, deltaPctVol As
Double, minPctVol4Px As Double,
maxPctVol4Px As Double, startTime As String, endTime As String, noTakeLiq As Boolean,
monetaryValue As Double)
baseOrder.AlgoStrategy = "PctVolPx"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("pctVol", pctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("deltaPctVol", deltaPctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("minPctVol4Px", minPctVol4Px.ToString()))
baseOrder.AlgoParams.Add(New TagValue("maxPctVol4Px", maxPctVol4Px.ToString()))
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
baseOrder.AlgoParams.Add(New TagValue("noTakeLiq", BooleantoString(noTakeLiq)))
baseOrder.AlgoParams.Add(New TagValue("monetaryValue", monetaryValue.ToString()))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillPriceVariantPctVolParams(baseOrder, 0.1, 0.05, 0.01, 0.2, "12:00:00 EST","
14:00:00 EST",true, 100000);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillPriceVariantPctVolParams(Order baseOrder, double pctVol, double deltaPctVol,
double minPctVol4Px,
double maxPctVol4Px, std::string startTime,
std::string endTime, bool noTakeLiq, double monetaryValue){
baseOrder.algoStrategy = "PctVolPx";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("pctVol", std::to_string(pctVol)));
TagValueSPtr tag2(new TagValue("deltaPctVol", std::to_string(deltaPctVol)));
TagValueSPtr tag3(new TagValue("minPctVol4Px", std::to_string(minPctVol4Px)));
TagValueSPtr tag4(new TagValue("maxPctVol4Px", std::to_string(maxPctVol4Px)));
TagValueSPtr tag5(new TagValue("startTime", startTime));
TagValueSPtr tag6(new TagValue("endTime", endTime));
TagValueSPtr tag7(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
TagValueSPtr tag8(new TagValue("monetaryValue", std::to_string(monetaryValue)));
Generated by Doxygen
146 Orders
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
baseOrder.algoParams->push_back(tag6);
baseOrder.algoParams->push_back(tag7);
baseOrder.algoParams->push_back(tag8);
}
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillPriceVariantPctVolParams(baseOrder,
0.1, 0.05, 0.01, 0.2, "12:00:00 EST","14:00:00
EST",True,
100000)
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
...
@staticmethod
def FillPriceVariantPctVolParams(baseOrder: Order, pctVol: float,
deltaPctVol: float, minPctVol4Px: float,
maxPctVol4Px: float, startTime: str,
endTime: str, noTakeLiq: bool,
monetaryValue: float):
baseOrder.AlgoStrategy = "PctVolPx"
baseOrder.AlgoParams = []
baseOrder.AlgoParams.append(TagValue("pctVol", pctVol))
baseOrder.AlgoParams.append(TagValue("deltaPctVol", deltaPctVol))
baseOrder.AlgoParams.append(TagValue("minPctVol4Px", minPctVol4Px))
baseOrder.AlgoParams.append(TagValue("maxPctVol4Px", maxPctVol4Px))
baseOrder.AlgoParams.append(TagValue("startTime", startTime))
baseOrder.AlgoParams.append(TagValue("endTime", endTime))
baseOrder.AlgoParams.append(TagValue("noTakeLiq", int(noTakeLiq)))
baseOrder.AlgoParams.append(TagValue("monetaryValue", monetaryValue))
10.2.9.0.0.9 Size Variant Percentage of Volume Strategy
Size Variant Percentage of Volume Strategy - This algo allows you to participate in volume at a
user-defined rate that varies over time depending on the remaining size of the order. Define the target percent rate
at the start time (Initial Participation Rate) and at the end time (Terminal Participation Rate), and the algo calculates
the participation rate over time between the two based on the remaining order size. This allows the order to be more
aggressive initially and less aggressive toward the end, or vice versa.
Parameter Description Values
startPctVol Initial Target Percentage 0.1 (10%) - 0.5 (50%)
endPctVol Terminal Target Percentage 0.1 (10%) - 0.5 (50%)
startTime Algorithm starting time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
endTime Algorithm ending time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
noTakeLiq Attempt to never take liquidity 1 (true) or 0 (false)
monetaryValue Cash Quantity
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillSizeVariantPctVolParams(baseOrder, 0.2, 0.4, "12:00:00 EST","14:00:00
EST",true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
Generated by Doxygen
10.2 Available Orders 147
...
public static void FillSizeVariantPctVolParams(Order baseOrder, double startPctVol, double
endPctVol,
String startTime, String endTime, bool noTakeLiq, double monetaryValue)
{
baseOrder.AlgoStrategy = "PctVolSz";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("startPctVol", startPctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("endPctVol", endPctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
baseOrder.AlgoParams.Add(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("monetaryValue", monetaryValue.ToString()));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillSizeVariantPctVolParams(baseOrder, 0.2, 0.4, "12:00:00 EST","14:00:00 EST"
,true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillSizeVariantPctVolParams(Order baseOrder, double startPctVol, double endPctVol,
String startTime, String endTime, boolean noTakeLiq, double monetaryValue){
baseOrder.algoStrategy("PctVolSz");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("startPctVol", String.valueOf(startPctVol)));
baseOrder.algoParams().add(new TagValue("endPctVol", String.valueOf(endPctVol)));
baseOrder.algoParams().add(new TagValue("startTime", startTime));
baseOrder.algoParams().add(new TagValue("endTime", endTime));
baseOrder.algoParams().add(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("monetaryValue", String.valueOf(monetaryValue)));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillSizeVariantPctVolParams(baseOrder, 0.20000000000000001,
0.40000000000000002, "12:00:00 EST", "14:00:00 EST", True, 100000)
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillSizeVariantPctVolParams(baseOrder As Order, startPctVol As Double, endPctVol
As Double,
startTime As String, endTime As String, noTakeLiq As Boolean, monetaryValue As Double)
baseOrder.AlgoStrategy = "PctVolSz"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("startPctVol", startPctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("endPctVol", endPctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
baseOrder.AlgoParams.Add(New TagValue("noTakeLiq", BooleantoString(noTakeLiq)))
baseOrder.AlgoParams.Add(New TagValue("monetaryValue", monetaryValue.ToString()))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillSizeVariantPctVolParams(baseOrder, 0.2, 0.4, "12:00:00 EST","14:00:00 EST",
true, 100000);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
Generated by Doxygen
148 Orders
void AvailableAlgoParams::FillSizeVariantPctVolParams(Order baseOrder, double startPctVol, double endPctVol
,
std::string startTime, std::string endTime, bool noTakeLiq, double
monetaryValue){
baseOrder.algoStrategy = "PctVolSz";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("startPctVol", std::to_string(startPctVol)));
TagValueSPtr tag2(new TagValue("endPctVol", std::to_string(endPctVol)));
TagValueSPtr tag3(new TagValue("startTime", startTime));
TagValueSPtr tag4(new TagValue("endTime", endTime));
TagValueSPtr tag5(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
TagValueSPtr tag6(new TagValue("monetaryValue", std::to_string(monetaryValue)));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
baseOrder.algoParams->push_back(tag6);
}
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillSizeVariantPctVolParams(baseOrder,
0.2, 0.4, "12:00:00 EST","14:00:00 EST",True, 100
000)
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
...
@staticmethod
def FillSizeVariantPctVolParams(baseOrder: Order, startPctVol: float,
endPctVol: float, startTime: str,
endTime: str, noTakeLiq: bool,
monetaryValue: float):
baseOrder.AlgoStrategy = "PctVolSz"
baseOrder.AlgoParams = []
baseOrder.AlgoParams.append(TagValue("startPctVol", startPctVol))
baseOrder.AlgoParams.append(TagValue("endPctVol", endPctVol))
baseOrder.AlgoParams.append(TagValue("startTime", startTime))
baseOrder.AlgoParams.append(TagValue("endTime", endTime))
baseOrder.AlgoParams.append(TagValue("noTakeLiq", int(noTakeLiq)))
baseOrder.AlgoParams.append(TagValue("monetaryValue", monetaryValue))
10.2.9.0.0.10 Time Variant Percentage of Volume Strategy
Time Variant Percentage of Volume Strategy - This algo allows you to participate in volume at a
user-defined rate that varies with time. Define the target percent rate at the start time and at the end time, and the
algo calculates the participation rate over time between the two. This allows the order to be more aggressive initially
and less aggressive toward the end, or vice versa.
Parameter Description Values
startPctVol Initial Target Percentage 0.1 (10%) - 0.5 (50%)
endPctVol Terminal Target Percentage 0.1 (10%) - 0.5 (50%)
startTime Algorithm starting time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
endTime Algorithm ending time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss TMZ
noTakeLiq Attempt to never take liquidity 1 (true) or 0 (false)
monetaryValue Cash Quantity
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
Generated by Doxygen
10.2 Available Orders 149
AvailableAlgoParams.FillTimeVariantPctVolParams(baseOrder, 0.2, 0.4, "12:00:00 EST","14:00:00
EST",true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillTimeVariantPctVolParams(Order baseOrder, double startPctVol, double
endPctVol,
String startTime, String endTime, bool noTakeLiq, double monetaryValue)
{
baseOrder.AlgoStrategy = "PctVolTm";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("startPctVol", startPctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("endPctVol", endPctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
baseOrder.AlgoParams.Add(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("monetaryValue", monetaryValue.ToString()));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillTimeVariantPctVolParams(baseOrder, 0.2, 0.4, "12:00:00 EST","14:00:00 EST"
,true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillTimeVariantPctVolParams(Order baseOrder, double startPctVol, double endPctVol,
String startTime, String endTime, boolean noTakeLiq, double monetaryValue){
baseOrder.algoStrategy("PctVolTm");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("startPctVol", String.valueOf(startPctVol)));
baseOrder.algoParams().add(new TagValue("endPctVol", String.valueOf(endPctVol)));
baseOrder.algoParams().add(new TagValue("startTime", startTime));
baseOrder.algoParams().add(new TagValue("endTime", endTime));
baseOrder.algoParams().add(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("monetaryValue", String.valueOf(monetaryValue)));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillTimeVariantPctVolParams(baseOrder, 0.20000000000000001,
0.40000000000000002, "12:00:00 EST", "14:00:00 EST", True, 100000)
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillTimeVariantPctVolParams(baseOrder As Order, startPctVol As Double, endPctVol
As Double,
startTime As String, endTime As String, noTakeLiq As Boolean, monetaryValue As Double)
baseOrder.AlgoStrategy = "PctVolTm"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("startPctVol", startPctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("endPctVol", endPctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
baseOrder.AlgoParams.Add(New TagValue("noTakeLiq", BooleantoString(noTakeLiq)))
baseOrder.AlgoParams.Add(New TagValue("monetaryValue", monetaryValue.ToString()))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillTimeVariantPctVolParams(baseOrder, 0.2, 0.4, "12:00:00 EST","14:00:00 EST",
true, 100000);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
Generated by Doxygen
150 Orders
void AvailableAlgoParams::FillTimeVariantPctVolParams(Order baseOrder, double startPctVol, double endPctVol
, std::string startTime,
std::string endTime, bool noTakeLiq, double monetaryValue){
baseOrder.algoStrategy = "PctVolTm";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("startPctVol", std::to_string(startPctVol)));
TagValueSPtr tag2(new TagValue("endPctVol", std::to_string(endPctVol)));
TagValueSPtr tag3(new TagValue("startTime", startTime));
TagValueSPtr tag4(new TagValue("endTime", endTime));
TagValueSPtr tag5(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
TagValueSPtr tag6(new TagValue("monetaryValue", std::to_string(monetaryValue)));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
baseOrder.algoParams->push_back(tag6);
}
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillTimeVariantPctVolParams(baseOrder,
0.2, 0.4, "12:00:00 EST","14:00:00 EST",True, 100
000)
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
...
@staticmethod
def FillTimeVariantPctVolParams(baseOrder: Order, startPctVol: float,
endPctVol: float, startTime: str,
endTime: str, noTakeLiq: bool,
monetaryValue: float):
baseOrder.AlgoStrategy = "PctVolTm"
baseOrder.AlgoParams = []
baseOrder.AlgoParams.append(TagValue("startPctVol", startPctVol))
baseOrder.AlgoParams.append(TagValue("endPctVol", endPctVol))
baseOrder.AlgoParams.append(TagValue("startTime", startTime))
baseOrder.AlgoParams.append(TagValue("endTime", endTime))
baseOrder.AlgoParams.append(TagValue("noTakeLiq", int(noTakeLiq)))
baseOrder.AlgoParams.append(TagValue("monetaryValue", monetaryValue))
10.2.9.0.0.11 VWAP
IB's best-efforts VWAP algo seeks to achieve the Volume-Weighted Average price (VWAP), calculated from the time
you submit the order to the close of the market.
If you require a guaranteed VWAP, please refer to IB's Guaranteed VWAP order type.
Best-efforts VWAP algo is a lower-cost alternative to the Guaranteed VWAP that enables the user to attempt never
to take liquidity while also trading past the end time. Because the order may not be filled on the bid or at the ask
prices, there is a trade-off with this algo. The order may not fully fill if the user is attempting to avoid liquidity-taking
fees and/or maximize liquidity-adding rebates, and may miss the benchmark by asking to stay on the bid or ask.
The user can determine the maximum percentage of average daily volume (up to 50%) his order will comprise. The
system will generate the VWAP from the time the order is entered through the close of trading, and the order can
be limited to trading over a pre-determined period. The user can request the order to continue beyond its stated
end time if unfilled at the end of the stated period. The best-efforts VWAP algo is available for all US equities.
Parameter Description Values
maxPctVol Maximum percentage of average daily vol-
ume
0.1 (10%) - 0.5 (50%)
startTime Algorithm starting time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss
TMZ
endTime Algorithm ending time hh:mm:ss TMZ or YYYYMMDD-hh:mm:ss
TMZ
allowPastEndTime Allow trading past end time 1 (true) or 0 (false)
noTakeLiq Attempt to never take liquidity 1 (true) or 0 (false)
speedUp Compensate for the decreased fill rate due
to presence of limit price
1 (true) or 0 (false)
monetaryValue Cash Quantity
Generated by Doxygen
10.2 Available Orders 151
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillVwapParams(baseOrder, 0.2, "09:00:00 CET","16:00:00 CET",true,true,
true, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillVwapParams(Order baseOrder, double maxPctVol, string startTime, string
endTime,
bool allowPastEndTime, bool noTakeLiq, bool speedUp, double monetaryValue)
{
baseOrder.AlgoStrategy = "Vwap";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("maxPctVol", maxPctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
baseOrder.AlgoParams.Add(new TagValue("allowPastEndTime", allowPastEndTime ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("speedUp", speedUp ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("monetaryValue", monetaryValue.ToString()));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillVwapParams(baseOrder, 0.2, "09:00:00 CET","16:00:00 CET",true,true,true
, 100000);
client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
public static void FillVwapParams(Order baseOrder, double maxPctVol, String startTime, String endTime,
boolean allowPastEndTime, boolean noTakeLiq, boolean speedUp, double monetaryValue) {
baseOrder.algoStrategy("Vwap");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("maxPctVol", String.valueOf(maxPctVol)));
baseOrder.algoParams().add(new TagValue("startTime", startTime));
baseOrder.algoParams().add(new TagValue("endTime", endTime));
baseOrder.algoParams().add(new TagValue("allowPastEndTime", allowPastEndTime ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("speedUp", speedUp ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("monetaryValue", String.valueOf(monetaryValue)));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillVwapParams(baseOrder, 0.20000000000000001, "09:00:00 CET", "16:00:00 CET",
True, True, True, 100000)
client.placeOrder(increment(nextOrderId), ContractSamples.USStockAtSmart(), baseOrder)
...
Public Shared Sub FillVwapParams(baseOrder As Order, maxPctVol As Double, startTime As String,
endTime As String,
allowPastEndTime As Boolean, noTakeLiq As Boolean, speedUp As Boolean, monetaryValue As Double)
baseOrder.AlgoStrategy = "Vwap"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("maxPctVol", maxPctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
baseOrder.AlgoParams.Add(New TagValue("allowPastEndTime", BooleantoString(allowPastEndTime)))
baseOrder.AlgoParams.Add(New TagValue("noTakeLiq", BooleantoString(noTakeLiq)))
baseOrder.AlgoParams.Add(New TagValue("speedUp", BooleantoString(speedUp)))
baseOrder.AlgoParams.Add(New TagValue("monetaryValue", monetaryValue.ToString()))
End Sub
Generated by Doxygen
152 Orders
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillBalanceImpactRiskParams(baseOrder, 0.1, "Aggressive",true);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillVwapParams(Order& baseOrder, double maxPctVol, std::string startTime,
std::string endTime, bool allowPastEndTime, bool noTakeLiq, bool speedUp, double monetaryValue){
baseOrder.algoStrategy = "Vwap";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("maxPctVol", std::to_string(maxPctVol)));
TagValueSPtr tag2(new TagValue("startTime", startTime));
TagValueSPtr tag3(new TagValue("endTime", endTime));
TagValueSPtr tag4(new TagValue("allowPastEndTime", allowPastEndTime ? "1" :"0"));
TagValueSPtr tag5(new TagValue("noTakeLiq", noTakeLiq ? "1" :"0"));
TagValueSPtr tag6(new TagValue("speedUp", speedUp ? "1" :"0"));
TagValueSPtr tag7(new TagValue("monetaryValue", std::to_string(monetaryValue)));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
baseOrder.algoParams->push_back(tag6);
baseOrder.algoParams->push_back(tag7);
}
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillVwapParams(baseOrder, 0.2,
"09:00:00 CET","16:00:00 CET",True,True, 100000)
self.placeOrder(self.nextOrderId(), ContractSamples.USStockAtSmart(), baseOrder)
...
@staticmethod
def FillVwapParams(baseOrder: Order, maxPctVol: float, startTime: str,
endTime: str, allowPastEndTime: bool, noTakeLiq: bool,
monetaryValue: float):
baseOrder.algoStrategy = "Vwap"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("maxPctVol", maxPctVol))
baseOrder.algoParams.append(TagValue("startTime", startTime))
baseOrder.algoParams.append(TagValue("endTime", endTime))
baseOrder.algoParams.append(TagValue("allowPastEndTime",
int(allowPastEndTime)))
baseOrder.algoParams.append(TagValue("noTakeLiq", int(noTakeLiq)))
baseOrder.algoParams.append(TagValue("monetaryValue", monetaryValue))
10.2.9.0.0.12 Balance Impact Risk
The Balance Impact Risk balances the market impact of trading the option with the risk of price change over
the time horizon of the order. This strategy considers the user-assigned level of risk aversion to define the pace of
the execution, along with the user-defined target percent of volume.
Parameter Description Values
maxPctVol Maximum percentage of average daily volume 0.1 (10%) - 0.5 (50%)
riskAversion Urgency/risk aversion Get Done, Aggressive, Neutral, Passive
forceCompletion Attempt completion by the end of the day 1 (true) or 0 (false)
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
Generated by Doxygen
10.2 Available Orders 153
...
AvailableAlgoParams.FillBalanceImpactRiskParams(baseOrder, 0.1, "Aggressive",true);
client.placeOrder(nextOrderId++, ContractSamples.USOptionContract(), baseOrder);
...
public static void FillBalanceImpactRiskParams(Order baseOrder, double maxPctVol, string
riskAversion, bool forceCompletion)
{
baseOrder.AlgoStrategy = "BalanceImpactRisk";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("maxPctVol", maxPctVol.ToString()));
baseOrder.AlgoParams.Add(new TagValue("riskAversion", riskAversion));
baseOrder.AlgoParams.Add(new TagValue("forceCompletion", forceCompletion ? "1" :"0"));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillBalanceImpactRiskParams(baseOrder, 0.1, "Aggressive",true);
client.placeOrder(nextOrderId++, ContractSamples.USOptionContract(), baseOrder);
...
public static void FillBalanceImpactRiskParams(Order baseOrder, double maxPctVol, String riskAversion,
boolean forceCompletion) {
baseOrder.algoStrategy("BalanceImpactRisk");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("maxPctVol", String.valueOf(maxPctVol)));
baseOrder.algoParams().add(new TagValue("riskAversion", riskAversion));
baseOrder.algoParams().add(new TagValue("forceCompletion", forceCompletion ? "1" :"0"));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillBalanceImpactRiskParams(baseOrder, 0.10000000000000001, "Aggressive", True)
client.placeOrder(increment(nextOrderId), ContractSamples.USOptionContract(), baseOrder)
...
Public Shared Sub FillBalanceImpactRiskParams(baseOrder As Order, maxPctVol As Double, riskAversion
As String, forceCompletion As Boolean)
baseOrder.AlgoStrategy = "BalanceImpactRisk"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("maxPctVol", maxPctVol.ToString()))
baseOrder.AlgoParams.Add(New TagValue("riskAversion", riskAversion))
baseOrder.AlgoParams.Add(New TagValue("forceCompletion", BooleantoString(forceCompletion)))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillBalanceImpactRiskParams(baseOrder, 0.1, "Aggressive",true);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillBalanceImpactRiskParams(Order& baseOrder, double maxPctVol, std::string
riskAversion, bool forceCompletion){
baseOrder.algoStrategy = "BalanceImpactRisk";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("maxPctVol", std::to_string(maxPctVol)));
TagValueSPtr tag2(new TagValue("riskAversion", riskAversion));
TagValueSPtr tag3(new TagValue("forceCompletion", forceCompletion ? "1" :"0"));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
}
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154 Orders
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillBalanceImpactRiskParams(baseOrder, 0.1,
"Aggressive",True)
self.placeOrder(self.nextOrderId(), ContractSamples.USOptionContract(), baseOrder)
...
@staticmethod
def FillBalanceImpactRiskParams(baseOrder: Order, maxPctVol: float,
riskAversion: str, forceCompletion: bool):
baseOrder.algoStrategy = "BalanceImpactRisk"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("maxPctVol", maxPctVol))
baseOrder.algoParams.append(TagValue("riskAversion", riskAversion))
baseOrder.algoParams.append(TagValue("forceCompletion",
int(forceCompletion)))
10.2.9.0.0.13 Minimise Impact
The Minimise Impact algo minimises market impact by slicing the order over time to achieve a market average
without going over the given maximum percentage value.
Parameter Description Values
maxPctVol Maximum percentage of average daily volume 0.1 (10%) - 0.5 (50%)
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillMinImpactParams(baseOrder, 0.3);
client.placeOrder(nextOrderId++, ContractSamples.USOptionContract(), baseOrder);
...
public static void FillMinImpactParams(Order baseOrder, double maxPctVol)
{
baseOrder.AlgoStrategy = "MinImpact";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("maxPctVol", maxPctVol.ToString()));
}
•Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams.FillMinImpactParams(baseOrder, 0.3);
client.placeOrder(nextOrderId++, ContractSamples.USOptionContract(), baseOrder);
...
public static void FillMinImpactParams(Order baseOrder, double maxPctVol) {
baseOrder.algoStrategy("BalanceImpactRisk");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("maxPctVol", String.valueOf(maxPctVol)));
}
•Dim baseOrder As Order = OrderSamples.LimitOrder("BUY", 1000, 1)
...
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10.2 Available Orders 155
AvailableAlgoParams.FillMinImpactParams(baseOrder, 0.29999999999999999)
client.placeOrder(increment(nextOrderId), ContractSamples.USOptionContract(), baseOrder)
...
Public Shared Sub FillMinImpactParams(baseOrder As Order, maxPctVol As Double)
baseOrder.AlgoStrategy = "MinImpact"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("maxPctVol", maxPctVol.ToString()))
End Sub
•Order baseOrder = OrderSamples::LimitOrder("BUY", 1000, 1);
...
AvailableAlgoParams::FillMinImpactParams(baseOrder, 0.3);
m_pClient->placeOrder(m_orderId++, ContractSamples::USStockAtSmart(), baseOrder);
...
void AvailableAlgoParams::FillMinImpactParams(Order& baseOrder, double maxPctVol){
baseOrder.algoStrategy = "MinImpact";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("maxPctVol", std::to_string(maxPctVol)));
baseOrder.algoParams->push_back(tag1);
}
•baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1)
...
AvailableAlgoParams.FillMinImpactParams(baseOrder, 0.3)
self.placeOrder(self.nextOrderId(), ContractSamples.USOptionContract(), baseOrder)
...
@staticmethod
def FillMinImpactParams(baseOrder: Order, maxPctVol: float):
baseOrder.algoStrategy = "MinImpact"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("maxPctVol", maxPctVol))
10.2.10 CSFB Algorithms
10.2.10.0.0.1 CSFB Algorithm Parameters
The socket-based APIs support the following CSFB Algo Strategies: CSFB Algos are not available in paper ac-
counts.
Inline
Pathfinder
Blast
Guerrilla
Sniper
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Crossfinder
I Would
Float Guerrilla
VWAP
Volume Inline
TWAP
Pre/Post
Close
Reserve
Float
Tex
LightPool
10b-18
Auction Algo
The following table lists all available CSFB algo strategies and parameters supported by the API.
10.2.10.0.0.2 Inline
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
ExecStyle Execution Style String "Patient", "Normal", "Aggressive"
MinPercent Minimum percentage of volume Integer Range: 0 - 99
MaxPercent Maximum percentage volume Integer Range: 0 - 99
DisplaySize Size display for iceberg/reserve Integer
Auction String "Default", "Include_All", "Include_←-
Open_Only", "Include_Close_Only",
"Exclude_All", "Imbalance_Only"
Blockfinder Enables block finding Boolean "1", "0" (for Java "true", "false")
BlockPrice Price of the block. Cannot violate price
of the algo order.
Double
MinBlockSize Minimum block quantity Integer
MaxBlockSize Maximum block quantity Integer
IWouldPrice Double
Example CSFB Inline Algo
•Contract contract = new Contract();
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10.2 Available Orders 157
contract.Symbol = "IBKR";
contract.SecType = "STK";
contract.Exchange = "CSFBALGO";// must be direct-routed to CSFBALGO
contract.Currency = "USD";// only available for US stocks
...
AvailableAlgoParams.FillCSFBInlineParams(baseOrder, "10:00:00 EST","16:00:00 EST","Patient",
10, 20, 100, "Default",false, 40, 100, 100, 35);
client.placeOrder(nextOrderId++, ContractSamples.CSFBContract(), baseOrder);
...
public static void FillCSFBInlineParams(Order baseOrder, string startTime, string endTime, string
execStyle, int minPercent,
int maxPercent, int displaySize, string auction, bool blockFinder, double blockPrice, int
minBlockSize, int maxBlockSize, double iWouldPrice)
{
// must be direct-routed to "CSFBALGO"
baseOrder.AlgoStrategy = "INLINE";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
baseOrder.AlgoParams.Add(new TagValue("execStyle", execStyle));
baseOrder.AlgoParams.Add(new TagValue("minPercent", minPercent.ToString()));
baseOrder.AlgoParams.Add(new TagValue("maxPercent", maxPercent.ToString()));
baseOrder.AlgoParams.Add(new TagValue("displaySize", displaySize.ToString()));
baseOrder.AlgoParams.Add(new TagValue("auction", auction));
baseOrder.AlgoParams.Add(new TagValue("blockFinder", blockFinder ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("blockPrice", blockPrice.ToString()));
baseOrder.AlgoParams.Add(new TagValue("minBlockSize", minBlockSize.ToString()));
baseOrder.AlgoParams.Add(new TagValue("maxBlockSize", maxBlockSize.ToString()));
baseOrder.AlgoParams.Add(new TagValue("iWouldPrice", iWouldPrice.ToString()));
}
•Contract contract = new Contract();
contract.symbol("IBKR");
contract.secType("STK");
contract.exchange("CSFBALGO"); // must be direct-routed to CSFBALGO
contract.currency("USD"); // only available for US stocks
...
AvailableAlgoParams.FillCSFBInlineParams(baseOrder, "10:00:00 EST","16:00:00 EST","Patient", 10,
20, 100, "Default",false, 40, 100, 100, 35 );
client.placeOrder(nextOrderId++, ContractSamples.CSFBContract(), baseOrder);
...
public static void FillCSFBInlineParams(Order baseOrder, String startTime, String endTime, String
execStyle, int minPercent,
int maxPercent, int displaySize, String auction, boolean
blockFinder, double blockPrice,
int minBlockSize, int maxBlockSize, double iWouldPrice) {
// must be direct-routed to "CSFBALGO"
baseOrder.algoStrategy("INLINE");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("StartTime", startTime));
baseOrder.algoParams().add(new TagValue("EndTime", endTime));
baseOrder.algoParams().add(new TagValue("ExecStyle", execStyle));
baseOrder.algoParams().add(new TagValue("MinPercent", String.valueOf(minPercent)));
baseOrder.algoParams().add(new TagValue("MaxPercent", String.valueOf(maxPercent)));
baseOrder.algoParams().add(new TagValue("DisplaySize", String.valueOf(displaySize)));
baseOrder.algoParams().add(new TagValue("Auction", auction));
baseOrder.algoParams().add(new TagValue("BlockFinder", blockFinder ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("BlockPrice", String.valueOf(blockPrice)));
baseOrder.algoParams().add(new TagValue("MinBlockSize", String.valueOf(minBlockSize)));
baseOrder.algoParams().add(new TagValue("MaxBlockSize", String.valueOf(maxBlockSize)));
baseOrder.algoParams().add(new TagValue("IWouldPrice", String.valueOf(iWouldPrice)));
}
•Dim contract As Contract = New Contract()
contract.Symbol = "IBKR"
contract.SecType = "STK"
contract.Exchange = "CSFBALGO" ’must be direct-routed to CSFBALGO
contract.Currency = "USD" ’only available for US stocks
...
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158 Orders
AvailableAlgoParams.FillCSFBInlineParams(baseOrder, "10:00:00 EST", "16:00:00 EST", "Patient", 10,
20, 100, "Default", False, 40, 100, 100, 35)
client.placeOrder(increment(nextOrderId), ContractSamples.CSFBContract(), baseOrder)
...
Public Shared Sub FillCSFBInlineParams(baseOrder As Order, startTime As String, endTime As String,
execStyle As String, minPercent As Integer, maxPercent As Integer, displaySize As Integer, auction As
String,
blockFinder As Boolean, blockPrice As Double, minBlockSize As Integer, maxBlockSize As Integer,
iWouldPrice As Double)
’Must be direct-routed to "CSFBALGO"
baseOrder.AlgoStrategy = "INLINE"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
baseOrder.AlgoParams.Add(New TagValue("execStyle", execStyle))
baseOrder.AlgoParams.Add(New TagValue("minPercent", minPercent.ToString()))
baseOrder.AlgoParams.Add(New TagValue("maxPercent", maxPercent.ToString()))
baseOrder.AlgoParams.Add(New TagValue("displaySize", displaySize.ToString()))
baseOrder.AlgoParams.Add(New TagValue("auction", auction))
baseOrder.AlgoParams.Add(New TagValue("blockFinder", BooleantoString(blockFinder)))
baseOrder.AlgoParams.Add(New TagValue("blockPrice", blockPrice.ToString()))
baseOrder.AlgoParams.Add(New TagValue("minBlockSize", minBlockSize.ToString()))
baseOrder.AlgoParams.Add(New TagValue("maxBlockSize", maxBlockSize.ToString()))
baseOrder.AlgoParams.Add(New TagValue("iWouldPrice", iWouldPrice.ToString()))
End Sub
•Contract contract;
contract.symbol = "IBKR";
contract.secType = "STK";
contract.exchange = "CSFBALGO";
contract.currency = "USD";
...
AvailableAlgoParams::FillCSFBInlineParams(baseOrder, "10:00:00 EST","16:00:00 EST","Patient", 10, 20,
100, "Default",false, 40, 100, 100, 35);
m_pClient->placeOrder(m_orderId++, ContractSamples::CSFBContract(), baseOrder);
...
void AvailableAlgoParams::FillCSFBInlineParams(Order baseOrder, std::string startTime, std::string endTime,
std::string execStyle, int minPercent,
int maxPercent, int displaySize, std::string auction, bool blockFinder, double blockPrice, int
minBlockSize, int maxBlockSize, double iWouldPrice){
// must be direct-routed to "CSFBALGO"
baseOrder.algoStrategy = "INLINE";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("StartTime", startTime));
TagValueSPtr tag2(new TagValue("EndTime", endTime));
TagValueSPtr tag3(new TagValue("ExecStyle", execStyle));
TagValueSPtr tag4(new TagValue("MinPercent", std::to_string(minPercent)));
TagValueSPtr tag5(new TagValue("MaxPercent", std::to_string(maxPercent)));
TagValueSPtr tag6(new TagValue("DisplaySize", std::to_string(displaySize)));
TagValueSPtr tag7(new TagValue("Auction", auction));
TagValueSPtr tag8(new TagValue("BlockFinder", blockFinder ? "1" :"0"));
TagValueSPtr tag9(new TagValue("BlockPrice", std::to_string(blockPrice)));
TagValueSPtr tag10(new TagValue("MinBlockSize", std::to_string(minBlockSize)));
TagValueSPtr tag11(new TagValue("MaxBlockSize", std::to_string(maxBlockSize)));
TagValueSPtr tag12(new TagValue("IWouldPrice", std::to_string(iWouldPrice)));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
baseOrder.algoParams->push_back(tag6);
baseOrder.algoParams->push_back(tag7);
baseOrder.algoParams->push_back(tag8);
baseOrder.algoParams->push_back(tag9);
baseOrder.algoParams->push_back(tag10);
baseOrder.algoParams->push_back(tag11);
baseOrder.algoParams->push_back(tag12);
}
•contract = Contract()
contract.symbol = "IBKR"
contract.secType = "STK"
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10.2 Available Orders 159
contract.exchange = "CSFBALGO"
contract.currency = "USD"
...
AvailableAlgoParams.FillCSFBInlineParams(baseOrder,
"10:00:00 EST","16:00:00 EST","Patient",
10, 20, 100, "Default",False, 40, 100, 100, 35)
self.placeOrder(self.nextOrderId(), ContractSamples.CSFBContract(), baseOrder)
...
@staticmethod
def FillCSFBInlineParams(baseOrder: Order, startTime: str,
endTime: str, execStyle: str,
minPercent: int, maxPercent: int,
displaySize: int, auction: str,
blockFinder: bool, blockPrice: float,
minBlockSize: int, maxBlockSize: int, iWouldPrice: float):
# must be direct-routed to "CSFBALGO"
baseOrder.algoStrategy = "INLINE"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("StartTime", startTime))
baseOrder.algoParams.append(TagValue("EndTime", endTime))
baseOrder.algoParams.append(TagValue("ExecStyle", execStyle))
baseOrder.algoParams.append(TagValue("MinPercent", minPercent))
baseOrder.algoParams.append(TagValue("MaxPercent", maxPercent))
baseOrder.algoParams.append(TagValue("DisplaySize", displaySize))
baseOrder.algoParams.append(TagValue("Auction", auction))
baseOrder.algoParams.append(TagValue("BlockFinder", int(blockFinder)))
baseOrder.algoParams.append(TagValue("BlockPrice", blockPrice))
baseOrder.algoParams.append(TagValue("MinBlockSize", minBlockSize))
baseOrder.algoParams.append(TagValue("MaxBlockSize", maxBlockSize))
baseOrder.algoParams.append(TagValue("IWouldPrice", iWouldPrice))
10.2.10.0.0.3 Pathfinder
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
DisplaySize Size display for iceberg/reserve Integer
10.2.10.0.0.4 Blast
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
ExecStyle Execution Style String "Patient", "Normal", "Aggressive"
DisplaySize Size display for iceberg/reserve Integer
10.2.10.0.0.5 Guerrilla
Parameter
Description
Type
Syntax/Values
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160 Orders
StartTime
Start time
Time
9:00:00 EST
EndTime
End time
Time
15:00:00 EST
ExecStyle
Execution Style
String
"Patient", "Normal", "Aggressive"
MinPercent
MaxPercent
Maximum percentage volume
Integer
range: 0 - 99
DisplaySize
Size display for iceberg/reserve
Integer
Blockfinder
Enables block finding
Boolean
"1", "0" (for Java "true", "false")
BlockPrice
Price of the block. Cannot violate price of the algo order.
Double
MinBlockSize
Minimum block quantity
Integer
MaxBlockSize
Maximum block quantity
Integer
IWouldPrice
Double
10.2.10.0.0.6 Sniper
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10.2 Available Orders 161
Parameter
Description
Type
Syntax/Values
StartTime
Start time
Time
9:00:00 EST
EndTime
End time
Time
15:00:00 EST
ExecStyle
Execution Style
String
"Patient", "Normal", "Aggressive"
MaxPercent
Maximum percentage volume
Integer
range: 0 - 99
DisplaySize
Size display for iceberg/reserve
Integer
Blockfinder
Enables block finding
Boolean
"1", "0" (for Java "true", "false")
BlockPrice
Price of the block. Cannot violate price of the algo order.
Double
MinBlockSize
Minimum block quantity
Integer
MaxBlockSize
Maximum block quantity
Integer
10.2.10.0.0.7 Crossfinder
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162 Orders
Parameter
Description
Type
Syntax/Values
StartTime
Start time
Time
9:00:00 EST
EndTime
End time
Time
15:00:00 EST
ExecStyle
Execution Style
String
"Patient", "Normal", "Aggressive"
MaxPercent
Maximum percentage volume
Integer
range: 0 - 99
DisplaySize
Size display for iceberg/reserve
Integer
Blockfinder
Enables block finding
Boolean
"1", "0" (for Java "true", "false")
BlockPrice
Price of the block. Cannot violate price of the algo order.
Double
MinBlockSize
Minimum block quantity
Integer
MaxBlockSize
Maximum block quantity
Integer
10.2.10.0.0.8 I Would
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10.2 Available Orders 163
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
ExecStyle Execution Style String "Patient", "Normal", "Aggressive"
MinPercent
MaxPercent Maximum percentage volume Integer range: 0 - 99
DisplaySize Size display for iceberg/reserve Integer
Blockfinder Enables block finding Boolean "1", "0" (for Java "true", "false")
BlockPrice Price of the block. Cannot violate price of the
algo order.
Double
MinBlockSize Minimum block quantity Integer
MaxBlockSize Maximum block quantity Integer
10.2.10.0.0.9 Float Guerrilla
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
ExecStyle Execution Style String "Patient", "Normal", "Aggressive"
MinPercent
MaxPercent Maximum percentage volume Integer range: 0 - 99
DisplaySize Size display for iceberg/reserve Integer
Blockfinder Enables block finding Boolean "1", "0" (for Java "true", "false")
BlockPrice Price of the block. Cannot violate price of the
algo order.
Double
MinBlockSize Minimum block quantity Integer
MaxBlockSize Maximum block quantity Integer
IWouldPrice Double
10.2.10.0.0.10 VWAP
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
ExecStyle Execution Style String "Patient", "Normal", "Aggressive"
MaxPercent Maximum percentage volume Integer range: 0 - 99
Auction String "Default", "Include_All", "Include_←-
Open_Only", "Include_Close_Only",
"Exclude_All", "Imbalance_Only"
Blockfinder Enables block finding Boolean "1", "0" (for Java "true", "false")
BlockPrice Price of the block. Cannot violate price
of the algo order.
Double
MinBlockSize Minimum block quantity Integer
MaxBlockSize Maximum block quantity Integer
IWouldPrice Double
10.2.10.0.0.11 Volume Inline
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164 Orders
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
ExecStyle Execution Style String "Patient", "Normal", "Aggressive"
MinPercent
MaxPercent Maximum percentage volume Integer range: 0 - 99
DisplaySize Size display for iceberg/reserve Integer
Auction String "Default", "Include_All", "Include_←-
Open_Only", "Include_Close_Only",
"Exclude_All", "Imbalance_Only"
Blockfinder Enables block finding Boolean "1", "0" (for Java "true", "false")
BlockPrice Price of the block. Cannot violate price
of the algo order.
Double
MinBlockSize Minimum block quantity Integer
MaxBlockSize Maximum block quantity Integer
IWouldPrice Double
10.2.10.0.0.12 TWAP
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
ExecStyle Execution Style String "Patient", "Normal", "Aggressive"
MaxPercent Maximum percentage volume Integer range: 0 - 99
Auction String "Default", "Include_All", "Include_←-
Open_Only", "Include_Close_Only",
"Exclude_All", "Imbalance_Only"
Blockfinder Enables block finding Boolean "1", "0" (for Java "true", "false")
BlockPrice Price of the block. Cannot violate price
of the algo order.
Double
MinBlockSize Minimum block quantity Integer
MaxBlockSize Maximum block quantity Integer
IWouldPrice Double
10.2.10.0.0.13 Pre/Post
Parameter
Description
Type
Syntax/Values
StartTime
Start time
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10.2 Available Orders 165
Time
9:00:00 EST
EndTime
End time
Time
15:00:00 EST
DisplaySize
Size display for iceberg/reserve
Integer
10.2.10.0.0.14 Close
Parameter
Description
Type
Syntax/Values
StartTime
Start time
Time
9:00:00 EST
EndTime
End time
Time
15:00:00 EST
10.2.10.0.0.15 Reserve
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
ExecStyle Execution Style String "Patient", "Normal", "Aggressive"
MaxPercent Maximum percentage volume Integer range: 0 - 99
DisplaySize Size display for iceberg/reserve Integer
Blockfinder Enables block finding Boolean "1", "0" (for Java "true", "false")
BlockPrice Price of the block. Cannot violate price of the
algo order.
Double
MinBlockSize Minimum block quantity Integer
MaxBlockSize Maximum block quantity Integer
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10.2.10.0.0.16 Float
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
ExecStyle Execution Style String "Patient", "Normal", "Aggressive"
MaxPercent Maximum percentage volume Integer range: 0 - 99
DisplaySize Size display for iceberg/reserve Integer
Blockfinder Enables block finding Boolean "1", "0" (for Java "true", "false")
BlockPrice Price of the block. Cannot violate price of the
algo order.
Double
MinBlockSize Minimum block quantity Integer
MaxBlockSize Maximum block quantity Integer
10.2.10.0.0.17 Tex
Parameter
Description
Type
Syntax/Values
StartTime
Start time
Time
9:00:00 EST
EndTime
End time
Time
15:00:00 EST
ExecStyle
Execution Style
String
"Patient", "Normal", "Aggressive"
MinPercent
Minimum percentage of volume
Integer
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10.2 Available Orders 167
Range: 0 - 99
MaxPercent
Maximum percentage volume
Integer
Range: 0 - 99
DisplaySize
Size display for iceberg/reserve
Integer
Auction
String
"Default", "Include_All", "Include_Open_Only", "Include_Close_Only", "Exclude_All", "Imbalance_Only"
Blockfinder
Enables block finding
Boolean
"1", "0" (for Java "true", "false")
BlockPrice
Price of the block. Cannot violate price of the algo order.
Double
MinBlockSize
Minimum block quantity
Integer
MaxBlockSize
Maximum block quantity
Integer
IWouldPrice
Double
10.2.10.0.0.18 LightPool
Generated by Doxygen
168 Orders
Parameter
Description
Type
Syntax/Values
StartTime
Start time
Time
9:00:00 EST
EndTime
End time
Time
15:00:00 EST
ExecStyle
Execution Style
String
"Patient", "Normal", "Aggressive"
DisplaySize
Size display for iceberg/reserve
Integer
10.2.10.0.0.19 10b-18
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
MaxPercent Maximum percentage volume Integer Range: 0 - 99
10.2.10.0.0.20 Auction Algo
Parameter Description Type Syntax/Values
ExecStyle Execution Style String "Patient", "Normal", "Aggressive"
DisplaySize Size display for iceberg/reserve Integer
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10.2 Available Orders 169
10.2.11 Jefferies Algorithms
10.2.11.0.0.1 Jefferies Algorithm
The Jefferies Algos are available with the socket-based API languages (Java, C#/.NET, Python, C++).
• It is recommended to first try to create the Jefferies algo in TWS to see the most current
available field values.
• Jefferies algos are only available in live accounts.
• Some fields have default values and are optional in TWS but must be explicitly specified in the API.
10.2.11.0.0.2 Available Jefferies Algos
VWAP
TWAP
VolPart
Blitz
Strike
Seek
Darkseek
Post
MultiScale
Opener
Finale
Portfolio
Patience
Pairs - Ratio
Pairs - Net Return
Pairs - Arb
Trader
The following table lists all available Jefferies algo strategies and parameters supported by the
API.
10.2.11.0.0.3 VWAP (VWAP)
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170 Orders
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
Relative Limit Double Positive and negative values allowed.
MaxVolumeRate Double
ExcludeAuctions Define auction participation String "Exclude_Both", "Include_Open", "←-
Include_Close", "Include_Both"
TriggerPrice Double Any positive value, no max.
WoWPrice Would or Work - The price at which the
user is willing to complete the order.
Used if no WoW reference is specified.
Double
WowReference Used with WoW price field. If WoW
price is not submitted, the Reference
price can be submitted for processing.
String "Market", "Inside_NBBO_Price", "←-
Arrival Price", "PNC", "Open", "BPS←-
_Arrival", "Price", "OPP", "Midpoint"
MinFillSize Minimum number of share per ex-
ecution for non-displayed liquidity.
Rounded down to closest lot size.
Integer
WoWOrderPct Max percent of the order on which
WoW can work.
Integer
WoWMode String "BLITZ", "DARKSeek", "Seek_←-
Passive", "Seek_Active", "Seek←-
_Aggressive", "Volume_10%", "←-
Volume_20%", "Volume_30%","VWA←-
P_Day", "Patience"
IsBuyBack The algo should engage in SEC Rule
10b-18 restrictions for buy back in US
securities.
String "Yes", "No"
Example Jefferies VWAP Algo
•Contract contract = new Contract();
contract.Symbol = "AAPL";
contract.SecType = "STK";
contract.Exchange = "JEFFALGO";// must be direct-routed to JEFFALGO
contract.Currency = "USD";// only available for US stocks
...
AvailableAlgoParams.FillJefferiesVWAPParams(baseOrder, "10:00:00 EST","16:00:00 EST", 10, 10,
"Exclude_Both", 130, 135, 1, 10, "Patience",false,"Midpoint");
client.placeOrder(nextOrderId++, ContractSamples.JefferiesContract(), baseOrder);
...
public static void FillJefferiesVWAPParams(Order baseOrder, string startTime, string endTime,
double relativeLimit,
double maxVolumeRate, string excludeAuctions, double triggerPrice, double wowPrice, int minFillSize
,double wowOrderPct,
string wowMode, bool isBuyBack, string wowReference)
{
baseOrder.AlgoStrategy = "VWAP";
baseOrder.AlgoParams = new List<TagValue>();
baseOrder.AlgoParams.Add(new TagValue("startTime", startTime));
baseOrder.AlgoParams.Add(new TagValue("endTime", endTime));
baseOrder.AlgoParams.Add(new TagValue("relativeLimit", relativeLimit.ToString()));
baseOrder.AlgoParams.Add(new TagValue("maxVolumeRate", maxVolumeRate.ToString()));
baseOrder.AlgoParams.Add(new TagValue("excludeAuctions", excludeAuctions));
baseOrder.AlgoParams.Add(new TagValue("triggerPrice", triggerPrice.ToString()));
baseOrder.AlgoParams.Add(new TagValue("wowPrice", wowPrice.ToString()));
baseOrder.AlgoParams.Add(new TagValue("minFillSize", minFillSize.ToString()));
baseOrder.AlgoParams.Add(new TagValue("wowOrderPct", wowOrderPct.ToString()));
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10.2 Available Orders 171
baseOrder.AlgoParams.Add(new TagValue("wowMode", wowMode));
baseOrder.AlgoParams.Add(new TagValue("IsBuyBack", isBuyBack ? "1" :"0"));
baseOrder.AlgoParams.Add(new TagValue("wowReference", wowReference));
}
•Contract contract = new Contract();
contract.symbol("AAPL");
contract.secType("STK");
contract.exchange("JEFFALGO"); // must be direct-routed to JEFFALGO
contract.currency("USD"); // only available for US stocks
...
AvailableAlgoParams.FillJefferiesVWAPParams(baseOrder, "10:00:00 EST","16:00:00 EST", 10, 10, "
Exclude_Both", 130, 135, 1, 10, "Patience",false,"Midpoint");
client.placeOrder(nextOrderId++, ContractSamples.JefferiesContract(), baseOrder);
...
public static void FillJefferiesVWAPParams(Order baseOrder, String startTime, String endTime,
double relativeLimit,
double maxVolumeRate, String excludeAuctions, double triggerPrice, double wowPrice, int
minFillSize, double wowOrderPct,
String wowMode, boolean isBuyBack, String wowReference) {
// must be direct-routed to "JEFFALGO"
baseOrder.algoStrategy("VWAP");
baseOrder.algoParams(new ArrayList<>());
baseOrder.algoParams().add(new TagValue("StartTime", startTime));
baseOrder.algoParams().add(new TagValue("EndTime", endTime));
baseOrder.algoParams().add(new TagValue("RelativeLimit", String.valueOf(relativeLimit)));
baseOrder.algoParams().add(new TagValue("MaxVolumeRate", String.valueOf(maxVolumeRate)));
baseOrder.algoParams().add(new TagValue("ExcludeAuctions", excludeAuctions));
baseOrder.algoParams().add(new TagValue("TriggerPrice", String.valueOf(triggerPrice)));
baseOrder.algoParams().add(new TagValue("WowPrice", String.valueOf(wowPrice)));
baseOrder.algoParams().add(new TagValue("MinFillSize", String.valueOf(minFillSize)));
baseOrder.algoParams().add(new TagValue("WowOrderPct", String.valueOf(wowOrderPct)));
baseOrder.algoParams().add(new TagValue("WowMode", wowMode));
baseOrder.algoParams().add(new TagValue("IsBuyBack", isBuyBack ? "1" :"0"));
baseOrder.algoParams().add(new TagValue("WowReference", wowReference));
}
•Dim contract As Contract = New Contract()
contract.Symbol = "AAPL"
contract.SecType = "STK"
contract.Exchange = "JEFFALGO" ’must me direct-routed to JEFFALGO
contract.Currency = "USD" ’only available for US stocks
...
AvailableAlgoParams.FillJefferiesVWAPParams(baseOrder, "10:00:00 EST", "16:00:00 EST", 10, 10,
"Exclude_Both", 130, 135, 1, 10, "Patience", False, "Midpoint")
client.placeOrder(increment(nextOrderId), ContractSamples.JefferiesContract(), baseOrder)
...
Public Shared Sub FillJefferiesVWAPParams(baseOrder As Order, startTime As String, endTime As
String, relativeLimit As Double, maxVolumeRate As Double, excludeAuctions As String,
triggerPrice As Double, wowPrice As Double, minFillSize As Integer, wowOrderPct As Double,
wowMode As String, isBuyBack As Boolean, wowReference As String)
’Must be direct-routed to "JEFFALGO"
baseOrder.AlgoStrategy = "VWAP"
baseOrder.AlgoParams = New List(Of TagValue)
baseOrder.AlgoParams.Add(New TagValue("startTime", startTime))
baseOrder.AlgoParams.Add(New TagValue("endTime", endTime))
baseOrder.AlgoParams.Add(New TagValue("relativeLimit", relativeLimit.ToString()))
baseOrder.AlgoParams.Add(New TagValue("maxVolumeRate", maxVolumeRate.ToString()))
baseOrder.AlgoParams.Add(New TagValue("excludeAuctions", excludeAuctions))
baseOrder.AlgoParams.Add(New TagValue("triggerPrice", triggerPrice.ToString()))
baseOrder.AlgoParams.Add(New TagValue("wowPrice", wowPrice.ToString()))
baseOrder.AlgoParams.Add(New TagValue("minFillSize", minFillSize.ToString()))
baseOrder.AlgoParams.Add(New TagValue("wowOrderPct", wowOrderPct.ToString()))
baseOrder.AlgoParams.Add(New TagValue("wowMode", wowMode))
baseOrder.AlgoParams.Add(New TagValue("isBuyBack", BooleantoString(isBuyBack)))
baseOrder.AlgoParams.Add(New TagValue("wowReference", wowReference))
End Sub
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172 Orders
•Contract contract;
contract.symbol = "AAPL";
contract.secType = "STK";
contract.exchange = "JEFFALGO";// must be direct-routed to JEFALGO
contract.currency = "USD";// only available for US stocks
...
AvailableAlgoParams::FillJefferiesVWAPParams(baseOrder, "10:00:00 EST","16:00:00 EST", 10, 10, "
Exclude_Both", 130, 135, 1, 10, "Patience",false,"Midpoint");
m_pClient->placeOrder(m_orderId++, ContractSamples::JefferiesContract(), baseOrder);
...
void AvailableAlgoParams::FillJefferiesVWAPParams(Order baseOrder, std::string startTime, std::string
endTime, double relativeLimit,
double maxVolumeRate, std::string excludeAuctions, double triggerPrice, double wowPrice, int
minFillSize, double wowOrderPct,
std::string wowMode, bool isBuyBack, std::string wowReference){
baseOrder.algoStrategy = "VWAP";
baseOrder.algoParams.reset(new TagValueList());
TagValueSPtr tag1(new TagValue("StartTime", startTime));
TagValueSPtr tag2(new TagValue("EndTime", endTime));
TagValueSPtr tag3(new TagValue("RelativeLimit", std::to_string(relativeLimit)));
TagValueSPtr tag4(new TagValue("MaxVolumeRate", std::to_string(maxVolumeRate)));
TagValueSPtr tag5(new TagValue("ExcludeAuctions", excludeAuctions));
TagValueSPtr tag6(new TagValue("TriggerPrice", std::to_string(triggerPrice)));
TagValueSPtr tag7(new TagValue("WowPrice", std::to_string(wowPrice)));
TagValueSPtr tag8(new TagValue("MinFillSize", std::to_string(minFillSize)));
TagValueSPtr tag9(new TagValue("WowOrderPct", std::to_string(wowOrderPct)));
TagValueSPtr tag10(new TagValue("WowMode", wowMode));
TagValueSPtr tag11(new TagValue("IsBuyBack", isBuyBack ? "1" :"0"));
TagValueSPtr tag12(new TagValue("WowReference", wowReference));
baseOrder.algoParams->push_back(tag1);
baseOrder.algoParams->push_back(tag2);
baseOrder.algoParams->push_back(tag3);
baseOrder.algoParams->push_back(tag4);
baseOrder.algoParams->push_back(tag5);
baseOrder.algoParams->push_back(tag6);
baseOrder.algoParams->push_back(tag7);
baseOrder.algoParams->push_back(tag8);
baseOrder.algoParams->push_back(tag9);
baseOrder.algoParams->push_back(tag10);
baseOrder.algoParams->push_back(tag11);
baseOrder.algoParams->push_back(tag12);
}
•contract = Contract()
contract.symbol = "AAPL"
contract.secType = "STK"
contract.exchange = "JEFFALGO"
contract.currency = "USD"
...
AvailableAlgoParams.FillJefferiesVWAPParams(baseOrder,
"10:00:00 EST","16:00:00 EST", 10, 10, "Exclude_Both",
130, 135, 1, 10, "Patience",False,"Midpoint")
self.placeOrder(self.nextOrderId(), ContractSamples.JefferiesContract(), baseOrder)
...
@staticmethod
def FillJefferiesVWAPParams(baseOrder: Order, startTime: str,
endTime: str, relativeLimit: float,
maxVolumeRate: float, excludeAuctions: str,
triggerPrice: float, wowPrice: float,
minFillSize: int, wowOrderPct: float,
wowMode: str, isBuyBack: bool, wowReference: str):
# must be direct-routed to "JEFFALGO"
baseOrder.algoStrategy = "VWAP"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("StartTime", startTime))
baseOrder.algoParams.append(TagValue("EndTime", endTime))
baseOrder.algoParams.append(TagValue("RelativeLimit", relativeLimit))
baseOrder.algoParams.append(TagValue("MaxVolumeRate", maxVolumeRate))
baseOrder.algoParams.append(TagValue("ExcludeAuctions", excludeAuctions))
baseOrder.algoParams.append(TagValue("TriggerPrice", triggerPrice))
baseOrder.algoParams.append(TagValue("WowPrice", wowPrice))
baseOrder.algoParams.append(TagValue("MinFillSize", minFillSize))
baseOrder.algoParams.append(TagValue("WowOrderPct", wowOrderPct))
baseOrder.algoParams.append(TagValue("WowMode", wowMode))
baseOrder.algoParams.append(TagValue("IsBuyBack", int(isBuyBack)))
baseOrder.algoParams.append(TagValue("WowReference", wowReference))
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10.2 Available Orders 173
10.2.11.0.0.4 TWAP (TWAP)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
Relative Limit Double Positive and negative values allowed.
MaxVolumeRate Double
ExcludeAuctions Define auction participation String "Exclude_Both", "Include_Open", "←-
Include_Close", "Include_Both"
TradingSession Denotes the trading session for the or-
der.
String "DAY", "PRE-OPEN", "AFTER-HOU←-
RS"
WoWPrice Would or Work - The price at which the
user is willing to complete the order.
Used if no WoW reference is specified.
Double
WowReference Used with WoW price field. If WoW
price is not submitted, the Reference
price can be submitted for processing.
String "Market", "Inside_NBBO_Price", "←-
Arrival Price", "PNC", "Open", "BPS←-
_Arrival", "Price", "OPP", "Midpoint"
MinFillSize Minimum number of share per execu-
tion. Rounded down to closest lot size.
Integer
WoWOrderPct Max percent of the order on which
WoW can work.
Integer
WoWMode String "BLITZ", "DARKSeek", "Seek_←-
Passive", "Seek_Active", "Seek←-
_Aggressive", "Volume_10%", "←-
Volume_20%", "Volume_30%","VWA←-
P_Day", "Patience"
IsBuyBack The algo should engage in SEC Rule
10b-18 restrictions for buy back in US
securities.
String "Yes", "No"
10.2.11.0.0.5 VolPart (VOLPART)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
Relative Limit Double Positive and negative values allowed.
MaxVolumeRate Volume limit Double
DarkVolumeRate Dark volume limit Double
ExcludeAuctions Define auction participation String "Exclude_Both", "Include_Open", "←-
Include_Close", "Include_Both"
TradingSession Denotes the trading session for the or-
der.
String "DAY", "PRE-OPEN", "AFTER-HOU←-
RS"
WoWPrice Would or Work - The price at which the
user is willing to complete the order.
Used if no WoW reference is specified.
Double
WowReference Used with WoW price field. If WoW
price is not submitted, the Reference
price can be submitted for processing.
String "Market", "Inside_NBBO_Price", "←-
Arrival Price", "PNC", "Open", "BPS←-
_Arrival", "Price", "OPP", "Midpoint"
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174 Orders
Parameter Description Type Syntax/Values
MinFillSize Minimum number of share per ex-
ecution for non-displayed liquidity.
Rounded down to closest lot size.
Integer
WoWOrderPct Max percent of the order on which
WoW can work.
Integer
WoWMode String "BLITZ", "DARKSeek", "Seek_←-
Passive", "Seek_Active", "Seek←-
_Aggressive", "Volume_10%", "←-
Volume_20%", "Volume_30%","VW←-
AP_Day", "Patience"
IsBuyBack The algo should engage in SEC Rule
10b-18 restrictions for buy back in US
securities.
String "Yes", "No"
10.2.11.0.0.6 Blitz (BLITZ)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
Relative Limit Double Positive and negative values allowed.
DisplaySize Integer
TradingStyle String "Price Improvement", "Opportunistic",
"Get-It-Done", "No_Post"
IsBuyBack The algo should engage in SEC Rule
10b-18 restrictions for buy back in US
securities.
String "Yes", "No"
TradingSession Denotes the trading session for the or-
der.
String "DAY", "PRE-OPEN", "AFTER-HOU←-
RS"
10.2.11.0.0.7 Strike (STRIKE)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
Relative Limit Double Positive and negative values allowed.
MaxVolumeRate Double
Urgency String "Passive", "Active", "Aggressive"
ExcludeAuctions Define auction participation String "Exclude_Both", "Include_Open", "←-
Include_Close", "Include_Both"
WoWPrice Would or Work - The price at which the
user is willing to complete the order.
Used if no WoW reference is specified.
Double
WowReference Used with WoW price field. If WoW
price is not submitted, the Reference
price can be submitted for processing.
String "Market", "Inside_NBBO_Price", "←-
Arrival Price", "PNC", "Open", "BPS←-
_Arrival", "Price", "OPP", "Midpoint"
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10.2 Available Orders 175
Parameter Description Type Syntax/Values
MinFillSize Minimum number of share per ex-
ecution for non-displayed liquidity.
Rounded down to closest lot size.
Integer
WoWOrderPct Max percent of the order on which
WoW can work.
Integer
WoWMode String "BLITZ", "DARKSeek", "Seek_←-
Passive", "Seek_Active", "Seek←-
_Aggressive", "Volume_10%", "←-
Volume_20%", "Volume_30%","VWA←-
P_Day", "Patience"
10.2.11.0.0.8 Seek (SEEK)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
Relative Limit Double Positive and negative values allowed.
ExcludeAuctions Define auction participation String "Exclude_Both", "Include_Open", "←-
Include_Close", "Include_Both"
Urgency String "Passive_Minus", "Passive", "Active",
"Active_Plus", "Aggressive"
MaxVolumeRate Double
WoWPrice Would or Work - The price at which the
user is willing to complete the order.
Used if no WoW reference is specified.
Double
WowReference Used with WoW price field. If WoW
price is not submitted, the Reference
price can be submitted for processing.
String "Market", "Inside_NBBO_Price", "←-
Arrival Price", "PNC", "Open", "BPS←-
_Arrival", "Price", "OPP", "Midpoint"
MinFillSize Minimum number of share per ex-
ecution for non-displayed liquidity.
Rounded down to closest lot size.
Integer
WoWOrderPct Max percent of the order on which
WoW can work.
Integer
WoWMode String "BLITZ", "DARKSeek", "Seek_←-
Passive", "Seek_Active", "Seek←-
_Aggressive", "Volume_10%", "←-
Volume_20%", "Volume_30%","VWA←-
P_Day", "Patience"
10.2.11.0.0.9 Darkseek (DS)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
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176 Orders
Parameter Description Type Syntax/Values
Relative Limit Double Positive and negative values allowed.
Urgency String "Passive_Minus", "Passive", "Active",
"Active_Plus", "Aggressive"
MinTakeSize Minimum number of share per execution
for displayed liquidity. Rounded down to
closest lot size.
Integer
MinFillSize Minimum number of share per execu-
tion for non-displayed liquidity. Rounded
down to closest lot size.
Integer
IsBuyBack The algo should engage in SEC Rule
10b-18 restrictions for buy back in US
securities.
String "Yes", "No"
WoWPrice Would or Work - The price at which the
user is willing to complete the order.
Used if no WoW reference is specified.
Double
WowReference Used with WoW price field. If WoW
price is not submitted, the Reference
price can be submitted for processing.
String "Market", "Inside_NBBO_Price", "←-
Arrival Price", "PNC", "Open", "BPS_←-
Arrival", "Price", "OPP", "Midpoint"
WoWOrderPct Max percent of the order on which WoW
can work.
Integer
WoWMode String "BLITZ", "DARKSeek", "Seek_Passive",
"Seek_Active", "Seek_Aggressive",
"Volume_10%", "Volume_20%", "←-
Volume_30%","VWAP_Day", "Patience"
10.2.11.0.0.10 Post (POST)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
Relative Limit Double Positive and negative values allowed.
MaxVolumeRate Volume limit. Double
WoWPrice Would or Work - The price at which the
user is willing to complete the order.
Used if no WoW reference is specified.
Double
WowReference Used with WoW price field. If WoW
price is not submitted, the Reference
price can be submitted for processing.
String "Market", "Inside_NBBO_Price", "←-
Arrival Price", "PNC", "Open", "BPS←-
_Arrival", "Price", "OPP", "Midpoint"
MinTakeSize Minimum number of share per execu-
tion for displayed liquidity. Rounded
down to closest lot size.
Integer
MinFillSize Minimum number of share per ex-
ecution for non-displayed liquidity.
Rounded down to closest lot size.
Integer
WoWOrderPct Max percent of the order on which
WoW can work.
Integer
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10.2 Available Orders 177
Parameter Description Type Syntax/Values
WoWMode String "BLITZ", "DARKSeek", "Seek_←-
Passive", "Seek_Active", "Seek←-
_Aggressive", "Volume_10%", "←-
Volume_20%", "Volume_30%","VWA←-
P_Day", "Patience"
10.2.11.0.0.11 MultiScale (MS)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
Algo1 The base algo. String "Volume_5%", "Volume_10%", "Volume←-
_15%", "Volume_20%", "Volume_25%",
"Volume_30%", "DARKSeek", "Seek←-
_Passive", "Seek_Active", "Seek_←-
Aggressive", "BLITZ", "VWAP_Day",
"Qty_Scale", "Patience"
MaxQty1 Max quantity for the base algo. Integer
Price 2 Trigger price for algo 2 if present. Double
Algo2 Underlying algo 2. Must be different than
Algo1 or Algo3.
String "Volume_5%", "Volume_10%", "Volume←-
_15%", "Volume_20%", "Volume_25%",
"Volume_30%", "DARKSeek", "Seek←-
_Passive", "Seek_Active", "Seek_←-
Aggressive", "BLITZ", "VWAP_Day",
"Qty_Scale", "Patience"
MaxQty2 Max quantity for algo 2 Integer
Price3 Trigger price for algo 3 if present. String
Algo3 Underlying algo 2. Must be different than
Algo1 or Algo2.
String "Volume_5%", "Volume_10%", "Volume←-
_15%", "Volume_20%", "Volume_25%",
"Volume_30%", "DARKSeek", "Seek←-
_Passive", "Seek_Active", "Seek_←-
Aggressive", "BLITZ", "VWAP_Day",
"Qty_Scale", "Patience"
10.2.11.0.0.12 Opener (OPENER)
Parameter Description Type Syntax/Values
Relative Limit Double Positive and negative values allowed.
UnitForOpen Defines the unit for the open quantity,
either shares or percentage.
String Shares must be in round lots. Per-
centage must be between 1 and 100.
OpenQty Determines quantity placed into
opening auction. Used unit defined
in UnitForOpen.
Double
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178 Orders
Parameter Description Type Syntax/Values
PostOpenStrategy String "Volume_5%", "Volume_10%", "←-
Volume_15%", "Volume_20%",
"Volume_25%", "Volume_30%",
"DARKSeek", "Seek_Passive", "←-
Seek_Active", "Seek_Aggressive",
"BLITZ", "VWAP_Day", "Qty_Scale",
"Patience"
PostOpenLimit Absolute limit price for the Post Open
strategy.
Double
PostOpenBenchmark String "Inside_NBBO_Price", "Arrival_←-
Price", "PNC", "Open"
BenchmarkOffset In conjunction with Post Open
Benchmark, this sets the relative
limit for the strategy.
Integer Positive or negative value in basis
points set as the relative limit from
the post open benchmark.
10.2.11.0.0.13 Finale (TOC)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
Urgency String "Passive", "Active", "Aggressive"
UnitForClose The unit to use when defining the close
quantity.
String "Shares", "%_of_Order", "%_of_ADV",
"%_of_Expected_Close"
CloseQty The quantity of the closing auction. Double
10.2.11.0.0.14 Portfolio (PORT)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
MaxVolumeRate Double
PortfolioId User defined ID FixSizeString
PortfolioLimit Basis points from arrival Double
ExcludeAuctions Define auction participation String "Exclude_Both", "Include_Open", "←-
Include_Close", "Include_Both"
PortfolioUrgency String "1", "2", "3", "4", "5"
Style String "Cash_Balance", "Beta_Neutral", "IS", "←-
Dark_Only", "Exec_Balance"
CompleteByEOD String "Yes", "No"
PriceLimitType String "Fixed", "Floating"
Benchmark String "Inside_NBBO_Price", "Arrival_Price", "P←-
NC", "Open"
BenchmarkOffset Integer Positive or Negative value in basis points.
TrackingIndex FixSizeString
MaxOutPerform Integer Positive or Negative value in basis points.
MinOutPerform Integer Positive or Negative value in basis points.
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10.2 Available Orders 179
10.2.11.0.0.15 Patience (PATIENCE)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
MaxVolumeRate Volume limit. Double
Style Boolean
WoWPrice Would or Work - The price at which the
user is willing to complete the order.
Used if no WoW reference is specified.
Double
WowReference Used with WoW price field. If WoW
price is not submitted, the Reference
price can be submitted for processing.
String "Market", "Inside_NBBO_Price", "←-
Arrival Price", "PNC", "Open", "BPS←-
_Arrival", "Price", "OPP", "Midpoint"
MinTakeSize Minimum number of share per execu-
tion for displayed liquidity. Rounded
down to closest lot size.
Integer
MinFillSize Minimum number of share per ex-
ecution for non-displayed liquidity.
Rounded down to closest lot size.
Integer
WoWOrderPct Max percent of the order on which
WoW can work.
Integer
WoWMode String "BLITZ", "DARKSeek", "Seek_←-
Passive", "Seek_Active", "Seek←-
_Aggressive", "Volume_10%", "←-
Volume_20%", "Volume_30%","VW←-
AP_Day", "Patience"
10.2.11.0.0.16 Pairs - Ratio (RATIO)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
MaxVolumeRate Volume limit. Double
PairID FixSizeString
Balance String "Share_Balanced", "Cash_Balanced", "Ratio_Balanced"
ExecutionStyle String "Active", "TWAP", "Aggressive", "Custom"
LegThreshold Double
PairRatio Double
PairSpread Double
PairSpreadOperator String <=, >=
10.2.11.0.0.17 Pairs - Net Return (TR)
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180 Orders
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
MaxVolumeRate Volume limit. Double
PairID FixSizeString
Balance String "Share_Balanced", "Cash_Balanced", "Ratio_Balanced"
ExecutionStyle String "Active", "TWAP", "Aggressive", "Custom"
LegThreshold Double
PairBenchmark String "PNC", "Open", "Arrival_Price"
PairSpread Double
PairSpreadOperator String <=, >=
10.2.11.0.0.18 Pairs - Arb (ARB)
Parameter Description Type Syntax/Values
StartTime Start time Time 9:00:00 EST
EndTime End time Time 15:00:00 EST
MaxVolumeRate Volume limit. Double
ExecutionStyle String "Active", "TWAP", "Aggressive", "Custom"
LegThreshold Double
PairID FixSizeString
PairObjective String "Setup", "Unwind", "Reverse"
PairRatio Double
PairCash Double
PairSpread Double
PairSpreadOperator String <=, >=
10.2.11.0.0.19 Trader (TRADER)
Parameter Description Type Syntax/Values
StrategyIntent String "Volume_5%", "Volume_10%", "Volume_15%", "Volume_20%", "←-
Volume_25%", "Volume_30%", "DARKSeek", "Seek_Passive", "←-
Seek_Active", "Seek_Aggressive", "BLITZ", "VWAP_Day", "Qty_←-
Scale", "Patience"
ActionType String "Halt", "Resume", "Check_Dark", "Take/Hit"
ActionQty Integer
ActionPrice Double
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10.3 Order Management 181
10.3 Order Management
•Placing Orders
•Modifying Orders
•Cancelling Orders
•Retrieving currently active orders
•Executions and Commissions
•Order Limitations
•MiFIR Transaction Reporting Fields
10.3.1 Placing Orders
10.3.1.1 The Next Valid Identifier
Perhaps the most important event received after successfully connecting to the TWS is the IBApi.EWrapper.←-
nextValidId (p. ??), which is also triggered after invoking the IBApi.EClient.reqIds method. As its name indicates,
the nextValidId event provides the next valid identifier needed to place an order. This identifier is nothing more than
the next number in the sequence. This means that if there is a single client application submitting orders to an
account, it does not have to obtain a new valid identifier every time it needs to submit a new order. It is enough to
increase the last value received from the nextValidId method by one. For example, if the valid identifier for your first
API order is 1, the next valid identifier would be 2 and so on.
However if there are multiple client applications connected to one account, it is necessary to use an order ID with
new orders which is greater than all previous order IDs returned to the client application in openOrder or orderStatus
callbacks. For instance, if the client is set as the Master client, it will automatically receive order status and trade
callbacks from orders placed from other clients. In such a case, any orderID used in placeOrder must be greater
than the orderIDs returned in these status callbacks. Alternatively if the function reqAllOpenOrders is used by a
client, subsequent orders placed by that client must have order IDs greater than the order IDs of all orders returned
because of that function call. You can always use the IBApi.EClient.reqIds method in the event that your client
application loses track of the sequence.
•//The parameter is always ignored.
client.reqIds(-1);
•//The parameter is always ignored.
client.reqIds(-1);
•’The parameter Is always ignored.
client.reqIds(-1)
•//The parameter is always ignored.
m_pClient->reqIds(-1);
•# The parameter is always ignored.
self.reqIds(-1)
The above will result in IBApi.EWrapper.nextValidId callback being invoked:
•public class EWrapperImpl : EWrapper
{
...
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182 Orders
public virtual void nextValidId(int orderId)
{
Console.WriteLine("Next Valid Id: "+orderId);
NextOrderId = orderId;
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void nextValidId(int orderId) {
System.out.println("Next Valid Id: ["+orderId+"]");
currentOrderId = orderId;
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub nextValidId(orderId As Integer) Implements IBApi.EWrapper.nextValidId
Console.WriteLine("NextValidId - OrderId [" & orderId & "]")
nextOrderId = orderId
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::nextValidId( OrderId orderId)
{
printf("Next Valid Id: %ld\n", orderId);
m_orderId = orderId;
•class TestWrapper(wrapper.EWrapper):
...
def nextValidId(self, orderId: int):
super().nextValidId(orderId)
logging.debug("setting nextValidOrderId: %d", orderId)
self.nextValidOrderId = orderId
The next valid identifier is persistent between TWS sessions.
If necessary, you can reset the order ID sequence within the API Settings dialogue. Note however that the order
sequence Id can only be reset if there are no active API orders.
10.3.1.2 Placing Orders
Orders are submitted via the IBApi.EClient.placeOrder method. From the snippet below, note how a vari-able
holding the nextValidId is incremented automatically:
•client.placeOrder(nextOrderId++, ContractSamples.USStock(), OrderSamples.TrailingStopLimit("BUY
", 1, 5, 5, 110));
•client.placeOrder(nextOrderId++, ContractSamples.USStock(), OrderSamples.LimitOrder("SELL", 1, 50))
;
•client.placeOrder(increment(nextOrderId), ContractSamples.USStock(),
OrderSamples.LimitOrder("SELL", 1, 50))
•m_pClient->placeOrder(m_orderId++, ContractSamples::USStock(), OrderSamples::LimitOrder("SELL", 1, 50))
;
•self.simplePlaceOid = self.nextOrderId()
self.placeOrder(self.simplePlaceOid, ContractSamples.USStock(),
OrderSamples.LimitOrder("SELL", 1, 50))
Immediately after the order was submitted correctly, the TWS will start sending events concerning the order's activity
via IBApi.EWrapper.openOrder and IBApi.EWrapper.orderStatus
• An order can be sent to TWS but not transmitted to the IB server by setting the IBApi.Order.Transmit flag in
the order class to False. Untransmitted orders will only be available within that TWS session (not for other
usernames) and will be cleared on restart. Also, they can be cancelled or transmitted from the API but not
viewed while they remain in the "untransmitted" state.
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10.3 Order Management 183
10.3.1.3 The openOrder callback
The IBApi.EWrapper.openOrder method delivers an IBApi.Order object representing the open order within the
system. Additionally, an IBApi.OrderState object containing margin and commission information about this
particular order.
•public class EWrapperImpl : EWrapper
{
...
public virtual void openOrder(int orderId, Contract contract, Order order, OrderState orderState)
{
Console.WriteLine("OpenOrder. ID: "+orderId+", "+contract.Symbol+", "+contract.SecType+"@"+
contract.Exchange+": "+order.Action+", "+order.OrderType+" "+order.TotalQuantity+", "+orderState.Status);
if (order.WhatIf)
{
Console.WriteLine("What-If. ID: " + orderId +
", InitMarginBefore: " + Util.formatDoubleString(orderState.InitMarginBefore) + ",
MaintMarginBefore: " + Util.formatDoubleString(orderState.MaintMarginBefore) + " EquityWithLoanBefore: " + Util.
formatDoubleString(orderState.EquityWithLoanBefore) +
", InitMarginChange: " + Util.formatDoubleString(orderState.InitMarginChange) + ",
MaintMarginChange: " + Util.formatDoubleString(orderState.MaintMarginChange) + " EquityWithLoanChange: " + Util.
formatDoubleString(orderState.EquityWithLoanChange) +
", InitMarginAfter: " + Util.formatDoubleString(orderState.InitMarginAfter) + ",
MaintMarginAfter: " + Util.formatDoubleString(orderState.MaintMarginAfter) + " EquityWithLoanAfter: " + Util.
formatDoubleString(orderState.EquityWithLoanAfter));
}
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void openOrder(int orderId, Contract contract, Order order,
OrderState orderState) {
System.out.println(EWrapperMsgGenerator.openOrder(orderId, contract, order, orderState));
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub openOrder(orderId As Integer, contract As IBApi.Contract, order As IBApi.Order,
orderState As IBApi.OrderState) Implements IBApi.EWrapper.openOrder
Console.WriteLine("OpenOrder. ID: " & orderId & ", " & contract.Symbol & ", " &
contract.SecType & " @ " & contract.Exchange &
": " & order.Action & ", " & order.OrderType & " " & order.TotalQuantity & ", " &
orderState.Status)
If order.WhatIf = True Then
Console.WriteLine("What-If. ID: " & orderId &
", InitMarginBefore: " & Util.formatDoubleString(orderState.InitMarginBefore) & ",
MaintMarginBefore: " & Util.formatDoubleString(orderState.MaintMarginBefore) & " EquityWithLoanBefore: " &
Util.formatDoubleString(orderState.EquityWithLoanBefore) &
", InitMarginChange: " & Util.formatDoubleString(orderState.InitMarginChange) & ",
MaintMarginChange: " & Util.formatDoubleString(orderState.MaintMarginChange) & " EquityWithLoanChange: " &
Util.formatDoubleString(orderState.EquityWithLoanChange) &
", InitMarginAfter: " & Util.formatDoubleString(orderState.InitMarginAfter) & ",
MaintMarginAfter: " & Util.formatDoubleString(orderState.MaintMarginAfter) & " EquityWithLoanAfter: " &
Util.formatDoubleString(orderState.EquityWithLoanAfter))
End If
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::openOrder( OrderId orderId, const Contract& contract, const Order& order, const
OrderState& ostate) {
printf( "OpenOrder. ID: %ld, %s, %s @ %s: %s, %s, %g, %g, %s, %s\n", orderId, contract.symbol.c_str(),
contract.secType.c_str(), contract.exchange.c_str(), order.action.c_str(), order.orderType.c_str(), order.
totalQuantity, order.cashQty == UNSET_DOUBLE ? 0 : order.cashQty, ostate.status.c_str(), order.
dontUseAutoPriceForHedge ? "true" :"false");
if (order.whatIf) {
printf( "What-If. ID: %ld, InitMarginBefore: %s, MaintMarginBefore: %s, EquityWithLoanBefore: %s,
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184 Orders
InitMarginChange: %s, MaintMarginChange: %s, EquityWithLoanChange: %s, InitMarginAfter: %s, MaintMarginAfter:
%s, EquityWithLoanAfter: %s\n",
orderId, Utils::formatDoubleString(ostate.initMarginBefore).c_str(), Utils::formatDoubleString(
ostate.maintMarginBefore).c_str(), Utils::formatDoubleString(ostate.equityWithLoanBefore).c_str(),
Utils::formatDoubleString(ostate.initMarginChange).c_str(), Utils::formatDoubleString(ostate.
maintMarginChange).c_str(), Utils::formatDoubleString(ostate.equityWithLoanChange).c_str(),
Utils::formatDoubleString(ostate.initMarginAfter).c_str(), Utils::formatDoubleString(ostate.
maintMarginAfter).c_str(), Utils::formatDoubleString(ostate.equityWithLoanAfter).c_str());
}
}
•class TestWrapper(wrapper.EWrapper):
...
def openOrder(self, orderId: OrderId, contract: Contract, order: Order,
orderState: OrderState):
super().openOrder(orderId, contract, order, orderState)
print("OpenOrder. ID:", orderId, contract.symbol, contract.secType,
"@", contract.exchange, ":", order.action, order.orderType,
order.totalQuantity, orderState.status)
10.3.1.4 The orderStatus callback
The IBApi.EWrapper.orderStatus method contains all relevant information on the current status of the order
execution-wise (i.e. amount filled and pending, filling price, etc.).
•public class EWrapperImpl : EWrapper
{
...
public virtual void orderStatus(int orderId, string status, double filled, double remaining, double
avgFillPrice, int permId, int parentId, double lastFillPrice, int clientId, string whyHeld, double
mktCapPrice)
{
Console.WriteLine("OrderStatus. Id: "+orderId+", Status: "+status+", Filled"+filled+",
Remaining: "+remaining
+", AvgFillPrice: " + avgFillPrice + ", PermId: " + permId + ", ParentId: " + parentId + "
, LastFillPrice: " + lastFillPrice + ", ClientId: " + clientId + ", WhyHeld: " + whyHeld + ", MktCapPrice: "
+ mktCapPrice);
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void orderStatus(int orderId, String status, double filled,
double remaining, double avgFillPrice, int permId, int parentId,
double lastFillPrice, int clientId, String whyHeld, double mktCapPrice) {
System.out.println("OrderStatus. Id: "+orderId+", Status: "+status+", Filled"+filled+", Remaining:
"+remaining
+", AvgFillPrice: "+avgFillPrice+", PermId: "+permId+", ParentId: "+parentId+",
LastFillPrice: "+lastFillPrice+
", ClientId: "+clientId+", WhyHeld: "+whyHeld+", MktCapPrice: "+mktCapPrice);
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub orderStatus(orderId As Integer, status As String, filled As Double, remaining As Double,
avgFillPrice As Double, permId As Integer, parentId As Integer, lastFillPrice As Double, clientId As
Integer, whyHeld As String, mktCapPrice As Double) Implements IBApi.EWrapper.orderStatus
Console.WriteLine("OrderStatus. Id: " & orderId & ", Status: " & status & ", Filled" & filled &
", Remaining: " & remaining &
", AvgFillPrice: " & avgFillPrice & ", PermId: " & permId & ", ParentId: " & parentId & ",
LastFillPrice: " & lastFillPrice &
", ClientId: " & clientId & ", WhyHeld: " & whyHeld & ", mktCapPrice: " & mktCapPrice)
End Sub
•class TestCppClient : public EWrapper
{
...
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10.3 Order Management 185
void TestCppClient::orderStatus(OrderId orderId, const std::string& status, double filled,
double remaining, double avgFillPrice, int permId, int parentId,
double lastFillPrice, int clientId, const std::string& whyHeld, double mktCapPrice){
printf("OrderStatus. Id: %ld, Status: %s, Filled: %g, Remaining: %g, AvgFillPrice: %g, PermId: %d,
LastFillPrice: %g, ClientId: %d, WhyHeld: %s, MktCapPrice: %g\n", orderId, status.c_str(), filled, remaining,
avgFillPrice, permId, lastFillPrice, clientId, whyHeld.c_str(), mktCapPrice);
}
•class TestWrapper(wrapper.EWrapper):
...
def orderStatus(self, orderId: OrderId, status: str, filled: float,
remaining: float, avgFillPrice: float, permId: int,
parentId: int, lastFillPrice: float, clientId: int,
whyHeld: str, mktCapPrice: float):
super().orderStatus(orderId, status, filled, remaining,
avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld, mktCapPrice)
print("OrderStatus. Id: ", orderId, ", Status: ", status, ", Filled: ", filled,
", Remaining: ", remaining, ", AvgFillPrice: ", avgFillPrice,
", PermId: ", permId, ", ParentId: ", parentId, ", LastFillPrice: ",
lastFillPrice, ", ClientId: ", clientId, ", WhyHeld: ",
whyHeld, ", MktCapPrice: ", mktCapPrice)
Automatic Order Status Messages (without invoking reqOpenOrders or reqAllOpenOrders)
• Clients with the ID of the client submitting the order will receive order status messages indicating changes in
the order status.
• The client with Master Client ID (set in TWS/IBG) will receive order status messages for all clients.
• Client ID 0 will receive order status messages for its own (client ID 0) orders and also for orders submitted
manually from TWS.
Possible Order States
•ApiPending - indicates order has not yet been sent to IB server, for instance if there is a delay in receiving
the security definition. Uncommonly received.
•PendingSubmit - indicates the order was sent from TWS, but confirmation has not been received that it has
been received by the destination. Most commonly because exchange is closed.
•PendingCancel - indicates that a request has been sent to cancel an order but confirmation has not been
received of its cancellation.
•PreSubmitted - indicates that a simulated order type has been accepted by the IB system and that this order
has yet to be elected. The order is held in the IB system until the election criteria are met. At that time the
order is transmitted to the order destination as specified.
•Submitted - indicates that your order has been accepted at the order destination and is working.
•ApiCancelled - after an order has been submitted and before it has been acknowledged, an API client client
can request its cancellation, producing this state.
•Cancelled - indicates that the balance of your order has been confirmed cancelled by the IB system. This
could occur unexpectedly when IB or the destination has rejected your order.
•Filled - indicates that the order has been completely filled.
•Inactive - indicates an order is not working, possible reasons include:
–it is invalid or triggered an error. A corresponding error code is expected to the error() function.
–the order is to short shares but the order is being held while shares are being located.
–an order is placed manually in TWS while the exchange is closed.
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186 Orders
– an order is blocked by TWS due to a precautionary setting and appears there in an untransmitted state
Important notes concerning IBApi.EWrapper.orderStatus :
•Typically there are duplicate orderStatus messages with the same information that will be received by a client.
This corresponds to messages sent back from TWS, the IB server, or the exchange.
• There are not guaranteed to be orderStatus callbacks for every change in order status. For example with mar-
ket orders when the order is accepted and executes immediately, there commonly will not be any correspond-
ing orderStatus callbacks. For that reason it is recommended to monitor the IBApi.EWrapper.execDetails
function in addition to IBApi.EWrapper.orderStatus (p. ??).
• Beginning in API v973.04, a parameter mktCapPrice is included in the orderStatus callback. If an order has
been price-capped, mktCapPrice will indicate the price at which it has been capped.
10.3.1.5 Attaching Orders
Advanced orders such as Bracket Orders or Hedging involve attaching child orders to a parent. This can be easily
done via the IBApi.Order.ParentId attribute by assigning a child order's IBApi.Order.←-ParentId to an existing
order's IBApi.Order.OrderId (p. ??). When an order is attached to another, the system will keep the child order 'on
hold' until its parent fills. Once the parent order is completely filled, its children will automatically become active.
Important: When attaching orders and to prevent accidental executions it is a very good idea to make use of the
IBApi.Order.Transmit flag as demonstrated in Bracket Orders
10.3.2 Modifying Orders
Modification of an API order can be done if the API client is connected to a session of TWS with the same username
of TWS and using the same API client ID. The function IBApi.EClient.placeOrder can then be called with the same
fields as the open order, except for the parameter to modify. This includes the IBApi.Order.OrderId (p. ??), which
must match the IBApi.Order.OrderId of the open order. It is not generally recommended to try to change order
fields aside from order price, size, and tif (for DAY -> IOC modifications). To change other parameters, it might be
preferable to instead cancel the open order, and create a new one.
• To modify or cancel an individual order placed manually from TWS, it is necessary to connect with client ID 0
and then bind the order before attempting to modify it. The process of binding assigns the order an API order
ID; prior to binding it will be returned to the API with an API order ID of 0. Orders with API order ID 0 cannot
be modified/cancelled from the API. The function reqOpenOrders binds orders open at that moment which
do not already have an API order ID, and the function reqAutoOpenOrders binds future orders automatically.
The function reqAllOpenOrders does not bind orders.
• To modify API orders when connecting to a different session of TWS (logged in with a different username
than used for the original order), it is necessary to first bind the order with client ID 0 in the same manner
as manual TWS orders are bound before they can be modified. The binding assignment of API order IDs is
independent for each TWS user, so the same order can have different API order IDs for different users. The
permID returned in the API Order class which is assigned by TWS can be used to identify an order in an
account uniquely.
• Currently (as of TWS version 970) the process of order binding from the API cancels/resubmits an order
working on an exchange. This may affect the order's place in the exchange queue. Enhancements are
planned to allow for API binding with modification of exchange queue priority.
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10.3 Order Management 187
10.3.3 Cancelling Orders
An order can be cancelled from the API with the functions IBApi::EClient::cancelOrder and IBApi::E←-
Client::reqGlobalCancel (p. ??). cancelOrder can only be used to cancel an order that was placed originally by a
client with the same client ID (or from TWS for client ID 0). It takes one argument, which is the original order ID.
•client.cancelOrder(nextOrderId-1);
•client.cancelOrder(cancelID);
•client.cancelOrder(nextOrderId - 1)
•m_pClient->cancelOrder(m_orderId-1);
•self.cancelOrder(self.simplePlaceOid)
IBApi::EClient::reqGlobalCancel will cancel all open orders, regardless of how they were originally placed.
•client.reqGlobalCancel();
•client.reqGlobalCancel();
•client.reqGlobalCancel()
•m_pClient->reqGlobalCancel();
•self.reqGlobalCancel()
10.3.4 Retrieving currently active orders
As long as an order is active, it is possible to retrieve it using the TWS API. Orders submitted via the TWS API
will always be bound to the client application (i.e. client Id) they were submitted from meaning only the submitting
client will be able to modify the placed order. Three different methods are provided to allow for maximum flexibility.
Active orders will be returned via the IBApi.EWrapper.openOrder and IBApi.EWrapper.orderStatus methods as
already described in The openOrder callback and The orderStatus callback sections
Note: it is not possible to obtain cancelled or fully filled orders.
10.3.4.1 API client's orders
The IBApi.EClient.reqOpenOrders method allows to obtain all active orders submitted by the client ap-plication
connected with the exact same client Id with which the order was sent to the TWS. If client 0 invokes
reqOpenOrders, it will cause currently open orders placed from TWS manually to be 'bound', i.e. assigned an
order ID so that they can be modified or cancelled by the API client 0. In the API settings in Global Configuration, is
a setting checked by default "Use negative numbers to bind automatic orders" which will specify how manual TWS
orders are assigned an API order ID.
•client.reqOpenOrders();
•client.reqOpenOrders();
•client.reqOpenOrders()
•m_pClient->reqOpenOrders();
•self.reqOpenOrders()
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188 Orders
10.3.4.2 All submitted orders
To obtain those orders created via the TWS API regardless of the submitting client application, make use of the
IBApi.EClient.reqAllOpenOrders function.
•client.reqAllOpenOrders();
•client.reqAllOpenOrders();
•client.reqAllOpenOrders()
•m_pClient->reqAllOpenOrders();
•self.reqAllOpenOrders()
10.3.4.3 Manually submitted orders
Finally, IBApi.EClient.reqAutoOpenOrders can only be invoked by client with ID 0. It will cause future orders
placed from TWS to be 'bound', i.e. assigned an order ID such that they can be accessed by the cancel←-Order or
placeOrder (for modification) functions by client ID 0.
•client.reqAutoOpenOrders(true);
•client.reqAutoOpenOrders(true);
•client.reqAutoOpenOrders(True)
•m_pClient->reqAutoOpenOrders(true);
•self.reqAutoOpenOrders(True)
Important: only those applications connecting with client Id 0 will be able to take over manually submitted orders
Through the TWS' API settings it is possible to configure this method's behaviour to some extent. As shown in the
image below, manually placed orders can be given a negative order Id which can serve to easily tell manual from
API submitted orders. The TWS' tooltip elaborates further:
10.3.4.4 Receiving Order Information
Active orders will be delivered via The openOrder callback and The orderStatus callback callbacks. When all
orders have been sent to the client application you will receive a IBApi.EWrapper.openOrderEnd event:
•public class EWrapperImpl : EWrapper
{
...
public virtual void openOrder(int orderId, Contract contract, Order order, OrderState orderState)
{
Console.WriteLine("OpenOrder. ID: "+orderId+", "+contract.Symbol+", "+contract.SecType+"@"+
contract.Exchange+": "+order.Action+", "+order.OrderType+" "+order.TotalQuantity+", "+orderState.Status);
if (order.WhatIf)
{
Console.WriteLine("What-If. ID: " + orderId +
", InitMarginBefore: " + Util.formatDoubleString(orderState.InitMarginBefore) + ",
MaintMarginBefore: " + Util.formatDoubleString(orderState.MaintMarginBefore) + " EquityWithLoanBefore: " + Util.
formatDoubleString(orderState.EquityWithLoanBefore) +
", InitMarginChange: " + Util.formatDoubleString(orderState.InitMarginChange) + ",
MaintMarginChange: " + Util.formatDoubleString(orderState.MaintMarginChange) + " EquityWithLoanChange: " + Util.
formatDoubleString(orderState.EquityWithLoanChange) +
", InitMarginAfter: " + Util.formatDoubleString(orderState.InitMarginAfter) + ",
MaintMarginAfter: " + Util.formatDoubleString(orderState.MaintMarginAfter) + " EquityWithLoanAfter: " + Util.
formatDoubleString(orderState.EquityWithLoanAfter));
}
}
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10.3 Order Management 189
...
public virtual void orderStatus(int orderId, string status, double filled, double remaining, double
avgFillPrice, int permId, int parentId, double lastFillPrice, int clientId, string whyHeld, double
mktCapPrice)
{
Console.WriteLine("OrderStatus. Id: "+orderId+", Status: "+status+", Filled"+filled+",
Remaining: "+remaining
+", AvgFillPrice: " + avgFillPrice + ", PermId: " + permId + ", ParentId: " + parentId + "
, LastFillPrice: " + lastFillPrice + ", ClientId: " + clientId + ", WhyHeld: " + whyHeld + ", MktCapPrice: "
+ mktCapPrice);
}
...
public virtual void openOrderEnd()
{
Console.WriteLine("OpenOrderEnd");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void openOrder(int orderId, Contract contract, Order order,
OrderState orderState) {
System.out.println(EWrapperMsgGenerator.openOrder(orderId, contract, order, orderState));
}
...
@Override
public void orderStatus(int orderId, String status, double filled,
double remaining, double avgFillPrice, int permId, int parentId,
double lastFillPrice, int clientId, String whyHeld, double mktCapPrice) {
System.out.println("OrderStatus. Id: "+orderId+", Status: "+status+", Filled"+filled+", Remaining:
"+remaining
+", AvgFillPrice: "+avgFillPrice+", PermId: "+permId+", ParentId: "+parentId+",
LastFillPrice: "+lastFillPrice+
", ClientId: "+clientId+", WhyHeld: "+whyHeld+", MktCapPrice: "+mktCapPrice);
}
...
@Override
public void openOrderEnd() {
System.out.println("OpenOrderEnd");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub openOrder(orderId As Integer, contract As IBApi.Contract, order As IBApi.Order,
orderState As IBApi.OrderState) Implements IBApi.EWrapper.openOrder
Console.WriteLine("OpenOrder. ID: " & orderId & ", " & contract.Symbol & ", " &
contract.SecType & " @ " & contract.Exchange &
": " & order.Action & ", " & order.OrderType & " " & order.TotalQuantity & ", " &
orderState.Status)
If order.WhatIf = True Then
Console.WriteLine("What-If. ID: " & orderId &
", InitMarginBefore: " & Util.formatDoubleString(orderState.InitMarginBefore) & ",
MaintMarginBefore: " & Util.formatDoubleString(orderState.MaintMarginBefore) & " EquityWithLoanBefore: " &
Util.formatDoubleString(orderState.EquityWithLoanBefore) &
", InitMarginChange: " & Util.formatDoubleString(orderState.InitMarginChange) & ",
MaintMarginChange: " & Util.formatDoubleString(orderState.MaintMarginChange) & " EquityWithLoanChange: " &
Util.formatDoubleString(orderState.EquityWithLoanChange) &
", InitMarginAfter: " & Util.formatDoubleString(orderState.InitMarginAfter) & ",
MaintMarginAfter: " & Util.formatDoubleString(orderState.MaintMarginAfter) & " EquityWithLoanAfter: " &
Util.formatDoubleString(orderState.EquityWithLoanAfter))
End If
End Sub
...
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190 Orders
Public Sub orderStatus(orderId As Integer, status As String, filled As Double, remaining As Double,
avgFillPrice As Double, permId As Integer, parentId As Integer, lastFillPrice As Double, clientId As
Integer, whyHeld As String, mktCapPrice As Double) Implements IBApi.EWrapper.orderStatus
Console.WriteLine("OrderStatus. Id: " & orderId & ", Status: " & status & ", Filled" & filled &
", Remaining: " & remaining &
", AvgFillPrice: " & avgFillPrice & ", PermId: " & permId & ", ParentId: " & parentId & ",
LastFillPrice: " & lastFillPrice &
", ClientId: " & clientId & ", WhyHeld: " & whyHeld & ", mktCapPrice: " & mktCapPrice)
End Sub
...
Public Sub openOrderEnd() Implements IBApi.EWrapper.openOrderEnd
Console.WriteLine("OpenOrderEnd")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::openOrder( OrderId orderId, const Contract& contract, const Order& order, const
OrderState& ostate) {
printf( "OpenOrder. ID: %ld, %s, %s @ %s: %s, %s, %g, %g, %s, %s\n", orderId, contract.symbol.c_str(),
contract.secType.c_str(), contract.exchange.c_str(), order.action.c_str(), order.orderType.c_str(), order.
totalQuantity, order.cashQty == UNSET_DOUBLE ? 0 : order.cashQty, ostate.status.c_str(), order.
dontUseAutoPriceForHedge ? "true" :"false");
if (order.whatIf) {
printf( "What-If. ID: %ld, InitMarginBefore: %s, MaintMarginBefore: %s, EquityWithLoanBefore: %s,
InitMarginChange: %s, MaintMarginChange: %s, EquityWithLoanChange: %s, InitMarginAfter: %s, MaintMarginAfter:
%s, EquityWithLoanAfter: %s\n",
orderId, Utils::formatDoubleString(ostate.initMarginBefore).c_str(), Utils::formatDoubleString(
ostate.maintMarginBefore).c_str(), Utils::formatDoubleString(ostate.equityWithLoanBefore).c_str(),
Utils::formatDoubleString(ostate.initMarginChange).c_str(), Utils::formatDoubleString(ostate.
maintMarginChange).c_str(), Utils::formatDoubleString(ostate.equityWithLoanChange).c_str(),
Utils::formatDoubleString(ostate.initMarginAfter).c_str(), Utils::formatDoubleString(ostate.
maintMarginAfter).c_str(), Utils::formatDoubleString(ostate.equityWithLoanAfter).c_str());
}
}
...
void TestCppClient::orderStatus(OrderId orderId, const std::string& status, double filled,
double remaining, double avgFillPrice, int permId, int parentId,
double lastFillPrice, int clientId, const std::string& whyHeld, double mktCapPrice){
printf("OrderStatus. Id: %ld, Status: %s, Filled: %g, Remaining: %g, AvgFillPrice: %g, PermId: %d,
LastFillPrice: %g, ClientId: %d, WhyHeld: %s, MktCapPrice: %g\n", orderId, status.c_str(), filled, remaining,
avgFillPrice, permId, lastFillPrice, clientId, whyHeld.c_str(), mktCapPrice);
}
...
void TestCppClient::openOrderEnd() {
printf( "OpenOrderEnd\n");
}
•class TestWrapper(wrapper.EWrapper):
...
def openOrder(self, orderId: OrderId, contract: Contract, order: Order,
orderState: OrderState):
super().openOrder(orderId, contract, order, orderState)
print("OpenOrder. ID:", orderId, contract.symbol, contract.secType,
"@", contract.exchange, ":", order.action, order.orderType,
order.totalQuantity, orderState.status)
...
def orderStatus(self, orderId: OrderId, status: str, filled: float,
remaining: float, avgFillPrice: float, permId: int,
parentId: int, lastFillPrice: float, clientId: int,
whyHeld: str, mktCapPrice: float):
super().orderStatus(orderId, status, filled, remaining,
avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld, mktCapPrice)
print("OrderStatus. Id: ", orderId, ", Status: ", status, ", Filled: ", filled,
", Remaining: ", remaining, ", AvgFillPrice: ", avgFillPrice,
", PermId: ", permId, ", ParentId: ", parentId, ", LastFillPrice: ",
lastFillPrice, ", ClientId: ", clientId, ", WhyHeld: ",
whyHeld, ", MktCapPrice: ", mktCapPrice)
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10.3 Order Management 191
...
def openOrderEnd(self):
super().openOrderEnd()
print("OpenOrderEnd")
10.3.5 Executions and Commissions
When an order is filled either fully or partially, the IBApi.EWrapper.execDetails and IBApi.EWrapper.←-
commissionReport events will deliver IBApi.Execution and IBApi.CommissionReport ob-jects. This allows to
obtain the full picture of the order's execution and the resulting commissions.
Important: To receive commissions reports for all clients it is necessary to connect as the Master Client ID (p. ??).
•public class EWrapperImpl : EWrapper
{
...
public virtual void execDetails(int reqId, Contract contract, Execution execution)
{
Console.WriteLine("ExecDetails. "+reqId+" - "+contract.Symbol+", "+contract.SecType+", "+
contract.Currency+"-"+execution.ExecId+", "+execution.OrderId+", "+execution.Shares + ", " + execution.
LastLiquidity);
}
...
public virtual void commissionReport(CommissionReport commissionReport)
{
Console.WriteLine("CommissionReport. "+commissionReport.ExecId+" - "+commissionReport.
Commission+" "+commissionReport.Currency+" RPNL "+commissionReport.RealizedPNL);
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void execDetails(int reqId, Contract contract, Execution execution) {
System.out.println("ExecDetails. "+reqId+" - ["+contract.symbol()+"], ["+contract.secType()+"], ["+
contract.currency()+"], ["+execution.execId()+
"], ["+execution.orderId()+"], ["+execution.shares()+"]" +", [" + execution.lastLiquidity
() + "]");
}
...
@Override
public void commissionReport(CommissionReport commissionReport) {
System.out.println("CommissionReport. ["+commissionReport.m_execId+"] - ["+commissionReport.
m_commission+"] ["+commissionReport.m_currency+"] RPNL ["+commissionReport.m_realizedPNL+"]");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub execDetails(reqId As Integer, contract As IBApi.Contract, execution As IBApi.Execution)
Implements IBApi.EWrapper.execDetails
Console.WriteLine("ExecDetails - ReqId [" & reqId & "] Contract [" & contract.Symbol & ", " &
contract.SecType &
"] Execution [Price: " & execution.Price & ", Exchange: " & execution.Exchange &
", Last Liquidity: " & execution.LastLiquidity.ToString() & "]")
End Sub
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192 Orders
...
Public Sub commissionReport(commissionReport As IBApi.CommissionReport) Implements
IBApi.EWrapper.commissionReport
Console.WriteLine("CommissionReport - CommissionReport [" & commissionReport.Commission & " " &
commissionReport.Currency & "]")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::execDetails( int reqId, const Contract& contract, const Execution& execution) {
printf( "ExecDetails. ReqId: %d - %s, %s, %s - %s, %ld, %g, %d\n", reqId, contract.symbol.c_str(),
contract.secType.c_str(), contract.currency.c_str(), execution.execId.c_str(), execution.orderId, execution.
shares, execution.lastLiquidity);
}
...
void TestCppClient::commissionReport( const CommissionReport& commissionReport) {
printf( "CommissionReport. %s - %g %s RPNL %g\n", commissionReport.execId.c_str(), commissionReport.
commission, commissionReport.currency.c_str(), commissionReport.realizedPNL);
}
•class TestWrapper(wrapper.EWrapper):
...
def execDetails(self, reqId: int, contract: Contract, execution: Execution):
super().execDetails(reqId, contract, execution)
print("ExecDetails. ", reqId, contract.symbol, contract.secType, contract.currency,
execution.execId, execution.orderId, execution.shares, execution.lastLiquidity)
...
def commissionReport(self, commissionReport: CommissionReport):
super().commissionReport(commissionReport)
print("CommissionReport. ", commissionReport.execId, commissionReport.commission,
commissionReport.currency, commissionReport.realizedPNL)
• Note if a correction to an execution is published it will be received as an additional IBApi.EWrapper.exec←-
Details callback with all parameters identical except for the execID in the Execution object. The execID will
differ only in the digits after the final period.
10.3.5.1 Requesting Executions
IBApi.Execution and IBApi.CommissionReport can be requested on demand via the IBApi.E←-
Client.reqExecutions method which receives a IBApi.ExecutionFilter object as parameter to obtain only those
executions matching the given criteria. An empty IBApi.ExecutionFilter object can be passed to obtain all previous
executions.
•client.reqExecutions(10001, new ExecutionFilter());
•client.reqExecutions(10001, new ExecutionFilter());
•client.reqExecutions(10001, New ExecutionFilter())
•m_pClient->reqExecutions(10001, ExecutionFilter());
•self.reqExecutions(10001, ExecutionFilter())
Once all matching executions have been delivered, an IBApi.EWrapper.execDetailsEnd event will be trig-
gered.
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10.3 Order Management 193
•public class EWrapperImpl : EWrapper
{
...
public virtual void execDetailsEnd(int reqId)
{
Console.WriteLine("ExecDetailsEnd. "+reqId+"\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void execDetailsEnd(int reqId) {
System.out.println("ExecDetailsEnd. "+reqId+"\n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub execDetailsEnd(reqId As Integer) Implements IBApi.EWrapper.execDetailsEnd
Console.WriteLine("ExecDetailsEnd - ReqId [" & reqId & "]")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::execDetailsEnd( int reqId) {
printf( "ExecDetailsEnd. %d\n", reqId);
}
•class TestWrapper(wrapper.EWrapper):
...
def execDetailsEnd(self, reqId: int):
super().execDetailsEnd(reqId)
print("ExecDetailsEnd. ", reqId)
Important: only those executions occurring since the last IB server restart for that particular account will
be delivered. Older executions will generally not be available via the TWS API.
10.3.6 Order Limitations
Aside from the TWS API's inherent limitation of 50 messages per second implying a maximum of 50 orders per
second being sent to the TWS, there are no further API-only limitations. Interactive Brokers however requires its
users to monitor their Order Efficiency Ratio (OER) as detailed in the Considerations for Optimizing
Order Efficiency IBKB article.
Additionally, please note IB allows up to 15 active orders per contract per side per account.
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194 Orders
10.3.7 MiFIR Transaction Reporting Fields
For EEA investment firms required to comply with MiFIR reporting, and who have opted in to Enriched and Dele-
gated Transaction Reporting, we have added four new order attributes to the Order class, and several new presets
to TWS and IB Gateway Global Configuration.
New order attributes include:
•IBApi.Order.Mifid2DecisionMaker - Used to send "investment decision within the firm" value (if IB←-
Api.Order.Mifid2DecisionAlgo is not used).
•IBApi.Order.Mifid2DecisionAlgo – Used to send "investment decision within the firm" value (if
IBApi.Order.Mifid2DecisionMaker is not used).
•IBApi.Order.Mifid2ExecutionTrader – Used to send "execution within the firm" value (if IBApi.←-
Order.Mifid2ExecutionAlgo is not used).
•IBApi.Order.Mifid2ExecutionAlgo - Used to send "execution within the firm" value (if IBApi.Order.←-
Mifid2ExecutionTrader is not used).
New TWS and IB Gateway Order Presets can be found in the Orders > MiFIR page of Global Configuration, and
include TWS Decision-Maker Defaults, API Decision-Maker Defaults, and Executing Trader/Algo presets.
The following choices are available for the "investment decision within the firm" IBApi.Order.Mifid2DecisionMaker
and IBApi.Order.Mifid2DecisionAlgo attributes:
1. This field does not need to be reported if you are:
• Using the TWS API to transmit orders, AND
• The investment decision is always made by the client, AND
• None of these clients are an EEA investment firm with delegated reporting selected (the "delegated
reporting firm").
You can configure the preset to indicate this via TWS Global Configuration using the Orders >MiFIR page.
In this scenario, the orders for the proprietary account will need to be placed via TWS.
2. If you are using the TWS API to transmit orders, and the investment decision is made by a person, or a group
of people within a delegated reporting firm, with one person being the primary decision maker:
• Your TWS API program can, on each order, transmit a decision maker's IB-assigned short code using
the field IBApi.Order.Mifid2DecisionMaker (p. ??). You can define persons who can be the decision-
makers via IB Account Management. To obtain the short codes that IB assigned to those persons,
please contact IB Client Services.
• If your TWS API program is unable to transmit the above field, and the investment decision is either
made by, or approved by, a single person who can be deemed to be the primary investment decision
maker, you can pre-configure a default investment decision-maker that will be used for orders where
the above fields are not present. You must define the investment decision-maker(s) in IB Account Man-
agement, and can then configure the default investment decision-maker in TWS Global Configuration
using the Orders >MiFIR page.
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10.4 Minimum Price Increment 195
3. If you are using the TWS API to transmit orders and the investment decision is made by an algorithm:
• Your TWS API program can, on each order, transmit a decision maker's IB-assigned short code using
the field IBApi.Order.Mifid2DecisionAlgo (p. ??). You can define algorithms that can be the decision-
makers via IB Account Management. To obtain the short codes that IB assigned to those persons,
please contact IB Client Services.
• If your TWS API program is unable to transmit the above field, and/or the investment decision is made
by a single or primary decision-maker algorithm, you can pre-configure a default investment decision-
maker algo that will be used for orders where the above field is not sent. You must define the investment
decision-maker(s) in IB Account Management, and can then configure the default investment decision-
maker in TWS Global Configuration using the Orders >MiFIR page.
NOTE: Only ONE investment decision-maker, either a primary person or algorithm, should be pro-
vided on an order, or selected as the default.
The following choices are available for "execution within the firm" IBApi.Order.Mifid2ExecutionTrader and
IBApi.Order.Mifid2ExecutionAlgo attributes:
1. No additional information is needed if you are using the TWS API to transmit orders entered in a third-party
trading interface, and you are the trader responsible for execution within the firm.
2. If your TWS API program transmits orders to IB automatically without human intervention, please contact IB
Client Services to register the program or programs with IB as an algo. Only the primary program or algo
needs to be registered and identified. You can then configure the default in TWS Global Configuration using
the Orders > MiFIR page.
3. Your TWS API program, on each order, can transmit the IB-assigned short code of the algo or person respon-
sible for execution within the firm using the field IBApi.Order.Mifid2ExecutionAlgo (for the algorithm) or
IBApi.Order.Mifid2ExecutionTrader (for the person).
For more information, or to obtain short codes for persons or algos defined in IB Account Management, please
contact IB Client Services.
To find out more about the MiFIR transaction reporting obligations, see the MiFIR Enriched and
Delegated Transaction Reporting for EEA Investment Firms knowledge base article.
10.4 Minimum Price Increment
The minimum increment is the minimum difference between price levels at which a contract can trade. Some trades
have constant price increments at all price levels. However some contracts have difference minimum increments
on different exchanges on which they trade and/or different minimum increments at different price levels. In the
contractDetails class, there is a field 'minTick' which specifies the smallest possible minimum increment encountered
on any exchange or price. For complete information about minimum price increment structure, there is the IB
Contracts and Securities search site, or the API function reqMarketRule starting in API v973.03 and TWS 966.
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196 Orders
The function reqContractDetails when used with a Contract object will return contractDetails object to the contract←-
Details function which has a list of the valid exchanges where the instrument trades. Also within the contractDetails
object is a field called marketRuleIDs which has a list of "market rules". A market rule is defined as a rule which
defines the minimum price increment given the price. The market rule list returned in contractDetails has a list of
market rules in the same order as the list of valid exchanges. In this way, the market rule ID for a contract on a
particular exchange can be determined.
• Market rule for forex and forex CFDs indicates default configuration (1/2 and not 1/10 pips). It can be adjusted
to 1/10 pips through TWS or IB Gateway Global Configuration.
• Some non-US securities, for instance on the SEHK exchange, have a minimum lot size. This information is
not available from the API but can be obtained from the IB Contracts and Securities search page. It will also
be indicated in the error message returned from an order which does not conform to the minimum lot size.
With the market rule ID number, the corresponding rule can be found with the API function IBApi::EClient::req←-
MarketRule (p. ??):
•client.reqMarketRule(26);
client.reqMarketRule(240);
•client.reqMarketRule(26);
client.reqMarketRule(240);
•client.reqMarketRule(26)
client.reqMarketRule(240)
•m_pClient->reqMarketRule(26);
m_pClient->reqMarketRule(635);
m_pClient->reqMarketRule(1388);
•self.reqMarketRule(26)
self.reqMarketRule(240)
The rule is returned to the function IBApi::EWrapper::marketRule
•public void marketRule(int marketRuleId, PriceIncrement[] priceIncrements)
{
Console.WriteLine("Market Rule Id: " + marketRuleId);
foreach (var priceIncrement in priceIncrements)
{
Console.WriteLine("Low Edge: {0}, Increment: {1}", ((decimal)priceIncrement.LowEdge).
ToString(), ((decimal)priceIncrement.Increment).ToString());
}
}
•@Override
public void marketRule(int marketRuleId, PriceIncrement[] priceIncrements) {
DecimalFormat df = new DecimalFormat("#.#");
df.setMaximumFractionDigits(340);
System.out.println("Market Rule Id: " + marketRuleId);
for (PriceIncrement pi : priceIncrements) {
System.out.println("Price Increment. Low Edge: " + df.format(pi.lowEdge()) + ", Increment: " +
df.format(pi.increment()));
}
}
•Public Sub marketRule(marketRuleId As Integer, priceIncrements As PriceIncrement()) Implements
EWrapper.marketRule
Console.WriteLine("Market Rule Id:" & marketRuleId)
For Each priceIncrement In priceIncrements
Console.WriteLine("LowEdge: " & CDec(priceIncrement.LowEdge) & " Increment: " &
CDec(priceIncrement.Increment))
Next
End Sub
•void TestCppClient::marketRule(int marketRuleId, const std::vector<PriceIncrement> &priceIncrements) {
printf("Market Rule Id: %d\n", marketRuleId);
for (unsigned int i = 0; i < priceIncrements.size(); i++) {
printf("Low Edge: %g, Increment: %g\n", priceIncrements[i].lowEdge, priceIncrements[i].increment);
}
}
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10.5 Checking Margin Changes 197
•def marketRule(self, marketRuleId: int, priceIncrements: ListOfPriceIncrements):
super().marketRule(marketRuleId, priceIncrements)
print("Market Rule ID: ", marketRuleId)
for priceIncrement in priceIncrements:
print("Price Increment. Low Edge: ", priceIncrement.lowEdge,
", Increment: ", priceIncrement.increment)
• For forex, there is an option in TWS/IB Gateway configuration which allows trading in 1/10 pips instead of 1/5
pips (the default).
• TWS Global Configuration ->Display ->Ticker Row ->Allow Forex trading in 1/10 pips
10.5 Checking Margin Changes
From the API it is possible to check how a specified trade execution is expected to change the account margin
requirements for an account in real time. This is done by creating an Order object which has the IBApi.Order.←-
WhatIf flag set to true. By default the whatif boolean in Order has a false value, but if set to True in an Order object
with is passed to IBApi.EClient.placeOrder (p. ??), instead of sending the order to a destination the IB server it will
undergo a credit check for the expected post-trade margin requirement. The estimated post-trade margin
requirement is returned to the IBApi.OrderState object.
This is equivalent to creating a order ticket in TWS, clicking "Preview", and viewing the information in the "Margin
Impact" panel.
See also: TWS Margin Impact
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Chapter 10
Streaming Market Data
It is possible to fetch different kinds market data from the TWS:
•Top Market Data (Level I)
•Market Depth (Level II)
•5 Second Real Time Bars
11.1 Live Market Data
In order to receive real time top-of-book, depth-of-book, or historical market data from the API it is necessary have
live market data subscriptions for the requested instruments in TWS. The full list of requirements for real time data:
(1) trading permissions for the specified instruments
(2) a funded account (except with forex and bonds), and
(3) market data subscriptions for the specified username
To subscribe to live market data:
Login to your Account Management, navigate to Manage Account ->Trade Configuration ->Market Data and
select the relevant packages and/or subscription you wish to subscribe to based on the products you require.
One way to determine which market data subscriptions are required for a given security is to enter the contract into
a TWS watchlist and the right-click on the contract to select "Launch Market Data Subscription Manager". This will
launch a browser window to the market data subscription page of a subscription covering the indicated instrument.
Alternatively, there is also a "Market Data Assistant" utility for determining market data subscriptions:
Once you have selected the relevant packages, click on the "Continue" button and confirm you have made the right
choices in the following screen.
Important: Market Data subscriptions are billable at the full month's rate and will not be pro-rated.
http://interactivebrokers.github.io/tws-api/market_data.html
200 Streaming Market Data
11.2 Sharing Market Data Subscriptions
Market data subscriptions are done at a TWS user name level, not per account. This implies that live market data
subscriptions need to be purchased per every live TWS user. The only exception to this rule are paper trading
users. To share the market data subscriptions simply access your Account Management and navigate to
Manage Account ->Settings ->Paper Trading where you will be presented to the screen below. It will take up to
24 hours until the market data sharing takes effect.
Important: since your paper trading market data permissions are bound to your live one, you can only obtain live
market data on your paper trading user if;
• You have shared the market data subscriptions accordingly as described above.
• You are NOT logged in with your live user name at the same time on a different computer.
11.3 Market Data Lines
Whenever a user requests an instrument's real time (top-of-book) market data either from within the TWS or through
the TWS API, the user is making use of a market data line. Market data lines therefore represent the active market
data requests a user has.
Example: To clarify this concept further, let us assume a user has a maxTicker Limit of ten market data lines and
is already observing the real time data of say five stocks within the TWS itself. When the user connects his TWS
API client application to the TWS, he then requests the real time market data for another different five instruments.
At a later point while all 10 requests are still active, the user tries to subscribe to the live real time market data of an
eleventh product. Since the user is already making use of ten market data lines (five in the TWS and another five in
his client application), the TWS will respond with an error message telling the client application it has reached the
maximum number of simultaneous requests. In order to request the market data of the eleventh product, the user
will have to cancel at least one of the currently active subscriptions (either within TWS or from his client program.)
By default, every user has a maxTicker Limit of 100 market data lines and as such can obtain the real time market
data of up to 100 instruments simultaneously. This limit however can be further extended either through the
purchase of quote booster packs or by increasing the equity and/or commissions of the user's account. For further
details on how to increment the number of market data lines or how is your market data lines' entitlement calculated,
please refer to our website's "Market Data Display" section within the Research, News and Market Data
page.
Note: It is important to understand the concept of market data lines since it has an impact not only on the live real
time requests but also for requesting market depth and real time bars.
11.4 Top Market Data (Level I)
Using the TWS API, you can request real time market data for trading and analysis. From the API, market data
returned from the function IBApi.EClient.reqMktData corresponds to market data displayed in TWS watch-lists.
This data is not tick-by-tick but consists of aggregated snapshots taken at intra-second intervals which differ
depending on the type of instrument:
• Important to note: Live market data and historical bars are currently not available from the API for the ex-
changes OSE and SEHKTL. Only 15 minute delayed streaming data will be available for these exchanges.
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11.4 Top Market Data (Level I) 201
Product Frequency
Stocks, Futures and others 250 ms
US Options 100 ms
FX pairs 5 ms
Requesting Watchlist Data
Receiving Watchlist Data
Cancelling Streaming Data
Component Exchanges
Market Data Types
Beginning in TWS v969 and API v973.04, tick-by-tick data. In TWS, tick-by-tick data is available in the Time & Sales
Window. From the API, this corresponds to the function IBApi::EClient::reqTickByTick. Tick-by-tick data can be
streamed for up to 5 instruments simultaneously in TWS and the API.
• Real time tick-by-tick data is currently not available for options. Historical tick-by-tick data is
available. Tick-by-Tick Data
Delayed Streaming Data
11.4.1 Requesting Watchlist Data
Streaming market data values corresponding to data shown in TWS watchlists is available via the IBApi.EClient.←-
reqMktData (p. ??). This data is not tick-by-tick but consists of aggregate snapshots taken several times per second.
A set of 'default' tick types are returned by default from a call to IBApi.EClient.reqMktData (p. ??), and additional
tick types are available by specifying the corresponding generic tick type in the market data request. Including the
generic tick types many, but not all, types of data are available that can be displayed in TWS watchlists by adding
additional columns. Each market data request uses a unique identifier (ticker ID) which identifies the returned data:
•client.reqMktData(1001, ContractSamples.StockComboContract(), string.Empty, false,false, null)
;
•client.reqMktData(1001, ContractSamples.StockComboContract(), "",false,false, null);
•client.reqMktData(1001, ContractSamples.StockComboContract(), String.Empty, False, False, Nothing)
client.reqMktData(1002, ContractSamples.FuturesOnOptions(), String.Empty, False, False, Nothing)
•m_pClient->reqMktData(1001, ContractSamples::StockComboContract(), "",false,false, TagValueListSPtr()
);
m_pClient->reqMktData(1002, ContractSamples::OptionWithLocalSymbol(), "",false,false,
TagValueListSPtr());
•self.reqMktData(1000, ContractSamples.USStockAtSmart(), "",False,False, [])
self.reqMktData(1001, ContractSamples.StockComboContract(), "",True,False, [])
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202 Streaming Market Data
11.4.1.1 Generic Tick Types
The most common tick types are delivered automatically after a successful market data request. There are however
other tick types available by explicit request: the generic tick types. When invoking IBApi.EClient.reqMktData
(p. ??), specific generic ticks can be requested via the genericTickList parameter of the function:
•//Requesting RTVolume (Time & Sales), shortable and Fundamental Ratios generic ticks
client.reqMktData(1004, ContractSamples.USStock(), "233,236,258",false,false, null);
•//Requesting RTVolume (Time & Sales), shortable and Fundamental Ratios generic ticks
client.reqMktData(1004, ContractSamples.USStock(), "233,236,258",false,false, null);
•’Requesting RTVolume (Time & Sales), shortable And Fundamental Ratios generic ticks
client.reqMktData(1004, ContractSamples.USStock(), "233,236,258", False, False, Nothing)
•//Requesting RTVolume (Time & Sales), shortable and Fundamental Ratios generic ticks
m_pClient->reqMktData(1004, ContractSamples::USStock(), "233,236,258",false,false, TagValueListSPtr()
);
•# Requesting RTVolume (Time & Sales), shortable and Fundamental Ratios generic ticks
self.reqMktData(1004, ContractSamples.USStock(), "233,236,258",False,False, [])
For a list of available tick types please refer to Available Tick Types
11.4.1.2 Streaming Data Snapshots
With an exchange market data subscription, such as Network A (NYSE), Network B(ARCA), or Network C(NASD←-
AQ) for US stocks, it is possible to request a snapshot of the current state of the market once instead of requesting a
stream of updates continuously as market values change. By invoking the IBApi::EClient::reqMktData function
passing in true for the snapshot parameter, the client application will receive the currently available market data
once before a IBApi.EWrapper.tickSnapshotEnd event is sent 11 seconds later. Snapshot requests can only be
made for the default tick types; no generic ticks can be specified. It is important to note that a snapshot request will
only return available data over the 11 second span; in many cases values for all default ticks will not be returned.
However snapshots are allowed a higher rate limit than the normal 50 messages per second limitation of other
EClientSocket functions.
Snapshot request:
•client.reqMktData(1003, ContractSamples.FutureComboContract(), string.Empty, true,false, null)
;
•client.reqMktData(1003, ContractSamples.FutureComboContract(), "",true,false, null);
•client.reqMktData(1003, ContractSamples.FutureComboContract(), String.Empty, True, False, Nothing)
•m_pClient->reqMktData(1003, ContractSamples::FutureComboContract(), "",true,false, TagValueListSPtr()
);
•self.reqMktData(1002, ContractSamples.FutureComboContract(), "",False,False, [])
End marker reception:
•public class EWrapperImpl : EWrapper
{
...
public virtual void tickSnapshotEnd(int tickerId)
{
Console.WriteLine("TickSnapshotEnd: "+tickerId);
}
•public class EWrapperImpl implements EWrapper {
...
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11.4 Top Market Data (Level I) 203
@Override
public void tickSnapshotEnd(int reqId) {
System.out.println("TickSnapshotEnd: "+reqId);
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub tickSnapshotEnd(tickerId As Integer) Implements IBApi.EWrapper.tickSnapshotEnd
Console.WriteLine("TickSnapshotEnd: " & CStr(tickerId))
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::tickSnapshotEnd(int reqId) {
printf( "TickSnapshotEnd: %d\n", reqId);
}
•class TestWrapper(wrapper.EWrapper):
...
def tickSnapshotEnd(self, reqId: int):
super().tickSnapshotEnd(reqId)
print("TickSnapshotEnd:", reqId)
11.4.1.3 Regulatory Snapshots
The fifth argument to reqMktData specifies a regulatory snapshot request to US stocks and options. Regulatory
snapshots require TWS/IBG v963 and API 973.02 or higher and specific market data subscriptions.
For stocks, there are individual exchange-specific market data subscriptions necessary to receive streaming quotes.
For instance, for NYSE stocks this subscription is known as "Network A", for ARCA/AMEX stocks it is called "←-
Network B" and for NASDAQ stocks it is "Network C". Each subscription is added a la carte and has a separate
market data fee.
Alternatively, there is also a "US Securities Snapshot Bundle" subscription which does not provide streaming data
but which allows for real time calculated snapshots of US market NBBO prices. By setting the 5th parameter in
the function IBApi::EClient::reqMktData to True, a regulatory snapshot request can be made from the API. The
returned value is a calculation of the current market state based on data from all available exchanges.
Important: Each regulatory snapshot made will incur a fee of 0.01 USD to the account. This applies to both
live and paper accounts.. If the monthly fee for regulatory snapshots reaches the price of a particular 'Network'
subscription, the user will automatically be subscribed to that Network subscription for continuous streaming quotes
and charged the associated fee for that month. At the end of the month the subscription will be terminated. Each
listing exchange will be capped independently and will not be combined across listing exchanges.
•// Each regulatory snapshot incurs a 0.01 USD fee
client.reqMktData(1005, ContractSamples.USStock(), "",false,true, null);
•// Each regulatory snapshot request incurs a 0.01 USD fee
client.reqMktData(1014, ContractSamples.USStock(), "",false,true, null);
•’ Each regulatory snapshot request will incur a fee of 0.01 USD
’ client.reqMktData(1004, ContractSamples.USStock(), "", False, True, Nothing)
•// Each regulatory snapshot incurs a fee of 0.01 USD
m_pClient->reqMktData(1013, ContractSamples::USStock(), "",false,true, TagValueListSPtr());
•# Each regulatory snapshot request incurs a 0.01 USD fee
self.reqMktData(1003, ContractSamples.USStock(), "",False,True, [])
The following table lists the cost and maximum allocation for regulatory snapshot quotes:
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204 Streaming Market Data
Listed Network Feed Price per reqSnapshot re-
quest
Pro or non-Pro Max reqSnapshot request
NYSE (Network A/CTA) 0.01 USD Pro 4500
NYSE (Network A/CTA) 0.01 USD Non-Pro 150
AMEX (Network B/CTA) 0.01 USD Pro 2300
AMEX (Network B/CTA) 0.01 USD Non-Pro 150
NASDAQ (Network C/UTP) 0.01 USD Pro 2300
NASDAQ (Network C/UTP) 0.01 USD Non-Pro 150
Requesting regulatory snapshots is subject to pacing limitations:
• If markets are closed, no more than two requests can be made in a 5 second period.
• If markets are open, there can be no more than 5 requests pending for the same contract.
11.4.1.4 Available Tick Types
Note: not all tick types are available for all instruments at all times. If you are not receiving a specific tick type when
you think you should see if the tick type in question is available within the TWS itself. Remember the TWS API is
only a delivery channel: if the information is not available in the TWS itself first, the TWS will not be able to dispatch
it via the API socket.
Tick Name Tick Id Description Delivery Method Generic tick re-
quired
Bid Size 0 Number of contracts or
lots offered at the bid
price.
IBApi.EWrapper.←
-tickSize
-
Bid Price 1 Highest priced bid for
the contract.
IBApi.EWrapper.←
-tickPrice
-
Ask Price 2 Lowest price offer on
the contract.
IBApi.EWrapper.←
-tickPrice
-
Ask Size 3 Number of contracts or
lots offered at the ask
price.
IBApi.EWrapper.←
-tickSize
-
Last Price 4 Last price at which the
contract traded (does
not include some
trades in RTVolume).
IBApi.EWrapper.←
-tickPrice
-
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11.4 Top Market Data (Level I) 205
Tick Name Tick Id Description Delivery Method Generic tick re-
quired
Last Size 5 Number of contracts or
lots traded at the last
price.
IBApi.EWrapper.←
-tickSize
-
High 6 High price for the day. IBApi.EWrapper.←
-tickPrice
-
Low 7 Low price for the day. IBApi.EWrapper.←
-tickPrice
-
Volume 8 Trading volume for the
day for the selected
contract (US Stocks←-
: multiplier 100).
IBApi.EWrapper.←
-tickSize
-
Close Price 9 The last available clos-
ing price for the previ-
ous day. For US Eq-
uities, we use corpo-
rate action processing
to get the closing price,
so the close price is
adjusted to reflect for-
ward and reverse splits
and cash and stock
dividends.
IBApi.EWrapper.←
-tickPrice
-
Bid Option Computa-
tion
10 Computed Greeks and
implied volatility based
on the underlying
stock price and the
option bid price. See
Option Greeks
IBApi.EWrapper.←-
tickOption←-
Computation
-
Ask Option Computa-
tion
11 Computed Greeks and
implied volatility based
on the underlying
stock price and the
option ask price. See
Option Greeks
IBApi.EWrapper.←-
tickOption←-
Computation
-
Last Option Computa-
tion
12 Computed Greeks
and implied volatility
based on the under-
lying stock price and
the option last traded
price. See Option
Greeks
IBApi.EWrapper.←-
tickOption←-
Computation
-
Model Option Compu-
tation
13 Computed Greeks and
implied volatility based
on the underlying
stock price and the
option model price.
Correspond to greeks
shown in TWS. See
Option Greeks
IBApi.EWrapper.←-
tickOption←-
Computation
-
Open Tick 14 Today's opening price.
The official opening
price requires a mar-
ket data subscription
to the native exchange
of a contract.
IBApi.EWrapper.←
-tickPrice
-
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206 Streaming Market Data
Tick Name Tick Id Description Delivery Method Generic tick re-
quired
Low 13 Weeks 15 Lowest price for the
last 13 weeks. For
stocks only.
IBApi.EWrapper.←
-tickPrice
165
High 13 Weeks 16 Highest price for the
last 13 weeks. For
stocks only.
IBApi.EWrapper.←
-tickPrice
165
Low 26 Weeks 17 Lowest price for the
last 26 weeks. For
stocks only.
IBApi.EWrapper.←
-tickPrice
165
High 26 Weeks 18 Highest price for the
last 26 weeks. For
stocks only.
IBApi.EWrapper.←
-tickPrice
165
Low 52 Weeks 19 Lowest price for the
last 52 weeks. For
stocks only.
IBApi.EWrapper.←
-tickPrice
165
High 52 Weeks 20 Highest price for the
last 52 weeks. For
stocks only.
IBApi.EWrapper.←
-tickPrice
165
Average Volume 21 The average daily trad-
ing volume over 90
days. Multiplier of 100.
For stocks only.
IBApi.EWrapper.←
-tickSize
165
Open Interest 22 (Deprecated, not cur-
rently in use) Total
number of options that
are not closed.
IBApi.EWrapper.←
-tickSize
-
Option Historical
Volatility
23 The 30-day historical
volatility (currently for
stocks).
IBApi.EWrapper.←
-tickGeneric
104
Option Implied Volatil-
ity
24 A prediction of how
volatile an underlying
will be in the future.
The IB 30-day volatil-
ity is the at-market
volatility estimated for
a maturity thirty cal-
endar days forward of
the current trading day,
and is based on op-
tion prices from two
consecutive expiration
months.
IBApi.EWrapper.←
-tickGeneric
106
Option Bid Exchange 25 Not Used. IBApi.EWrapper.←
-tickString
-
Option Ask Exchange 26 Not Used. IBApi.EWrapper.←
-tickString
-
Option Call Open In-
terest
27 Call option open inter-
est.
IBApi.EWrapper.←
-tickSize
101
Option Put Open Inter-
est
28 Put option open inter-
est.
IBApi.EWrapper.←
-tickSize
101
Option Call Volume 29 Call option volume for
the trading day.
IBApi.EWrapper.←
-tickSize
100
Option Put Volume 30 Put option volume for
the trading day.
IBApi.EWrapper.←
-tickSize
100
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11.4 Top Market Data (Level I) 207
Tick Name Tick Id Description Delivery Method Generic tick re-
quired
Index Future Premium 31 The number of points
that the index is over
the cash index.
IBApi.EWrapper.←
-tickGeneric
162
Bid Exchange 32 For stock and options,
identifies the ex-
change(s) posting the
bid price. See Com-
ponent Exchanges
IBApi.EWrapper.←
-tickString
-
Ask Exchange 33 For stock and options,
identifies the ex-
change(s) posting the
ask price. See Com-
ponent Exchanges
IBApi.EWrapper.←
-tickString
-
Auction Volume 34 The number of shares
that would trade if no
new orders were re-
ceived and the auction
were held now.
IBApi.EWrapper.←
-tickSize
225
Auction Price 35 The price at which the
auction would occur if
no new orders were
received and the auc-
tion were held now-
the indicative price for
the auction. Typically
received after Auction
imbalance (tick type
36)
IBApi.EWrapper.←
-tickPrice
225
Auction Imbalance 36 The number of un-
matched shares for
the next auction; re-
turns how many more
shares are on one side
of the auction than
the other. Typically
received after Auction
Volume (tick type 34)
IBApi.EWrapper.←
-tickSize
225
Mark Price 37 The mark price is the
current theoretical cal-
culated value of an in-
strument. Since it
is a calculated value,
it will typically have
many digits of preci-
sion.
IBApi.EWrapper.←
-tickPrice
221 or 232
Bid EFP Computation 38 Computed EFP bid
price
IBApi.EWrapper.←
-tickEFP
-
Ask EFP Computation 39 Computed EFP ask
price
IBApi.EWrapper.←
-tickEFP
-
Last EFP Computation 40 Computed EFP last
price
IBApi.EWrapper.←
-tickEFP
-
Open EFP Computa-
tion
41 Computed EFP open
price
IBApi.EWrapper.←
-tickEFP
-
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208 Streaming Market Data
Tick Name Tick Id Description Delivery Method Generic tick re-
quired
High EFP Computa-
tion
42 Computed high EFP
traded price for the day
IBApi.EWrapper.←
-tickEFP
-
Low EFP Computation 43 Computed low EFP
traded price for the
day
IBApi.EWrapper.←
-tickEFP
-
Close EFP Computa-
tion
44 Computed closing E←-
FP price for previous
day
IBApi.EWrapper.←
-tickEFP
-
Last Timestamp 45 Time of the last trade
(in UNIX time).
IBApi.EWrapper.←
-tickString
-
Shortable 46 Describes the level of
difficulty with which the
contract can be sold
short. See Shortable
IBApi.EWrapper.←
-tickGeneric
236
Fundamental Ratios 47 Provides the available
Reuter's Fundamental
Ratios. See Funda-
mental Ratios
Note: For some tags
the value returned
may be -99999.99.
This is Reuters' way of
indicating data is not
available for that tag
for the company.
Also see Funda-
mental Data for
requesting other
fundamental data
type using IB←-
Api.EClient.req←-
FundamentalData
(p. ??).
IBApi.EWrapper.←
-tickString
258
RT Volume (Time &
Sales)
48 Last trade details
(Including both "Last"
and "Unreportable
Last" trades). See RT
Volume
IBApi.EWrapper.←
-tickString
233
Halted 49 Indicates if a contract
is halted. See Halted
IBApi.EWrapper.←
-tickGeneric
-
Bid Yield 50 Implied yield of the
bond if it is purchased
at the current bid.
IBApi.EWrapper.←
-tickPrice
-
Ask Yield 51 Implied yield of the
bond if it is purchased
at the current ask.
IBApi.EWrapper.←
-tickPrice
-
Last Yield 52 Implied yield of the
bond if it is purchased
at the last price.
IBApi.EWrapper.←
-tickPrice
-
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11.4 Top Market Data (Level I) 209
Tick Name Tick Id Description Delivery Method Generic tick re-
quired
Custom Option Com-
putation
53 Greek values are
based off a user
customized price.
IBApi.EWrapper.←-
tickOption←-
Computation
-
Trade Count 54 Trade count for the
day.
IBApi.EWrapper.←
-tickGeneric
293
Trade Rate 55 Trade count per
minute.
IBApi.EWrapper.←
-tickGeneric
294
Volume Rate 56 Volume per minute. IBApi.EWrapper.←
-tickGeneric
295
Last RTH Trade 57 Last Regular Trading
Hours traded price.
IBApi.EWrapper.←
-tickPrice
318
RT Historical Volatility 58 30-day real time histor-
ical volatility.
IBApi.EWrapper.←
-tickGeneric
411
IB Dividends 59 Contract's dividends.
See IB Dividends
IBApi.EWrapper.←
-tickString
456
Bond Factor Multiplier 60 Not currently imple-
mented.
-
Regulatory Imbalance 61 The imbalance that
is used to determine
which at-the-open
or at-the-close or-
ders can be entered
following the publish-
ing of the regulatory
imbalance.
IBApi.EWrapper.←
-tickSize
-
News 62 Contract's news feed. IBApi.EWrapper.←
-tickString
292
Short-Term Volume 3
Minutes
63 The past three minutes
volume. Interpolation
may be applied. For
stocks only.
IBApi.EWrapper.←
-tickSize
595
Short-Term Volume 5
Minutes
64 The past five minutes
volume. Interpolation
may be applied. For
stocks only.
IBApi.EWrapper.←
-tickSize
595
Short-Term Volume 10
Minutes
65 The past ten minutes
volume. Interpolation
may be applied. For
stocks only.
IBApi.EWrapper.←
-tickSize
595
Delayed Bid 66 Delayed bid price. See
Market Data Types
IBApi.EWrapper.←
-tickPrice
-
Delayed Ask 67 Delayed ask price.
See Market Data
Types
IBApi.EWrapper.←
-tickPrice
-
Delayed Last 68 Delayed last traded
price. See Market
Data Types
IBApi.EWrapper.←
-tickPrice
-
Delayed Bid Size 69 Delayed bid size. See
Market Data Types
IBApi.EWrapper.←
-tickSize
-
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210 Streaming Market Data
Tick Name Tick Id Description Delivery Method Generic tick re-
quired
Delayed Ask Size 70 Delayed ask size. See
Market Data Types
IBApi.EWrapper.←
-tickSize
-
Delayed Last Size 71 Delayed last size. See
Market Data Types
IBApi.EWrapper.←
-tickSize
-
Delayed High Price 72 Delayed highest price
of the day. See Market
Data Types
IBApi.EWrapper.←
-tickPrice
-
Delayed Low Price 73 Delayed lowest price
of the day. See Market
Data Types
IBApi.EWrapper.←
-tickPrice
-
Delayed Volume 74 Delayed traded vol-
ume of the day. See
Market Data Types
IBApi.EWrapper.←
-tickSize
-
Delayed Close 75 The prior day's closing
price.
IBApi.EWrapper.←
-tickPrice
-
Delayed Open 76 Not typically available IBApi.EWrapper.←
-tickPrice
-
RT Trade Volume 77 Last trade details
that excludes "←-
Unreportable Trades".
See RT Trade Volume
IBApi.EWrapper.←
-tickString
375
Creditman mark price 78 Not currently available IBApi.EWrapper.←
-tickPrice
Creditman slow mark
price
79 Slower mark price up-
date used in system
calculations
IBApi.EWrapper.←
-tickPrice
619
Delayed Bid Option 80 Computed greeks
based on delayed bid
price. See Market
Data Types and
Option Greeks
IBApi.EWrapper.←
-tickPrice
Delayed Ask Option 81 Computed greeks
based on delayed ask
price. See Market
Data Types and
Option Greeks
IBApi.EWrapper.←
-tickPrice
Delayed Last Option 82 Computed greeks
based on delayed last
price. See Market
Data Types and
Option Greeks
IBApi.EWrapper.←
-tickPrice
Delayed Model Option 83 Computed Greeks
and model's implied
volatility based on
delayed stock and
option prices.
IBApi.EWrapper.←
-tickPrice
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Tick Name Tick Id Description Delivery Method Generic tick re-
quired
Last Exchange 84 Exchange of last
traded price
IBApi.EWrapper.←
-tickString
Last Regulatory Time 85 Timestamp (in Unix ms
time) of last trade re-
turned with regulatory
snapshot
IBApi.EWrapper.←
-tickString
Average Option Vol-
ume
87 Average volume of the
corresponding option
contracts(TWS Build
970+ is required)
IBApi.EWrapper.←
-tickSize
105
Delayed Last Times-
tamp
88 Delayed time of the
last trade (in UN←-
IX time) (TWS Build
970+ is required)
IBApi.EWrapper.←
-tickString
11.4.1.4.1 Halted
The Halted tick type indicates if a contract has been halted for trading. It can have the following values:
Value Description
-1 Halted status not available. Usually returned with frozen data.
0 Not halted. This value will only be returned if the contract is in a TWS watchlist.
1 General halt. Trading halt is imposed for purely regulatory reasons with/without volatility halt.
2 Volatility halt. Trading halt is imposed by the exchange to protect against extreme volatility.
11.4.1.4.2 Shortable
The shortable tick is an indicative on the amount of shares which can be sold short for the contract:
Range Description
Value higher than
2.5
There are at least 1000 shares available for short selling.
Value higher than
1.5
This contract will be available for short selling if shares can be located.
1.5 or less Contract is not available for short selling.
The TWS API cannot send the exact number of shortable shares available. For more detailed information about
shortability data (shortable shares, fee rate, rebate rate) available outside of TWS, IB provides an FTP site. For
more information, see knowledge base article 2024
11.4.1.4.3 Volume Data
The API reports the current day's volume in several ways. They are summarized as follows:
• Volume tick type 8: The 'native volume'. This includes delayed transactions, busted trades, and combos, but
will not update with every tick.
• RTVolume: highest number, includes non-reportable trades such as odd lots, average price and derivative
trades.
• RTTradeVolume: only includes 'last' ticks, similar to number also used in charts/historical data.
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11.4.1.4.4 RT Volume
The RT Volume tick type corresponds to the TWS' Time & Sales window and contains the last trade's price, size
and time along with current day's total traded volume, Volume Weighted Average Price (VWAP) and whether or not
the trade was filled by a single market maker.
There is a new setting available starting in TWS v969 which displays tick-by-tick data in the TWS Time & Sales
Window. If this setting is checked, it will provide a higher granularity of data than RTVolume.
Example: 701.28;1;1348075471534;67854;701.46918464;true
As volume for US stocks is reported in lots, a volume of 0 reported in RTVolume will typically indicate an odd lot
data point (less than 100 shares).
It is important to note that while the TWS Time & Sales Window also has information about trade conditions available
with data points, this data is not available through the API. So for instance, the 'unreportable' trade status displayed
with points in the Time & Sales Window is not available through the API, and that trade data will appear in the API
just as any other data point. As always, an API application needs to exercise caution in responding to single data
points.
11.4.1.4.5 RT Trade Volume
The RT Trade Volume is similar to RT Volume, but designed to avoid relaying back "Unreportable Trades" shown
in TWS Time&Sales via the API. RT Trade Volume will not contain average price or derivative trades which are
included in RTVolume.
11.4.1.4.6 IB Dividends
This tick type provides four different comma-separated elements:
• The sum of dividends for the past 12 months (0.83 in the example below).
• The sum of dividends for the next 12 months (0.92 from the example below).
• The next dividend date (20130219 in the example below).
• The next single dividend amount (0.23 from the example below).
Example: 0.83,0.92,20130219,0.23
To receive dividend information it is sometimes necessary to direct-route rather than smart-route market data re-
quests.
11.4.1.4.7 Delayed Data
Delayed Data support through the API is available with TWS and IBG versions 962 and higher.
To receive delayed data for exchanges without the necessary market data subscriptions for live data, the function
call Market Data Types is made prior to reqMktData. Quotes for data from 15-20 minutes prior will be
streamed back.
Note: API version 9.72 and higher is suggested, but not required, so as to correctly label the delayed tick types (Tick
ID 66∼76).
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11.4 Top Market Data (Level I) 213
11.4.2 Fundamental Ratios
The Fundamental Ratios tick type is delivered as is from Thomson Reuters. IB does not reformat/re-parse Reuters
XML Data, and provides a maximum of 105 tags.
• For older data, it is feasible you may receive less tags (refer to LATESTADATE tag).
• A tag with the value of -99999.99 is an indicator from Reuter's that data is not available for that security.
Also see Fundamental Data for requesting other fundamental data type using IBApi.EClient.req←-
FundamentalData ( p. ??).
See below for all available tag values:
Tag Description
AATCA Total current assets - MRY
This value is the sum of all current assets reported for the most recent fiscal year.
NOTE:
Insurance companies, Banks, and Industrial companies with captive finance subsidiaries do
not distinguish between current and long term assets. They report only Total Assets. For
these companies this value will be Not Meaningful.
ACFSHR Cash Flow per share - MRY
This is Cash Flow for the most recent fiscal year divided by the Average Shares Outstanding
for the same period. Cash Flow is defined as the sum of Income After Taxes minus Preferred
Dividends and General Partner Distributions plus Depreciation, Depletion and Amortization.
ADIV5YAVG Dividend per share - 5 Yr. Avg.
This is the average of the Annual Dividends Per Share for the last 5 years.
AEBIT EBIT - MRY
Earnings before Interest and Tax (EBIT) is computed as Total Revenues for the most recent
fiscal year minus Total Operating Expenses plus Operating Interest Expense for the same
period. This definition excludes non-operating income and expenses.
NOTE:
This item is only available for Industrial and Utility companies.
AEBTNORM Earnings before taxes Normalized
This is the Income Before Tax number excluding the impact of all unusual/one-time/special
charges items for the most recent annual period.
AEPSNORM EPS Normalized
This is the Normalized Income Available to Common Stockholders for the most recent an-
nual period divided by the same period's Diluted Weighted Average Shares Outstanding.
AEPSXCLXOR EPS excluding extraordinary items - MRY
This is the Adjusted Income Available to Common Stockholders for the most recent fiscal
year divided by the most recent fiscal year's Diluted Weighted Average Shares Outstanding.
AFEEPSNTM Analyst Forecast of EPS - N12
Analyst Forecast Estimate of EPS for the next twelve months
AFPRD Net issuance of debt - MRY
Net issuance of debt for the most recent fiscal year
AFPSS Net issuance of stock - MRY
Net issuance of stock for the most recent fiscal year
ALSTD Notes payable/short term debt - MRY
Notes payable/short term debt for the most recent fiscal year
ALTCL Total current liabilities - MRY
This is the sum of all current and long term liabilities reported for the most recent fiscal year.
ANIACNORM Net Income Available to Common, Normalized
This is the annual dollar amount accruing to common shareholders for dividends and re-
tained earnings excluding the impact of all unusual/one-time/special charges items.
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214 Streaming Market Data
Tag Description
AOTLO Cash from operating activities - MRY
Total Cash From Operating Activities represents the sum of Net Income, Depreciation and
Amortization, Non-Cash Items, Cash Receipts and Payments, Cash Taxes and Interest
Paid, Changes in Working Capital for the most recent fiscal year.
APENORM P/E Normalized
This is the Current Price divided by the latest annual Normalized Earnings Per Share value.
APTMGNPCT Pretax margin %
This value represents Income Before Taxes for the most recent fiscal year expressed as a
percent of Total Revenue for the most recent fiscal year.
AREVPS Revenue/share - MRY
This value is the Total Revenue for the most recent fiscal year divided by the Average Diluted
Shares Outstanding for the same period.
AROAPCT Return on average assets - MRY %
This value is calculated as the Income After Taxes for the most recent fiscal year divided by
the Average Total Assets, expressed as a percentage. Average Total Assets is the average
of the Total Assets at the beginning and the end of the year.
AROIPCT Return on investment - MRY %
This value is the annual Income After Taxes divided by the average Total Long Term Debt,
Other Long Term Liabilities, and Shareholders Equity, expressed as a percentage.
ASCEX Capital expenditures - MRY
Capital expenditures for the most recent fiscal year
ASFCF Financing cash flow items - MRY
Financing cash flow items for the most recent fiscal year
ASICF Investing cash flow items - MRY
Investing cash flow items for the most recent fiscal year
ASINN Interest exp.(inc.), net-operating - MRY
This is the Total Operating and Non-Operating Interest Expense for the most recent fiscal
year.
NOTE:
This item is Not Meaningful for Banks and Insurance companies.
ASOPI Operating income - MRY
This is the amount of profit realized from a business's operations after taking out operating
expenses for the most recent fiscal year.
BETA Beta
Beta is a measure of a company's common stock price volatility relative to the market.
Reuters Beta is the slope of the 60 month regression line of the percentage price change
of the stock relative to the percentage price change of the local index. Beta values are not
calculated if less than 40 months of pricing is available
CURRENCY Currency
The currency in which ratios are denominated.
DIVGRPCT Growth rate % - dividend
The Dividend Growth Rate is the compound annual growth rate in dividends per share.
DIVGR% is calculated for 3 years whenever 4 years of dividends are available.
EPSCHNGYR EPS Change Y/Y %
This value is calculated as the most recent interim period EPS minus the EPS for the same
interim period 1 year ago divided by the EPS for the same interim period one year ago,
multiplied by 100.
NOTE:
EPS must be positive for both periods. If either EPS value is negative, the result in Not
Meaningful (NM).
Generated by Doxygen
11.4 Top Market Data (Level I) 215
Tag Description
EPSTRENDGR EPS growth rate %
This growth rate is the compound annual growth rate of Earnings Per Share Excluding
Extraordinary Items and Discontinued Operations over the last 5 years.
NOTE:
If the value for either the most recent year or the oldest year is zero or negative, the growth
rate cannot be calculated and a 'NA' (Not Available) code will be used.
EV_Cur Current Enterprise Value
This is the sum of Market Capitalization and Net Debt for the most recent fiscal period.
NOTE:
This item is reported only for Industrial, Utility & Banking companies.
EV2EBITDA_Cur Enterprise Value to EBITDA - TTM
This is the current enterprise value divided by the EBITDA for the most recent trailing twelve
months period.
NOTE:
This item is reported only for Industrial and Utility companies.
Frac52Wk 52 Week Fraction
This is calculated as (Last - 52 week low) / (52 week high - 52 week low).
LATESTADATE Last available date
This value is the date when the ratio data was last updated.
MKTCAP Market capitalization
This value is calculated by multiplying the current Price by the current number of Shares
Outstanding.
NetDebt_I Net Debt, LFI
This value is the sum of all short term debt, and notes payables, Long Term debt, minority
interest, and preferred equity minus the total cash and equivalents and short term invest-
ments for the most recent interim period.
NOTE:
This item is reported only for Industrial, Utility companies Utility & Banking companies.
NHIG High Price
This price is the highest Price the stock traded at in the last 12 months. This could be an
intra-day high.
NLOW Low Price
This price is the lowest Price the stock traded at in the last 12 months. This could be an
intra-day low.
NPRICE Closing Price
This is the close price for the issue from the day it last traded. It is also referred to as the
Current Price. Note that some issues may not trade every day, and therefore it is possible
for this price to come from a date prior to the last business day.
PEEXCLXOR P/E excluding extraordinary items
This ratio is calculated by dividing the current Price by the sum of the Diluted Earnings Per
Share from continuing operations BEFORE Extraordinary Items and Accounting Changes
over the last four interim periods.
PR13WKPCT Price - 13 week price percent change
This is the percentage change in the company's stock price over the last thirteen weeks.
PR1WKPCT Price - 1 week price percent change
This is the percentage change in the company's stock price over the last week.
PR2TANBK Price/Tang.Book Ratio
This is the Current Price divided by the latest interim period Tangible Book Value Per Share.
Tangible Book Value Per Share is defined as Book Value minus Goodwill and Intangible
Assets divided by the Shares Outstanding at the end of the interim period.
PR4WKPCT Price - 4 week price percent change
This is the percentage change in the company's stock price over the last four weeks.
Generated by Doxygen
216 Streaming Market Data
Tag Description
PR52WKPCT Price - 52 week price percent change
This is the percentage change in the company's stock price over the last fifty two weeks.
PRICE2BK Price to Book
This is the Current Price divided by the latest interim period Book Value Per Share.
PRYTDPCTR Relative (S&P500) price percent change - YTD
This is the percentage change in price since the close of the last trading day of the previous
year as compared to the change in price of the S&P 500 during that same period.
QATCA Total current assets - MRQ
This value is the sum of all current assets reported for the most recent interim period.
NOTE:
Insurance companies, Banks, and Industrial companies with captive finance subsidiaries do
not distinguish between current and long term assets. They report only Total Assets. For
these companies this value will be Not Meaningful.
QBVPS Book Value (Common Equity) per share
This is defined as the Common Shareholder's Equity divided by the Shares Outstanding
at the end of the most recent interim period. Book Value is the Total Shareholder's Equity
minus Preferred Stock and Redeemable Preferred Stock.
QCASH Cash and short term investments - MRQ
This is the Total Cash plus Short Term Investments for the most recent interim period.
NOTE:
This does NOT include cash equivalents that may be reported under long term assets.
QCSHPS Cash per share
This is the Total Cash plus Short Term Investments divided by the Shares Outstanding at
the end of the most recent interim period.
NOTE:
This does NOT include cash equivalents that may be reported under long term assets.
QCURRATIO Current ratio
This is the ratio of Total Current Assets for the most recent interim period divided by Total
Current Liabilities for the same period.
NOTE:
This item is Not Available (NA) for Banks, Insurance companies and other companies that
do not distinguish between current and long term assets and liabilities.
QEBIT EBIT - MRQ
Earnings before Interest and Tax (EBIT) is computed as Total Revenues for the most recent
interim period minus Total Operating Expenses plus Operating Interest Expense for the
same period. This definition excludes non-operating income and expenses.
NOTE:
This item is only available for Industrial and Utility companies.
QEBITDA EBITD - MRQ
Earnings Before Interest, Taxes, Depreciation and Amortization (EBITDA) is EBIT for the
most recent interim period plus the same period's Depreciation and Amortization expenses
(from the Statement of Cash Flows).
NOTE:
This item is only available for Industrial and Utility companies.
QFPRD Net issuance of debt - MRQ
Net issuance of debt for the most recent interim period
QFPSS Net issuance of stock - MRQ
Net issuance of stock for the most recent interim period
QLSTD Notes payable/short term debt - MRQ
Notes payable/short term debt for the most recent interim period
QLTCL Total current liabilities - MRQ
This is the sum of all current and long term liabilities reported for the most recent interim
period.
Generated by Doxygen
11.4 Top Market Data (Level I) 217
Tag Description
QLTD2EQ LT debt/equity
This ratio is the Total Long Term Debt for the most recent interim period divided by Total
Shareholder Equity for the same period.
QOTLO Cash from operating activities - MRQ
Total Cash From Operating Activities represents the sum of Net Income, Depreciation and
Amortization, Non-Cash Items, Cash Receipts and Payments, Cash Taxes and Interest
Paid, Changes in Working Capital for the most recent interim period.
QPR2REV Price to revenues - MRQ
This is the current Price divided by the Sales Per Share for the most recent interim period. If
there is a preliminary earnings announcement for an interim period that has recently ended,
the revenue (sales) values from this announcement will be used in calculating the interim
Revenues Per Share.
NOTE:
This value has been annualized to make it more readily comparable to the annual and TTM
values. Additionally, most Banks and Insurance companies do not report revenues when
they announce their preliminary interim financial results in the press. When this happens,
the interim value will not be available until the complete interim period filing is released.
QPRCFPS Price to Cash Flow per share - MRQ
This is the current Price divided by Cash Flow Per Share for the most recent interim period.
Cash Flow is defined as Income After Taxes minus Preferred Dividends and General Partner
Distributions plus Depreciation, Depletion and Amortization.
QQUICKRATI Quick ratio
Also known as the Acid Test Ratio, this ratio is defined as Cash plus Short Term Investments
plus Accounts Receivable for the most recent interim period divided by the Total Current
Liabilities for the same period.
NOTE:
This item is Not Available (NA) for Banks, Insurance companies and other companies that
do not distinguish between current and long term assets and liabilities.
QSCEX Capital expenditures - MRQ
Capital expenditures for the most recent interim period
QSFCF Financing cash flow items - MRQ
Financing cash flow items for the most recent interim period
QSICF Investing cash flow items - MRQ
Investing cash flow items for the most recent interim period
QSINN Interest exp.(inc.), net-operating - MRQ
This is the Total Operating and Non-Operating Interest Expense for the most recent interim
period.
NOTE:
This item is Not Meaningful for Banks and Insurance companies.
QSOPI Operating income - MRQ
This is the amount of profit realized from a business's operations after taking out operating
expenses for the most recent interim period.
QTA Total assets - MRQ
This is the sum of all short and long term asset categories reported for the most recent
interim period.
QTANBVPS Book Value (tangible) per share
This is the interim Tangible Book Value divided by the Shares Outstanding at the end of
the most recent interim period. Tangible Book Value is the Book Value minus Goodwill and
Intangible Assets for the same period.
QTL Total liabilities - MRQ
This is the sum of all current and long term liabilities reported for the most recent interim
period.
Generated by Doxygen
218 Streaming Market Data
Tag Description
QTOTCE Total common equity - MRQ
Also referred to as Common Shareholder's Equity, this is the Total Shareholder's Equity as
of the most recent interim period Balance Sheet minus Preferred Stock and Redeemable
Preferred Stock.
QTOTD2EQ Total debt/total equity
This ratio is Total Debt for the most recent interim period divided by Total Shareholder Equity
for the same period.
NOTE:
This is Not Meaningful (NM) for banks.
QTOTLTD Total long-term debt - MRQ
This is the sum of all Long Term Debt and Capitalized Lease Obligations for the most recent
interim period.
REVCHNGYR Revenue Change Y/Y %
This value is calculated as the most recent interim period Sales minus the Sales for the
same interim period 1 year ago divided by the Sales for the same interim period one year
ago, multiplied by 100.
REVTRENDGR Revenue growth rate %
The Five Year Revenue Growth Rate is the annual compounded growth rate of Revenues
over the last 5 years.
TTMCFSHR Cash Flow per share
This value is the trailing twelve month Cash Flow divided by the trailing twelve month Av-
erage Shares Outstanding. Cash Flow is defined as the sum of Income After Taxes minus
Preferred Dividends and General Partner Distributions plus Depreciation, Depletion and
Amortization.
TTMDIVSHR Dividends per share
This is the sum of the Cash Dividends per share paid to common stockholders during the
last trailing twelve month period.
TTMEBITD EBITD
Earnings Before Interest, Taxes, Depreciation and Amortization (EBITDA) is EBIT for the
trailing twelve months plus the same period's Depreciation and Amortization expenses (from
the Statement of Cash Flows).
NOTE:
This item is only available for Industrial and Utility companies.
TTMEBT Earnings before taxes
Also known as Pretax Income and Earnings Before Taxes, this is Total Revenue for the
most recent TTM period minus Total Expenses plus Non-operating Income (Expenses) for
the same period.
TTMEPSCHG EPS Change TTM %
This is the percent change in the trailing twelve month EPS as compared to the same trailing
twelve month period one year ago. It is calculated as the trailing twelve month EPS minus
the trailing twelve month EPS one year ago divided by the trailing twelve month EPS one
year ago, multiplied by 100.
NOTE:
If either value has a negative value, the resulting value will be Not Meaningful (NM).
TTMEPSXCLX EPS exc. extr. items
This is the Adjusted Income Available to Common Stockholders for the trailing twelve months
divided by the trailing twelve month Diluted Weighted Average Shares Outstanding.
TTMFCF Free Cash Flow - TTM
This value is calculated from the Quarterly Statement of Cash Flows. It is calculated as the
TTM Cash From Operations minus Capital Expenditures and Dividends Paid for the same
period.
TTMFCFSHR Free Cash Flow per share - TTM
This is the trailing twelve month Free Cash Flow divided by the trailing twelve month Average
Shares Outstanding found on the Income Statement.
Generated by Doxygen
11.4 Top Market Data (Level I) 219
Tag Description
TTMGROSMGN Gross Margin %
This value measures the percent of revenue left after paying all direct production expenses.
It is calculated as the trailing 12 months Total Revenue minus the trailing 12 months Cost of
Goods Sold divided by the trailing 12 months Total Revenue and multiplied by 100.
NOTE:
This item is only available for Industrial and Utility companies.
TTMINTCOV Net Interest coverage - TTM
Also known as Times Interest Earned, this is the ratio of Earnings Before Interest and Taxes
for the trailing twelve months divided by the trailing twelve month Interest Expense, Net.
NOTE:
If TTM Total Interest Expense, Net is less or equal 0 (equivalent of Interest Income), then
Interest Coverage is Not Meaningful (NM). This item is NM for Banks and Insurance com-
panies.
TTMINVTURN Inventory turnover - TTM
This value measures how quickly the Inventory is sold. It is defined as Cost of Goods Sold
for the trailing twelve months divided by Average Inventory. Average Inventory is calculated
by adding the Inventory for the 5 most recent quarters and dividing by 5.
NOTE:
This value is Not Meaningful (NM) for Banks and Insurance companies.
TTMNIAC Net Income available to common
This is the trailing twelve month dollar amount accruing to common shareholders for divi-
dends and retained earnings. Income Available to Common Shareholders is calculated as
trailing twelve month Income After Taxes plus Minority Interest and Equity in Affiliates plus
Preferred Dividends, General Partner Distributions and US GAAP Adjustments.
NOTE:
Any adjustment that is negative (ie. Preferred Stock Dividends) would be subtracted from
Income After Taxes.
TTMNIPEREM Net Income/Employee - TTM
This value is the Income After Taxes for the trailing twelve months divided by the number of
employees at the end of the last reported fiscal year.
TTMNPMGN Net Profit Margin %
Also known as Return on Sales, this value is the Income After Taxes for the trailing twelve
months divided by Total Revenue for the same period and is expressed as a percentage.
NOTE:
Most Banks and Finance companies do not report revenues when they announce their
preliminary quarterly financial results in the press. When this happens, the trailing twelve
month value will not be available (NA).
TTMOPMGN Operating margin %
This value measures the percent of revenues remaining after paying all operating expenses.
It is calculated as the trailing 12 months Operating Income divided by the trailing 12 months
Total Revenue, multiplied by 100. Operating Income is defined as Total Revenue minus Total
Operating Expenses.
TTMPAYRAT Payout ratio %
This ratio is the percentage of the Primary/Basic Earnings Per Share Excluding Extraordi-
nary Items paid to common stockholders in the form of cash dividends during the trailing
twelve months.
TTMPR2REV Price to sales
This is the current Price divided by the Sales Per Share for the trailing twelve months. If
there is a preliminary earnings announcement for an interim period that has recently ended,
the revenue (sales) values from this announcement will be used in calculating the trailing
twelve month revenue per share.
NOTE:
Most Banks and Finance companies do not report revenues when they announce their
preliminary interim financial results in the press. When this happens, the trailing twelve
month values will not be available (NA) until the complete interim filing is released.
Generated by Doxygen
220 Streaming Market Data
Tag Description
TTMPRCFPS Price to Cash Flow per share
This is the current Price divided by Cash Flow Per Share for the trailing twelve months.
Cash Flow is defined as Income After Taxes minus Preferred Dividends and General Partner
Distributions plus Depreciation, Depletion and Amortization.
TTMPRFCFPS Price to Free Cash Flow per share - TTM
This is the current Price divided by the trailing twelve month Free Cash Flow Per Share.
Free Cash Flow is calculated from the Statement of Cash Flows as Cash From Operations
minus Capital Expenditures and Dividends Paid.
TTMPTMGN Pretax margin - TTM
This value represents the trailing twelve month Income Before Taxes expressed as a percent
of Total Revenue for the same period.
TTMRECTURN Receivables turnover - TTM
This is the ratio of Total Revenue for the trailing twelve months divided by Average Accounts
Receivables. Average Receivables is calculated by adding the Accounts Receivables for the
5 most recent quarters and dividing by 5.
NOTE:
This item is Not Meaningful (NM) for Banks.
TTMREV Revenue
This is the sum of all revenue (sales) reported for all operating divisions for the most recent
TTM period.
NOTE:
Most banks and Insurance companies do not report revenues when they announce their
preliminary quarterly financial results in the press. When this happens, the quarterly value
will not be available (NA).
TTMREVCHG Revenue Change TTM %
This is the percent change in the trailing twelve month Sales as compared to the same
trailing twelve month period one year ago. It is calculated as the trailing twelve month Sales
minus the trailing twelve month Sales one year ago divided by the trailing twelve month
Sales one year ago, multiplied by 100.
TTMREVPERE Revenue/Employee - TTM
This value is the trailing twelve month Total Sales divided by the number of Employees at
the end of the last reported fiscal year.
TTMREVPS Revenue/share
This value is the trailing twelve month Total Revenue divided by the Average Diluted Shares
Outstanding for the trailing twelve months.
NOTE:
Most Banks and Insurance companies do not report revenues when they announce their
preliminary quarterly financial results in the press. When this happens, the trailing twelve
month values will not be available (NA).
TTMROAPCT Return on average assets %
This value is the Income After Taxes for the trailing twelve months divided by the Average
Total Assets, expressed as a percentage. Average Total Assets is calculated by adding the
Total Assets for the 5 most recent quarters and dividing by 5.
TTMROEPCT Return on average equity %
This value is the Income Available to Common Stockholders for the trailing twelve months
divided by the Average Common Equity and is expressed as a percentage. Average Com-
mon Equity is calculated by adding the Common Equity for the 5 most recent quarters and
dividing by 5.
TTMROIPCT Return on investment %
This value is the trailing twelve month Income After Taxes divided by the average Total Long
Term Debt, Other Long Term Liabilities and Shareholders Equity, expressed as a percent-
age.
Generated by Doxygen
11.4 Top Market Data (Level I) 221
Tag Description
YIELD Dividend Yield
This value is the current percentage dividend yield based on the present cash dividend rate.
It is calculated as the Indicated Annual Dividend divided by the Current Price, multiplied by
100.
YLD5YAVG Dividend Yield - 5 Yr. Avg.
This value is the average of the dividend yield over the last 60 months.
11.4.3 Receiving Watchlist Data
11.4.3.1 Receiving Market Data
Real time data is accessed in the API using a subscribe-and-publish model that is also used with other functionality
such as retrieving position or account values. After a streaming market data subscription request for a particular
contract in IB's database is made, a continuous stream of market data is returned by TWS and separated to different
functions in EWrapper depending on the data type (integer vs decimal vs string). Since the subscribe-and-publish
model is inherently asynchronous, the returned data is linked to the initial request using a numerical label specified
in the request called the request ID (reqID).
After subscribing to the ticker stream, your API client will receive the data supplied by the TWS API server via
several methods. In your API client code, you will need to implement these methods to manipulate the data relayed
back to the client. Notice how market data callbacks such as IBApi.EWrapper.tickPrice and IBApi.E←-
Wrapper.tickSize methods contain the request id with which the response can be mapped to its originating request.
By default, there are certain 'default tick types' that are always returned. These include fields such as the bid price,
ask price, bid size, ask size, etc. There are additional types of data available with the real time data that are
requested by specifying certain "generic tick types" in the market data request. For more information, Generic Tick
Types (p. ??).
When IBApi::EWrapper::tickPrice and IBApi::EWrapper::tickSize are reported as -1, this indicates that there is
no data currently available. Most commonly this occurs when requesting data from markets that are closed. It can
also occur for infrequently trading instruments which do not have open bids or offers at that time of the request. To
receive frozen quotes (the last available bid/ask recorded by the system) invoke the function IBApi.←-
EClient.reqMarketDataType with argument 2. Alternatively, to receive "delayed frozen" data from tickers without
holding market data subscriptions, specify a market data type of 4. Frozen data is exclusive to default tick types-
Generic Tick Types are not available- and requires market data subscriptions.
For bid, ask, and last data, there will always be a IBApi::EWrapper::tickSize callback following each I←-
BApi::EWrapper::tickPrice (p. ??). This is important because with combo contracts, an actively trading contract
can have a price of zero. In this case it will have a positive IBApi::EWrapper::tickSize value. IBApi::E←-
Wrapper::tickSize is also invoked every time there is a change in the size of the last traded price. For that reason,
there will be duplicate tickSize events when both the price and size of a trade changes.
•public class EWrapperImpl : EWrapper
{
...
public virtual void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
Console.WriteLine("Tick Price. Ticker Id:"+tickerId+", Field: "+field+", Price: "+price+",
CanAutoExecute: "+attribs.CanAutoExecute +
", PastLimit: " + attribs.PastLimit + ", PreOpen: " + attribs.PreOpen);
}
Generated by Doxygen
222 Streaming Market Data
–The boolean value canAutoExecute in tickPrice is intended to indicate that a quote is available for
immediate execution. The boolean value pastLimit indicates whether the bid price is lower than the
day's lowest value or the ask price is higher than the highest ask.
–Beginning in API v973.04 the pre-open attribute is available in the API. This attribute indicates that
bid/ask quotes released by futures exchanges are in the pre-open period.
public virtual void tickSize(int tickerId, int field, int size)
{
Console.WriteLine("Tick Size. Ticker Id:" + tickerId + ", Field: " + field + ", Size: " + size)
;
}
....
public virtual void tickString(int tickerId, int tickType, string value)
{
Console.WriteLine("Tick string. Ticker Id:" + tickerId + ", Type: " + tickType + ", Value: " +
value);
}
....
public virtual void tickGeneric(int tickerId, int field, double value)
{
Console.WriteLine("Tick Generic. Ticker Id:" + tickerId + ", Field: " + field + ", Value: " +
value);
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void tickPrice(int tickerId, int field, double price, TickAttr attribs) {
System.out.println("Tick Price. Ticker Id:"+tickerId+", Field: "+field+", Price: "+price+",
CanAutoExecute: "+ attribs.canAutoExecute()
+", pastLimit: " + attribs.pastLimit() + ", pre-open: " + attribs.preOpen());
}
–The boolean value canAutoExecute in tickPrice is intended to indicate that a quote is available for
immediate execution. The boolean value pastLimit indicates whether the bid price is lower than the
day's lowest value or the ask price is higher than the highest ask.
–Beginning in API v973.04 the pre-open attribute is available in the API. This attribute indicates that
bid/ask quotes released by futures exchanges are in the pre-open period.
@Override
public void tickSize(int tickerId, int field, int size) {
System.out.println("Tick Size. Ticker Id:" + tickerId + ", Field: " + field + ", Size: " + size);
}
...
@Override
public void tickString(int tickerId, int tickType, String value) {
System.out.println("Tick string. Ticker Id:" + tickerId + ", Type: " + tickType + ", Value: " +
value);
}
...
@Override
public void tickGeneric(int tickerId, int tickType, double value) {
System.out.println("Tick Generic. Ticker Id:" + tickerId + ", Field: " + TickType.getField(tickType
)+", Value: " + value);
}
•Public Class EWrapperImpl
Implements EWrapper
...
Generated by Doxygen
11.4 Top Market Data (Level I) 223
Public Sub tickPrice(tickerId As Integer, field As Integer, price As Double, attribs As TickAttrib)
Implements IBApi.EWrapper.tickPrice
Console.WriteLine("TickPrice - TickerId [" & CStr(tickerId) & "] Field [" &
TickType.getField(field) & "] Price [" & CStr(price) & "] PreOpen [" & attribs.PreOpen & "]")
End Sub
–The boolean value canAutoExecute in tickPrice is intended to indicate that a quote is available for
immediate execution. The boolean value pastLimit indicates whether the bid price is lower than the
day's lowest value or the ask price is higher than the highest ask.
–Beginning in API v973.04 the pre-open attribute is available in the API. This attribute indicates that
bid/ask quotes released by futures exchanges are in the pre-open period.
Public Sub tickSize(tickerId As Integer, field As Integer, size As Integer) Implements
IBApi.EWrapper.tickSize
Console.WriteLine("Tick Size. Ticker Id:" & CStr(tickerId) & ", Field: " &
TickType.getField(field) & ", Size: " & CStr(size))
End Sub
....
Public Sub tickString(tickerId As Integer, field As Integer, value As String) Implements
IBApi.EWrapper.tickString
Console.WriteLine("Tick string. Ticker Id:" & CStr(tickerId) & ", Type: " &
TickType.getField(field) & ", Value: " & value)
End Sub
....
Public Sub tickGeneric(tickerId As Integer, field As Integer, value As Double) Implements
IBApi.EWrapper.tickGeneric
Console.WriteLine("Tick Generic. Ticker Id:" & tickerId & ", Field: " & field & ", Value: " &
value)
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::tickPrice( TickerId tickerId, TickType field, double price, const TickAttrib& attribs)
{
printf( "Tick Price. Ticker Id: %ld, Field: %d, Price: %g, CanAutoExecute: %d, PastLimit: %d, PreOpen:
%d\n", tickerId, (int)field, price, attribs.canAutoExecute, attribs.pastLimit, attribs.preOpen);
}
–The boolean value canAutoExecute in tickPrice is intended to indicate that a quote is available for
immediate execution. The boolean value pastLimit indicates whether the bid price is lower than the
day's lowest value or the ask price is higher than the highest ask.
–Beginning in API v973.04 the pre-open attribute is available in the API. This attribute indicates that
bid/ask quotes released by futures exchanges are in the pre-open period.
void TestCppClient::tickSize( TickerId tickerId, TickType field, int size) {
printf( "Tick Size. Ticker Id: %ld, Field: %d, Size: %d\n", tickerId, (int)field, size);
}
....
void TestCppClient::tickString(TickerId tickerId, TickType tickType, const std::string& value) {
printf( "Tick String. Ticker Id: %ld, Type: %d, Value: %s\n", tickerId, (int)tickType, value.c_str());
}
....
void TestCppClient::tickGeneric(TickerId tickerId, TickType tickType, double value) {
printf( "Tick Generic. Ticker Id: %ld, Type: %d, Value: %g\n", tickerId, (int)tickType, value);
}
•class TestWrapper(wrapper.EWrapper):
...
Generated by Doxygen
224 Streaming Market Data
def tickPrice(self, reqId: TickerId, tickType: TickType, price: float,
attrib: TickAttrib):
super().tickPrice(reqId, tickType, price, attrib)
print("Tick Price. Ticker Id:", reqId, "tickType:", tickType,
"Price:", price, "CanAutoExecute:", attrib.canAutoExecute,
"PastLimit:", attrib.pastLimit, end=’ ’)
if tickType == TickTypeEnum.BID or tickType == TickTypeEnum.ASK:
print("PreOpen:", attrib.preOpen)
else:
print()
–The boolean value canAutoExecute in tickPrice is intended to indicate that a quote is available for
immediate execution. The boolean value pastLimit indicates whether the bid price is lower than the
day's lowest value or the ask price is higher than the highest ask.
–Beginning in API v973.04 the pre-open attribute is available in the API. This attribute indicates that
bid/ask quotes released by futures exchanges are in the pre-open period.
def tickSize(self, reqId: TickerId, tickType: TickType, size: int):
super().tickSize(reqId, tickType, size)
print("Tick Size. Ticker Id:", reqId, "tickType:", tickType, "Size:", size)
....
def tickString(self, reqId: TickerId, tickType: TickType, value: str):
super().tickString(reqId, tickType, value)
print("Tick string. Ticker Id:", reqId, "Type:", tickType, "Value:", value)
....
def tickGeneric(self, reqId: TickerId, tickType: TickType, value: float):
super().tickGeneric(reqId, tickType, value)
print("Tick Generic. Ticker Id:", reqId, "tickType:", tickType, "Value:", value)
11.4.3.2 Exchange Component Mapping
A market data request is able to return data from multiple exchanges. Beginning in TWS/IBG v963 and API v973.02,
after a market data request is made for an instrument covered by market data subscriptions, a message will be sent
to function IBApi::EWrapper::tickReqParams with information about 'minTick', BBO exchange mapping, and
available snapshot permissions.
•public void tickReqParams(int tickerId, double minTick, string bboExchange, int snapshotPermissions
)
{
Console.WriteLine("id={0} minTick = {1} bboExchange = {2} snapshotPermissions = {3}", tickerId,
minTick, bboExchange, snapshotPermissions);
BboExchange = bboExchange;
}
•@Override
public void tickReqParams(int tickerId, double minTick, String bboExchange, int snapshotPermissions) {
System.out.println("Tick req params. Ticker Id:" + tickerId + ", Min tick: " + minTick + ", bbo
exchange: " + bboExchange + ", Snapshot permissions: " + snapshotPermissions);
}
•Public Sub tickReqParams(tickerId As Integer, minTick As Double, bboExchange As String,
snapshotPermissions As Integer) Implements EWrapper.tickReqParams
Console.WriteLine("id={0} minTick = {1} bboExchange = {2} snapshotPermissions = {3}", tickerId,
minTick, bboExchange, snapshotPermissions)
Me.BboExchange = bboExchange
End Sub
•void TestCppClient::tickReqParams(int tickerId, double minTick, const std::string& bboExchange, int
snapshotPermissions) {
printf("tickerId: %d, minTick: %g, bboExchange: %s, snapshotPermissions: %u", tickerId, minTick,
bboExchange.c_str(), snapshotPermissions);
m_bboExchange = bboExchange;
}
Generated by Doxygen
11.4 Top Market Data (Level I) 225
•def tickReqParams(self, tickerId:int, minTick:float,
bboExchange:str, snapshotPermissions:int):
super().tickReqParams(tickerId, minTick, bboExchange, snapshotPermissions)
print("tickReqParams: ", tickerId, " minTick: ", minTick,
" bboExchange: ", bboExchange, " snapshotPermissions: ", snapshotPermissions)
The exchange mapping identifier bboExchange will be a symbol such as "a6" which can be used to decode the
single letter exchange abbreviations returned to the bidExch, askExch, and lastExch fields by invoking the function
IBApi::EClient::reqSmartComponents (p. ??). More information about Component Exchanges (p. ??).
The minTick returned to tickReqParams indicates the minimum increment in market data values returned to the A←-
PI. It can differ from the minTick value in the ContractDetails class. For instance, combos will often have a minimum
increment of 0.01 for market data and a minTick of 0.05 for order placement.
11.4.3.3 Re-Routing CFDs
IB does not provide market data for certain types of instruments, such as stock CFDs and forex CFDs. If a stock
CFD or forex CFD is entered into a TWS watchlist, TWS will automatically display market data for the underlying
ticker and show a 'U' icon next to the instrument name to indicate that the data is for the underlying instrument.
From the API, when level 1 or level 2 market data is requested for a stock CFD or a forex CFD, a callback is made
to the functions IBApi::EWrapper::rerouteMktDataReq or IBApi::EWrapper::rerouteMktDepthReq
respectively with details about the underlying instrument in IB's database which does have market data.
•public void rerouteMktDataReq(int reqId, int conId, string exchange)
{
Console.WriteLine("Re-route market data request. Req Id: {0}, ConId: {1}, Exchange: {2}", reqId
, conId, exchange);
}
...
public void rerouteMktDepthReq(int reqId, int conId, string exchange)
{
Console.WriteLine("Re-route market depth request. Req Id: {0}, ConId: {1}, Exchange: {2}",
reqId, conId, exchange);
}
•@Override
public void rerouteMktDataReq(int reqId, int conId, String exchange) {
System.out.println(EWrapperMsgGenerator.rerouteMktDataReq(reqId, conId, exchange));
}
...
@Override
public void rerouteMktDepthReq(int reqId, int conId, String exchange) {
System.out.println(EWrapperMsgGenerator.rerouteMktDepthReq(reqId, conId, exchange));
}
•Public Sub rerouteMktDataReq(reqId As Integer, conId As Integer, exchange As String) Implements
IBApi.EWrapper.rerouteMktDataReq
Console.WriteLine("Re-route market data request. Req Id: {0}, Con Id: {1}, Exchange: {2}",
reqId, conId, exchange)
End Sub
...
Public Sub rerouteMktDepthReq(reqId As Integer, conId As Integer, exchange As String) Implements
IBApi.EWrapper.rerouteMktDepthReq
Console.WriteLine("Re-route market depth request. Req Id: {0}, Con Id: {1}, Exchange: {2}",
reqId, conId, exchange)
End Sub
•void TestCppClient::rerouteMktDataReq(int reqId, int conid, const std::string& exchange) {
printf( "Re-route market data request. ReqId: %d, ConId: %d, Exchange: %s\n", reqId, conid, exchange.
c_str());
}
...
Generated by Doxygen
226 Streaming Market Data
void TestCppClient::rerouteMktDepthReq(int reqId, int conid, const std::string& exchange) {
printf( "Re-route market depth request. ReqId: %d, ConId: %d, Exchange: %s\n", reqId, conid, exchange.
c_str());
}
•def rerouteMktDataReq(self, reqId: int, conId: int, exchange: str):
super().rerouteMktDataReq(reqId, conId, exchange)
print("Re-route market data request. Req Id: ", reqId,
", ConId: ", conId, " Exchange: ", exchange)
...
def rerouteMktDepthReq(self, reqId: int, conId: int, exchange: str):
super().rerouteMktDataReq(reqId, conId, exchange)
print("Re-route market data request. Req Id: ", reqId,
", ConId: ", conId, " Exchange: ", exchange)
11.4.4 Cancelling Streaming Data
Once an active market data request is no longer needed, it can be cancelled via the IBApi::EClient::cancelMkt←-
Data method. The one argument to cancelMktData is the ticker ID which was specified in original market data
request. Cancelling a subscription allows the user to make a subscription to a different contract and remain within the
level 1 market data lines allowance.
•client.cancelMktData(1001);
client.cancelMktData(1002);
client.cancelMktData(1003);
client.cancelMktData(1014);
client.cancelMktData(1015);
client.cancelMktData(1016);
•client.cancelMktData(1001);
client.cancelMktData(1002);
client.cancelMktData(1003);
client.cancelMktData(1014);
client.cancelMktData(1015);
client.cancelMktData(1016);
•client.cancelMktData(1001)
client.cancelMktData(1002)
client.cancelMktData(1003)
client.cancelMktData(1004)
client.cancelMktData(1005)
client.cancelMktData(1014)
client.cancelMktData(1015)
client.cancelMktData(1016)
•m_pClient->cancelMktData(1001);
m_pClient->cancelMktData(1002);
m_pClient->cancelMktData(1003);
m_pClient->cancelMktData(1014);
m_pClient->cancelMktData(1015);
m_pClient->cancelMktData(1016);
•self.cancelMktData(1000)
self.cancelMktData(1001)
self.cancelMktData(1002)
self.cancelMktData(1003)
Generated by Doxygen
11.4 Top Market Data (Level I) 227
11.4.5 Component Exchanges
A single data request from the API can receive aggregate quotes from multiple exchanges. With API versions 9.←-
72.18 and TWS 9.62 and higher, the tick types 'bidExch' (tick type 32), 'askExch' (tick type 33), 'lastExch' (tick type
84) are used to identify the source of a quote. To preserve bandwidth, the data returned to these tick types consists
of a sequence of capital letters rather than a long list of exchange names for every returned exchange name field.
To find the full exchange name corresponding to a single letter code returned in tick types 32, 33, or 84, and API
function IBApi::EClient::reqSmartComponents is available. Note: This function can only be used when the
exchange is open.
Different IB contracts have a different exchange map containing the set of exchanges on which they trade. Each
exchange map has a different code, such as "a6" or "a9". This exchange mapping code is returned to IBApi::←-
EWrapper::tickReqParams immediately after a market data request is made by a user with market data
subscriptions. To find a particular map of single letter codes to full exchange names, the function reqSmart←-
Components is invoked with the exchange mapping code returned to tickReqParams.
•client.reqSmartComponents(13002, testImpl.BboExchange);
•client.reqSmartComponents(1013, "a6");
•client.reqSmartComponents(13002, wrapperImpl.BboExchange)
•m_pClient->reqSmartComponents(13002, m_bboExchange);
•# Requests description of map of single letter exchange codes to full exchange names
self.reqSmartComponents(1013, "a6")
For instance, a market data request for the IBKR US contract may return the exchange mapping identifier "a6" to
IBApi.EWrapper.tickReqParams . Invoking the function IBApi.EClient.reqSmartComponents with the symbol
"a9" will reveal the list of exchanges offering market data for the IBKR US contract, and their single letter codes. The
code for "ARCA" may be "P". In that case if "P" is returned to the exchange tick types, that would indicate the quote
was provided by ARCA.
•public void smartComponents(int reqId, Dictionary<int, KeyValuePair<string, char>> theMap)
{
StringBuilder sb = new StringBuilder();
sb.AppendFormat("==== Smart Components Begin (total={0}) reqId = {1} ====\n", theMap.Count,
reqId);
foreach (var item in theMap)
{
sb.AppendFormat("bit number: {0}, exchange: {1}, exchange letter: {2}\n", item.Key, item.
Value.Key, item.Value.Value);
}
sb.AppendFormat("==== Smart Components Begin (total={0}) reqId = {1} ====\n", theMap.Count,
reqId);
Console.WriteLine(sb);
}
•@Override
public void smartComponents(int reqId, Map<Integer, Entry<String, Character>> theMap) {
System.out.println("smart components req id:" + reqId);
for (Map.Entry<Integer, Entry<String, Character>> item : theMap.entrySet()) {
System.out.println("bit number: " + item.getKey() +
", exchange: " + item.getValue().getKey() + ", exchange letter: " + item.getValue().
getValue());
}
}
•Public Sub smartComponents(reqId As Integer, theMap As Dictionary(Of Integer, KeyValuePair(Of
String, Char))) Implements EWrapper.smartComponents
Dim sb As New StringBuilder
sb.AppendFormat("==== Smart Components Begin (total={0}) reqId = {1} ===={2}", theMap.Count,
reqId, Environment.NewLine)
For Each item In theMap
sb.AppendFormat("bit number: {0}, exchange: {1}, exchange letter: {2}{3}", item.Key,
Generated by Doxygen
228 Streaming Market Data
item.Value.Key, item.Value.Value, Environment.NewLine)
Next
sb.AppendFormat("==== Smart Components Begin (total={0}) reqId = {1} ===={2}", theMap.Count,
reqId, Environment.NewLine)
Console.WriteLine(sb)
End Sub
•void TestCppClient::smartComponents(int reqId, const SmartComponentsMap& theMap) {
printf("Smart components: (%lu):\n", theMap.size());
for (SmartComponentsMap::const_iterator i = theMap.begin(); i != theMap.end(); i++) {
printf(" bit number: %d exchange: %s exchange letter: %c\n", i->first, std::get<0>(i->second).c_str
(), std::get<1>(i->second));
}
}
•def smartComponents(self, reqId:int, map:SmartComponentMap):
super().smartComponents(reqId, map)
print("smartComponents: ")
for exch in map:
print(exch.bitNumber, ", Exchange Name: ", exch.exchange,
", Letter: ", exch.exchangeLetter)
11.4.6 Market Data Types
The API can request Live, Frozen, Delayed and Delayed Frozen market data from Trader Workstation by switching
market data type via the IBApi.EClient.reqMarketDataType before making a market data request with req←-
MktData. A successful switch to a different (non-live) market data type for a particular market data request will be
indicated by a callback to IBApi::EWrapper::marketDataType with the ticker ID of the market data request which is
returning a different type of data.
• Beginning in TWS v970, a IBApi.EClient.reqMarketDataType callback of 1 will occur automatically after
invoking reqMktData if the user has live data permissions for the instrument.
Market Data Type ID Description
Live 1 Live market data is streaming data relayed back in real time. Market data subscrip-
tions are required to receive live market data.
Frozen 2 Frozen market data is the last data recorded at market close. In TWS, Frozen data
is displayed in gray numbers. When you set the market data type to Frozen, you are
asking TWS to send the last available quote when there is not one currently avail-
able. For instance, if a market is currently closed and real time data is requested, -1
values will commonly be returned for the bid and ask prices to indicate there is no
current bid/ask data available. TWS will often show a 'frozen' bid/ask which repre-
sents the last value recorded by the system. To receive the last know bid/ask price
before the market close, switch to market data type 2 from the API before request-
ing market data. API frozen data requires TWS/IBG v.962 or higher and the same
market data subscriptions necessary for real time streaming data.
Delayed 3 Free, delayed data is 15 - 20 minutes delayed. In TWS, delayed data is displayed
in brown background. When you set market data type to delayed, you are telling
TWS to automatically switch to delayed market data if the user does not have the
necessary real time data subscription. If live data is available a request for delayed
data would be ignored by TWS. Delayed market data is returned with delayed Tick
Types (Tick ID 66∼76).
Note: TWS Build 962 or higher is required and API version 9.72.18 or higher is
suggested.
Delayed Frozen 4 Requests delayed "frozen" data for a user without market data subscriptions.
Generated by Doxygen
11.4 Top Market Data (Level I) 229
•/*** Switch to live (1) frozen (2) delayed (3) or delayed frozen (4)***/
client.reqMarketDataType(2);
•/*** Switch to live (1) frozen (2) delayed (3) or delayed frozen (4)***/
client.reqMarketDataType(2);
•’*** Switch to live (1) frozen (2) delayed (3) or delayed frozen (4)***/
client.reqMarketDataType(1)
•/*** By default only real-time (1) market data is enabled
Sending frozen (2) enables frozen market data
Sending delayed (3) enables delayed market data and disables delayed-frozen market data
Sending delayed-frozen (4) enables delayed and delayed-frozen market data
Sending real-time (1) disables frozen, delayed and delayed-frozen market data ***/
m_pClient->reqMarketDataType(2);
•# Switch to live (1) frozen (2) delayed (3) delayed frozen (4).
self.reqMarketDataType(MarketDataTypeEnum.DELAYED)
After invoking IBApi.EClient.reqMarketDataType to fetch frozen or delayed data, subsequent IBApi::E←-
Client::reqMktData requests will trigger IBApi.EWrapper.marketDataType as one of the resulting events to
indicate the data type (2 or 3) of the returned data.
•public class EWrapperImpl : EWrapper
{
...
public virtual void marketDataType(int reqId, int marketDataType)
{
Console.WriteLine("MarketDataType. "+reqId+", Type: "+marketDataType+"\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void marketDataType(int reqId, int marketDataType) {
System.out.println("MarketDataType. ["+reqId+"], Type: ["+marketDataType+"]\n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub marketDataType(reqId As Integer, marketDataType As Integer) Implements
IBApi.EWrapper.marketDataType
Console.WriteLine("MarketDataType - ReqId [" & reqId & "] MarketDataType [" & marketDataType &
"]")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::marketDataType(TickerId reqId, int marketDataType) {
printf( "MarketDataType. ReqId: %ld, Type: %d\n", reqId, marketDataType);
}
•class TestWrapper(wrapper.EWrapper):
...
def marketDataType(self, reqId: TickerId, marketDataType: int):
super().marketDataType(reqId, marketDataType)
print("MarketDataType. ", reqId, "Type:", marketDataType)
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230 Streaming Market Data
11.4.7 Tick-by-Tick Data
Tick-by-tick data corresponding to the data shown in the TWS Time & Sales Window is available starting with TWS
v969 and API v973.04. Up to 5 instruments can receive tick-by-tick data at a time.
• The tick type field is case sensitive - it must be BidAsk, Last, AllLast, MidPoint. AllLast has additional trade
types such as combos, derivatives, and average price trades which are not included in Last.
• Tick-by-tick data for options is currently only available historically and not in real time.
• Tick-by-tick data is not available for combos.
•client.reqTickByTickData(19001, ContractSamples.USStockAtSmart(), "Last", 0, false);
client.reqTickByTickData(19002, ContractSamples.USStockAtSmart(), "AllLast", 0, false);
client.reqTickByTickData(19003, ContractSamples.USStockAtSmart(), "BidAsk", 0, true);
client.reqTickByTickData(19004, ContractSamples.EurGbpFx(), "MidPoint", 0, false);
•client.reqTickByTickData(19001, ContractSamples.USStockAtSmart(), "Last", 0, false);
client.reqTickByTickData(19002, ContractSamples.USStockAtSmart(), "AllLast", 0, false);
client.reqTickByTickData(19003, ContractSamples.USStockAtSmart(), "BidAsk", 0, true);
client.reqTickByTickData(19004, ContractSamples.EurGbpFx(), "MidPoint", 0, false);
•client.reqTickByTickData(19001, ContractSamples.EuropeanStock(), "Last", 0, False)
client.reqTickByTickData(19002, ContractSamples.EuropeanStock(), "AllLast", 0, False)
client.reqTickByTickData(19003, ContractSamples.EuropeanStock(), "BidAsk", 0, True)
client.reqTickByTickData(19004, ContractSamples.EurGbpFx(), "MidPoint", 0, False)
•m_pClient->reqTickByTickData(20005, ContractSamples::EuropeanStock(), "Last", 10, false);
m_pClient->reqTickByTickData(20006, ContractSamples::EuropeanStock(), "AllLast", 10, false);
m_pClient->reqTickByTickData(20007, ContractSamples::EuropeanStock(), "BidAsk", 10, false);
m_pClient->reqTickByTickData(20008, ContractSamples::EurGbpFx(), "MidPoint", 10, true);
•self.reqTickByTickData(19001, ContractSamples.USStockAtSmart(), "Last", 0, True)
self.reqTickByTickData(19002, ContractSamples.USStockAtSmart(), "AllLast", 0, False)
self.reqTickByTickData(19003, ContractSamples.USStockAtSmart(), "BidAsk", 0, True)
self.reqTickByTickData(19004, ContractSamples.USStockAtSmart(), "MidPoint", 0, False)
Depending on the type of data requested, it will be returned to one of the functions IBApi::EWrapper←-
::historicalTicksLast (p. ??), IBApi::EWrapper::historicalTicksBidAsk (p. ??), IBApi::EWrapper::tickByTick←
-MidPoint (p. ??), or IBApi::EWrapper::tickByTickAllLast
•public void historicalTicksLast(int reqId, HistoricalTickLast[] ticks, bool done)
{
foreach (var tick in ticks)
{
Console.WriteLine("Historical Tick Last. Request Id: {0}, Time: {1}, Mask: {2}, Price: {3},
Size: {4}, Exchange: {5}, Special Conditions: {6}",
reqId, Util.UnixSecondsToString(tick.Time, "yyyyMMdd-HH:mm:ss zzz"), tick.Mask, tick.
Price, tick.Size, tick.Exchange, tick.SpecialConditions);
}
}
•public void historicalTicksLast(int reqId, List<HistoricalTickLast> ticks, boolean done) {
for (HistoricalTickLast tick : ticks) {
System.out.println(EWrapperMsgGenerator.historicalTickLast(reqId, tick.time(), tick.mask(),
tick.price(), tick.size(), tick.exchange(),
tick.specialConditions()));
}
}
•Public Sub historicalTickLast(reqId As Integer, ticks As HistoricalTickLast(), done As Boolean)
Implements EWrapper.historicalTicksLast
For Each tick In ticks
Console.WriteLine("Historical Tick Last. Request Id: {0}, Time: {1}, Mask: {2}, Price: {3},
Size: {4}, Exchange: {5}, Special Conditions: {6}",
reqId, Util.UnixSecondsToString(tick.Time, "yyyyMMdd-HH:mm:ss zzz"), tick.Mask,
tick.Price, tick.Size, tick.Exchange, tick.SpecialConditions)
Next
End Sub
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11.4 Top Market Data (Level I) 231
•void TestCppClient::historicalTicksLast(int reqId, const std::vector<HistoricalTickLast>& ticks, bool done)
{
for (HistoricalTickLast tick : ticks) {
std::time_t t = tick.time;
std::cout << "Historical tick last. ReqId: " << reqId << ", time: " << ctime(&t) << ", mask: " <<
tick.mask << ", price: "<< tick.price <<
", size: " << tick.size << ", exchange: " << tick.exchange << ", special conditions: " << tick.
specialConditions << std::endl;
}
}
•def historicalTicksLast(self, reqId: int, ticks: ListOfHistoricalTickLast,
done: bool):
for tick in ticks:
print("Historical Tick Last. Req Id: ", reqId, ", time: ", tick.time,
", price: ", tick.price, ", size: ", tick.size, ", exchange: ", tick.exchange,
", special conditions:", tick.specialConditions)
•public void historicalTicksBidAsk(int reqId, HistoricalTickBidAsk[] ticks, bool done)
{
foreach (var tick in ticks)
{
Console.WriteLine("Historical Tick Bid/Ask. Request Id: {0}, Time: {1}, Mask: {2} Price
Bid: {3}, Price Ask {4}, Size Bid: {5}, Size Ask {6}",
reqId, Util.UnixSecondsToString(tick.Time, "yyyyMMdd-HH:mm:ss zzz"), tick.Mask, tick.
PriceBid, tick.PriceAsk, tick.SizeBid, tick.SizeAsk);
}
}
•@Override
public void historicalTicksBidAsk(int reqId, List<HistoricalTickBidAsk> ticks, boolean done) {
for (HistoricalTickBidAsk tick : ticks) {
System.out.println(EWrapperMsgGenerator.historicalTickBidAsk(reqId, tick.time(), tick.mask(),
tick.priceBid(), tick.priceAsk(), tick.sizeBid(),
tick.sizeAsk()));
}
}
•Public Sub historicalTickBidAsk(reqId As Integer, ticks As HistoricalTickBidAsk(), done As Boolean)
Implements EWrapper.historicalTicksBidAsk
For Each tick In ticks
Console.WriteLine("Historical Tick Bid/Ask. Request Id: {0}, Time: {1}, Mask: {2} Price
Bid: {3}, Price Ask {4}, Size Bid: {5}, Size Ask {6}",
reqId, Util.UnixSecondsToString(tick.Time, "yyyyMMdd-HH:mm:ss zzz"), tick.Mask,
tick.PriceBid, tick.PriceAsk, tick.SizeBid, tick.SizeAsk)
Next
End Sub
•void TestCppClient::historicalTicksBidAsk(int reqId, const std::vector<HistoricalTickBidAsk>& ticks, bool
done) {
for (HistoricalTickBidAsk tick : ticks) {
std::time_t t = tick.time;
std::cout << "Historical tick bid/ask. ReqId: " << reqId << ", time: " << ctime(&t) << ", mask: " <
< tick.mask << ", price bid: "<< tick.priceBid <<
", price ask: "<< tick.priceAsk << ", size bid: " << tick.sizeBid << ", size ask: " << tick.
sizeAsk << std::endl;
}
}
•def historicalTicksBidAsk(self, reqId: int, ticks: ListOfHistoricalTickBidAsk,
done: bool):
for tick in ticks:
print("Historical Tick Bid/Ask. Req Id: ", reqId, ", time: ", tick.time,
", bid price: ", tick.priceBid, ", ask price: ", tick.priceAsk,
", bid size: ", tick.sizeBid, ", ask size: ", tick.sizeAsk)
•public void tickByTickMidPoint(int reqId, long time, double midPoint)
{
Console.WriteLine("Tick-By-Tick. Request Id: {0}, TickType: MidPoint, Time: {1}, MidPoint: {2}"
,
reqId, Util.UnixSecondsToString(time, "yyyyMMdd-HH:mm:ss zzz"), midPoint);
}
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232 Streaming Market Data
•@Override
public void tickByTickMidPoint(int reqId, long time, double midPoint) {
System.out.println(EWrapperMsgGenerator.tickByTickMidPoint(reqId, time, midPoint));
}
•Public Sub tickByTickMidPoint(reqId As Integer, time As Long, midPoint As Double) Implements
EWrapper.tickByTickMidPoint
Console.WriteLine("Tick-By-Tick. Request Id: {0}, TickType: MidPoint, Time: {1}, MidPoint:
{2}",
reqId, Util.UnixSecondsToString(time, "yyyyMMdd-HH:mm:ss zzz"), midPoint)
End Sub
•void TestCppClient::tickByTickMidPoint(int reqId, time_t time, double midPoint) {
printf("Tick-By-Tick. ReqId: %d, TickType: MidPoint, Time: %s, MidPoint: %g\n", reqId, ctime(&time),
midPoint);
}
•@iswrapper
def tickByTickMidPoint(self, reqId: int, time: int, midPoint: float):
super().tickByTickMidPoint(reqId, time, midPoint)
print("Midpoint. Req Id: ", reqId,
" Time: ", datetime.datetime.fromtimestamp(time).strftime("%Y%m%d %H:%M:%S"),
" MidPoint: ", midPoint)
•public void tickByTickAllLast(int reqId, int tickType, long time, double price, int size,
TickAttrib attribs, string exchange, string specialConditions)
{
Console.WriteLine("Tick-By-Tick. Request Id: {0}, TickType: {1}, Time: {2}, Price: {3}, Size:
{4}, Exchange: {5}, Special Conditions: {6}, PastLimit: {7}, Unreported: {8}",
reqId, tickType == 1 ? "Last" :"AllLast", Util.UnixSecondsToString(time, "
yyyyMMdd-HH:mm:ss zzz"), price, size, exchange, specialConditions, attribs.PastLimit, attribs.Unreported);
}
•@Override
public void tickByTickAllLast(int reqId, int tickType, long time, double price, int size, TickAttr
attribs,
String exchange, String specialConditions) {
System.out.println(EWrapperMsgGenerator.tickByTickAllLast(reqId, tickType, time, price, size,
attribs, exchange, specialConditions));
}
•Public Sub tickByTickAllLast(reqId As Integer, tickType As Integer, time As Long, price As Double,
size As Integer, attribs As TickAttrib, exchange As String, specialConditions As String) Implements
EWrapper.tickByTickAllLast
Dim tickTypeStr As String
If tickType = 1 Then
tickTypeStr = "Last"
Else
tickTypeStr = "AllLast"
End If
Console.WriteLine("Tick-By-Tick. Request Id: {0}, TickType: {1}, Time: {2}, Price: {3}, Size:
{4}, Exchange: {5}, Special Conditions: {6}, PastLimit: {7}, Unreported: {8}",
reqId, tickTypeStr, Util.UnixSecondsToString(time, "yyyyMMdd-HH:mm:ss zzz"), price, size,
exchange, specialConditions, attribs.PastLimit, attribs.Unreported)
End Sub
•void TestCppClient::tickByTickAllLast(int reqId, int tickType, time_t time, double price, int size, const
TickAttrib& attribs, const std::string& exchange, const std::string& specialConditions) {
printf("Tick-By-Tick. ReqId: %d, TickType: %s, Time: %s, Price: %g, Size: %d, PastLimit: %d,
Unreported: %d, Exchange: %s, SpecialConditions:%s\n",
reqId, (tickType == 1 ? "Last" :"AllLast"), ctime(&time), price, size, attribs.pastLimit, attribs.
unreported, exchange.c_str(), specialConditions.c_str());
}
•def tickByTickAllLast(self, reqId: int, tickType: int, time: int, price: float,
size: int, attribs: TickAttrib, exchange: str,
specialConditions: str):
super().tickByTickAllLast(reqId, tickType, time, price, size, attribs,
exchange, specialConditions)
if tickType == 1:
print("Last.", end=’’)
else:
print("AllLast.", end=’’)
print(" ReqId: ", reqId,
" Time: ", datetime.datetime.fromtimestamp(time).strftime("%Y%m%d %H:%M:%S"),
" Price: ", price, " Size: ", size, " Exch: " , exchange,
"Spec Cond: ", specialConditions, end=’’)
if attribs.pastLimit:
print(" pastLimit ", end=’’)
if attribs.unreported:
print(" unreported", end=’’)
print()
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11.5 Market Depth (Level II) 233
Tick-by-tick subscriptions can be cancelled using the function IBApi::EClient::cancelTickByTickData
•client.cancelTickByTickData(19001);
client.cancelTickByTickData(19002);
client.cancelTickByTickData(19003);
client.cancelTickByTickData(19004);
•client.cancelTickByTickData(19001);
client.cancelTickByTickData(19002);
client.cancelTickByTickData(19003);
client.cancelTickByTickData(19004);
•client.cancelTickByTickData(19001)
client.cancelTickByTickData(19002)
client.cancelTickByTickData(19003)
client.cancelTickByTickData(19004)
•m_pClient->cancelTickByTickData(20001);
m_pClient->cancelTickByTickData(20002);
m_pClient->cancelTickByTickData(20003);
m_pClient->cancelTickByTickData(20004);
•self.cancelTickByTickData(19001)
self.cancelTickByTickData(19002)
self.cancelTickByTickData(19003)
self.cancelTickByTickData(19004)
11.4.8 Delayed Streaming Data
10-15 minute delayed streaming data is available for many types of instruments without market data subscriptions.
By default, the API is in the real time market data mode, so the function IBApi::EClient::reqMktData will
request real time data. To switch to delayed streaming data, the function IBApi::EClient::reqMarketDataType
must be invoked with a parameter of 3 (for delayed) or 4 (for delayed-frozen) quotes, see also Market Data
Types (p. ??). Subsequent calls to IBApi::EClient::reqMktData will then result in requests for delayed data which
will be returned to the delayed tick types Available Tick Types (p. ??). If live data is available, it will always be
returned instead of delayed data.
• Delayed data has a limited number of generic tick types that can be specified: 101, 106, 165, 221, 232, 236,
258. See also Available Tick Types
• It is important to note that historical data still requires market data subscriptions Historical Market Data
11.5 Market Depth (Level II)
Market depth data, also known as level II, represent's an instrument's order book. Via the TWS API it is possible to
obtain this information thanks to the IBApi.EClient.reqMarketDepth function. Unlike Top Market Data (Level I)
(p. ??), market depth data is sent without sampling nor filtering, however we cannot guarantee that every price
quoted for a particular security will be displayed when you invoke IBApi.EClient.reqMarketDepth (p. ??). Market
depth requests must be routed to a particular exchange - it is not possible to request a smart-routed aggre-gate
quote as with level 1 data.
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234 Streaming Market Data
11.5.1 Requesting
The IBApi.EClient.reqMarketDepth method receives a request identifier (or ticker Id) with which to identify the
incoming data, the IBApi.Contract for which we want to pull this information and the number of rows or depth level
that is required. In case the market depth is smaller than the requested number of rows, the TWS will simply return
the available entries.
•client.reqMarketDepth(2001, ContractSamples.EurGbpFx(), 5, null);
•client.reqMktDepth(2001, ContractSamples.EurGbpFx(), 5, null);
•client.reqMarketDepth(2001, ContractSamples.EurGbpFx(), 5, Nothing)
•m_pClient->reqMktDepth(2001, ContractSamples::EurGbpFx(), 5, TagValueListSPtr());
•self.reqMktDepth(2101, ContractSamples.USStock(), 5, [])
self.reqMktDepth(2001, ContractSamples.EurGbpFx(), 5, [])
11.5.2 Exchanges supplying Market Makers
Market depth will be returned via the IBApi.EWrapper.updateMktDepth and IBApi.EWrapper.update←-
MktDepthL2 callback. The two functions differentiate in that, for exchanges have additional Market Makers than
itself, market depth data will be relayed back through IBApi.EWrapper.updateMktDepthL2 (p. ??), otherwise
IBApi.EWrapper.updateMktDepth (p. ??). For example, ARCA only has ARCA itself as a Market Maker. Therefore
when requesting market depth data from ARCA, the data will be relayed back via IBApi.EWrapper.updateMkt←-
Depth (p. ??). On the other hand, exchange like ISLAND (ECN for NASDAQ) has additional Market Makers, so the
data will be relayed back via IBApi.EWrapper.updateMktDepthL2 (p. ??), where the Market Maker information is
directly available as a parameter of the call back function.
To check which market depth subscriptions provide market maker information, the function IBApi::EClient::req←-
MktDepthExchanges can be invoked. It will return a list of exchanges from where market depth is available if the
user has the appropriate market data subscription.
•client.reqMktDepthExchanges();
•client.reqMktDepthExchanges();
•client.reqMktDepthExchanges()
•m_pClient->reqMktDepthExchanges();
•self.reqMktDepthExchanges()
API 'Exchange' fields for which a market depth request would return market maker information and result in a call-
back to IBApi::EWrapper::updateMktDepthL2 will be indicated in the results from the IBApi::EWrapper←
- ::mktDepthExchanges field by a 'True' value in the 'isL2' field:
•public void mktDepthExchanges(DepthMktDataDescription[] depthMktDataDescriptions)
{
Console.WriteLine("Market Depth Exchanges:");
foreach (var depthMktDataDescription in depthMktDataDescriptions)
{
Console.WriteLine("Depth Market Data Description: Exchange: {0}, Security Type: {1},
Listing Exch: {2}, Service Data Type: {3}, Agg Group: {4}",
depthMktDataDescription.Exchange, depthMktDataDescription.SecType,
depthMktDataDescription.ListingExch, depthMktDataDescription.ServiceDataType,
depthMktDataDescription.AggGroup != Int32.MaxValue ? depthMktDataDescription.AggGroup.
ToString() : ""
);
}
}
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11.5 Market Depth (Level II) 235
•@Override
public void mktDepthExchanges(DepthMktDataDescription[] depthMktDataDescriptions) {
for (DepthMktDataDescription depthMktDataDescription : depthMktDataDescriptions) {
System.out.println("Depth Mkt Data Description. Exchange: " + depthMktDataDescription.exchange(
) +
", ListingExch: " + depthMktDataDescription.listingExch() +
", SecType: " + depthMktDataDescription.secType() +
", ServiceDataType: " + depthMktDataDescription.serviceDataType() +
", AggGroup: " + depthMktDataDescription.aggGroup()
);
}
}
•Public Sub mktDepthExchanges(depthMktDataDescriptions As DepthMktDataDescription()) Implements
EWrapper.mktDepthExchanges
Console.WriteLine("Market Depth Exchanges:")
Dim aggGroup As String
For Each depthMktDataDescription In depthMktDataDescriptions
If depthMktDataDescription.AggGroup <> Integer.MaxValue Then
aggGroup = depthMktDataDescription.AggGroup
Else
aggGroup = ""
End If
Console.WriteLine("Depth Market Data Descriprion. Exchange: " &
depthMktDataDescription.Exchange &
" Security Type: " & depthMktDataDescription.SecType &
" Listing Exch: " & depthMktDataDescription.ListingExch &
" Service Data Type: " & depthMktDataDescription.ServiceDataType &
" Agg Group: " & aggGroup)
Next
End Sub
•void TestCppClient::mktDepthExchanges(const std::vector<DepthMktDataDescription> &depthMktDataDescriptions)
{
printf("Mkt Depth Exchanges (%lu):\n", depthMktDataDescriptions.size());
for (unsigned int i = 0; i < depthMktDataDescriptions.size(); i++) {
printf("Depth Mkt Data Description [%d] - exchange: %s secType: %s listingExch: %s serviceDataType:
%s aggGroup: %s\n", i,
depthMktDataDescriptions[i].exchange.c_str(),
depthMktDataDescriptions[i].secType.c_str(),
depthMktDataDescriptions[i].listingExch.c_str(),
depthMktDataDescriptions[i].serviceDataType.c_str(),
depthMktDataDescriptions[i].aggGroup != INT_MAX ? std::to_string(depthMktDataDescriptions[i].
aggGroup).c_str() : "");
}
}
•def mktDepthExchanges(self, depthMktDataDescriptions:ListOfDepthExchanges):
super().mktDepthExchanges(depthMktDataDescriptions)
print("mktDepthExchanges:")
for desc in depthMktDataDescriptions:
printinstance(desc)
11.5.3 Receiving
Initially, all requested/available rows will be delivered to the client application. As market moves however these rows
will inevitably change. To keep the client's order book consistent, the TWS will send updates not only informing
which row is to be updated but also the operation to perform in the row: insert (0), update (1) or remove (2).
•public class EWrapperImpl : EWrapper
{
...
public virtual void updateMktDepth(int tickerId, int position, int operation, int side, double
price, int size)
{
Console.WriteLine("UpdateMarketDepth. " + tickerId + " - Position: " + position + ", Operation:
"+ operation + ", Side: " + side + ", Price: " + price + ", Size" + size);
}
...
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236 Streaming Market Data
public virtual void updateMktDepthL2(int tickerId, int position, string marketMaker, int operation,
int side, double price, int size)
{
Console.WriteLine("UpdateMarketDepthL2. " + tickerId + " - Position: " + position + ",
Operation: " + operation + ", Side: " + side + ", Price: " + price + ", Size" + size);
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void updateMktDepth(int tickerId, int position, int operation,
int side, double price, int size) {
System.out.println("UpdateMarketDepth. "+tickerId+" - Position: "+position+", Operation: "+
operation+", Side: "+side+", Price: "+price+", Size: "+size+"");
}
...
@Override
public void updateMktDepthL2(int tickerId, int position,
String marketMaker, int operation, int side, double price, int size) {
System.out.println("UpdateMarketDepthL2. "+tickerId+" - Position: "+position+", Operation: "+
operation+", Side: "+side+", Price: "+price+", Size: "+size+"");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub updateMktDepth(tickerId As Integer, position As Integer, operation As Integer, side As
Integer, price As Double, size As Integer) Implements IBApi.EWrapper.updateMktDepth
Console.WriteLine("UpdateMarketDepth. " & CStr(tickerId) & " - Position: " & CStr(position) &
", Operation: " & CStr(operation) & ", Side: " & CStr(side) &
", Price: " & CStr(price) & ", Size" & CStr(size))
End Sub
...
Public Sub updateMktDepthL2(tickerId As Integer, position As Integer, marketMaker As String,
operation As Integer, side As Integer, price As Double, size As Integer) Implements
IBApi.EWrapper.updateMktDepthL2
Console.WriteLine("UpdateMarketDepthL2. " & tickerId & " - Position: " & position & ",
Operation: " & operation & ", Side: " & side &
", Price: " & price & ", Size" & size)
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::updateMktDepth(TickerId id,int position, int operation, int side,
double price, int size) {
printf( "UpdateMarketDepth. %ld - Position: %d, Operation: %d, Side: %d, Price: %g, Size: %d\n",id,
position, operation, side, price, size);
}
...
void TestCppClient::updateMktDepthL2(TickerId id,int position, const std::string& marketMaker, int
operation,
int side, double price, int size) {
printf( "UpdateMarketDepthL2. %ld - Position: %d, Operation: %d, Side: %d, Price: %g, Size: %d\n",id,
position, operation, side, price, size);
}
•class TestWrapper(wrapper.EWrapper):
...
def updateMktDepth(self, reqId: TickerId, position: int, operation: int,
side: int, price: float, size: int):
super().updateMktDepth(reqId, position, operation, side, price, size)
print("UpdateMarketDepth. ", reqId, "Position:", position, "Operation:",
operation, "Side:", side, "Price:", price, "Size", size)
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11.6 5 Second Real Time Bars 237
...
def updateMktDepthL2(self, reqId: TickerId, position: int, marketMaker: str,
operation: int, side: int, price: float, size: int):
super().updateMktDepthL2(reqId, position, marketMaker, operation, side,
price, size)
print("UpdateMarketDepthL2. ", reqId, "Position:", position, "Operation:",
operation, "Side:", side, "Price:", price, "Size", size)
11.5.4 Canceling
To cancel an active market depth request simply invoke the IBApi.EClient.cancelMktDepth passing in the
request's identifier.
•client.cancelMktDepth(2001);
•client.cancelMktDepth(2001);
•client.cancelMktDepth(2001)
•m_pClient->cancelMktDepth(2001);
•self.cancelMktDepth(2101)
self.cancelMktDepth(2001)
11.5.5 Limitations
Given the potentially high amount of data being sent, market depth request's are much more limited. Just as with
historical data requests, the amount of active depth requests is related to the amount of market data lines, with a
minimum of three and maximum of 60:
Number of lines Max. Requests
0 - 399 3
400 - 499 4
500 - 599 5
600 - 699 6
etc...
11.6 5 Second Real Time Bars
Real time and historical data functionality is combined through the IBApi.EClient.reqRealTimeBars request.
reqRealTimeBars will create an active subscription that will return a single bar in real time every five seconds that
has the OHLC values over that period. reqRealTimeBars can only be used with a bar size of 5 seconds.
Important: real time bars subscriptions combine the limitations of both, top and historical market data. Make sure
you observe Market Data Lines and Pacing Violations for Small Bars (30 secs or less) (p. ??). For example, no
more than 60 ∗new∗ requests for real time bars can be made in 10 minutes, and the total number of active active
subscriptions of all types cannot exceed the maximum allowed market data lines for the user.
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238 Streaming Market Data
11.6.1 Requesting
•client.reqRealTimeBars(3001, ContractSamples.EurGbpFx(), 5, "MIDPOINT",true, null);
•client.reqRealTimeBars(3001, ContractSamples.EurGbpFx(), 5, "MIDPOINT",true, null);
•client.reqRealTimeBars(3001, ContractSamples.EurGbpFx(), 5, "MIDPOINT", True, Nothing)
•m_pClient->reqRealTimeBars(3001, ContractSamples::EurGbpFx(), 5, "MIDPOINT",true, TagValueListSPtr());
•self.reqRealTimeBars(3101, ContractSamples.USStockAtSmart(), 5, "MIDPOINT",True, [])
self.reqRealTimeBars(3001, ContractSamples.EurGbpFx(), 5, "MIDPOINT",True, [])
• To receive volume, VWAP, or trade count data, it is necessary to specify whatToShow as TRADES.
• It may be necessary to remake real time bars subscriptions after the IB server reset or between trading
sessions.
11.6.2 Receiving
Once invoked, historical data bars of five seconds will start being delivered through the IBApi.EWrapper.realtime←-
Bar callback:
•public class EWrapperImpl : EWrapper
{
...
public virtual void realtimeBar(int reqId, long time, double open, double high, double low, double
close, long volume, double WAP, int count)
{
Console.WriteLine("RealTimeBars. " + reqId + " - Time: " + time + ", Open: " + open + ", High:
"+ high + ", Low: " + low + ", Close: " + close + ", Volume: " + volume + ", Count: " + count + ", WAP: " +
WAP);
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void realtimeBar(int reqId, long time, double open, double high,
double low, double close, long volume, double wap, int count) {
System.out.println("RealTimeBars. " + reqId + " - Time: " + time + ", Open: " + open + ", High: " +
high + ", Low: " + low + ", Close: " + close + ", Volume: " + volume + ", Count: " + count + ", WAP: " +
wap);
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub realtimeBar(reqId As Integer, time As Long, open As Double, high As Double, low As
Double, close As Double, volume As Long, WAP As Double, count As Integer) Implements IBApi.EWrapper.realtimeBar
Console.WriteLine("RealTimeBars. " & reqId & " - Time: " & time & ", Open: " & open & ", High:
" & high & ", Low: " & low & ", Close: " &
close & ", Volume: " & volume & ", Count: " & count & ", WAP: " & WAP)
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::realtimeBar(TickerId reqId, long time, double open, double high, double low, double
close,
long volume, double wap, int count) {
printf( "RealTimeBars. %ld - Time: %ld, Open: %g, High: %g, Low: %g, Close: %g, Volume: %ld, Count: %d,
WAP: %g\n", reqId, time, open, high, low, close, volume, count, wap);
}
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11.6 5 Second Real Time Bars 239
•class TestWrapper(wrapper.EWrapper):
...
def realtimeBar(self, reqId:TickerId, time:int, open:float, high:float,
low:float, close:float, volume:int, wap:float, count:int):
super().realtimeBar(reqId, time, open, high, low, close, volume, wap, count)
print("RealTimeBars. ", reqId, ": time ", time, ", open: ",open,
", high: ", high, ", low: ", low, ", close: ", close, ", volume: ", volume,
", wap: ", wap, ", count: ", count)
-Volume for US stocks has a multiplier of 100
11.6.3 Canceling
To cancel an active request simply invoke IBApi.EClient.cancelRealTimeBars
•client.cancelRealTimeBars(3001);
•client.cancelRealTimeBars(3001);
•client.cancelRealTimeBars(3001)
•m_pClient->cancelRealTimeBars(3001);
•self.cancelRealTimeBars(3101)
self.cancelRealTimeBars(3001)
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Chapter 11
Historical Market Data
Receiving historical data from the API has the same market data subscription requirement as receiving streaming
top-of-book live data Live Market Data (p. ??). The API historical data functionality pulls certain types of data from
TWS charts or the historical Time&Sales Window. So if data is not available for a specific instrument, data type, or
period within a TWS chart it will also not be available from the API. Unlike TWS, which can create 'delayed charts'
for most instruments without any market data subscriptions that have data up until 10-15 minutes prior to the current
moment; the API always requires Level 1 streaming real time data to return historical data.
• In general, a smart-routed historical data requests will require subscriptions to all exchanges on which a
instrument trades.
• For instance, a historical data request for a pink sheet (OTC) stock which trades on ARCAEDGE will require
the subscription "OTC Global Equities" or "Global OTC Equities and OTC Markets" for ARCAEDGE in addition
to the regular subscription (e.g. "OTC Markets").
• When retrieving historical data from the TWS, be aware of the Historical Data Limitations (p. ??).
Types of Historical Data Available
•Historical Bar Data
•Histograms
•Historical Time and Sales Data
Finding earliest date historical data is available for an instrument
•Finding Earliest Data Point
Note about Interactive Brokers' historical data:
• Historical data at IB is filtered for trade types which occur away from the NBBO such as combo legs, block
trades, and derivative trades. For that reason the daily volume from the (unfiltered) real time data functionality
will generally be larger than the (filtered) historical volume reported by historical data functionality. Also,
differences are expected in other fields such as the VWAP between the real time and historical data feeds.
http://interactivebrokers.github.io/tws-api/historical_data.html
242 Historical Market Data
12.1 Historical Data Limitations
The maximum number of simultaneous open historical data requests from the API is 50. In practice, it will probably
be more efficient to have a much smaller number of requests pending at a time.
12.1.1 Pacing Violations for Small Bars (30 secs or less)
Although Interactive Brokers offers our clients high quality market data, IB is not a specialised market data provider
and as such it is forced to put in place restrictions to limit traffic which is not directly associated to trading. A Pacing
Violation1occurs whenever one or more of the following restrictions is not observed:
• Making identical historical data requests within 15 seconds.
• Making six or more historical data requests for the same Contract, Exchange and Tick Type within two sec-
onds.
• Making more than 60 requests within any ten minute period.
Note that when BID_ASK historical data is requested, each request is counted twice. In a nutshell, the information
above can simply be put as "do not request too much data too quick".
Important: the above limitations apply to all our clients and it is not possible to overcome them. If your trading strat-
egy's market data requirements are not met by our market data services please consider contacting a specialised
provider.
12.1.2 Step Sizes
A step size is defined as the ratio between the historical data request's duration period and its granularity (i.e. bar
size). Historical Data requests need to be assembled in such a way that only a few thousand bars are returned at a
time. The following table exemplifies this concept:
Duration Allowed Bar Sizes
60 S 1 sec - 1 mins
120 S 1 sec - 2 mins
1800 S (30 mins) 1 sec - 30 mins
3600 S (1 hr) 5 secs - 1 hr
14400 S (4hr) 10 secs - 3 hrs
28800 S (8 hrs) 30 secs - 8 hrs
1 D 1 min - 1 day
2 D 2 mins - 1 day
1 W 3 mins - 1 week
1 M 30 mins - 1 month
1 Y 1 day - 1 month
12.1.3 Unavailable Historical Data
• Studies and indicators such as Weighted Moving Averages or Bollinger Bands are not available from the API.
VWAP is available.
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12.2 Historical Bar Data 243
The other historical data limitations listed are general limitations for all trading platforms:
• Bars which size is 30 seconds or less older than six months
• Expired futures data older than two years counting from the future's expiration date.
• Expired options, FOPs, warrants and structured products.
• End of Day (EOD) data for options, FOPs, warrants and structured products.
• Data for expired future spreads
• Data for securities which are no longer trading.
• Native historical data for combos. Historical data is not stored in the IB database separately for combos.;
combo historical data in TWS or the API is the sum of data from the legs.
• Historical data for securities which move to a new exchange will often not be available prior to the time of the
move.
Note:
1. At this time Historical Data Limitations for barSize = "1 mins" and greater have been lifted. However, please
use caution when requesting large amounts of historical data or sending historical data requests too frequently.
Though IB has lifted the "hard" limit, we still implement a "soft" slow to load-balance client requests vs. server
response. Requesting too much historical data can lead to throttling and eventual disconnect of the API client.
If a request requires more than several minutes to return data, it would be best to cancel the request using the
IBApi.EClient.cancelHistoricalData function.
12.2 Historical Bar Data
12.2.1 Requesting Historical Bar Data
Historical data is obtained from the the TWS via the IBApi.EClient.reqHistoricalData function. Every re-quest
needs:
•tickerId, A unique identifier which will serve to identify the incoming data.
•contract, The IBApi.Contract you are interested in.
•endDateTime, The request's end date and time (the empty string indicates current present moment).
•durationString, The amount of time (or Valid Duration String units (p. ??)) to go back from the request's
given end date and time.
•barSizeSetting, The data's granularity or Valid Bar Sizes
•whatToShow, The type of data to retrieve. See Historical Data Types
•useRTH, Whether (1) or not (0) to retrieve data generated only within Regular Trading Hours (RTH)
•formatDate, The format in which the incoming bars' date should be presented. Note that for day bars, only
yyyyMMdd format is available.
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244 Historical Market Data
•keepUpToDate, Whether a subscription is made to return updates of unfinished real time bars as they are
available (True), or all data is returned on a one-time basis (False). Available starting with API v973.03+ and
TWS v965+. If True, and endDateTime cannot be specified.
For example, making a request with an end date and time of "20160127 23:59:59", a duration string of "3 D" and a
bar size of "1 hour" will return three days worth of 1 hour bars data in which the most recent bar will be the closest
possible to 20160127 23:59:59.
•String queryTime = DateTime.Now.AddMonths(-6).ToString("yyyyMMdd HH:mm:ss");
client.reqHistoricalData(4001, ContractSamples.EurGbpFx(), queryTime, "1 M","1 day","MIDPOINT
", 1, 1, false, null);
client.reqHistoricalData(4002, ContractSamples.EuropeanStock(), queryTime, "10 D","1 min","
TRADES", 1, 1, false, null);
•Calendar cal = Calendar.getInstance();
cal.add(Calendar.MONTH, -6);
SimpleDateFormat form = new SimpleDateFormat("yyyyMMdd HH:mm:ss");
String formatted = form.format(cal.getTime());
client.reqHistoricalData(4001, ContractSamples.EurGbpFx(), formatted, "1 M","1 day","MIDPOINT", 1
, 1, false, null);
client.reqHistoricalData(4002, ContractSamples.EuropeanStock(), formatted, "10 D","1 min","TRADES
", 1, 1, false, null);
Thread.sleep(2000);
/*** Canceling historical data requests ***/
client.cancelHistoricalData(4001);
client.cancelHistoricalData(4002);
•Dim queryTime As String = DateTime.Now.AddMonths(-6).ToString("yyyyMMdd HH:mm:ss")
client.reqHistoricalData(4001, ContractSamples.EurGbpFx(), queryTime, "1 M", "1 day", "MIDPOINT",
1, 1, False, Nothing)
client.reqHistoricalData(4002, ContractSamples.EuropeanStock(), queryTime, "10 D", "1 min",
"TRADES", 1, 1, False, Nothing)
•std::time_t rawtime;
std::tm*timeinfo;
char queryTime [80];
std::time(&rawtime);
timeinfo = std::localtime(&rawtime);
std::strftime(queryTime, 80, "%Y%m%d %H:%M:%S", timeinfo);
m_pClient->reqHistoricalData(4001, ContractSamples::EurGbpFx(), queryTime, "1 M","1 day","MIDPOINT",
1, 1, false, TagValueListSPtr());
m_pClient->reqHistoricalData(4002, ContractSamples::EuropeanStock(), queryTime, "10 D","1 min","
TRADES", 1, 1, false, TagValueListSPtr());
•queryTime = (datetime.datetime.today() -
datetime.timedelta(days=180)).strftime("%Y%m%d %H:%M:%S")
self.reqHistoricalData(4101, ContractSamples.USStockAtSmart(), queryTime,
"1 M","1 day","MIDPOINT", 1, 1, False, [])
self.reqHistoricalData(4001, ContractSamples.EurGbpFx(), queryTime,
"1 M","1 day","MIDPOINT", 1, 1, False, [])
self.reqHistoricalData(4002, ContractSamples.EuropeanStock(), queryTime,
"10 D","1 min","TRADES", 1, 1, False, [])
The daily bar size has several unique characteristics. This is true both in TWS and the API:
• For futures, the close price of daily bars can be the settlement price if provided by the exchange. Generally
the official settlement price is not available until several hours after a trading session closes. The Friday
settlement price will sometimes not be available until Saturday.
• A daily bar will refer to a trading session which may cross calendar days. In that case the date of the bar will
correspond to the day on which the bar closes.
12.2.2 Receiving Historical Bar Data
The historical data will be delivered via the IBApi::EWrapper::historicalData method in the form of candle-sticks.
The time zone of returned bars is the time zone chosen in TWS on the login screen. If reqHistoricalData was invoked
with keepUpToDate = false, once all candlesticks have been received the IBApi.EWrapper.historical←-DataEnd
marker will be sent. Otherwise updates of the most recent partial five-second bar will continue to be returned in real
time to IBApi::EWrapper::historicalDataUpdate (p. ??). The keepUpToDate functionality can only be used with
bar sizes 5 seconds or greater and requires the endDate is set as the empty string.
Generated by Doxygen
12.2 Historical Bar Data 245
• Note: IB's historical data feed is filtered for some types of trades which generally occur away from the NBBO
such as combos, block trades, and derivatives. For that reason the historical data volume will be lower than
an unfiltered historical data feed.
• IB does not maintain separate historical data for combos. Historical data returned for a combo contract will
be the sum of data from the individual legs.
•public class EWrapperImpl : EWrapper
{
...
public virtual void historicalData(int reqId, Bar bar)
{
Console.WriteLine("HistoricalData. " + reqId + " - Time: " + bar.Time + ", Open: " + bar.Open +
", High: " + bar.High + ", Low: " + bar.Low + ", Close: " + bar.Close + ", Volume: " + bar.Volume + ",
Count: " + bar.Count + ", WAP: " + bar.WAP);
}
...
public virtual void historicalDataEnd(int reqId, string startDate, string endDate)
{
Console.WriteLine("HistoricalDataEnd - "+reqId+" from "+startDate+" to "+endDate);
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void historicalData(int reqId, Bar bar) {
System.out.println("HistoricalData. "+reqId+" - Date: "+bar.time()+", Open: "+bar.open()+", High: "
+bar.high()+", Low: "+bar.low()+", Close: "+bar.close()+", Volume: "+bar.volume()+", Count: "+bar.count()+",
WAP: "+bar.wap());
}
...
@Override
public void historicalDataEnd(int reqId, String startDateStr, String endDateStr) {
System.out.println("HistoricalDataEnd. "+reqId+" - Start Date: "+startDateStr+", End Date: "+
endDateStr);
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub historicalData(reqId As Integer, bar As Bar) Implements IBApi.EWrapper.historicalData
Console.WriteLine("HistoricalData - ReqId [" & reqId & "] Date [" & bar.Time & "] Open [" &
bar.Open & "] High [" &
bar.High & "] Low [" & bar.Low & "] Volume [" & bar.Volume & "] Count [" &
bar.Count & "]")
End Sub
...
Public Sub historicalDataEnd(reqId As Integer, start As String, [end] As String) Implements
IBApi.EWrapper.historicalDataEnd
Console.WriteLine("HistoricalDataEnd - ReqId [" & reqId & "] Start [" & start & "] End [" &
[end] & "]")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::historicalData(TickerId reqId, const Bar& bar) {
printf( "HistoricalData. ReqId: %ld - Date: %s, Open: %g, High: %g, Low: %g, Close: %g, Volume: %lld,
Count: %d, WAP: %g\n", reqId, bar.time.c_str(), bar.open, bar.high, bar.low, bar.close, bar.volume, bar.count
, bar.wap);
}
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246 Historical Market Data
...
void TestCppClient::historicalDataEnd(int reqId, const std::string& startDateStr, const std::string&
endDateStr) {
std::cout << "HistoricalDataEnd. ReqId: " << reqId << " - Start Date: " << startDateStr << ", End Date:
"<< endDateStr << std::endl;
}
•class TestWrapper(wrapper.EWrapper):
...
def historicalData(self, reqId:int, bar: BarData):
print("HistoricalData. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
...
def historicalDataEnd(self, reqId: int, start: str, end: str):
super().historicalDataEnd(reqId, start, end)
print("HistoricalDataEnd ", reqId, "from", start, "to", end)
•public void historicalDataUpdate(int reqId, Bar bar)
{
Console.WriteLine("HistoricalDataUpdate. " + reqId + " - Time: " + bar.Time + ", Open: " + bar.
Open + ", High: " + bar.High + ", Low: " + bar.Low + ", Close: " + bar.Close + ", Volume: " + bar.Volume + "
, Count: " + bar.Count + ", WAP: " + bar.WAP);
}
•@Override
public void historicalDataUpdate(int reqId, Bar bar) {
System.out.println("HistoricalDataUpdate. "+reqId+" - Date: "+bar.time()+", Open: "+bar.open()+",
High: "+bar.high()+", Low: "+bar.low()+", Close: "+bar.close()+", Volume: "+bar.volume()+", Count: "+bar.
count()+", WAP: "+bar.wap());
}
•Public Sub historicalDataUpdate(reqId As Integer, bar As Bar) Implements
IBApi.EWrapper.historicalDataUpdate
Console.WriteLine("HistoricalDataUpdate - ReqId [" & reqId & "] Date [" & bar.Time & "] Open ["
& bar.Open & "] High [" &
bar.High & "] Low [" & bar.Low & "] Volume [" & bar.Volume & "] Count [" &
bar.Count & "]")
End Sub
•void TestCppClient::historicalDataUpdate(TickerId reqId, const Bar& bar) {
printf( "HistoricalDataUpdate. ReqId: %ld - Date: %s, Open: %g, High: %g, Low: %g, Close: %g, Volume:
%lld, Count: %d, WAP: %g\n", reqId, bar.time.c_str(), bar.open, bar.high, bar.low, bar.close, bar.volume, bar
.count, bar.wap);
}
•def historicalDataUpdate(self, reqId: int, bar: BarData):
print("HistoricalDataUpdate. ", reqId, " Date:", bar.date, "Open:", bar.open,
"High:", bar.high, "Low:", bar.low, "Close:", bar.close, "Volume:", bar.volume,
"Count:", bar.barCount, "WAP:", bar.average)
12.2.3 Valid Duration String units
Unit Description
S Seconds
D Day
W Week
M Month
Y Year
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12.2 Historical Bar Data 247
12.2.4 Valid Bar Sizes
Size
1 secs 5 secs 10 secs 15 secs 30 secs
1 min 2 mins 3 mins 5 mins 10 mins 15 mins 20 mins 30 mins
1 hour 2 hours 3 hours 4 hours 8 hours
1 day
1 week
1 month
12.2.5 Historical Data Types
(whatToShow)
All different kinds of historical data are returned in the form of candlesticks and as such the values return represent
the state of the market during the period covered by the candlestick. For instance, it might appear obvious but
a TRADES day bar's 'close' value does NOT represent the product's closing price but rather the last traded price
registered.
Type Open High Low Close Volume
TRADES First traded
price
Highest traded
price
Lowest traded
price
Last traded
price
Total traded vol-
ume
MIDPOINT Starting mid-
point price
Highest mid-
point price
Lowest mid-
point price
Last midpoint
price
N/A
BID Starting bid
price
Highest bid
price
Lowest bid
price
Last bid price N/A
ASK Starting ask
price
Highest ask
price
Lowest ask
price
Last ask price N/A
BID_ASK Time average
bid
Max Ask Min Bid Time average
ask
N/A
ADJUSTED_←-
LAST
Dividend-
adjusted first
traded price
Dividend-
adjusted high
trade
Dividend-
adjusted low
trade
Dividend-
adjusted last
trade
Total traded vol-
ume
HISTORICA←-
L_VOLATILITY
Starting volatil-
ity
Highest volatil-
ity
Lowest volatility Last volatility N/A
OPTION_IM←-
PLIED_VOL←-
ATILITY
Starting implied
volatility
Highest implied
volatility
Lowest implied
volatility
Last implied
volatility
N/A
REBATE_R←-
ATE
Starting rebate
rate
Highest rebate
rate
Lowest rebate
rate
Last rebate rate N/A
FEE_RATE Starting fee rate Highest fee rate Lowest fee rate Last fee rate N/A
YIELD_BID Starting bid
yield
Highest bid
yield
Lowest bid yield Last bid yield N/A
YIELD_ASK Starting ask
yield
Highest ask
yield
Lowest ask
yield
Last ask yield N/A
YIELD_BID_←-
ASK
Time average
bid yield
Highest ask
yield
Lowest bid yield Time average
ask yield
N/A
YIELD_LAST Starting last
yield
Highest last
yield
Lowest last
yield
Last last yield N/A
Generated by Doxygen
248 Historical Market Data
• TRADES data is adjusted for splits, but not dividends
• ADJUSTED_LAST data is adjusted for splits and dividends. Requires TWS 967+.
12.2.6 Available Data per Product
Product
Type
TR←-
ADES
MID←-
POI←-
NT
BID ASK BID←-
_ASK
HIS←-
TO←-
RIC←-
AL_←-
VO←-
LAT←-
ILITY
OP←-
TIO←-
N_I←-
MP←-
LIE←-
D_V←-
OL←-
ATI←-
LITY
YIE←-
LD_←-
BID
YIE←-
LD_←-
ASK
YIE←-
LD_←-
BID←-
_ASK
YIE←-
LD_←-
LAST
Stocks Y Y Y Y Y Y Y N N N N
Commodities
N Y Y Y Y N N N N N N
Options Y Y Y Y Y N N N N N N
Futures Y Y Y Y Y N N N N N N
FOPs Y Y Y Y Y N N N N N N
ETFs Y Y Y Y Y Y Y N N N N
Warrants Y Y Y Y Y N N N N N N
Structured
Prod-
ucts
Y Y Y Y Y N N N N N N
SSFs Y Y Y Y Y N N N N N N
Forex N Y Y Y Y N N N N N N
Metals Y Y Y Y Y N N N N N N
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12.3 Histograms 249
Product
Type
TR←-
ADES
MID←-
POI←-
NT
BID ASK BID←-
_ASK
HIS←-
TO←-
RIC←-
AL_←-
VO←-
LAT←-
ILITY
OP←-
TIO←-
N_I←-
MP←-
LIE←-
D_V←-
OL←-
ATI←-
LITY
YIE←-
LD_←-
BID
YIE←-
LD_←-
ASK
YIE←-
LD_←-
BID←-
_ASK
YIE←-
LD_←-
LAST
Indices Y N N N N Y Y N N N N
Bonds∗Y Y Y Y Y N N Y Y Y Y
Funds N Y Y Y Y N N N N N N
CF←-
Ds∗
N Y Y Y Y N N N N N N
-Yield historical data only available for corporate bonds
12.3 Histograms
Histogram data requires API v973.02+ and TWS 964+. Instead of returned data points as a function of time as
with the function IBApi::EClient::reqHistoricalData (p. ??), histograms return data as a function of price level with
function IBApi::EClient::reqHistogramData
•client.reqHistogramData(15001, ContractSamples.USStockWithPrimaryExch(), false,"1 week");
•/*client.reqHistogramData(4004, ContractSamples.USStock(), false, "3 days");
•client.reqHistogramData(15001, ContractSamples.USStockWithPrimaryExch, False, "1 week")
•m_pClient->reqHistogramData(15001, ContractSamples::IBMUSStockAtSmart(), false,"1 weeks");
•self.reqHistogramData(4104, ContractSamples.USStock(), False,"3 days")
and data is returned to IBApi::EWrapper::histogramData
•public void histogramData(int reqId, HistogramEntry[] data)
{
Console.WriteLine("Histogram data. Request Id: {0}, data size: {1}", reqId, data.Length);
data.ToList().ForEach(i => Console.WriteLine("\tPrice: {0}, Size: {1}", i.Price, i.Size));
}
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250 Historical Market Data
•@Override
public void histogramData(int reqId, List<HistogramEntry> items) {
System.out.println(EWrapperMsgGenerator.histogramData(reqId, items));
}
•Public Sub histogramData(reqId As Integer, data As HistogramEntry()) Implements
EWrapper.histogramData
Console.WriteLine("Histogram data. Request Id: {0}, data size: {1}", reqId, data.Length)
data.ToList().ForEach(Sub(i) Console.WriteLine(vbTab & "Price: {0}, Size: {1}", i.Price,
i.Size))
End Sub
•void TestCppClient::histogramData(int reqId, const HistogramDataVector& data) {
printf("Histogram. ReqId: %d, data length: %lu\n", reqId, data.size());
for (auto item : data) {
printf("\t price: %f, size: %lld\n", item.price, item.size);
}
}
•def histogramData(self, reqId:int, items:HistogramDataList):
print("HistogramData: ", reqId, " ", items)
An active histogram request which has not returned data can be cancelled with IBApi::EClient::cancel←-
HistogramData
•client.cancelHistogramData(15001);
•client.cancelHistogramData(4004);*/
•client.cancelHistogramData(15001)
•m_pClient->cancelHistogramData(15001);
•self.cancelHistogramData(4104)
12.4 Historical Time and Sales Data
12.4.1 High Resolution Historical Data
The highest granularity of historical data from IB's database can be retrieved using the API function IBApi::←-
EClient::reqHistoricalTicks (p. ??). This corresponds to the TWS Historical Time & Sales Window.
TWS build 968+ and API version 973.04+ is required.
• Historical Tick-By-Tick data is not available for combos
•
•
•
•
•Note: the historical Time&Sales feature in Python API is available starting in API v973.06+.
Generated by Doxygen
12.4 Historical Time and Sales Data 251
•client.reqHistoricalTicks(18001, ContractSamples.USStockAtSmart(), "20170712 21:39:33", null,
10, "TRADES",1,true, null);
client.reqHistoricalTicks(18002, ContractSamples.USStockAtSmart(), "20170712 21:39:33", null,
10, "BID_ASK",1,true, null);
client.reqHistoricalTicks(18003, ContractSamples.USStockAtSmart(), "20170712 21:39:33", null,
10, "MIDPOINT",1,true, null);
•client.reqHistoricalTicks(18001, ContractSamples.USStockAtSmart(), "20170712 21:39:33", null, 10, "
TRADES",1,true, null);
client.reqHistoricalTicks(18002, ContractSamples.USStockAtSmart(), "20170712 21:39:33", null, 10, "
BID_ASK",1,true, null);
client.reqHistoricalTicks(18003, ContractSamples.USStockAtSmart(), "20170712 21:39:33", null, 10, "
MIDPOINT",1,true, null);
•client.reqHistoricalTicks(18001, ContractSamples.USStockAtSmart(), "20170712 21:39:33", Nothing,
10, "TRADES", 1, True, Nothing)
client.reqHistoricalTicks(18002, ContractSamples.USStockAtSmart(), "20170712 21:39:33", Nothing,
10, "BID_ASK", 1, True, Nothing)
client.reqHistoricalTicks(18003, ContractSamples.USStockAtSmart(), "20170712 21:39:33", Nothing,
10, "MIDPOINT", 1, True, Nothing)
•m_pClient->reqHistoricalTicks(19001, ContractSamples::IBMUSStockAtSmart(), "20170621 09:38:33","", 10,
"BID_ASK",1,true, TagValueListSPtr());
m_pClient->reqHistoricalTicks(19002, ContractSamples::IBMUSStockAtSmart(), "20170621 09:38:33","", 10,
"MIDPOINT",1,true, TagValueListSPtr());
m_pClient->reqHistoricalTicks(19003, ContractSamples::IBMUSStockAtSmart(), "20170621 09:38:33","", 10,
"TRADES",1,true, TagValueListSPtr());
•self.reqHistoricalTicks(18001, ContractSamples.USStockAtSmart(),
"20170712 21:39:33","", 10, "TRADES",1,True, [])
self.reqHistoricalTicks(18002, ContractSamples.USStockAtSmart(),
"20170712 21:39:33","", 10, "BID_ASK",1,True, [])
self.reqHistoricalTicks(18003, ContractSamples.USStockAtSmart(),
"20170712 21:39:33","", 10, "MIDPOINT",1,True, [])
•requestId, id of the request
•contract, Contract object that is subject of query
•startDateTime, i.e. "20170701 12:01:00". Uses TWS timezone specified at login.
•endDateTime, i.e. "20170701 13:01:00". In TWS timezone. Exactly one of start time and end time has to be
defined.
•numberOfTicks, Number of distinct data points. Max currently 1000 per request.
•whatToShow, (Bid_Ask, Midpoint, Trades) Type of data requested.
•useRth, Data from regular trading hours (1), or all available hours (0)
•ignoreSize, A filter only used when the source price is Bid_Ask
•miscOptions should be defined as null, reserved for internal use
Data is returned to the functions IBApi.EWrapper.historicalTicks (p. ??), IBApi.EWrapper.historicalTicksBid←-
Ask (p. ??), and IBApi.EWrapper.historicalTicksLast (p. ??), depending on the type of data requested.
•public void historicalTicks(int reqId, HistoricalTick[] ticks, bool done)
{
foreach (var tick in ticks)
{
Console.WriteLine("Historical Tick. Request Id: {0}, Time: {1}, Price: {2}, Size: {3}",
reqId, Util.UnixSecondsToString(tick.Time, "yyyyMMdd-HH:mm:ss zzz"), tick.Price, tick.Size);
}
}
...
public void historicalTicksBidAsk(int reqId, HistoricalTickBidAsk[] ticks, bool done)
{
foreach (var tick in ticks)
{
Console.WriteLine("Historical Tick Bid/Ask. Request Id: {0}, Time: {1}, Mask: {2} Price
Bid: {3}, Price Ask {4}, Size Bid: {5}, Size Ask {6}",
reqId, Util.UnixSecondsToString(tick.Time, "yyyyMMdd-HH:mm:ss zzz"), tick.Mask, tick.
PriceBid, tick.PriceAsk, tick.SizeBid, tick.SizeAsk);
}
}
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252 Historical Market Data
...
public void historicalTicksLast(int reqId, HistoricalTickLast[] ticks, bool done)
{
foreach (var tick in ticks)
{
Console.WriteLine("Historical Tick Last. Request Id: {0}, Time: {1}, Mask: {2}, Price: {3},
Size: {4}, Exchange: {5}, Special Conditions: {6}",
reqId, Util.UnixSecondsToString(tick.Time, "yyyyMMdd-HH:mm:ss zzz"), tick.Mask, tick.
Price, tick.Size, tick.Exchange, tick.SpecialConditions);
}
}
•@Override
public void historicalTicks(int reqId, List<HistoricalTick> ticks, boolean done) {
for (HistoricalTick tick : ticks) {
System.out.println(EWrapperMsgGenerator.historicalTick(reqId, tick.time(), tick.price(), tick.
size()));
}
}
...
@Override
public void historicalTicksBidAsk(int reqId, List<HistoricalTickBidAsk> ticks, boolean done) {
for (HistoricalTickBidAsk tick : ticks) {
System.out.println(EWrapperMsgGenerator.historicalTickBidAsk(reqId, tick.time(), tick.mask(),
tick.priceBid(), tick.priceAsk(), tick.sizeBid(),
tick.sizeAsk()));
}
}
...
public void historicalTicksLast(int reqId, List<HistoricalTickLast> ticks, boolean done) {
for (HistoricalTickLast tick : ticks) {
System.out.println(EWrapperMsgGenerator.historicalTickLast(reqId, tick.time(), tick.mask(),
tick.price(), tick.size(), tick.exchange(),
tick.specialConditions()));
}
}
•Public Sub historicalTick(reqId As Integer, ticks As HistoricalTick(), done As Boolean) Implements
EWrapper.historicalTicks
For Each tick In ticks
Console.WriteLine("Historical Tick. Request Id: {0}, Time: {1}, Price: {2}, Size: {3}",
reqId, Util.UnixSecondsToString(tick.Time, "yyyyMMdd-HH:mm:ss zzz"), tick.Price, tick.Size)
Next
End Sub
...
Public Sub historicalTickBidAsk(reqId As Integer, ticks As HistoricalTickBidAsk(), done As Boolean)
Implements EWrapper.historicalTicksBidAsk
For Each tick In ticks
Console.WriteLine("Historical Tick Bid/Ask. Request Id: {0}, Time: {1}, Mask: {2} Price
Bid: {3}, Price Ask {4}, Size Bid: {5}, Size Ask {6}",
reqId, Util.UnixSecondsToString(tick.Time, "yyyyMMdd-HH:mm:ss zzz"), tick.Mask,
tick.PriceBid, tick.PriceAsk, tick.SizeBid, tick.SizeAsk)
Next
End Sub
...
Public Sub historicalTickLast(reqId As Integer, ticks As HistoricalTickLast(), done As Boolean)
Implements EWrapper.historicalTicksLast
For Each tick In ticks
Console.WriteLine("Historical Tick Last. Request Id: {0}, Time: {1}, Mask: {2}, Price: {3},
Size: {4}, Exchange: {5}, Special Conditions: {6}",
reqId, Util.UnixSecondsToString(tick.Time, "yyyyMMdd-HH:mm:ss zzz"), tick.Mask,
tick.Price, tick.Size, tick.Exchange, tick.SpecialConditions)
Next
End Sub
•void TestCppClient::historicalTicks(int reqId, const std::vector<HistoricalTick>& ticks, bool done) {
for (HistoricalTick tick : ticks) {
std::time_t t = tick.time;
std::cout << "Historical tick. ReqId: " << reqId << ", time: " << ctime(&t) << ", price: "<< tick.
price << ", size: " << tick.size << std::endl;
}
}
...
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12.5 Finding Earliest Data Point 253
void TestCppClient::historicalTicksBidAsk(int reqId, const std::vector<HistoricalTickBidAsk>& ticks, bool
done) {
for (HistoricalTickBidAsk tick : ticks) {
std::time_t t = tick.time;
std::cout << "Historical tick bid/ask. ReqId: " << reqId << ", time: " << ctime(&t) << ", mask: " <
< tick.mask << ", price bid: "<< tick.priceBid <<
", price ask: "<< tick.priceAsk << ", size bid: " << tick.sizeBid << ", size ask: " << tick.
sizeAsk << std::endl;
}
}
...
void TestCppClient::historicalTicksLast(int reqId, const std::vector<HistoricalTickLast>& ticks, bool done)
{
for (HistoricalTickLast tick : ticks) {
std::time_t t = tick.time;
std::cout << "Historical tick last. ReqId: " << reqId << ", time: " << ctime(&t) << ", mask: " <<
tick.mask << ", price: "<< tick.price <<
", size: " << tick.size << ", exchange: " << tick.exchange << ", special conditions: " << tick.
specialConditions << std::endl;
}
}
•def historicalTicks(self, reqId: int, ticks: ListOfHistoricalTick, done: bool):
for tick in ticks:
print("Historical Tick. Req Id: ", reqId, ", time: ", tick.time,
", price: ", tick.price, ", size: ", tick.size)
...
def historicalTicksBidAsk(self, reqId: int, ticks: ListOfHistoricalTickBidAsk,
done: bool):
for tick in ticks:
print("Historical Tick Bid/Ask. Req Id: ", reqId, ", time: ", tick.time,
", bid price: ", tick.priceBid, ", ask price: ", tick.priceAsk,
", bid size: ", tick.sizeBid, ", ask size: ", tick.sizeAsk)
...
def historicalTicksLast(self, reqId: int, ticks: ListOfHistoricalTickLast,
done: bool):
for tick in ticks:
print("Historical Tick Last. Req Id: ", reqId, ", time: ", tick.time,
", price: ", tick.price, ", size: ", tick.size, ", exchange: ", tick.exchange,
", special conditions:", tick.specialConditions)
12.5 Finding Earliest Data Point
12.5.1 Earliest Available Data
To find the earliest available data point for a given instrument and data type a function is in the API starting in v973.02
and v963 of TWS/IBG, IBApi::EClient::reqHeadTimestamp
•client.reqHeadTimestamp(14001, ContractSamples.USStock(), "TRADES", 1, 1);
•client.reqHeadTimestamp(4003, ContractSamples.USStock(), "TRADES", 1, 1);
•client.reqHeadTimestamp(14001, ContractSamples.USStock(), "TRADES", 1, 1)
•m_pClient->reqHeadTimestamp(14001, ContractSamples::EurGbpFx(), "MIDPOINT", 1, 1);
•self.reqHeadTimeStamp(4103, ContractSamples.USStockAtSmart(), "TRADES", 0, 1)
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254 Historical Market Data
The resulting head timestamp is returned to the function IBApi.EWrapper.headTimestamp
•public class EWrapperImpl : EWrapper
{
...
public void headTimestamp(int reqId, string headTimestamp)
{
Console.WriteLine("Head time stamp. Request Id: {0}, Head time stamp: {1}", reqId,
headTimestamp);
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void headTimestamp(int reqId, String headTimestamp) {
System.out.println("Head timestamp. Req Id: " + reqId + ", headTimestamp: " + headTimestamp);
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub headTimestamp(requestId As Integer, timeStamp As String) Implements
IBApi.EWrapper.headTimestamp
Console.WriteLine("Head time stamp. Request Id: {0}, Head time stamp: {1}", requestId,
timeStamp)
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::headTimestamp(int reqId, const std::string& headTimestamp) {
printf( "Head time stamp. ReqId: %d - Head time stamp: %s,\n", reqId, headTimestamp.c_str());
}
•class TestWrapper(wrapper.EWrapper):
...
def headTimestamp(self, reqId:int, headTimestamp:str):
print("HeadTimestamp: ", reqId, " ", headTimestamp)
A reqHeadTimeStamp request can be cancelled with IBApi.EClient.cancelHeadTimestamp
•client.cancelHeadTimestamp(14001);
•client.cancelHeadTimestamp(4003);
•client.cancelHeadTimestamp(14001)
•m_pClient->cancelHeadTimestamp(14001);
•self.cancelHeadTimeStamp(4103)
Generated by Doxygen
Chapter 12
Account & Portfolio Data
The TWS offers a comprehensive overview of your account and portfolio through its Account and Portfolio windows.
This information can be obtained via the TWS API through three different kind of requests/operations:
•Managed Accounts
•Family Codes
•Account Updates
•Account Summary
•Positions
•Profit And Loss (P&L)
13.1 Managed Accounts
A single user name can handle more than one account. As mentioned in the Connectivity section, the TWS will
automatically send a list of managed accounts once the connection is established. The list can also be fetched via
the IBApi.EClient.reqManagedAccts method:
•client.reqManagedAccts();
•client.reqManagedAccts();
•client.reqManagedAccts()
•m_pClient->reqManagedAccts();
•self.reqManagedAccts()
The above will result in a comma separated list of account Ids delivered through IBApi.EWrapper.managed←-
Accounts
•public class EWrapperImpl : EWrapper
{
...
public virtual void managedAccounts(string accountsList)
{
Console.WriteLine("Account list: "+accountsList);
}
http://interactivebrokers.github.io/tws-api/account_portfolio.html
256 Account & Portfolio Data
•public class EWrapperImpl implements EWrapper {
...
@Override
public void managedAccounts(String accountsList) {
System.out.println("Account list: " +accountsList);
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub managedAccounts(accountsList As String) Implements IBApi.EWrapper.managedAccounts
Console.WriteLine("ManagedAccounts - AccountsList [" & accountsList & "]")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::managedAccounts( const std::string& accountsList) {
printf( "Account List: %s\n", accountsList.c_str());
}
•class TestWrapper(wrapper.EWrapper):
...
def managedAccounts(self, accountsList: str):
super().managedAccounts(accountsList)
print("Account list: ", accountsList)
Important: whenever your TWS user name handles more than a single account, you will be forced to specify the
account Id to which the order needs to be allocated. Failure to do so will result in the order being rejected since the
TWS cannot assign the order to a default account.
13.2 Family Codes
Starting with API v973.02 and TWS v964, it is possible to determine from the API whether an account exists under
an account family, and find the family code using the function reqFamilyCodes.
•client.reqFamilyCodes();
•client.reqFamilyCodes();
•client.reqFamilyCodes()
•m_pClient->reqFamilyCodes();
•self.reqFamilyCodes()
If a managed account is part of an account family (for instance an individual account under a Financial Advisor or
IBroker), that family will be returned to the function IBApi::EWrapper (p. ??):familyCodes. Otherwise it will return
an empty string.
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13.3 Account Updates 257
•public void familyCodes(FamilyCode[] familyCodes)
{
Console.WriteLine("Family Codes:");
foreach (var familyCode in familyCodes)
{
Console.WriteLine("Account ID: {0}, Family Code Str: {1}", familyCode.AccountID, familyCode
.FamilyCodeStr);
}
}
•@Override
public void familyCodes(FamilyCode[] familyCodes) {
for (FamilyCode fc : familyCodes) {
System.out.print("Family Code. AccountID: " + fc.accountID() + ", FamilyCode: " + fc.
familyCodeStr());
}
System.out.println();
}
•Public Sub familyCodes(familyCodes As FamilyCode()) Implements EWrapper.familyCodes
Console.WriteLine("Family Codes:")
For Each familyCode In familyCodes
Console.WriteLine("Account ID: " & familyCode.AccountID & " Family Code Str: " &
familyCode.FamilyCodeStr)
Next
End Sub
•void TestCppClient::familyCodes(const std::vector<FamilyCode> &familyCodes) {
printf("Family codes (%lu):\n", familyCodes.size());
for (unsigned int i = 0; i < familyCodes.size(); i++) {
printf("Family code [%d] - accountID: %s familyCodeStr: %s\n", i, familyCodes[i].accountID.c_str(),
familyCodes[i].familyCodeStr.c_str());
}
}
•def familyCodes(self, familyCodes: ListOfFamilyCode):
super().familyCodes(familyCodes)
print("Family Codes:")
for familyCode in familyCodes:
print("Account ID: %s, Family Code Str: %s" % (
familyCode.accountID, familyCode.familyCodeStr))
For instance, if individual account U112233 is under a financial advisor with account number F445566, if the function
reqFamilyCodes is invoked for the user of account U112233, the family code "F445566A" will be returned, indicating
that it belongs within that account family.
13.3 Account Updates
13.3.1 Requesting
The IBApi.EClient.reqAccountUpdates function creates a subscription to the TWS through which account and
portfolio information is delivered. This information is the exact same as the one displayed within the TWS' Account
Window. Note this function receives a specific account along with a flag indicating whether to start or stop the
subscription. In a single account structure, the account number is not necessary. Just as with the TWS' Account
Window, unless there is a position change this information is updated at a fixed interval of three minutes.
•client.reqAccountUpdates(true,"U150462");
•client.reqAccountUpdates(true,"U150462");
•client.reqAccountUpdates(True, "U150462")
•m_pClient->reqAccountUpdates(true,"U150462");
•self.reqAccountUpdates(True, self.account)
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258 Account & Portfolio Data
13.3.2 Receiving
Resulting account and portfolio information will be delivered via the IBApi.EWrapper.updateAccountValue (p. ??),
IBApi.EWrapper.updatePortfolio (p. ??), IBApi.EWrapper.updateAccountTime and IBApi.EWrapper.←-
accountDownloadEnd
•public class EWrapperImpl : EWrapper
{
...
public virtual void updateAccountValue(string key, string value, string currency, string
accountName)
{
Console.WriteLine("UpdateAccountValue. Key: " + key + ", Value: " + value + ", Currency: " +
currency + ", AccountName: " + accountName);
}
...
public virtual void updatePortfolio(Contract contract, double position, double marketPrice, double
marketValue, double averageCost, double unrealizedPNL, double realizedPNL, string accountName)
{
Console.WriteLine("UpdatePortfolio. "+contract.Symbol+", "+contract.SecType+" @ "+contract.
Exchange
+": Position: "+position+", MarketPrice: "+marketPrice+", MarketValue: "+marketValue+",
AverageCost: "+averageCost
+", UnrealizedPNL: "+unrealizedPNL+", RealizedPNL: "+realizedPNL+", AccountName: "+
accountName);
}
...
public virtual void updateAccountTime(string timestamp)
{
Console.WriteLine("UpdateAccountTime. Time: " + timestamp+"\n");
}
...
public virtual void accountDownloadEnd(string account)
{
Console.WriteLine("Account download finished: "+account+"\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void updateAccountValue(String key, String value, String currency,
String accountName) {
System.out.println("UpdateAccountValue. Key: " + key + ", Value: " + value + ", Currency: " +
currency + ", AccountName: " + accountName);
}
...
@Override
public void updatePortfolio(Contract contract, double position,
double marketPrice, double marketValue, double averageCost,
double unrealizedPNL, double realizedPNL, String accountName) {
System.out.println("UpdatePortfolio. "+contract.symbol()+", "+contract.secType()+" @ "+contract.
exchange()
+": Position: "+position+", MarketPrice: "+marketPrice+", MarketValue: "+marketValue+",
AverageCost: "+averageCost
+", UnrealizedPNL: "+unrealizedPNL+", RealizedPNL: "+realizedPNL+", AccountName: "+
accountName);
}
...
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13.3 Account Updates 259
@Override
public void updateAccountTime(String timeStamp) {
System.out.println("UpdateAccountTime. Time: " + timeStamp+"\n");
}
...
@Override
public void accountDownloadEnd(String accountName) {
System.out.println("Account download finished: "+accountName+"\n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub updateAccountValue(key As String, value As String, currency As String, accountName As
String) Implements IBApi.EWrapper.updateAccountValue
Console.WriteLine("UpdateAccountValue. Key: " & key & ", Value: " & value & ", Currency: " &
currency & ", AccountName: " & accountName)
End Sub
...
Public Sub updatePortfolio(contract As IBApi.Contract, position As Double, marketPrice As Double,
marketValue As Double, averageCost As Double, unrealizedPNL As Double, realizedPNL As Double, accountName As
String) Implements IBApi.EWrapper.updatePortfolio
Console.WriteLine("UpdatePortfolio. " & contract.Symbol & ", " & contract.SecType & " @ " &
contract.Exchange &
": Position: " & position & ", MarketPrice: " & marketPrice & ", MarketValue: " &
marketValue & ", AverageCost: " & averageCost &
", UnrealizedPNL: " & unrealizedPNL & ", RealizedPNL: " & realizedPNL & ", AccountName: " &
accountName)
End Sub
...
Public Sub updateAccountTime(timestamp As String) Implements IBApi.EWrapper.updateAccountTime
Console.WriteLine("UpdateAccountTime. Time: " & timestamp)
End Sub
...
Public Sub accountDownloadEnd(account As String) Implements IBApi.EWrapper.accountDownloadEnd
Console.WriteLine("accountDownloadEnd - Account[" & account & "]")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::updateAccountValue(const std::string& key, const std::string& val,
const std::string& currency, const std::string& accountName) {
printf("UpdateAccountValue. Key: %s, Value: %s, Currency: %s, Account Name: %s\n", key.c_str(), val.
c_str(), currency.c_str(), accountName.c_str());
}
...
void TestCppClient::updatePortfolio(const Contract& contract, double position,
double marketPrice, double marketValue, double averageCost,
double unrealizedPNL, double realizedPNL, const std::string&
accountName){
printf("UpdatePortfolio. %s, %s @ %s: Position: %g, MarketPrice: %g, MarketValue: %g, AverageCost: %g,
UnrealizedPNL: %g, RealizedPNL: %g, AccountName: %s\n", (contract.symbol).c_str(), (contract.secType).c_str(
), (contract.primaryExchange).c_str(), position, marketPrice, marketValue, averageCost, unrealizedPNL,
realizedPNL, accountName.c_str());
}
...
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260 Account & Portfolio Data
void TestCppClient::updateAccountTime(const std::string& timeStamp) {
printf( "UpdateAccountTime. Time: %s\n", timeStamp.c_str());
}
...
void TestCppClient::accountDownloadEnd(const std::string& accountName) {
printf( "Account download finished: %s\n", accountName.c_str());
}
•class TestWrapper(wrapper.EWrapper):
...
def updateAccountValue(self, key: str, val: str, currency: str,
accountName: str):
super().updateAccountValue(key, val, currency, accountName)
print("UpdateAccountValue. Key:", key, "Value:", val,
"Currency:", currency, "AccountName:", accountName)
...
def updatePortfolio(self, contract: Contract, position: float,
marketPrice: float, marketValue: float,
averageCost: float, unrealizedPNL: float,
realizedPNL: float, accountName: str):
super().updatePortfolio(contract, position, marketPrice, marketValue,
averageCost, unrealizedPNL, realizedPNL, accountName)
print("UpdatePortfolio.", contract.symbol, "", contract.secType, "@",
contract.exchange, "Position:", position, "MarketPrice:", marketPrice,
"MarketValue:", marketValue, "AverageCost:", averageCost,
"UnrealizedPNL:", unrealizedPNL, "RealizedPNL:", realizedPNL,
"AccountName:", accountName)
...
def updateAccountTime(self, timeStamp: str):
super().updateAccountTime(timeStamp)
print("UpdateAccountTime. Time:", timeStamp)
...
def accountDownloadEnd(self, accountName: str):
super().accountDownloadEnd(accountName)
print("Account download finished:", accountName)
13.3.3 Cancelling
Once the subscription to account updates is no longer needed, it can be cancelled by invoking the IBApi.EClient.←-
reqAccountUpdates method while specifying the susbcription flag to be False:
•client.reqAccountUpdates(false,"U150462");
•client.reqAccountUpdates(false,"U150462");
•client.reqAccountUpdates(False, "U150462")
•m_pClient->reqAccountUpdates(false,"U150462");
•self.reqAccountUpdates(False, self.account)
Note: An important key passed back in IBApi.EWrapper.updateAccountValue after a call to IBApi.E←-
Client.reqAccountUpdates is a boolean value 'accountReady'. If an accountReady value of false is returned that
means that the IB server is in the process of resetting at that moment, i.e. the account is 'not ready'. When this
occurs subsequent key values returned to IBApi::EWrapper::updateAccountValue in the current update can be
out of date or incorrect.
Important: only one account at a time can be subscribed at a time. Attempting a second subscription without
previously cancelling an active one will not yield any error message although it will override the already subscribed
account with the new one. With Financial Advisory (FA) account structures there is an alternative way of specifying
the account code such that information is returned for 'All' sub accounts- this is done by appending the letter 'A' to
the end of the account number, i.e. reqAccountUpdates(true, "F123456A")
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13.3 Account Updates 261
13.3.4 Identifying the Account Keys
Account values delivered via IBApi.EWrapper.updateAccountValue can be classified in the following way:
• Commodities: suffixed by a "-C"
• Securities: suffixed by a "-S"
• Totals: no suffix
For further information, please refer to the Account Window.
13.3.5 Account Value Update Subscriptions by Model
The IBApi.EClient.reqAccountUpdatesMulti can be used with multiple account structures to subscribe to updates
in real time for multiple accounts and/or models. As with IBApi.EClient.reqAccountUpdates this information is the
exact same as the one displayed within the TWS' Account Window. Note this function receives a specific account
along with a flag indicating whether to start or stop the subscription.
•client.reqAccountUpdatesMulti(9002, "U150462","EUstocks",true);
•client.reqAccountUpdatesMulti(9002, "U150462","EUstocks",true);
•client.reqAccountUpdatesMulti(9002, "U150462", "EUstocks", True)
•m_pClient->reqAccountUpdatesMulti(9002, "U150462","EUstocks",true);
•self.reqAccountUpdatesMulti(9005, self.account, "",True)
The resulting account and portfolio information will be delivered via the IBApi.EWrapper.accountUpdateMulti
and IBApi.EWrapper.accountUpdateMultiEnd
•public class EWrapperImpl : EWrapper
{
...
public virtual void accountUpdateMulti(int reqId, string account, string modelCode, string key,
string value, string currency)
{
Console.WriteLine("Account Update Multi. Request: " + reqId + ", Account: " + account + ",
ModelCode: " + modelCode + ", Key: " + key + ", Value: " + value + ", Currency: " + currency + "\n");
}
...
public virtual void accountUpdateMultiEnd(int reqId)
{
Console.WriteLine("Account Update Multi End. Request: " + reqId + "\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void accountUpdateMulti(int reqId, String account, String modelCode,
String key, String value, String currency) {
System.out.println("Account Update Multi. Request: " + reqId + ", Account: " + account + ",
ModelCode: " + modelCode + ", Key: " + key + ", Value: " + value + ", Currency: " + currency + "\n");
}
...
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262 Account & Portfolio Data
@Override
public void accountUpdateMultiEnd(int reqId) {
System.out.println("Account Update Multi End. Request: " + reqId + "\n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub accountUpdateMulti(requestId As Integer, account As String, modelCode As String, key As
String, value As String, currency As String) Implements IBApi.EWrapper.accountUpdateMulti
Console.WriteLine("accountUpdateMulti. Id: " & requestId & ", Account: " & account & ",
modelCode: " & modelCode & ", key: " & key & ", value: " & value & ", currency: " & currency)
End Sub
...
Public Sub accountUpdateMultiEnd(requestId As Integer) Implements
IBApi.EWrapper.accountUpdateMultiEnd
Console.WriteLine("accountUpdateMultiEnd. id: " & requestId)
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::accountUpdateMulti( int reqId, const std::string& account, const std::string& modelCode
,const std::string& key, const std::string& value, const std::string& currency) {
printf("AccountUpdate Multi. Request: %d, Account: %s, ModelCode: %s, Key, %s, Value: %s, Currency: %s
\n", reqId, account.c_str(), modelCode.c_str(), key.c_str(), value.c_str(), currency.c_str());
}
...
void TestCppClient::accountUpdateMultiEnd( int reqId) {
printf("Account Update Multi End. Request: %d\n", reqId);
}
•class TestWrapper(wrapper.EWrapper):
...
def accountUpdateMulti(self, reqId: int, account: str, modelCode: str,
key: str, value: str, currency: str):
super().accountUpdateMulti(reqId, account, modelCode, key, value,
currency)
print("Account Update Multi. Request:", reqId, "Account:", account,
"ModelCode:", modelCode, "Key:", key, "Value:", value,
"Currency:", currency)
...
def accountUpdateMultiEnd(self, reqId: int):
super().accountUpdateMultiEnd(reqId)
print("Account Update Multi End. Request:", reqId)
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13.4 Account Summary 263
13.4 Account Summary
13.4.1 Requesting
The IBApi.EClient.reqAccountSummary method creates a subscription for the account data displayed in the
TWS Account Summary window. It is commonly used with multiple-account structures.
Unlike IBApi.EClient.reqAccountUpdates (p. ??), IBApi.EClient.reqAccountSummary can not only re-trieve
summarized information for either one or all the managed accounts but also extract only the specified values to be
monitored by the client application. The initial invocation of reqAccountSummary will result in a list of all requested
values being returned, and then every three minutes those values which have changed will be returned. The update
frequency of 3 minutes is the same as the TWS Account Window and cannot be changed.
•client.reqAccountSummary(9001, "All", AccountSummaryTags.GetAllTags());
•client.reqAccountSummary(9001, "All","
AccountType,NetLiquidation,TotalCashValue,SettledCash,Accrued
Cash,BuyingPower,EquityWithLoanValue,PreviousEquityWithLoanValue,GrossPositionValue,ReqTEquity,ReqTMargin,SM
A,InitMarginReq,MaintMarginReq,AvailableFunds,ExcessLiquidity,Cushion,FullInitMarginReq,FullMaintMarginReq,FullAvailableFunds,FullExcessLiquidity,LookAheadNextChange,LookAheadInitMarginReq
,LookAheadMaintMarginReq,LookAheadAvailableFunds,LookAheadExcessLiquidity,HighestSeverity,DayTradesRemaining,Leverage");
•client.reqAccountSummary(9001, "All", AccountSummaryTags.GetAllTags())
•m_pClient->reqAccountSummary(9001, "All", AccountSummaryTags::getAllTags());
•self.reqAccountSummary(9001, "All", AccountSummaryTags.AllTags)
Starting from TWS Build 956 and IB Gateway 956, we have added the function to request account summary data
(including CashBalance and TotalCashBalance) for every currency separately using LEDGER tags. Please see
TWS Beta Release Notes.
When the "$LEDGER" tag is specified, the account summary data will be returned in BASE CURRENCY only.
•client.reqAccountSummary(9002, "All","$LEDGER");
•client.reqAccountSummary(9002, "All","$LEDGER");
•client.reqAccountSummary(9002, "All", "$LEDGER")
•m_pClient->reqAccountSummary(9002, "All","$LEDGER");
•self.reqAccountSummary(9002, "All","$LEDGER")
When the "$LEDGER:CURRENCY" tag is specified, the account summary data will be returned only in the CUR←-
RENCY specified. The CashBalance and TotalCashBalance returned are the balance in that specific currency only
as you see within the TWS Account Window.
Example: "$LEDGER:USD", "$LEDGER:EUR", "$LEDGER:HKD" etc.
•client.reqAccountSummary(9003, "All","$LEDGER:EUR");
•client.reqAccountSummary(9003, "All","$LEDGER:EUR");
•client.reqAccountSummary(9003, "All", "$LEDGER:EUR")
•m_pClient->reqAccountSummary(9003, "All","$LEDGER:EUR");
•self.reqAccountSummary(9003, "All","$LEDGER:EUR")
When the "$LEDGER:ALL" tag is specified, the account summary data returned will be summed up values for ALL
accounts and currencies.
Example:
Account = All, Currency = EUR, CashBalance = 12345.67
Account = All, Currency = JPY, CashBalance = 987.54
•client.reqAccountSummary(9004, "All","$LEDGER:ALL");
•client.reqAccountSummary(9004, "All","$LEDGER:ALL");
•client.reqAccountSummary(9004, "All", "$LEDGER:ALL")
•m_pClient->reqAccountSummary(9004, "All","$LEDGER:ALL");
•self.reqAccountSummary(9004, "All","$LEDGER:ALL")
Important: only two active summary subscriptions are allowed at a time!
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264 Account & Portfolio Data
13.4.2 Receiving
Summarised information is delivered via IBApi.EWrapper.accountSummary and IBApi.EWrapper.←-
accountSummaryEnd
•public class EWrapperImpl : EWrapper
{
...
public virtual void accountSummary(int reqId, string account, string tag, string value, string
currency)
{
Console.WriteLine("Acct Summary. ReqId: " + reqId + ", Acct: " + account + ", Tag: " + tag + ",
Value: " + value + ", Currency: " + currency);
}
...
public virtual void accountSummaryEnd(int reqId)
{
Console.WriteLine("AccountSummaryEnd. Req Id: "+reqId+"\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void accountSummary(int reqId, String account, String tag,
String value, String currency) {
System.out.println("Acct Summary. ReqId: " + reqId + ", Acct: " + account + ", Tag: " + tag + ",
Value: " + value + ", Currency: " + currency);
}
...
@Override
public void accountSummaryEnd(int reqId) {
System.out.println("AccountSummaryEnd. Req Id: "+reqId+"\n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub accountSummary(reqId As Integer, account As String, tag As String, value As String,
currency As String) Implements IBApi.EWrapper.accountSummary
Console.WriteLine("AccountSummary - ReqId [" & reqId & "] Account [" & account & "] Tag [" &
tag & "] Value [" & value &
"] Currency [" & currency & "]")
End Sub
...
Public Sub accountSummaryEnd(reqId As Integer) Implements IBApi.EWrapper.accountSummaryEnd
Console.WriteLine("AccountSummaryEnd - ReqId [" & reqId & "]")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::accountSummary( int reqId, const std::string& account, const std::string& tag, const
std::string& value, const std::string& currency) {
printf( "Acct Summary. ReqId: %d, Account: %s, Tag: %s, Value: %s, Currency: %s\n", reqId, account.
c_str(), tag.c_str(), value.c_str(), currency.c_str());
}
...
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13.5 Positions 265
void TestCppClient::accountSummaryEnd( int reqId) {
printf( "AccountSummaryEnd. Req Id: %d\n", reqId);
}
•class TestWrapper(wrapper.EWrapper):
...
def accountSummary(self, reqId: int, account: str, tag: str, value: str,
currency: str):
super().accountSummary(reqId, account, tag, value, currency)
print("Acct Summary. ReqId:", reqId, "Acct:", account,
"Tag: ", tag, "Value:", value, "Currency:", currency)
...
def accountSummaryEnd(self, reqId: int):
super().accountSummaryEnd(reqId)
print("AccountSummaryEnd. Req Id: ", reqId)
13.4.3 Cancelling
Once the subscription to account summary is no longer needed, it can be cancelled via the IBApi::EClient←
- ::cancelAccountSummary method:
•client.cancelAccountSummary(9001);
client.cancelAccountSummary(9002);
client.cancelAccountSummary(9003);
client.cancelAccountSummary(9004);
•client.cancelAccountSummary(9001);
client.cancelAccountSummary(9002);
client.cancelAccountSummary(9003);
client.cancelAccountSummary(9004);
•client.cancelAccountSummary(9001)
client.cancelAccountSummary(9002)
client.cancelAccountSummary(9003)
client.cancelAccountSummary(9004)
•m_pClient->cancelAccountSummary(9001);
m_pClient->cancelAccountSummary(9002);
m_pClient->cancelAccountSummary(9003);
m_pClient->cancelAccountSummary(9004);
•self.cancelAccountSummary(9001)
self.cancelAccountSummary(9002)
self.cancelAccountSummary(9003)
self.cancelAccountSummary(9004)
13.5 Positions
13.5.1 Requesting
A limitation of the function IBApi.EClient.reqAccountUpdates is that it can only be used with a single account at a
time. To create a subscription for position updates from multiple accounts, the function IBApi.E←-
Client.reqPositions is available. After initially invoking reqPositions, information about all positions in all
associated accounts will be returned, followed by the IBApi::EWrapper::positionEnd callback. Thereafter, when
a position has changed an update will be returned to the IBApi::EWrapper::position function. To cancel a
reqPositions subscription, invoke IBApi::EClient::cancelPositions (p. ??).
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266 Account & Portfolio Data
•client.reqPositions();
•client.reqPositions();
•client.reqPositions()
•m_pClient->reqPositions();
•self.reqPositions()
13.5.2 Receiving
After invoking the above, the positions will then be received through the IBApi.EWrapper.position callback. After
the initial callback (only) of all positions, the IBApi.EWrapper.positionEnd function will be triggered.
• For futures, the exchange field will not be populated in the position callback as some futures trade on multiple
exchanges
•public class EWrapperImpl : EWrapper
{
...
public virtual void position(string account, Contract contract, double pos, double avgCost)
{
Console.WriteLine("Position. "+account+" - Symbol: "+contract.Symbol+", SecType: "+contract.
SecType+", Currency: "+contract.Currency+", Position: "+pos+", Avg cost: "+avgCost);
}
...
public virtual void positionEnd()
{
Console.WriteLine("PositionEnd \n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void position(String account, Contract contract, double pos,
double avgCost) {
System.out.println("Position. "+account+" - Symbol: "+contract.symbol()+", SecType: "+contract.
secType()+", Currency: "+contract.currency()+", Position: "+pos+", Avg cost: "+avgCost);
}
...
@Override
public void positionEnd() {
System.out.println("PositionEnd \n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub position(account As String, contract As IBApi.Contract, pos As Double, avgCost As
Double) Implements IBApi.EWrapper.position
Console.WriteLine("Position. " & account & " - Symbol: " & contract.Symbol & ", SecType: " &
contract.SecType & ", Currency: " &
contract.Currency & ", Position: " & pos & ", Avg cost: " & avgCost)
End Sub
...
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13.5 Positions 267
Public Sub positionEnd() Implements IBApi.EWrapper.positionEnd
Console.WriteLine("PositionEnd \n")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::position( const std::string& account, const Contract& contract, double position, double
avgCost) {
printf( "Position. %s - Symbol: %s, SecType: %s, Currency: %s, Position: %g, Avg Cost: %g\n", account.
c_str(), contract.symbol.c_str(), contract.secType.c_str(), contract.currency.c_str(), position, avgCost);
}
...
void TestCppClient::positionEnd() {
printf( "PositionEnd\n");
}
•class TestWrapper(wrapper.EWrapper):
...
def position(self, account: str, contract: Contract, position: float,
avgCost: float):
super().position(account, contract, position, avgCost)
print("Position.", account, "Symbol:", contract.symbol, "SecType:",
contract.secType, "Currency:", contract.currency,
"Position:", position, "Avg cost:", avgCost)
...
def positionEnd(self):
super().positionEnd()
print("PositionEnd")
13.5.3 Cancelling
To cancel the reqPosition subscription, invoke IBApi::EClient::cancelPositions (p. ??):
•client.cancelPositions();
•client.cancelPositions();
•client.cancelPositions()
•m_pClient->cancelPositions();
•self.cancelPositions()
13.5.4 Position Update Subscription by Model
The function IBApi.EClient.reqPositionsMulti can be used with multiple account structures to subscribe to
positions updates for multiple accounts and/or models. The account and model parameters are optional.
•client.reqPositionsMulti(9003, "DU74649","EUstocks");
•client.reqPositionsMulti(9003, "DU74649","EUstocks");
•client.reqPositionsMulti(9003, "DU74649", "EUstocks")
•m_pClient->reqPositionsMulti(9003, "U150462","EUstocks");
•self.reqPositionsMulti(9006, self.account, "")
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268 Account & Portfolio Data
After invoking IBApi.EClient.reqPositionsMulti data will be returned to the IBApi.EWrapper.positionMulti
function. After the initial callback of all positions matching the supplied criteria to reqPositionsMulti, the IB←-
Api.EWrapper.positionMultiEnd function will be triggered. Thereafter, there will only be messages sent to
positionsMulti when there is a change.
•public class EWrapperImpl : EWrapper
{
...
public virtual void positionMulti(int reqId, string account, string modelCode, Contract contract,
double pos, double avgCost)
{
Console.WriteLine("Position Multi. Request: " + reqId + ", Account: " + account + ", ModelCode:
"+ modelCode + ", Symbol: " + contract.Symbol + ", SecType: " + contract.SecType + ", Currency: " +
contract.Currency + ", Position: " + pos + ", Avg cost: " + avgCost + "\n");
}
...
public virtual void positionMultiEnd(int reqId)
{
Console.WriteLine("Position Multi End. Request: " + reqId + "\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void positionMulti(int reqId, String account, String modelCode,
Contract contract, double pos, double avgCost) {
System.out.println("Position Multi. Request: " + reqId + ", Account: " + account + ", ModelCode: "
+ modelCode + ", Symbol: " + contract.symbol() + ", SecType: " + contract.secType() + ", Currency: " +
contract.currency() + ", Position: " + pos + ", Avg cost: " + avgCost + "\n");
}
...
@Override
public void positionMultiEnd(int reqId) {
System.out.println("Position Multi End. Request: " + reqId + "\n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub positionMulti(requestId As Integer, account As String, modelCode As String, contract As
Contract, pos As Double, avgCost As Double) Implements IBApi.EWrapper.positionMulti
Console.WriteLine("positionMulti. Id: " & requestId & ", Account: " & account & ", ModelCode: "
& modelCode & ", Contract: " & contract.Symbol & ", pos: " & pos & ", avgCost: " & avgCost)
End Sub
...
Public Sub positionMultiEnd(requestId As Integer) Implements IBApi.EWrapper.positionMultiEnd
Console.WriteLine("positionMultiEnd \n")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::positionMulti( int reqId, const std::string& account,const std::string& modelCode,
const Contract& contract, double pos, double avgCost) {
printf("Position Multi. Request: %d, Account: %s, ModelCode: %s, Symbol: %s, SecType: %s, Currency: %s,
Position: %g, Avg Cost: %g\n", reqId, account.c_str(), modelCode.c_str(), contract.symbol.c_str(), contract
.secType.c_str(), contract.currency.c_str(), pos, avgCost);
}
Generated by Doxygen
13.6 Profit And Loss (P&L) 269
...
void TestCppClient::positionMultiEnd( int reqId) {
printf("Position Multi End. Request: %d\n", reqId);
}
•class TestWrapper(wrapper.EWrapper):
...
def positionMulti(self, reqId: int, account: str, modelCode: str,
contract: Contract, pos: float, avgCost: float):
super().positionMulti(reqId, account, modelCode, contract, pos, avgCost)
print("Position Multi. Request:", reqId, "Account:", account,
"ModelCode:", modelCode, "Symbol:", contract.symbol, "SecType:",
contract.secType, "Currency:", contract.currency, ",Position:",
pos, "AvgCost:", avgCost)
...
def positionMultiEnd(self, reqId: int):
super().positionMultiEnd(reqId)
print("Position Multi End. Request:", reqId)
13.6 Profit And Loss (P&L)
13.6.1 P&L data in the Account Window
UnRealized and Realized P&L is sent to the API function IBApi.EWrapper.updateAccountValue function after
a subscription request is made with IBApi.EClient.reqAccountUpdates (p. ??). This information corresponds to
the data in the TWS Account Window, and has a different source of information, a different update frequency,
and different reset schedule than PnL data in the TWS Portfolio Window and associated API functions (below). In
particular, the unrealized P&L information shown in the TWS Account Window which is sent to updatePortfolioValue
will update either (1) when a trade for that particular instrument occurs or (2) every 3 mintues. The realized P&L
data in the TWS Account Window is reset to 0 once per day.
• It is important to keep in mind that the P&L data shown in the Account Window and Portfolio Window will
sometimes differ because there is a different source of information and a different reset schedule.
13.6.2 P&L data in the Portfolio Window
Beginning with API v973.03, requests can be made to receive real time updates about the daily P&L and unrealized
P&L for an account, or for individual positions. Financial Advisors can also request P&L figures for a FA group,
or portfolio model. In API v973.05+/TWS v968+ this is further extended to include realized P&L information at the
account or individual position level.
These newer P&L API functions demonstrated below return the data which is displayed in the TWS Portfolio
Window in current versions of TWS (v963+). As such, the P&L values are calculated based on the reset schedule
specifed in TWS Global Configuration (by default an instrument-specific reset schedule) and this setting affects
values sent to the associated API functions as well. Also in TWS, P&L data from virtual forex positions will be
included in the account P&L if and only if the Virtual Fx section of the Account Window is expanded.
•
•
•
•
•Note: the P&L functions in Python API are available starting in API v973.06+.
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270 Account & Portfolio Data
P&L subscription requests for individual positions
Subscribe using the IBApi::EClient::reqPnLSingle function
•client.reqPnLSingle(17001, "DUD00029","", 268084);
•client.reqPnLSingle(17001, "DUD00029","", 268084);
•client.reqPnLSingle(17001, "DUD00029", "", 268084)
•m_pClient->reqPnLSingle(7002, "DUD00029","", 268084);
•self.reqPnLSingle(17002, "DU242650","", 265598);
Currently updates are returned to IBApi.EWrapper.pnlSingle approximately once per second. ∗subject to change
in the future
•public void pnlSingle(int reqId, int pos, double dailyPnL, double unrealizedPnL, double realizedPnL
,double value)
{
Console.WriteLine("PnL Single. Request Id: {0}, Pos {1}, Daily PnL {2}, Unrealized PnL {3},
Realized PnL: {4}, Value: {5}", reqId, pos, dailyPnL, unrealizedPnL, realizedPnL, value);
}
•@Override
public void pnlSingle(int reqId, int pos, double dailyPnL, double unrealizedPnL, double realizedPnL,
double value) {
System.out.println(EWrapperMsgGenerator.pnlSingle(reqId, pos, dailyPnL, unrealizedPnL, realizedPnL,
value));
}
•Public Sub pnlSingle(reqId As Integer, pos As Integer, dailyPnL As Double, unrealizedPnL As Double,
realizedPnL As Double, value As Double) Implements EWrapper.pnlSingle
Console.WriteLine("PnL Single. Request Id: {0}, pos: {1}, daily PnL: {2}, unrealized PnL: {3},
realized PnL: {4}, value: {5}", reqId, pos, dailyPnL, unrealizedPnL, realizedPnL, value)
End Sub
•void TestCppClient::pnlSingle(int reqId, int pos, double dailyPnL, double unrealizedPnL, double realizedPnL
,double value) {
printf("PnL Single. ReqId: %d, pos: %d, daily PnL: %g, unrealized PnL: %g, realized PnL: %g, value: %g
\n", reqId, pos, dailyPnL, unrealizedPnL, realizedPnL, value);
}
•def pnlSingle(self, reqId: int, pos: int, dailyPnL: float,
unrealizedPnL: float, realizedPnL: float, value: float):
super().pnlSingle(reqId, pos, dailyPnL, unrealizedPnL, realizedPnL, value)
print("Daily PnL Single. Req Id: ", reqId, ", pos: ", pos,
", daily PnL: ", dailyPnL, ", unrealizedPnL: ", unrealizedPnL,
", realizedPnL: ", realizedPnL, ", value: ", value)
• If a P&L subscription request is made for an invalid conId or contract not in the account, there will not be a
response.
• As elsewhere in the API, a max double value will indicate an 'unset' value. This corresponds to an empty cell
in TWS.
Subscriptions are cancelled using the IBApi::EClient::cancelPnLSingle function:
•client.cancelPnLSingle(17001);
•client.cancelPnLSingle(17001);
•client.cancelPnLSingle(17001)
•m_pClient->cancelPnLSingle(7002);
•self.cancelPnLSingle(17002);
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13.6 Profit And Loss (P&L) 271
P&L subscription requests for accounts
Subscribe using the IBApi::EClient::reqPnL function:
•client.reqPnL(17001, "DUD00029","");
•client.reqPnL(17001, "DUD00029","");
•client.reqPnL(17001, "DUD00029", "")
•m_pClient->reqPnL(7001, "DUD00029","");
•self.reqPnL(17001, "DU242650","")
• For FA accounts, if 'All' is specified as the accound code, aggregated data for all subaccounts is returned.
• With requests for advisor accounts with many subaccounts and/or positions can take several seconds for
aggregated P&L to be computed and returned.
• For account P&L data the TWS setting "Prepare portfolio PnL data when downloading positions" must be
checked.
Updates are sent to IBApi.EWrapper.pnl
•public void pnl(int reqId, double dailyPnL, double unrealizedPnL, double realizedPnL)
{
Console.WriteLine("PnL. Request Id: {0}, Daily PnL: {1}, Unrealized PnL: {2}, Realized PnL: {3}
", reqId, dailyPnL, unrealizedPnL, realizedPnL);
}
•@Override
public void pnl(int reqId, double dailyPnL, double unrealizedPnL, double realizedPnL) {
System.out.println(EWrapperMsgGenerator.pnl(reqId, dailyPnL, unrealizedPnL, realizedPnL));
}
•Public Sub pnl(reqId As Integer, dailyPnL As Double, unrealizedPnL As Double, realizedPnL As
Double) Implements EWrapper.pnl
Console.WriteLine("PnL. Request Id: {0}, daily PnL: {1}, unrealized PnL: {2}, realized PnL:
{3}", reqId, dailyPnL, unrealizedPnL, realizedPnL)
End Sub
•void TestCppClient::pnl(int reqId, double dailyPnL, double unrealizedPnL, double realizedPnL) {
printf("PnL. ReqId: %d, daily PnL: %g, unrealized PnL: %g, realized PnL: %g\n", reqId, dailyPnL,
unrealizedPnL, realizedPnL);
}
•def pnl(self, reqId: int, dailyPnL: float,
unrealizedPnL: float, realizedPnL: float):
super().pnl(reqId, dailyPnL, unrealizedPnL, realizedPnL)
print("Daily PnL. Req Id: ", reqId, ", daily PnL: ", dailyPnL,
", unrealizedPnL: ", unrealizedPnL, ", realizedPnL: ", realizedPnL)
Cancel unnecessary subscriptions with the IBApi::EClient::cancelPnL function:
•client.cancelPnL(17001);
•client.cancelPnL(17001);
•client.cancelPnL(17001)
•m_pClient->cancelPnL(7001);
•self.cancelPnL(17001)
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Chapter 13
Options
14.1 Option Chains
The option chain for a given security can be returned using the function reqContractDetails. If an option contract
is incompletely defined (for instance with the strike undefined) and used as an argument to IBApi::EClient::req←-
ContractDetails (p. ??), a list of all matching option contracts will be returned.
The example below shows an "incomplete" option IBApi.Contract with no last trading day, strike nor multi-plier
defined. In most cases using such a contract would result into a contract ambiguity error since there are lots of
instruments matching the same description. IBApi.EClient.reqContractDetails will instead use it to obtain the
whole option chain from the TWS.
•Contract contract = new Contract();
contract.Symbol = "FISV";
contract.SecType = "OPT";
contract.Exchange = "SMART";
contract.Currency = "USD";
...
client.reqContractDetails(209, ContractSamples.OptionForQuery());
client.reqContractDetails(210, ContractSamples.EurGbpFx());
client.reqContractDetails(211, ContractSamples.Bond());
client.reqContractDetails(212, ContractSamples.FuturesOnOptions());
client.reqContractDetails(213, ContractSamples.SimpleFuture());
•Contract contract = new Contract();
contract.symbol("FISV");
contract.secType("OPT");
contract.currency("USD");
contract.exchange("SMART");
...
client.reqContractDetails(210, ContractSamples.OptionForQuery());
client.reqContractDetails(211, ContractSamples.EurGbpFx());
client.reqContractDetails(212, ContractSamples.Bond());
client.reqContractDetails(213, ContractSamples.FuturesOnOptions());
client.reqContractDetails(214, ContractSamples.SimpleFuture());
•Dim contract As Contract = New Contract
contract.Symbol = "FISV"
contract.SecType = "OPT"
contract.Exchange = "SMART"
contract.Currency = "USD"
...
http://interactivebrokers.github.io/tws-api/options.html
274 Options
client.reqContractDetails(209, ContractSamples.EurGbpFx())
client.reqContractDetails(210, ContractSamples.OptionForQuery())
client.reqContractDetails(211, ContractSamples.Bond())
client.reqContractDetails(212, ContractSamples.FuturesOnOptions())
client.reqContractDetails(213, ContractSamples.SimpleFuture())
•Contract contract;
contract.symbol = "FISV";
contract.secType = "OPT";
contract.exchange = "SMART";
contract.currency = "USD";
...
m_pClient->reqContractDetails(210, ContractSamples::OptionForQuery());
m_pClient->reqContractDetails(212, ContractSamples::IBMBond());
m_pClient->reqContractDetails(213, ContractSamples::IBKRStk());
m_pClient->reqContractDetails(214, ContractSamples::Bond());
m_pClient->reqContractDetails(215, ContractSamples::FuturesOnOptions());
m_pClient->reqContractDetails(216, ContractSamples::SimpleFuture());
•contract = Contract()
contract.symbol = "FISV"
contract.secType = "OPT"
contract.exchange = "SMART"
contract.currency = "USD"
...
self.reqContractDetails(209, ContractSamples.EurGbpFx())
self.reqContractDetails(210, ContractSamples.OptionForQuery())
self.reqContractDetails(211, ContractSamples.Bond())
self.reqContractDetails(212, ContractSamples.FuturesOnOptions())
One limitation of this technique is that the return of option chains will be throttled and take a longer time the more
ambiguous the contract definition. Starting in version 9.72 of the API, a new function IBApi::EClient::reqSecDef←-
OptParams is introduced that does not have the throttling limitation.
• It is not recommended to use reqContractDetails to receive complete option chains on an underlying, e.g. all
combinations of strikes/rights/expiries.
• For very large option chains returned from reqContractDetails, unchecking the setting in TWS Global Config-
uration at API ->Settings ->"Expose entire trading schedule to the API" will decrease the amount of data
returned per option and help to return the contract list more quickly.
•client.reqSecDefOptParams(0, "IBM","","STK", 8314);
...
public void securityDefinitionOptionParameter(int reqId, string exchange, int underlyingConId,
string tradingClass, string multiplier, HashSet<string> expirations, HashSet<double> strikes)
{
Console.WriteLine("Security Definition Option Parameter. Reqest: {0}, Exchange: {1}, Undrelying
contract id: {2}, Trading class: {3}, Multiplier: {4}, Expirations: {5}, Strikes: {6}",
reqId, exchange, underlyingConId, tradingClass, multiplier, string.Join(", ",
expirations), string.Join(", ", strikes));
}
•client.reqSecDefOptParams(0, "IBM","","STK", 8314);
...
@Override
public void securityDefinitionOptionalParameter(int reqId, String exchange,
int underlyingConId, String tradingClass, String multiplier,
Set<String> expirations, Set<Double> strikes) {
System.out.println("Security Definition Optional Parameter. Request: "+reqId+", Trading Class: "+
tradingClass+", Multiplier: "+multiplier+"\n");
}
•client.reqSecDefOptParams(0, "IBM", "", "STK", 8314)
...
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14.2 Exercising options 275
Public Sub securityDefinitionOptionParameter(reqId As Integer, exchange As String, underlyingConId
As Integer, tradingClass As String, multiplier As String, expirations As HashSet(Of String), strikes As
HashSet(Of Double)) Implements EWrapper.securityDefinitionOptionParameter
Console.WriteLine("securityDefinitionOptionParameter: " & reqId & " tradingClass: " &
tradingClass & " multiplier: ")
End Sub
•m_pClient->reqSecDefOptParams(0, "IBM","","STK", 8314);
...
void TestCppClient::securityDefinitionOptionalParameter(int reqId, const std::string& exchange, int
underlyingConId, const std::string& tradingClass,
const std::string& multiplier, const
std::set<std::string>& expirations, const std::set<double>& strikes) {
printf("Security Definition Optional Parameter. Request: %d, Trading Class: %s, Multiplier: %s\n",
reqId, tradingClass.c_str(), multiplier.c_str());
}
•self.reqSecDefOptParams(0, "IBM","","STK", 8314)
...
def securityDefinitionOptionParameter(self, reqId: int, exchange: str,
underlyingConId: int, tradingClass: str, multiplier: str,
expirations: SetOfString, strikes: SetOfFloat):
super().securityDefinitionOptionParameter(reqId, exchange,
underlyingConId, tradingClass, multiplier, expirations,
strikes)
print("Security Definition Option Parameter. ReqId:%d Exchange:%s "
"Underlying conId: %d TradingClass:%s Multiplier:%s Exp:%s Strikes:%s",
reqId, exchange, underlyingConId, tradingClass, multiplier,
",".join(expirations), ",".join(str(strikes)))
IBApi::EClient::reqSecDefOptParams returns a list of expiries and a list of strike prices. In some cases it is
possible there are combinations of strike and expiry that would not give a valid option contract.
The API can return the greek values in real time for options, as well as calculate the implied volatility given a
hypothetical price or calculate the hypothetical price given an implied volatility.
•Option Greeks
14.2 Exercising options
Options are exercised or lapsed from the API with the function IBApi.EClient.exerciseOptions
• Option exercise will appear with order status side = "BUY" and limit price of 0, but only at the time the request
is made
• Option exercise can be distinguished by price = 0
•client.exerciseOptions(5003, ContractSamples.OptionWithTradingClass(), 1, 1, null, 1);
•//** Exercising options ***
client.exerciseOptions(5003, ContractSamples.OptionWithTradingClass(), 1, 1, "", 1);
•’** Exercising options ***
client.exerciseOptions(5003, ContractSamples.OptionWithTradingClass(), 1, 1, Nothing, 1)
•//** Exercising options ***
m_pClient->exerciseOptions(5003, ContractSamples::OptionWithTradingClass(), 1, 1, "", 1);
•self.exerciseOptions(5003, ContractSamples.OptionWithTradingClass(), 1,
1, self.account, 1)
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276 Options
14.3 Option Greeks
14.3.1 Market data related to options
The option greek values- delta, gamma, theta, vega- are returned by default following a reqMktData() request for
the option. See Available Tick Types
Tick types "Bid Option Computation" (#10), "Ask Option Computation" (#11), "Last Option Computation" (#12), and
"Model Option Computation" (#13) return all Greeks (delta, gamma, vega, theta), the underlying price and the stock
and option reference price when requested.
MODEL_OPTION_COMPUTATION also returns model implied volatility.
Note that to receive live greek values it is necessary to have market data subscriptions for both the option and the
underlying contract.
•//Requesting data for an option contract will return the greek values
client.reqMktData(1002, ContractSamples.OptionWithLocalSymbol(), string.Empty, false,false,
null);
•//Requesting data for an option contract will return the greek values
client.reqMktData(1002, ContractSamples.OptionWithLocalSymbol(), "",false,false, null);
•’Requesting data for an option contract will return the greek values
client.reqMktData(1005, ContractSamples.USOptionContract(), String.Empty, False, False, Nothing)
•//Requesting data for an option contract will return the greek values
m_pClient->reqMktData(1013, ContractSamples::USOptionContract(), "",false,false, TagValueListSPtr());
•# Requesting data for an option contract will return the greek values
self.reqMktData(1013, ContractSamples.OptionWithLocalSymbol(), "",False,False, [])
The Implied Volatility of an underlying based on its current option prices is returned in tick 24. See Available Tick
Types
The IB 30-day volatility is the at-market volatility estimated for a maturity thirty calendar days forward of the current
trading day, and is based on option prices from two consecutive expiration months.
14.3.2 Calculating option prices and historical volatility
The implied volatility for an option given its price and the price of the underlying can be calculated with the function
IBApi.EClient.calculateImpliedVolatility
•client.calculateImpliedVolatility(5001, ContractSamples.OptionAtBOX(), 5, 85, null);
•client.calculateImpliedVolatility(5001, ContractSamples.OptionAtBOX(), 5, 85, null);
•’** Calculating implied volatility ***
client.calculateImpliedVolatility(5001, ContractSamples.NormalOption(), 5, 85, Nothing)
’** Canceling implied volatility ***
client.cancelCalculateImpliedVolatility(5001)
•m_pClient->calculateImpliedVolatility(5001, ContractSamples::NormalOption(), 5, 85, TagValueListSPtr())
;
•self.calculateImpliedVolatility(5001, ContractSamples.OptionAtBOX(), 5, 85, [])
Alternatively, given the price of the underlying and an implied volatility it is possible to calculate the option price
using the function IBApi.EClient.calculateOptionPrice
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14.3 Option Greeks 277
•client.calculateOptionPrice(5002, ContractSamples.OptionAtBOX(), 0.22, 85, null);
•client.calculateOptionPrice(5002, ContractSamples.OptionAtBOX(), 0.22, 85, null);
•’** Calculating option’s price ***
client.calculateOptionPrice(5002, ContractSamples.NormalOption(), 0.22, 85, Nothing)
’** Canceling option’s price calculation ***
client.cancelCalculateOptionPrice(5002)
•m_pClient->calculateOptionPrice(5002, ContractSamples::NormalOption(), 0.22, 85, TagValueListSPtr());
•self.calculateOptionPrice(5002, ContractSamples.OptionAtBOX(), 0.22, 85, [])
After the request, the option specific information will be delivered via the IBApi.EWrapper.tickOptionComputation
method:
•public class EWrapperImpl : EWrapper
{
...
public virtual void tickOptionComputation(int tickerId, int field, double impliedVolatility, double
delta, double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice)
{
Console.WriteLine("TickOptionComputation. TickerId: "+tickerId+", field: "+field+",
ImpliedVolatility: "+impliedVolatility+", Delta: "+delta
+", OptionPrice: "+optPrice+", pvDividend: "+pvDividend+", Gamma: "+gamma+", Vega: "+vega+"
, Theta: "+theta+", UnderlyingPrice: "+undPrice);
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void tickOptionComputation(int tickerId, int field,
double impliedVol, double delta, double optPrice,
double pvDividend, double gamma, double vega, double theta,
double undPrice) {
System.out.println("TickOptionComputation. TickerId: "+tickerId+", field: "+field+",
ImpliedVolatility: "+impliedVol+", Delta: "+delta
+", OptionPrice: "+optPrice+", pvDividend: "+pvDividend+", Gamma: "+gamma+", Vega: "+vega+"
, Theta: "+theta+", UnderlyingPrice: "+undPrice);
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub tickOptionComputation(tickerId As Integer, field As Integer, impliedVolatility As
Double, delta As Double, optPrice As Double, pvDividend As Double, gamma As Double, vega As Double, theta As
Double, undPrice As Double) Implements IBApi.EWrapper.tickOptionComputation
Console.WriteLine("TickOptionComputation. TickerId: " & tickerId & ", field: " & field & ",
ImpliedVolatility: " & impliedVolatility &
", Delta: " & delta & ", OptionPrice: " & optPrice & ", pvDividend: " & pvDividend
& ", Gamma: " & gamma &
", Vega: " & vega & ", Theta: " & theta & ", UnderlyingPrice: " & undPrice)
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::tickOptionComputation( TickerId tickerId, TickType tickType, double impliedVol, double
delta,
double optPrice, double pvDividend,
double gamma, double vega, double theta, double undPrice) {
printf( "TickOptionComputation. Ticker Id: %ld, Type: %d, ImpliedVolatility: %g, Delta: %g,
OptionPrice: %g, pvDividend: %g, Gamma: %g, Vega: %g, Theta: %g, Underlying Price: %g\n", tickerId, (int)tickType,
impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice);
}
•class TestWrapper(wrapper.EWrapper):
...
Generated by Doxygen
278 Options
def tickOptionComputation(self, reqId: TickerId, tickType: TickType,
impliedVol: float, delta: float, optPrice: float, pvDividend: float,
gamma: float, vega: float, theta: float, undPrice: float):
super().tickOptionComputation(reqId, tickType, impliedVol, delta,
optPrice, pvDividend, gamma, vega, theta, undPrice)
print("TickOptionComputation. TickerId:", reqId, "tickType:", tickType,
"ImpliedVolatility:", impliedVol, "Delta:", delta, "OptionPrice:",
optPrice, "pvDividend:", pvDividend, "Gamma: ", gamma, "Vega:", vega,
"Theta:", theta, "UnderlyingPrice:", undPrice)
Generated by Doxygen
Chapter 14
Financial Advisors
15.1 Allocation Methods and Groups
A number of methods and profiles are available with Financial Advisor and IBroker account structures to specify
how trades should be distributed across multiple accounts. This functionality allows for trades to be placed across
multiple accounts. The API has the same functionality available as TWS.
Group and Profile order allocation methods for Financial Advisor Accounts can be created directly in TWS←- :
Allocations and Transfers, or utilize the IBApi.EClient.replaceFA() method via the API directly.
As suggested from the method names below, a Group will distribute the order based on inherent properties such as
the account's liquidation value or equity whereas a Profile will offer the possibility to assign the allocated proportion
based on explicit ratios or percentages.
Allocation by Group
EqualQuantity
Requires you to specify an order size. This method distributes shares equally between all accounts in the group.
Example: You transmit an order for 400 shares of stock ABC. If your Account Group includes four accounts, each
account receives 100 shares. If your Account Group includes six accounts, each account receives 66 shares, and
then 1 share is allocated to each account until all are distributed.
NetLiq
Requires you to specify an order size. This method distributes shares based on the net liquidation value of each
account. The system calculates ratios based on the Net Liquidation value in each account and allocates shares
based on these ratios.
Example: You transmit an order for 700 shares of stock XYZ. The account group includes three accounts, A, B and
C with Net Liquidation values of $25,000, $50,000 and $100,000 respectively. The system calculates a ratio of 1:2:4
and allocates 100 shares to Client A, 200 shares to Client B, and 400 shares to Client C.
AvailableEquity
http://interactivebrokers.github.io/tws-api/financial_advisor.html
280 Financial Advisors
Requires you to specify an order size. This method distributes shares based on the amount of available equity in
each account. The system calculates ratios based on the Available Equity in each account and allocates shares
based on these ratios.
Example: You transmit an order for 700 shares of stock XYZ. The account group includes three accounts, A, B and
C with available equity in the amounts of $25,000, $50,000 and $100,000 respectively. The system calculates a
ratio of 1:2:4 and allocates 100 shares to Client A, 200 shares to Client B, and 400 shares to Client C.
PctChange
Do not specify an order size. Since the quantity is calculated by the system, the order size is displayed in the
Quantity field after the order is acknowledged. This method increases or decreases an already existing position.
Positive percents will increase a position, negative percents will decrease a position. For exmaple, to fully close out
a position, you just need to specify percentage to be -100.
BUY ORDER Positive Percent Negative Percent
Long Position Increases position No effect
Short Position No effect Decreases position
SELL ORDER Positive Percent Negative Percent
Long Position No effect Decreases position
Short Position Increases position No effect
Allocation by Profile
Percentages
This method will split the total number of shares in the order between listed accounts based on the percentages you
indicate. For example, an order for 1000 shares using a profile with four accounts at 25% each would allocate 250
shares to each listed account in the profile.
Financial Ratios
This method calculates the allocation of shares based on the ratios you enter. For example, an order for 1000
shares using a profile with four accounts set to a ratio of 4, 2, 1, 1 would allocate 500, 250, 125 and 125 shares to
the listed accounts, respectively.
Shares
This method allocates the absolute number of shares you enter to each account listed. If you use this method, the
order size is calculated by adding together the number of shares allocated to each account in the profile.
Table 15.2 Profile Methods Matching
Profile Methods Type Number
Percentages Type - 1
Financial Ratios Type - 2
Shares Type - 3
Generated by Doxygen
15.2 Groups and Profiles from the API 281
15.2 Groups and Profiles from the API
The IBApi.EClient.requestFA function allows Financial Advisor to manually request current allocation con-
figuration data from TWS.
Request Account Aliases
•client.requestFA(Constants.FaAliases);
•client.requestFA(FADataType.ALIASES.ordinal());
•client.requestFA(Constants.FaAliases)
•m_pClient->requestFA(faDataType::ALIASES);
•self.requestFA(FaDataTypeEnum.ALIASES)
Request FA Groups
•client.requestFA(Constants.FaGroups);
•client.requestFA(FADataType.GROUPS.ordinal());
•client.requestFA(Constants.FaGroups)
•m_pClient->requestFA(faDataType::GROUPS);
•self.requestFA(FaDataTypeEnum.GROUPS)
Request FA Profiles
•client.requestFA(Constants.FaProfiles);
•client.requestFA(FADataType.PROFILES.ordinal());
•client.requestFA(Constants.FaProfiles)
•m_pClient->requestFA(faDataType::PROFILES);
•self.requestFA(FaDataTypeEnum.PROFILES)
The resulting FA allocation configuration will be delivered via the IBApi.EWrapper.receiveFA (p. ??). The event
includes an XML string containing the requested information.
•public class EWrapperImpl : EWrapper
{
...
public virtual void receiveFA(int faDataType, string faXmlData)
{
Console.WriteLine("Receing FA: "+faDataType+" - "+faXmlData);
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void receiveFA(int faDataType, String xml) {
System.out.println("Receiving FA: "+faDataType+" - "+xml);
}
•Public Class EWrapperImpl
Implements EWrapper
...
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282 Financial Advisors
Public Sub receiveFA(faDataType As Integer, faXmlData As String) Implements
IBApi.EWrapper.receiveFA
Console.WriteLine("Receing FA: " & faDataType & " - " & faXmlData)
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::receiveFA(faDataType pFaDataType, const std::string& cxml) {
std::cout << "Receiving FA: " << (int)pFaDataType << std::endl << cxml << std::endl;
}
•class TestWrapper(wrapper.EWrapper):
...
def receiveFA(self, faData: FaDataType, cxml: str):
super().receiveFA(faData, cxml)
print("Receiving FA: ", faData)
open(’log/fa.xml’,’w’).write(cxml)
The IBApi.EClient.replaceFA function can be called to replace the previous FA configuration in TWS by passing in
a FULL XML string that contains all allocation information.
Replace Account Groups Configuration
•public static string FaOneGroup = "<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
+"<ListOfGroups>"
+"<Group>"
+"<name>Equal_Quantity</name>"
+"<ListOfAccts varName=\"list\">"
//Replace with your own accountIds
+"<String>DU119915</String>"
+"<String>DU119916</String>"
+"</ListOfAccts>"
+"<defaultMethod>EqualQuantity</defaultMethod>"
+"</Group>"
+"</ListOfGroups>";
...
client.replaceFA(Constants.FaGroups, FaAllocationSamples.FaOneGroup);
•public static final String FA_ONE_GROUP = "<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
+"<ListOfGroups>"
+"<Group>"
+"<name>Equal_Quantity</name>"
+"<ListOfAccts varName=\"list\">"
//Replace with your own accountIds
+"<String>DU119915</String>"
+"<String>DU119916</String>"
+"</ListOfAccts>"
+"<defaultMethod>EqualQuantity</defaultMethod>"
+"</Group>"
+"</ListOfGroups>";
...
client.replaceFA(FADataType.GROUPS.ordinal(), FAMethodSamples.FA_ONE_GROUP);
•’Replace with your own accountIds
Public Shared FaOneGroup As String = "<?xml version=""1.0"" encoding=""UTF-8""?>" &
"<ListOfGroups>" &
"<Group>" &
"<name> Equal_Quantity</name>" &
"<ListOfAccts varName=""list"">" &
"<String>DU119915</String>" &
"<String>DU119916</String>" &
"</ListOfAccts>" &
"<defaultMethod>EqualQuantity</defaultMethod>" &
"</Group>" &
"</ListOfGroups>"
...
Generated by Doxygen
15.2 Groups and Profiles from the API 283
client.replaceFA(Constants.FaGroups, FaAllocationSamples.FaOneGroup)
•std::string groupXml =
"<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
"<ListOfGroups>"
"<Group>"
"<name>Equal_Quantity</name>"
"<ListOfAccts varName=\"list\">"
"<String>DU119915</String>"
"<String>DU119916</String>"
"</ListOfAccts>"
"<defaultMethod>EqualQuantity</defaultMethod>"
"</Group>"
"</ListOfGroups>";
...
m_pClient->replaceFA(faDataType::GROUPS, FAMethodSamples::FAOneGroup());
•FaOneGroup = "".join(("<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
,"<ListOfGroups>"
,"<Group>"
,"<name>Equal_Quantity</name>"
,"<ListOfAccts varName=\"list\">"
#Replace with your own accountIds
,"<String>DU119915</String>"
,"<String>DU119916</String>"
,"</ListOfAccts>"
,"<defaultMethod>EqualQuantity</defaultMethod>"
,"</Group>"
,"</ListOfGroups>"))
...
self.replaceFA(FaDataTypeEnum.GROUPS, FaAllocationSamples.FaOneGroup)
Note: The above command will replace any previous FA group configuration in TWS with one 'Group_Equal_←-
Quantity' group allocation.
•public static string FaTwoGroups = "<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
+"<ListOfGroups>"
+"<Group>"
+"<name>Equal_Quantity</name>"
+"<ListOfAccts varName=\"list\">"
//Replace with your own accountIds
+"<String>DU119915</String>"
+"<String>DU119916</String>"
+"</ListOfAccts>"
+"<defaultMethod>EqualQuantity</defaultMethod>"
+"</Group>"
+"<Group>"
+"<name>Pct_Change</name>"
+"<ListOfAccts varName=\"list\">"
//Replace with your own accountIds
+"<String>DU119915</String>"
+"<String>DU119916</String>"
+"</ListOfAccts>"
+"<defaultMethod>PctChange</defaultMethod>"
+"</Group>"
+"</ListOfGroups>";
...
client.replaceFA(Constants.FaGroups, FaAllocationSamples.FaTwoGroups);
•public static final String FA_TWO_GROUPS = "<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
+"<ListOfGroups>"
+"<Group>"
+"<name>Equal_Quantity</name>"
+"<ListOfAccts varName=\"list\">"
//Replace with your own accountIds
+"<String>DU119915</String>"
+"<String>DU119916</String>"
+"</ListOfAccts>"
+"<defaultMethod>EqualQuantity</defaultMethod>"
+"</Group>"
+"<Group>"
+"<name>Pct_Change</name>"
+"<ListOfAccts varName=\"list\">"
Generated by Doxygen
284 Financial Advisors
//Replace with your own accountIds
+"<String>DU119915</String>"
+"<String>DU119916</String>"
+"</ListOfAccts>"
+"<defaultMethod>PctChange</defaultMethod>"
+"</Group>"
+"</ListOfGroups>";
...
client.replaceFA(FADataType.GROUPS.ordinal(), FAMethodSamples.FA_TWO_GROUPS);
•’Replace with your own accountIds
Public Shared FaTwoGroups As String = "<?xml version=""1.0"" encoding=""UTF-8""?>" &
"<ListOfGroups>" &
"<Group>" &
"<name> Equal_Quantity</name>" &
"<ListOfAccts varName = ""list"">" &
"<String> DU119915</String>" &
"<String> DU119916</String>" &
"</ListOfAccts>" &
"<defaultMethod> EqualQuantity</defaultMethod>" &
"</Group>" &
"<Group>" &
"<name> Pct_Change</name>" &
"<ListOfAccts varName = ""list"">" &
"<String> DU119915</String>" &
"<String> DU119916</String>" &
"</ListOfAccts>" &
"<defaultMethod> PctChange</defaultMethod>" &
"</Group>" &
"</ListOfGroups>"
...
client.replaceFA(Constants.FaGroups, FaAllocationSamples.FaTwoGroups)
•std::string groupXml =
"<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
"<ListOfGroups>"
"<Group>"
"<name>Equal_Quantity</name>"
"<ListOfAccts varName=\"list\">"
"<String>DU119915</String>"
"<String>DU119916</String>"
"</ListOfAccts>"
"<defaultMethod>EqualQuantity</defaultMethod>"
"</Group>"
"<Group>"
"<name>Pct_Change</name>"
"<ListOfAccts varName=\"list\">"
"<String>DU119915</String>"
"<String>DU119916</String>"
"</ListOfAccts>"
"<defaultMethod>PctChange</defaultMethod>"
"</Group>"
"</ListOfGroups>";
...
m_pClient->replaceFA(faDataType::GROUPS, FAMethodSamples::FATwoGroups());
•FaTwoGroups = "".join(("<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
,"<ListOfGroups>"
,"<Group>"
,"<name>Equal_Quantity</name>"
,"<ListOfAccts varName=\"list\">"
#Replace with your own accountIds
,"<String>DU119915</String>"
,"<String>DU119916</String>"
,"</ListOfAccts>"
,"<defaultMethod>EqualQuantity</defaultMethod>"
,"</Group>"
,"<Group>"
,"<name>Pct_Change</name>"
,"<ListOfAccts varName=\"list\">"
#Replace with your own accountIds
,"<String>DU119915</String>"
,"<String>DU119916</String>"
,"</ListOfAccts>"
,"<defaultMethod>PctChange</defaultMethod>"
,"</Group>"
,"</ListOfGroups>"))
...
Generated by Doxygen
15.2 Groups and Profiles from the API 285
self.replaceFA(FaDataTypeEnum.GROUPS, FaAllocationSamples.FaTwoGroups)
Note: The above command will add another 'Group_Pct_Change' group allocation to the previous FA configuration.
Replace Account Profiles Configuration
You can find the corresponding type number for profile allocation in the "Profile Methods Matching" table above.
•public static string FaOneProfile = "<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
+"<ListOfAllocationProfiles>"
+"<AllocationProfile>"
+"<name>Percent_60_40</name>"
+"<type>1</type>"
+"<ListOfAllocations varName=\"listOfAllocations\">"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119915</acct>"
+"<amount>60.0</amount>"
+"</Allocation>"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119916</acct>"
+"<amount>40.0</amount>"
+"</Allocation>"
+"</ListOfAllocations>"
+"</AllocationProfile>"
+"</ListOfAllocationProfiles>";
...
client.replaceFA(Constants.FaProfiles, FaAllocationSamples.FaOneProfile);
•public static final String FA_ONE_PROFILE = "<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
+"<ListOfAllocationProfiles>"
+"<AllocationProfile>"
+"<name>Percent_60_40</name>"
+"<type>1</type>"
+"<ListOfAllocations varName=\"listOfAllocations\">"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119915</acct>"
+"<amount>60.0</amount>"
+"</Allocation>"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119916</acct>"
+"<amount>40.0</amount>"
+"</Allocation>"
+"</ListOfAllocations>"
+"</AllocationProfile>"
+"</ListOfAllocationProfiles>";
...
client.replaceFA(FADataType.PROFILES.ordinal(), FAMethodSamples.FA_ONE_PROFILE);
•’Replace with your own accountIds
Public Shared FaOneProfile As String = "<?xml version=""1.0"" encoding=""UTF-8""?>" &
"<ListOfAllocationProfiles>" &
"<AllocationProfile>" &
"<name> Percent_60_40</name>" &
"<Type>1</type>" &
"<ListOfAllocations varName=""listOfAllocations"">" &
"<Allocation>" &
"<acct> DU119915</acct>" &
"<amount>60.0</amount>" &
"</Allocation>" &
"<Allocation>" &
"<acct> DU119916</acct>" &
"<amount>40.0</amount>" &
"</Allocation>" &
"</ListOfAllocations>" &
"</AllocationProfile>" &
"</ListOfAllocationProfiles>"
...
client.replaceFA(Constants.FaProfiles, FaAllocationSamples.FaOneProfile)
Generated by Doxygen
286 Financial Advisors
•std::string profileXml =
"<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
"<ListOfAllocationProfiles>"
"<AllocationProfile>"
"<name>Percent_60_40</name>"
"<type>1</type>"
"<ListOfAllocations varName=\"listOfAllocations\">"
"<Allocation>"
"<acct>DU119915</acct>"
"<amount>60.0</amount>"
"</Allocation>"
"<Allocation>"
"<acct>DU119916</acct>"
"<amount>40.0</amount>"
"</Allocation>"
"</ListOfAllocations>"
"</AllocationProfile>"
"</ListOfAllocationProfiles>";
...
m_pClient->replaceFA(faDataType::PROFILES, FAMethodSamples::FAOneProfile());
•FaOneProfile = "".join(("<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
,"<ListOfAllocationProfiles>"
,"<AllocationProfile>"
,"<name>Percent_60_40</name>"
,"<type>1</type>"
,"<ListOfAllocations varName=\"listOfAllocations\">"
,"<Allocation>"
#Replace with your own accountIds
,"<acct>DU119915</acct>"
,"<amount>60.0</amount>"
,"</Allocation>"
,"<Allocation>"
#Replace with your own accountIds
,"<acct>DU119916</acct>"
,"<amount>40.0</amount>"
,"</Allocation>"
,"</ListOfAllocations>"
,"</AllocationProfile>"
,"</ListOfAllocationProfiles>"))
...
self.replaceFA(FaDataTypeEnum.PROFILES, FaAllocationSamples.FaOneProfile)
Note: The above command will replace any previous FA profile configuration in TWS with one 'Percent_60_40'
profile allocation
•public static string FaTwoProfiles = "<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
+"<ListOfAllocationProfiles>"
+"<AllocationProfile>"
+"<name>Percent_60_40</name>"
+"<type>1</type>"
+"<ListOfAllocations varName=\"listOfAllocations\">"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119915</acct>"
+"<amount>60.0</amount>"
+"</Allocation>"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119916</acct>"
+"<amount>40.0</amount>"
+"</Allocation>"
+"</ListOfAllocations>"
+"</AllocationProfile>"
+"<AllocationProfile>"
+"<name>Ratios_2_1</name>"
+"<type>1</type>"
+"<ListOfAllocations varName=\"listOfAllocations\">"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119915</acct>"
+"<amount>2.0</amount>"
+"</Allocation>"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119916</acct>"
+"<amount>1.0</amount>"
Generated by Doxygen
15.2 Groups and Profiles from the API 287
+"</Allocation>"
+"</ListOfAllocations>"
+"</AllocationProfile>"
+"</ListOfAllocationProfiles>";
...
client.replaceFA(Constants.FaProfiles, FaAllocationSamples.FaTwoProfiles);
•public static final String FA_TWO_PROFILES = "<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
+"<ListOfAllocationProfiles>"
+"<AllocationProfile>"
+"<name>Percent_60_40</name>"
+"<type>1</type>"
+"<ListOfAllocations varName=\"listOfAllocations\">"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119915</acct>"
+"<amount>60.0</amount>"
+"</Allocation>"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119916</acct>"
+"<amount>40.0</amount>"
+"</Allocation>"
+"</ListOfAllocations>"
+"</AllocationProfile>"
+"<AllocationProfile>"
+"<name>Ratios_2_1</name>"
+"<type>1</type>"
+"<ListOfAllocations varName=\"listOfAllocations\">"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119915</acct>"
+"<amount>2.0</amount>"
+"</Allocation>"
+"<Allocation>"
//Replace with your own accountIds
+"<acct>DU119916</acct>"
+"<amount>1.0</amount>"
+"</Allocation>"
+"</ListOfAllocations>"
+"</AllocationProfile>"
+"</ListOfAllocationProfiles>";
...
client.replaceFA(FADataType.PROFILES.ordinal(), FAMethodSamples.FA_TWO_PROFILES);
•’Replace with your own accountIds
Public Shared FaTwoProfiles As String = "<?xml version=""1.0"" encoding=""UTF-8""?>" &
"<ListOfAllocationProfiles>" &
"<AllocationProfile>" &
"<name> Percent_60_40</name>" &
"<Type>1</type>" &
"<ListOfAllocations varName = ""listOfAllocations"">" &
"<Allocation>" &
"<acct> DU119915</acct>" &
"<amount>60.0</amount>" &
"</Allocation>" &
"<Allocation>" &
"<acct> DU119916</acct>" &
"<amount>40.0</amount>" &
"</Allocation>" &
"</ListOfAllocations>" &
"</AllocationProfile>" &
"<AllocationProfile>" &
"<name> Ratios_2_1</name>" &
"<Type>1</Type>" &
"<ListOfAllocations varName = ""listOfAllocations"">" &
"<Allocation>" &
"<acct> DU119915</acct>" &
"<amount>2.0</amount>" &
"</Allocation>" &
"<Allocation>" &
"<acct> DU119916</acct>" &
"<amount>1.0</amount>" &
"</Allocation>" &
"</ListOfAllocations>" &
"</AllocationProfile>" &
"</ListOfAllocationProfiles>"
...
client.replaceFA(Constants.FaProfiles, FaAllocationSamples.FaTwoProfiles)
Generated by Doxygen
288 Financial Advisors
•std::string profileXml =
"<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
"<ListOfAllocationProfiles>"
"<AllocationProfile>"
"<name>Percent_60_40</name>"
"<type>1</type>"
"<ListOfAllocations varName=\"listOfAllocations\">"
"<Allocation>"
"<acct>DU119915</acct>"
"<amount>60.0</amount>"
"</Allocation>"
"<Allocation>"
"<acct>DU119916</acct>"
"<amount>40.0</amount>"
"</Allocation>"
"</ListOfAllocations>"
"</AllocationProfile>"
"<AllocationProfile>"
"<name>Ratios_2_1</name>"
"<type>1</type>"
"<ListOfAllocations varName=\"listOfAllocations\">"
"<Allocation>"
"<acct>DU119915</acct>"
"<amount>2.0</amount>"
"</Allocation>"
"<Allocation>"
"<acct>DU119916</acct>"
"<amount>1.0</amount>"
"</Allocation>"
"</ListOfAllocations>"
"</AllocationProfile>"
"</ListOfAllocationProfiles>";
...
m_pClient->replaceFA(faDataType::PROFILES, FAMethodSamples::FATwoProfiles());
•FaTwoProfiles = "".join(("<?xml version=\"1.0\" encoding=\"UTF-8\"?>"
,"<ListOfAllocationProfiles>"
,"<AllocationProfile>"
,"<name>Percent_60_40</name>"
,"<type>1</type>"
,"<ListOfAllocations varName=\"listOfAllocations\">"
,"<Allocation>"
#Replace with your own accountIds
,"<acct>DU119915</acct>"
,"<amount>60.0</amount>"
,"</Allocation>"
,"<Allocation>"
#Replace with your own accountIds
,"<acct>DU119916</acct>"
,"<amount>40.0</amount>"
,"</Allocation>"
,"</ListOfAllocations>"
,"</AllocationProfile>"
,"<AllocationProfile>"
,"<name>Ratios_2_1</name>"
,"<type>1</type>"
,"<ListOfAllocations varName=\"listOfAllocations\">"
,"<Allocation>"
#Replace with your own accountIds
,"<acct>DU119915</acct>"
,"<amount>2.0</amount>"
,"</Allocation>"
,"<Allocation>"
#Replace with your own accountIds
,"<acct>DU119916</acct>"
,"<amount>1.0</amount>"
,"</Allocation>"
,"</ListOfAllocations>"
,"</AllocationProfile>"
,"</ListOfAllocationProfiles>"))
...
self.replaceFA(FaDataTypeEnum.PROFILES, FaAllocationSamples.FaTwoProfiles)
Note: The above command will add another 'Group_Pct_Change' group allocation to the previous FA configuration
Model Portfolios and the API
Placing Orders to a FA account
Generated by Doxygen
15.3 Model Portfolios and the API 289
15.3 Model Portfolios and the API
Advisors can use Model Portfolios to easily invest some or all of a client's assets into one or multiple custom-created
portfolios, rather than tediously managing individual investments in single instruments.
More about Model Portfolios
The TWS API can access model portfolios in accounts where this functionality is available and a specific model
has previously been setup in TWS. API functionality allows the client application to request model position update
subscriptions, request model account update subscriptions, or place orders to a specific model.
Model Portfolio functionality not available in the TWS API:
• Portfolio Model Creation
• Portfolio Model Rebalancing
• Portfolio Model Position or Cash Transfer
To request position updates from a specific model, the function IBApi::EClient::reqPositionsMulti can be used:
Position Update Subscription by Model
To request model account updates, there is the function IBApi::EClient::reqAccountUpdatesMulti (p. ??), see:
Account Value Update Subscriptions by Model
To place an order to a model, the IBApi.Order.ModelCode field must be set accordingly, for example:
•Order modelOrder = OrderSamples.LimitOrder("BUY", 200, 100);
modelOrder.Account = "DF12345";// master FA account number
modelOrder.ModelCode = "Technology";// model for tech stocks first created in TWS
client.placeOrder(nextOrderId++, ContractSamples.USStock(), modelOrder);
•Order modelOrder = OrderSamples.LimitOrder("BUY", 200, 100);
modelOrder.account("DF12345"); // master FA account number
modelOrder.modelCode("Technology"); // model for tech stocks first created in TWS
client.placeOrder(nextOrderId++, ContractSamples.USStock(), modelOrder);
•Dim modelOrder As Order = OrderSamples.LimitOrder("BUY", 200, 100)
modelOrder.Account = "DF12345" ’master FA account number
modelOrder.ModelCode = "Technology" ’model for tech stocks first created in TWS
client.placeOrder(increment(nextOrderId), ContractSamples.USStock(), modelOrder)
•Order modelOrder = OrderSamples::LimitOrder("BUY", 200, 100);
modelOrder.account = "DF12345";
modelOrder.modelCode = "Technology";
m_pClient->placeOrder(m_orderId++, ContractSamples::USStock(), modelOrder);
•modelOrder = OrderSamples.LimitOrder("BUY", 200, 100)
modelOrder.account = "DF12345"
modelOrder.modelCode = "Technology" # model for tech stocks first created in TWS
self.placeOrder(self.nextOrderId(), ContractSamples.USStock(), modelOrder)
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290 Financial Advisors
15.4 Placing Orders to a FA account
15.4.1 Account Allocations
Financial Advisor users can invoke IBApi.EClient.placeOrder function while specifying corresponding Fi-nancial
Advisor Fields in the IBApi.Order object. Important: Unlike in TWS, there is not a default account allocation for the
API- it must be specified with every order placed.
Place an Order for a Single Managed Account
In linked accounts (not Financial Advisor accounts) in particular, it will be necessary to specify an account number
in the IBApi::Order::account field with every order placed.
•Order faOrderOneAccount = OrderSamples.MarketOrder("BUY", 100);
// Specify the Account Number directly
faOrderOneAccount.Account = "DU119915";
client.placeOrder(nextOrderId++, ContractSamples.USStock(), faOrderOneAccount);
•Order faOrderOneAccount = OrderSamples.MarketOrder("BUY", 100);
// Specify the Account Number directly
faOrderOneAccount.account("DU119915");
client.placeOrder(nextOrderId++, ContractSamples.USStock(), faOrderOneAccount);
•Dim faOrderOneAccount As Order = OrderSamples.MarketOrder("BUY", 100)
’ Specify the Account Number directly
faOrderOneAccount.Account = "DU119915"
client.placeOrder(increment(nextOrderId), ContractSamples.USStock(), faOrderOneAccount)
•Order faOrderOneAccount = OrderSamples::MarketOrder("BUY", 100);
// Specify the Account Number directly
faOrderOneAccount.account = "DU119915";
m_pClient->placeOrder(m_orderId++, ContractSamples::USStock(), faOrderOneAccount);
•faOrderOneAccount = OrderSamples.MarketOrder("BUY", 100)
# Specify the Account Number directly
faOrderOneAccount.account = "DU119915"
self.placeOrder(self.nextOrderId(), ContractSamples.USStock(), faOrderOneAccount)
Place an Order for an Account Group
For EqualQuantity, NetLiq and AvailableEquity allocation methods, you need to specify the
IBApi.Order.FaGroup and IBApi.Order.FaMethod parameters.
•Order faOrderGroupEQ = OrderSamples.LimitOrder("SELL", 200, 2000);
faOrderGroupEQ.FaGroup = "Group_Equal_Quantity";
faOrderGroupEQ.FaMethod = "EqualQuantity";
client.placeOrder(nextOrderId++, ContractSamples.SimpleFuture(), faOrderGroupEQ);
•Order faOrderGroupEQ = OrderSamples.LimitOrder("SELL", 200, 2000);
faOrderGroupEQ.faGroup("Group_Equal_Quantity");
faOrderGroupEQ.faMethod("EqualQuantity");
client.placeOrder(nextOrderId++, ContractSamples.USStock(), faOrderGroupEQ);
•Dim faOrderGroupEQ As Order = OrderSamples.LimitOrder("SELL", 200, 2000)
faOrderGroupEQ.FaGroup = "Group_Equal_Quantity"
faOrderGroupEQ.FaMethod = "EqualQuantity"
client.placeOrder(increment(nextOrderId), ContractSamples.SimpleFuture(), faOrderGroupEQ)
•Order faOrderGroupEQ = OrderSamples::LimitOrder("SELL", 200, 2000);
faOrderGroupEQ.faGroup = "Group_Equal_Quantity";
faOrderGroupEQ.faMethod = "EqualQuantity";
m_pClient->placeOrder(m_orderId++, ContractSamples::SimpleFuture(), faOrderGroupEQ);
•faOrderGroupEQ = OrderSamples.LimitOrder("SELL", 200, 2000)
faOrderGroupEQ.faGroup = "Group_Equal_Quantity"
faOrderGroupEQ.faMethod = "EqualQuantity"
self.placeOrder(self.nextOrderId(), ContractSamples.SimpleFuture(), faOrderGroupEQ)
For PctChange allocation methods, you should NOT specify the order size but you need to specify IBApi.Order.←-
FaPercentage parameter.
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15.4 Placing Orders to a FA account 291
•Order faOrderGroupPC = OrderSamples.MarketOrder("BUY", 0); ;
// You should not specify any order quantity for PctChange allocation method
faOrderGroupPC.FaGroup = "Pct_Change";
faOrderGroupPC.FaMethod = "PctChange";
faOrderGroupPC.FaPercentage = "100";
client.placeOrder(nextOrderId++, ContractSamples.EurGbpFx(), faOrderGroupPC);
•Order faOrderGroupPC = OrderSamples.MarketOrder("BUY", 0);
// You should not specify any order quantity for PctChange allocation method
faOrderGroupPC.faGroup("Pct_Change");
faOrderGroupPC.faMethod("PctChange");
faOrderGroupPC.faPercentage("100");
client.placeOrder(nextOrderId++, ContractSamples.EurGbpFx(), faOrderGroupPC);
•Dim faOrderGroupPC As Order = OrderSamples.MarketOrder("BUY", 0)
’ You should not specify any order quantity for PctChange allocation method
faOrderGroupPC.FaGroup = "Pct_Change"
faOrderGroupPC.FaMethod = "PctChange"
faOrderGroupPC.FaPercentage = "100"
client.placeOrder(increment(nextOrderId), ContractSamples.EurGbpFx(), faOrderGroupPC)
•Order faOrderGroupPC;
faOrderGroupPC.action = "BUY";
faOrderGroupPC.orderType = "MKT";
// You should not specify any order quantity for PctChange allocation method
faOrderGroupPC.faGroup = "Pct_Change";
faOrderGroupPC.faMethod = "PctChange";
faOrderGroupPC.faPercentage = "100";
m_pClient->placeOrder(m_orderId++, ContractSamples::EurGbpFx(), faOrderGroupPC);
•faOrderGroupPC = OrderSamples.MarketOrder("BUY", 0)
# You should not specify any order quantity for PctChange allocation method
faOrderGroupPC.faGroup = "Pct_Change"
faOrderGroupPC.faMethod = "PctChange"
faOrderGroupPC.faPercentage = "100"
self.placeOrder(self.nextOrderId(), ContractSamples.EurGbpFx(), faOrderGroupPC)
Place an Order for an Account Profile
•Order faOrderProfile = OrderSamples.LimitOrder("BUY", 200, 100);
faOrderProfile.FaProfile = "Percent_60_40";
client.placeOrder(nextOrderId++, ContractSamples.EuropeanStock(), faOrderProfile);
•Order faOrderProfile = OrderSamples.LimitOrder("BUY", 200, 100);
faOrderProfile.faProfile("Percent_60_40");
client.placeOrder(nextOrderId++, ContractSamples.EuropeanStock(), faOrderProfile);
•Dim faOrderProfile As Order = OrderSamples.LimitOrder("BUY", 200, 100)
faOrderProfile.FaProfile = "Percent_60_40"
client.placeOrder(increment(nextOrderId), ContractSamples.EuropeanStock(), faOrderProfile)
•Order faOrderProfile = OrderSamples::LimitOrder("BUY", 200, 100);
faOrderProfile.faProfile = "Percent_60_40";
m_pClient->placeOrder(m_orderId++, ContractSamples::EuropeanStock(), faOrderProfile);
•faOrderProfile = OrderSamples.LimitOrder("BUY", 200, 100)
faOrderProfile.faProfile = "Percent_60_40"
self.placeOrder(self.nextOrderId(), ContractSamples.EuropeanStock(), faOrderProfile)
15.4.2 Model Allocations
•Order modelOrder = OrderSamples.LimitOrder("BUY", 200, 100);
modelOrder.Account = "DF12345";// master FA account number
modelOrder.ModelCode = "Technology";// model for tech stocks first created in TWS
client.placeOrder(nextOrderId++, ContractSamples.USStock(), modelOrder);
•Order modelOrder = OrderSamples.LimitOrder("BUY", 200, 100);
modelOrder.account("DF12345"); // master FA account number
modelOrder.modelCode("Technology"); // model for tech stocks first created in TWS
client.placeOrder(nextOrderId++, ContractSamples.USStock(), modelOrder);
•Dim modelOrder As Order = OrderSamples.LimitOrder("BUY", 200, 100)
modelOrder.Account = "DF12345" ’master FA account number
modelOrder.ModelCode = "Technology" ’model for tech stocks first created in TWS
client.placeOrder(increment(nextOrderId), ContractSamples.USStock(), modelOrder)
•Order modelOrder = OrderSamples::LimitOrder("BUY", 200, 100);
modelOrder.account = "DF12345";
modelOrder.modelCode = "Technology";
m_pClient->placeOrder(m_orderId++, ContractSamples::USStock(), modelOrder);
•modelOrder = OrderSamples.LimitOrder("BUY", 200, 100)
modelOrder.account = "DF12345"
modelOrder.modelCode = "Technology" # model for tech stocks first created in TWS
self.placeOrder(self.nextOrderId(), ContractSamples.USStock(), modelOrder)
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292 Financial Advisors
15.4.3 Soft Dollar Tiers
Starting from API version 9.72.18 or higher and TWS Build 959 or higher, Financial Advisors, Hedge Fund and
Mutual Fund are able to utilize the Soft Dollar Tiers feature via the API.
Request Soft Dollar Tiers
The IBApi.EClient.reqSoftDollarTiers function can be called to manually request current Soft Dollar Tiers
structure from TWS.
•client.reqSoftDollarTiers(4001);
•client.reqSoftDollarTiers(4001);
•client.reqSoftDollarTiers(4001)
•m_pClient->reqSoftDollarTiers(4001);
•self.reqSoftDollarTiers(14001)
Receive Soft Dollar Tiers
The IBApi.EWrapper.softDollarTiers call back function is triggered for returning Soft Dollar Tiers Value, Name
and Display Name.
•public class EWrapperImpl : EWrapper
{
...
public void softDollarTiers(int reqId, SoftDollarTier[] tiers)
{
Console.WriteLine("Soft Dollar Tiers:");
foreach (var tier in tiers)
{
Console.WriteLine(tier.DisplayName);
}
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void softDollarTiers(int reqId, SoftDollarTier[] tiers) {
for (SoftDollarTier tier : tiers) {
System.out.print("tier: " + tier.toString() + ", ");
}
System.out.println();
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub softDollarTiers(reqid As Integer, tiers As SoftDollarTier()) Implements
EWrapper.softDollarTiers
Console.WriteLine("Soft Dollar Tiers:")
For Each tier In tiers
Console.WriteLine(tier.DisplayName)
Next
End Sub
•class TestCppClient : public EWrapper
{
...
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15.4 Placing Orders to a FA account 293
void TestCppClient::softDollarTiers(int reqId, const std::vector<SoftDollarTier> &tiers) {
printf("Soft dollar tiers (%lu):", tiers.size());
for (unsigned int i = 0; i < tiers.size(); i++) {
printf("%s\n", tiers[i].displayName().c_str());
}
}
•class TestWrapper(wrapper.EWrapper):
...
def softDollarTiers(self, reqId: int, tiers: list):
super().softDollarTiers(reqId, tiers)
print("Soft Dollar Tiers:", tiers)
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Chapter 15
Fundamental Data
Reuters Fundamental data for stocks and the Wall Street Events Horizon Calendar can be accessed via the T←-
WS API through the IBApi.EClient.reqFundamentalData (p. ??). For the "CalendarReport" it is necessary to have
the Wall Street Horizon subscription activated first in Account Management. The other report types require the
Reuters Fundamentals subscription but this is freely available and will be activated in most accounts by default.
•client.reqFundamentalData(8001, ContractSamples.USStock(), "ReportsFinSummary", null);
•client.reqFundamentalData(8001, ContractSamples.USStock(), "ReportsFinSummary", null);
•client.reqFundamentalData(8001, ContractSamples.USStock(), "ReportsFinSummary", Nothing)
•m_pClient->reqFundamentalData(8001, ContractSamples::USStock(), "ReportsFinSummary", TagValueListSPtr()
);
•self.reqFundamentalData(8001, ContractSamples.USStock(),
"ReportsFinSummary", [])
Note how a string attribute specifies the requested report type. In the example above the request was made for the
financial summary. See Report Types at the bottom of this page for the rest report types available.
Results are delivered via IBApi.EWrapper.fundamentalData in form of an XML report:
•public class EWrapperImpl : EWrapper
{
...
public virtual void fundamentalData(int reqId, string data)
{
Console.WriteLine("FundamentalData. " + reqId + "" + data+"\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void fundamentalData(int reqId, String data) {
System.out.println("FundamentalData. ReqId: ["+reqId+"] - Data: ["+data+"]");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub fundamentalData(reqId As Integer, data As String) Implements
IBApi.EWrapper.fundamentalData
Console.WriteLine("FundamentalData - ReqId [" & reqId & "] Data [" & data & "]")
End Sub
http://interactivebrokers.github.io/tws-api/reuters_fundamentals.html
296 Fundamental Data
•class TestCppClient : public EWrapper
{
...
void TestCppClient::fundamentalData(TickerId reqId, const std::string& data) {
printf( "FundamentalData. ReqId: %ld, %s\n", reqId, data.c_str());
}
•class TestWrapper(wrapper.EWrapper):
...
def fundamentalData(self, reqId: TickerId, data: str):
super().fundamentalData(reqId, data)
print("FundamentalData. ", reqId, data)
The IBApi.EClient.reqFundamentalData request can be cancelled via IBApi.EClient.cancel←-
FundamentalData :
•client.cancelFundamentalData(8001);
•client.cancelFundamentalData(8001);
•’** Canceling fundamentals request ***
client.cancelFundamentalData(8001)
•m_pClient->cancelFundamentalData(8001);
•self.cancelFundamentalData(8001)
16.1 Report Types
Report Type Description
ReportsFinSummary Financial summary
ReportsOwnership Company's ownership (Can be large in size)
ReportSnapshot Company's financial overview
ReportsFinStatements Financial Statements
RESC Analyst Estimates
CalendarReport Company's calendar
Fundamental Ratios data can be acquired by requesting generic tick type 258 with IBApi.EClient.reqMktData
( p. ??). See both Available Tick Types and Fundamental Ratios ( p. ??).
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Chapter 16
Error Handling
When a client application sends a message to TWS which requires a response which has an expected response
(i.e. placing an order, requesting market data, subscribing to account updates, etc.), TWS will almost either always
1) respond with the relevant data or 2) send an error message to IBApi::EWrapper::error (p. ??).
•Exceptions when no response can occur: If a market data request is made during a competing session
(when a paper user is logged into simultaneously on a different computer from the associated live user)
there is not currently a message returned from TWS. Also, if a request is made prior to full establishment of
connection (denoted by a returned 2104 or 2106 error code "Data Server is Ok"), there may not be a response
from the request.
Error messages sent by the TWS are handled by the IBApi.EWrapper.error method. The IBApi.E←-Wrapper.error
event contains the originating request Id (or the orderId in case the error was raised when placing an order), a
numeric error code and a brief description. It is important to keep in mind that this function is used for true error
messages as well as notifications that do not mean anything is wrong.
API Error Messages when TWS is not set to the English Language
• Currently on the Windows platform, error messages are sent using Latin1 encoding. If TWS is launched in a
non-Western language, it is recommended to enable the setting at Global Configuration ->API ->Settings
to "Show API error messages in English".
•public class EWrapperImpl : EWrapper
{
...
public virtual void error(int id,int errorCode, string errorMsg)
{
Console.WriteLine("Error. Id: " +id +", Code: " + errorCode + ", Msg: " + errorMsg + "\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void error(int id,int errorCode, String errorMsg) {
System.out.println("Error. Id: " +id +", Code: " + errorCode + ", Msg: " + errorMsg + "\n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
http://interactivebrokers.github.io/tws-api/error_handling.html
298 Error Handling
Public Sub [error](id As Integer, errorCode As Integer, errorMsg As String) Implements
IBApi.EWrapper.error
Console.WriteLine("Error - Id [" & id & "] ErrorCode [" & errorCode & "] ErrorMsg [" & errorMsg
& "]")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::error(int id,int errorCode, const std::string& errorString)
{
printf( "Error. Id: %d, Code: %d, Msg: %s\n",id, errorCode, errorString.c_str());
}
•class TestWrapper(wrapper.EWrapper):
...
def error(self, reqId: TickerId, errorCode: int, errorString: str):
super().error(reqId, errorCode, errorString)
print("Error. Id: ", reqId, " Code: ", errorCode, " Msg: ", errorString)
For a list containing all available error messages from the TWS, see Message Codes
17.1 Message Codes
The TWS uses the IBApi.EWrapper.error method not only to deliver errors but also warnings or informative
messages. This is done mostly for simplicity's sake. Below is a table with all the messages which can be sent
by the TWS/IB Gateway. All messages delivered by the TWS are usually accompanied by a brief but meaningful
description pointing in the direction of the problem.
17.1.1 System Message Codes
Remember that the TWS API simply connects to a running TWS/IB Gateway which most of times will be running
on your local network if not in the same host as the client application. It is your responsibility to provide reliable
connectivity between the TWS and your client application.
The messages in the table below are not a consequence of any action performed by the client application. They
are notifications about the connectivity status between the TWS and itself and our servers. Your client application
must pay special attention to them and handle the situation accordingly. You are very likely to loose connectivity to
our servers at least once a day due to our daily server maintenance downtime as clearly detailed in our Current
System Status page. Note that after the system reset, the TWS/IB Gateway will automatically reconnect to our
servers and you can resume your operations normally.
Important: during a reset period, there may be an interruption in the ability to log in or manage orders. Existing
orders (native types) will operate normally although execution reports and simulated orders will be delayed until the
reset is complete. It is not recommended to operate during the scheduled reset times.
Code TWS message Additional notes
1100 Connectivity between IB and the TWS has been
lost.
Your TWS/IB Gateway has been disconnected
from IB servers. This can occur because of an
internet connectivity issue, a nightly reset of the
IB servers, or a competing session.
1101 Connectivity between IB and TWS has been
restored- data lost.∗
The TWS/IB Gateway has successfully recon-
nected to IB's servers. Your market data requests
have been lost and need to be re-submitted.
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17.1 Message Codes 299
Code TWS message Additional notes
1102 Connectivity between IB and TWS has been
restored- data maintained.
The TWS/IB Gateway has successfully recon-
nected to IB's servers. Your market data requests
have been recovered and there is no need for you
to re-submit them.
1300 TWS socket port has been reset and this connec-
tion is being dropped. Please reconnect on the
new port - <port_num>
The port number in the TWS/IBG settings has
been changed during an active API connection.
17.1.2 Warning Message Codes
Code TWS message Additional notes
2100 New account data requested from TWS. API client
has been unsubscribed from account data.
The TWS only allows one IBApi.EClient.req←-
AccountUpdates request at a time. If the client
application attempts to subscribe to a sec-ond
account without canceling the previous sub-
scription, the new request will override the old one
and the TWS will send this message notifying so.
2101 Unable to subscribe to account as the following
clients are subscribed to a different account.
If a client application invokes IBApi.EClient.req←-
AccountUpdates when there is an active
subscription started by a different client, the T←-
WS will reject the new subscription request with
this message.
2102 Unable to modify this order as it is still being pro-
cessed.
If you attempt to modify an order before it gets
processed by the system, the modification will be
rejected. Wait until the order has been fully pro-
cessed before modifying it. See Placing Orders
for further details.
2103 A market data farm is disconnected. Indicates a connectivity problem to an IB server.
Outside of the nightly IB server reset, this typically
indicates an underlying ISP connectivity issue.
2104 Market data farm connection is OK A notification that connection to the market data
server is ok. This is a notification and not a true
error condition, and is expected on first establish-
ing connection.
2105 A historical data farm is disconnected. Indicates a connectivity problem to an IB server.
Outside of the nightly IB server reset, this typically
indicates an underlying ISP connectivity issue.
2106 A historical data farm is connected. A notification that connection to the market data
server is ok. This is a notification and not a true
error condition, and is expected on first establish-
ing connection.
2107 A historical data farm connection has become in-
active but should be available upon demand.
Whenever a connection to the historical data farm
is not being used because there is not an active
historical data request, the connection will go in-
active in IB Gateway. This does not indicate any
connectivity issue or problem with IB Gateway. As
soon as a historical data request is made the sta-
tus will change back to active.
2108 A market data farm connection has become inac-
tive but should be available upon demand.
Whenever a connection to our data farms is not
needed, it will become dormant. There is nothing
abnormal nor wrong with your client application
nor with the TWS. You can safely ignore this mes-
sage.
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300 Error Handling
Code TWS message Additional notes
2109 Order Event Warning: Attribute "Outside Regular
Trading Hours" is ignored based on the order type
and destination. PlaceOrder is now processed.
Indicates the outsideRth flag was set for an order
for which there is not a regular vs outside regular
trading hour distinction
2110 Connectivity between TWS and server is broken.
It will be restored automatically.
Indicates a connectivity problem between TWS or
IBG and the IB server. This will usually only occur
during the IB nightly server reset; cases at other
times indicate a problem in the local ISP connec-
tivity.
2137 Cross Side Warning This warning message occurs in TWS version 955
and higher. It occurs when an order will change
the position in an account from long to short or
from short to long. To bypass the warning, a new
feature has been added to IB Gateway 956 (or
higher) and TWS 957 (or higher) so that once can
go to Global Configuration >Messages and dis-
able the "Cross Side Warning".
17.1.3 Client Error Codes
Client errors are those occurring purely on the TWS API client code and as such they are never sent by the TWS.
They are mostly errors happening when validating messages before these are sent to the TWS and you are unlikely
to receive the vast majority of them. As such only a small list of these errors is documented below. To see all
available errors of this type please refer to the IBApi.EClientErrors class.
Code Message Additional notes
501 Already Connected. Your client application is already connected to the
TWS.
502 Couldn't connect to TWS. Confirm that "Enable
ActiveX and Socket Clients" is enabled and con-
nection port is the same as "Socket Port" on
the TWS "Edit->Global Configuration...->AP←-
I->Settings" menu.
When you receive this error message it is either
because you have not enabled API connectivity in
the TWS and/or you are trying to connect on the
wrong port. Refer to the TWS' API Settings as
explained in the error message. See also Con-
nectivity
503 The TWS is out of date and must be upgraded. Indicates TWS or IBG is too old for use with the
current API version. Can also be triggered if the
TWS version does not support a specific API func-
tion.
504 Not connected. You are trying to perform a request without prop-
erly connecting and/or after connection to the T←-
WS has been broken probably due to an unhan-
dled exception within your client application.
17.1.4 TWS Error Codes
Code TWS message Additional notes
100 Max rate of messages per second
has been exceeded.
The client application has ex-
ceeded the rate of 50 mes-
sages/second. The TWS will likely
disconnect the client application af-
ter this message.
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17.1 Message Codes 301
Code TWS message Additional notes
101 Max number of tickers has been
reached.
The current number of active mar-
ket data subscriptions in TWS and
the API altogether has been ex-
ceeded. This number is calculated
based on a formula which is based
on the equity, commissions, and
quote booster packs in an account.
Active lines can be checked in Tws
using the Ctrl-Alt-= combination
102 Duplicate ticker ID. A market data request used a ticker
ID which is already in use by an ac-
tive request.
103 Duplicate order ID. An order was placed with an order
ID that is less than or equal to the
order ID of a previous order from
this client
104 Can't modify a filled order. An attempt was made to modify an
order which has already been filled
by the system.
105 Order being modified does not
match original order.
An order was placed with an order
ID of a currently open order but ba-
sic parameters differed (aside from
quantity or price fields)
106 Can't transmit order ID:
107 Cannot transmit incomplete order. Order is missing a required field.
109 Price is out of the range defined by
the Percentage setting at order de-
faults frame. The order will not be
transmitted.
Price entered is outside the range
of prices set in TWS or IB Gateway
Order Precautionary Settings
110 The price does not conform to the
minimum price variation for this
contract.
An entered price field has more dig-
its of precision than is allowed for
this particular contract. Minimum
increment information can be found
on the IB Contracts and Securities
Search page.
111 The TIF (Tif type) and the order
type are incompatible.
The time in force specified can-
not be used with this order type.
Please refer to order tickets in TWS
for allowable combinations.
113 The Tif option should be set to DAY
for MOC and LOC orders.
Market-on-close or Limit-on-close
orders should be sent with time in
force set to 'DAY'
114 Relative orders are valid for stocks
only.
This error is deprecated.
115 Relative orders for US stocks can
only be submitted to SMART, SM←-
ART_ECN, INSTINET, or PRIMEX.
This error is deprecated.
116 The order cannot be transmitted to
a dead exchange.
Exchange field is invalid.
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302 Error Handling
Code TWS message Additional notes
117 The block order size must be at
least 50.
118 VWAP orders must be routed
through the VWAP exchange.
119 Only VWAP orders may be placed
on the VWAP exchange.
When an order is routed to the V←-
WAP exchange, the type of the or-
der must be defined as 'VWAP'.
120 It is too late to place a VWAP order
for today.
The cutoff has passed for the cur-
rent day to place VWAP orders.
121 Invalid BD flag for the order. Check
"Destination" and "BD" flag.
This error is deprecated.
122 No request tag has been found for
order:
123 No record is available for conid: The specified contract ID cannot be
found. This error is deprecated.
124 No market rule is available for
conid:
125 Buy price must be the same as the
best asking price.
126 Sell price must be the same as the
best bidding price.
129 VWAP orders must be submitted at
least three minutes before the start
time.
The start time specified in the V←-
WAP order is less than 3 minutes
after when it is placed.
131 The sweep-to-fill flag and display
size are only valid for US stocks
routed through SMART, and will be
ignored.
132 This order cannot be transmitted
without a clearing account.
133 Submit new order failed.
134 Modify order failed.
135 Can't find order with ID = An attempt was made to cancel an
order not currently in the system.
136 This order cannot be cancelled. An attempt was made to cancel an
order than cannot be cancelled, for
instance because
137 VWAP orders can only be can-
celled up to three minutes before
the start time.
138 Could not parse ticker request:
139 Parsing error: Error in command syntax gener-
ated parsing error.
140 The size value should be an
integer:
The size field in the Order class has
an invalid type.
141 The price value should be a
double:
A price field in the Order type has
an invalid type.
142 Institutional customer account
does not have account info
143 Requested ID is not an integer
number.
The IDs used in API requests must
be integer values.
Generated by Doxygen
17.1 Message Codes 303
Code TWS message Additional notes
144 Order size does not match total
share allocation. To adjust the
share allocation, right-click on the
order and select âCœModify >
Share Allocation.âC
145 Error in validating entry fields - An error occurred with the syntax of
a request field.
146 Invalid trigger method. The trigger method specified for a
method such as stop or trail stop
was not one of the allowable meth-
ods.
147 The conditional contract info is in-
complete.
148 A conditional order can only be
submitted when the order type is
set to limit or market.
This error is deprecated.
151 This order cannot be transmitted
without a user name.
In DDE the user name is a required
field in the place order command.
152 The "hidden" order attribute may
not be specified for this order.
The order in question cannot
be placed as a hidden or-
der. See- https://www.←-
interactivebrokers.←-
com/en/index.php?f=596
153 EFPs can only be limit orders. This error is deprecated.
154 Orders cannot be transmitted for a
halted security.
A security was halted for trading
when an order was placed.
155 A sizeOp order must have a user
name and account.
This error is deprecated.
156 A SizeOp order must go to IBSX This error is deprecated.
157 An order can be EITHER Iceberg
or Discretionary. Please remove
either the Discretionary amount or
the Display size.
In the Order class extended at-
tributes the fields 'Iceberg' and 'Dis-
cretionary' cannot
158 You must specify an offset amount
or a percent offset value.
TRAIL and TRAIL STOP orders
must have an absolute offset
amount or offset percentage speci-
fied.
159 The percent offset value must be
between 0% and 100%.
A percent offset value was speci-
fied outside the allowable range of
0% and 100%.
160 The size value cannot be zero. The size of an order must be a pos-
itive quantity.
161 Cancel attempted when order is
not in a cancellable state. Order
permId =
An attempt was made to cancel an
order not active at the time.
162 Historical market data Service error
message.
163 The price specified would violate
the percentage constraint specified
in the default order settings.
The order price entered is outside
the allowable range specified in
the Order Precautionary Settings of
TWS or IB Gateway
Generated by Doxygen
304 Error Handling
Code TWS message Additional notes
164 There is no market data to check
price percent violations.
No market data is available for
the specified contract to determine
whether the specified price is out-
side the price percent precaution-
ary order setting.
165 Historical market Data Service
query message.
There was an issue with a historical
data request, such is no such data
in IB's database. Note this mes-
sage is not specific to the API.
166 HMDS Expired Contract Violation. Historical data is not available for
the specified expired contract.
167 VWAP order time must be in the fu-
ture.
The start time of a VWAP order has
already passed.
168 Discretionary amount does not
conform to the minimum price vari-
ation for this contract.
The discretionary field is specified
with a number of degrees of preci-
sion higher than what is allowed for
a specified contract.
200
No security definition has been
found for the request.
The specified contract does not
match any in IB's database, usually
because of an incorrect or missing
parameter.
The contract description specified
for <Symbol>is ambiguous
Ambiguity may occur when the
contract definition provided is not
unique.
For some stocks that has the
same Symbol, Currency and
Exchange, you need to specify
the IBApi.Contract.PrimaryExch
attribute to avoid ambiguity. Please
refer to a sample stock contract
here (p. ??).
For futures that has multiple
multipliers for the same expiration,
You need to specify the IB←-
Api.Contract.Multiplier attribute
to avoid ambiguity. Please refer to a
sample futures contract here
(p. ??).
201 Order rejected - Reason: An attempted order was rejected by
the IB servers.
202 Order cancelled - Reason: An active order on the IB server
was cancelled
203 The security <security>is not
available or allowed for this ac-
count.
The specified security has a trading
restriction with a specific account.
300 Can't find EId with ticker Id: An attempt was made to cancel
market data for a ticker ID that was
not associated with a current sub-
scription. With the DDE API this
occurs by clearing the spreadsheet
cell.
301 Invalid ticker action:
302 Error parsing stop ticker string:
Generated by Doxygen
17.1 Message Codes 305
Code TWS message Additional notes
303 Invalid action: An action field was specified that is
not available for the account. For
most accounts this is only BUY or
SELL. Some institutional accounts
also have the options SSHORT or
SLONG available.
304 Invalid account value action:
305 Request parsing error, the request
has been ignored.
The syntax of a DDE request is in-
valid.
306 Error processing DDE request: An issue with a DDE request pre-
vented it from processing.
307 Invalid request topic: The 'topic' field in a DDE request is
invalid.
308 Unable to create the 'API' page in
TWS as the maximum number of
pages already exists.
An order placed from the API will
automatically open a new page in
classic TWS, however there are
already the maximum number of
pages open.
309 Max number (3) of market depth re-
quests has been reached. Note←-
: TWS currently limits users to a
maximum of 3 distinct market depth
requests. This same restriction ap-
plies to API clients, however A←-
PI clients may make multiple mar-
ket depth requests for the same se-
curity.
310 Can't find the subscribed market
depth with tickerId:
An attempt was made to cancel
market depth for a ticker not cur-
rently active.
311 The origin is invalid. The origin field specified in the Or-
der class is invalid.
312 The combo details are invalid. Combination contract specified has
invalid parameters.
313 The combo details for leg '<leg
number>' are invalid.
A combo leg was not defined cor-
rectly.
314 Security type 'BAG' requires combo
leg details.
When specifying security type as
'BAG' make sure to also add combo
legs with details.
315 Stock combo legs are restricted to
SMART order routing.
Make sure to specify 'SMART' as
an exchange when using stock
combo contracts.
316 Market depth data has been HA←-
LTED. Please re-subscribe.
You need to re-subscribe to start
receiving market depth data again.
317 Market depth data has been RE←-
SET. Please empty deep book con-
tents before applying any new en-
tries.
319 Invalid log level <log level>Make sure that you are setting a log
level to a value in range of 1 to 5.
320 Server error when reading an API
client request.
321 Server error when validating an
API client request.
Generated by Doxygen
306 Error Handling
Code TWS message Additional notes
322 Server error when processing an
API client request.
323 Server error: cause - s
324 Server error when reading a D←-
DE client request (missing informa-
tion).
Make sure that you have specified
all the needed information for your
request.
325 Discretionary orders are not sup-
ported for this combination of ex-
change and order type.
Make sure that you are specifying a
valid combination of exchange and
order type for the discretionary or-
der.
326 Unable to connect as the client id is
already in use. Retry with a unique
client id.
Another client application is already
connected with the specified client
id.
327 Only API connections with clientId
set to 0 can set the auto bind TWS
orders property.
328 Trailing stop orders can be at-
tached to limit or stop-limit orders
only.
Indicates attempt to attach trail stop
to order which was not a limit or
stop-limit.
329 Order modify failed. Cannot
change to the new order type.
You are not allowed to modify initial
order type to the specific order type
you are using.
330 Only FA or STL customers can re-
quest managed accounts list.
Make sure that your account type is
either FA or STL.
331 Internal error. FA or STL does not
have any managed accounts.
You do not have any managed ac-
counts.
332 The account codes for the order
profile are invalid.
You need to check that the account
codes you specified for your re-
quest are valid.
333 Invalid share allocation syntax.
334 Invalid Good Till Date order Check you order settings.
335 Invalid delta: The delta must be be-
tween 0 and 100.
336 The time or time zone is invalid.
The correct format is hh:mm:ss xxx
where xxx is an optionally speci-
fied time-zone. E.g.: 15:59:00 EST
Note that there is a space between
the time and the time zone. If no
time zone is specified, local time is
assumed.
337 The date, time, or time-zone en-
tered is invalid. The correct format
is yyyymmdd hh:mm:ss xxx where
yyyymmdd and xxx are optional.
E.g.: 20031126 15:59:00 ESTNote
that there is a space between the
date and time, and between the
time and time-zone.
338 Good After Time orders are cur-
rently disabled on this exchange.
339 Futures spread are no longer sup-
ported. Please use combos in-
stead.
Generated by Doxygen
17.1 Message Codes 307
Code TWS message Additional notes
340 Invalid improvement amount for
box auction strategy.
341 Invalid delta. Valid values are from
1 to 100. You can set the delta
from the "Pegged to Stock" section
of the Order Ticket Panel, or by se-
lecting Page/Layout from the main
menu and adding the Delta column.
342 Pegged order is not supported on
this exchange.
You can review all order types
and supported exchanges on the
Order Types and Algos
page.
343 The date, time, or time-zone en-
tered is invalid. The correct format
is yyyymmdd hh:mm:ss xxx
344 The account logged into is not a fi-
nancial advisor account.
You are trying to perform an action
that is only available for the finan-
cial advisor account.
345 Generic combo is not supported for
FA advisor account.
346 Not an institutional account or an
away clearing account.
347 Short sale slot value must be 1
(broker holds shares) or 2 (deliv-
ered from elsewhere).
Make sure that your slot value is ei-
ther 1 or 2.
348 Order not a short sale – type must
be SSHORT to specify short sale
slot.
Make sure that the action you spec-
ified is 'SSHORT'.
349 Generic combo does not support
"Good After" attribute.
350 Minimum quantity is not supported
for best combo order.
351 The "Regular Trading Hours only"
flag is not valid for this order.
352 Short sale slot value of 2 (delivered
from elsewhere) requires location.
You need to specify designated←-
Location for your order.
353 Short sale slot value of 1 requires
no location be specified.
You do not need to specify
designatedLocation for your order.
354 Not subscribed to requested mar-
ket data.
You do not have live market data
available in your account for the
specified instruments. For further
details please refer to Streaming
Market Data (p. ??).
355 Order size does not conform to
market rule.
Check order size parameters for
the specified contract from the T←-
WS Contract Details.
356 Smart-combo order does not sup-
port OCA group.
Remove OCA group from your or-
der.
357 Your client version is out of date.
358 Smart combo child order not sup-
ported.
359 Combo order only supports reduce
on fill without block(OCA).
Generated by Doxygen
308 Error Handling
Code TWS message Additional notes
360 No whatif check support for smart
combo order.
Pre-trade commissions and margin
information is not available for this
type of order.
361 Invalid trigger price.
362 Invalid adjusted stop price.
363 Invalid adjusted stop limit price.
364 Invalid adjusted trailing amount.
365 No scanner subscription found for
ticker id:
Scanner market data subscription
request with this ticker id has either
been cancelled or is not found.
366 No historical data query found for
ticker id:
Historical market data request with
this ticker id has either been can-
celled or is not found.
367 Volatility type if set must be 1 or 2
for VOL orders. Do not set it for
other order types.
368 Reference Price Type must be 1
or 2 for dynamic volatility manage-
ment. Do not set it for non-VOL or-
ders.
369 Volatility orders are only valid for
US options.
Make sure that you are placing an
order for US OPT contract.
370 Dynamic Volatility orders must be
SMART routed, or trade on a Price
Improvement Exchange.
371 VOL order requires positive floating
point value for volatility. Do not set
it for other order types.
372 Cannot set dynamic VOL attribute
on non-VOL order.
Make sure that your order type is
'VOL'.
373 Can only set stock range attribute
on VOL or RELATIVE TO STOCK
order.
374 If both are set, the lower stock
range attribute must be less than
the upper stock range attribute.
375 Stock range attributes cannot be
negative.
376 The order is not eligible for continu-
ous update. The option must trade
on a cheap-to-reroute exchange.
377 Must specify valid delta hedge or-
der aux. price.
378 Delta hedge order type requires
delta hedge aux. price to be speci-
fied.
Make sure your order has delta at-
tribute.
379 Delta hedge order type requires
that no delta hedge aux. price be
specified.
Make sure you do not specify aux.
delta hedge price.
380 This order type is not allowed for
delta hedge orders.
Limit, Market or Relative orders are
supported.
381 Your DDE.dll needs to be up-
graded.
Generated by Doxygen
17.1 Message Codes 309
Code TWS message Additional notes
382 The price specified violates the
number of ticks constraint specified
in the default order settings.
383 The size specified violates the size
constraint specified in the default
order settings.
384 Invalid DDE array request.
385 Duplicate ticker ID for API scanner
subscription.
Make sure you are using a unique
ticker ID for your new scanner sub-
scription.
386 Duplicate ticker ID for API historical
data query.
Make sure you are using a unique
ticker ID for your new historical
market data query.
387 Unsupported order type for this ex-
change and security type.
You can review all order types
and supported exchanges on the
Order Types and Algos
page.
388 Order size is smaller than the mini-
mum requirement.
Check order size parameters for
the specified contract from the T←-
WS Contract Details.
389 Supplied routed order ID is not
unique.
390 Supplied routed order ID is invalid.
391 The time or time-zone entered is in-
valid. The correct format is hh←-
:mm:ss xxx
392 Invalid order: contract expired. You can not place an order for the
expired contract.
393 Short sale slot may be specified for
delta hedge orders only.
394 Invalid Process Time: must be in-
teger number of milliseconds be-
tween 100 and 2000. Found:
395 Due to system problems, orders
with OCA groups are currently not
being accepted.
Check TWS bulletins for more infor-
mation.
396 Due to system problems, applica-
tion is currently accepting only Mar-
ket and Limit orders for this con-
tract.
Check TWS bulletins for more infor-
mation.
397 Due to system problems, applica-
tion is currently accepting only Mar-
ket and Limit orders for this con-
tract.
398 < > cannot be used as a condition
trigger.
Please make sure that you specify
a valid condition
399 Order message error
400 Algo order error.
401 Length restriction.
402 Conditions are not allowed for this
contract.
Condition order type does not sup-
port for this contract
403 Invalid stop price. The Stop Price you specified for the
order is invalid for the contract
Generated by Doxygen
310 Error Handling
Code TWS message Additional notes
404 Shares for this order are not imme-
diately available for short sale. The
order will be held while we attempt
to locate the shares.
You order is held by the TWS be-
cause you are trying to sell a con-
tract but you do not have any long
position and the market does not
have short sale available. You or-
der will be transmitted once there is
short sale available on the market
405 The child order quantity should be
equivalent to the parent order size.
This error is deprecated.
406 The currency < > is not allowed. Please specify a valid currency
407 The symbol should contain valid
non-unicode characters only.
Please check your contract Symbol
408 Invalid scale order increment.
409 Invalid scale order. You must spec-
ify order component size.
ScaleInitLevelSize specified is in-
valid
410 Invalid subsequent component size
for scale order.
ScaleSubsLevelSize specified is in-
valid
411 The "Outside Regular Trading
Hours" flag is not valid for this
order.
Trading outside of regular trading
hours is not available for this secu-
rity
412 The contract is not available for
trading.
413 What-if order should have the
transmit flag set to true.
You need to set IBApi.Order.←-
Transmit to TRUE
414 Snapshot market data subscription
is not applicable to generic ticks.
You must leave Generic Tick List
to be empty when requesting snap-
shot market data
415 Wait until previous RFQ finishes
and try again.
416 RFQ is not applicable for the con-
tract. Order ID:
417 Invalid initial component size for
scale order.
ScaleInitLevelSize specified is in-
valid
418 Invalid scale order profit offset. ScaleProfitOffset specified is in-
valid
419 Missing initial component size for
scale order.
You need to specify the ScaleInit←-
LevelSize
420 Invalid real-time query. This error is deprecated.
421 Invalid route. This error is deprecated.
422 The account and clearing attributes
on this order may not be changed.
423 Cross order RFQ has been ex-
pired. THI committed size is no
longer available. Please open or-
der dialog and verify liquidity allo-
cation.
424 FA Order requires allocation to be
specified.
This error is deprecated.
425 FA Order requires per-account
manual allocations because there
is no common clearing instruction.
Please use order dialog Adviser tab
to enter the allocation.
This error is deprecated.
426 None of the accounts have enough
shares.
You are not able to enter short po-
sition with Cash Account
Generated by Doxygen
17.1 Message Codes 311
Code TWS message Additional notes
427 Mutual Fund order requires mone-
tary value to be specified.
This error is deprecated.
428 Mutual Fund Sell order requires
shares to be specified.
This error is deprecated.
429 Delta neutral orders are only sup-
ported for combos (BAG security
type).
430 We are sorry, but fundamentals
data for the security specified is not
available.
431 What to show field is missing or in-
correct.
This error is deprecated.
432 Commission must not be negative. This error is deprecated.
433 Invalid "Restore size after taking
profit" for multiple account alloca-
tion scale order.
434 The order size cannot be zero.
435 You must specify an account. The function you invoked only
works on a single account
436 You must specify an allocation (ei-
ther a single account, group, or pro-
file).
When you try to place an order with
a Financial Advisor account, you
must specify the order to be routed
to either a single account, a group,
or a profile.
437 Order can have only one flag Out-
side RTH or Allow PreOpen.
This error is deprecated.
438 The application is now locked. This error is deprecated.
439 Order processing failed. Algorithm
definition not found.
Please double check your spec-
ification for IBApi.Order.Algo←-
Strategy and IBApi.←-
Order.AlgoParams
440 Order modify failed. Algorithm can-
not be modified.
441 Algo attributes validation failed: Please double check your spec-
ification for IBApi.Order.Algo←-
Strategy and IBApi.←-
Order.AlgoParams
442 Specified algorithm is not allowed
for this order.
443 Order processing failed. Unknown
algo attribute.
Specification for IBApi.Order.←-
AlgoParams is incorrect
444 Volatility Combo order is not yet
acknowledged. Cannot submit
changes at this time.
The order is not in a state that is
able to be modified
445 The RFQ for this order is no longer
valid.
446 Missing scale order profit offset. ScaleProfitOffset is not properly
specified
447 Missing scale price adjustment
amount or interval.
ScalePriceAdjustValue or Scale←-
PriceAdjustInterval is not specified
properly
448 Invalid scale price adjustment inter-
val.
ScalePriceAdjustInterval specified
is invalid
Generated by Doxygen
312 Error Handling
Code TWS message Additional notes
449 Unexpected scale price adjustment
amount or interval.
ScalePriceAdjustValue or Scale←-
PriceAdjustInterval specified is in-
valid
507 Bad Message Length (Java-only) Indicates EOF exception was
caught while reading from the
socket. This can occur if there
is an attempt to connect to TWS
with a client ID that is already in
use, or if TWS is locked, closes, or
breaks the connection. It should be
handled by the client application
and used to indicate that the socket
connection is not valid.
10000 Cross currency combo error.
10001 Cross currency vol error.
10002 Invalid non-guaranteed legs.
10003 IBSX not allowed.
10005 Read-only models.
10006 Missing parent order. The parent order ID specified can-
not be found. In some cases this
can occur with bracket orders if the
child order is placed immediately
after the parent order; a brief pause
of 50 ms or less will be necessary
before the child order is transmitted
to TWS/IBG.
10007 Invalid hedge type.
10008 Invalid beta value.
10009 Invalid hedge ratio.
10010 Invalid delta hedge order.
10011 Currency is not supported for
Smart combo.
10012 Invalid allocation percentage FaPercentage specified is not valid
10013 Smart routing API error (Smart
routing opt-out required).
10014 PctChange limits. This error is deprecated
10015 Trading is not allowed in the API.
10016 Contract is not visible. This error is deprecated
10017 Contracts are not visible. This error is deprecated
10018 Orders use EV warning.
10019 Trades use EV warning.
10020 Display size should be smaller than
order size./td>
The display size should be smaller
than the total quantity
10021 Invalid leg2 to Mkt Offset API. This error is deprecated
10022 Invalid Leg Prio API. This error is deprecated
10023 Invalid combo display size API. This error is deprecated
10024 Invalid don't start next legin API. This error is deprecated
10025 Invalid leg2 to Mkt time1 API. This error is deprecated
10026 Invalid leg2 to Mkt time2 API. This error is deprecated
10027 Invalid combo routing tag API. This error is deprecated
Generated by Doxygen
17.1 Message Codes 313
Code TWS message Additional notes
10090 Part of requested market data is
not subscribed.
Indicates that some tick types re-
quested require additional market
data subscriptions not held in the
account. This commonly occurs
for instance if a user has options
subscriptions but not the underly-
ing stock so the system cannot
calculate the real time greek val-
ues (other default ticks will be re-
turned). Or alternatively, if generic
tick types are specified in a market
data request without the associated
subscriptions.
Generated by Doxygen
•client.reqScannerSubscription(7001, ScannerSubscriptionSamples.HighOptVolumePCRatioUSIndexes(), null);
•client.reqScannerSubscription(7001, ScannerSubscriptionSamples.HighOptVolumePCRatioUSIndexes(), null);
•client.reqScannerSubscription(7001, ScannerSubscriptionSamples.HighOptVolumePCRatioUSIndexes(),
Nothing)
•m_pClient->reqScannerSubscription(7001, ScannerSubscriptionSamples::HotUSStkByVolume(),
TagValueListSPtr());
•self.reqScannerSubscription(7001,
ScannerSubscriptionSamples.HighOptVolumePCRatioUSIndexes(), [])
The available API filters and and parameters are defined in the IBApi.ScannerSubscription object, including
[AbovePrice, BelowPrice, AboveVolume, ...] . Some Market Scanner Examples are listed at the bottom of this
page.
Scans are limited to a maximum result of 50 results per scan code, and only 10 API scans can be active at a time.
Results are delivered via IBApi.EWrapper.scannerData and the IBApi.EWrapper.scannerDataEnd marker will
indicate when all results have been delivered. The returned results to scannerData simply consist of a list of
contracts. There are no market data fields (bid, ask, last, volume, ...) returned from the scanner, and so if these are
desired they have to be requested separately with the reqMktData function. Since the scanner results do not include
any market data fields, it is not necessary to have market data subscriptions to use the API scanner. However to use
filters, market data subscriptions are generally required.
•public class EWrapperImpl : EWrapper
{
...
public virtual void scannerData(int reqId, int rank, ContractDetails contractDetails, string
distance, string benchmark, string projection, string legsStr)
{
Console.WriteLine("ScannerData. "+reqId+" - Rank: "+rank+", Symbol: "+contractDetails.Contract.
Symbol+", SecType: "+contractDetails.Contract.SecType+", Currency: "+contractDetails.Contract.Currency
+", Distance: "+distance+", Benchmark: "+benchmark+", Projection: "+projection+", Legs
String: "+legsStr);
}
...
Chapter 17
Market Scanners
http://interactivebrokers.github.io/tws-api/market_scanners.html
Some scans in the TWS Advanced Market Scanner can be accessed via the TWS API through the
IBApi.EClient.reqScannerSubscription.
316 Market Scanners
public virtual void scannerDataEnd(int reqId)
{
Console.WriteLine("ScannerDataEnd. "+reqId);
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void scannerData(int reqId, int rank,
ContractDetails contractDetails, String distance, String benchmark,
String projection, String legsStr) {
System.out.println("ScannerData. "+reqId+" - Rank: "+rank+", Symbol: "+contractDetails.contract().
symbol()+", SecType: "+contractDetails.contract().secType()+", Currency: "+contractDetails.contract().
currency()
+", Distance: "+distance+", Benchmark: "+benchmark+", Projection: "+projection+", Legs
String: "+legsStr);
}
...
@Override
public void scannerDataEnd(int reqId) {
System.out.println("ScannerDataEnd. "+reqId);
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub scannerData(reqId As Integer, rank As Integer, contractDetails As IBApi.ContractDetails,
distance As String, benchmark As String, projection As String, legsStr As String) Implements
IBApi.EWrapper.scannerData
Console.WriteLine("ScannerData. " & reqId & " - Rank: " & rank & ", Symbol: " &
contractDetails.Contract.Symbol & ", SecType: " &
contractDetails.Contract.SecType & ", Currency: " &
contractDetails.Contract.Currency & ", Distance: " & distance &
", Benchmark: " & benchmark & ", Projection: " & projection & ", Legs String: " &
legsStr)
End Sub
...
Public Sub scannerDataEnd(reqId As Integer) Implements IBApi.EWrapper.scannerDataEnd
Console.WriteLine("ScannerDataEnd. " & reqId & "\n")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::scannerData(int reqId, int rank, const ContractDetails& contractDetails,
const std::string& distance, const std::string& benchmark, const
std::string& projection,
const std::string& legsStr) {
printf( "ScannerData. %d - Rank: %d, Symbol: %s, SecType: %s, Currency: %s, Distance: %s, Benchmark:
%s, Projection: %s, Legs String: %s\n", reqId, rank, contractDetails.contract.symbol.c_str(), contractDetails.
contract.secType.c_str(), contractDetails.contract.currency.c_str(), distance.c_str(), benchmark.c_str(),
projection.c_str(), legsStr.c_str());
}
...
void TestCppClient::scannerDataEnd(int reqId) {
printf( "ScannerDataEnd. %d\n", reqId);
}
•class TestWrapper(wrapper.EWrapper):
...
Generated by Doxygen
18.1 Market Scanner Examples 317
def scannerData(self, reqId: int, rank: int, contractDetails: ContractDetails,
distance: str, benchmark: str, projection: str, legsStr: str):
super().scannerData(reqId, rank, contractDetails, distance, benchmark,
projection, legsStr)
print("ScannerData. ", reqId, "Rank:", rank, "Symbol:", contractDetails.contract.symbol,
"SecType:", contractDetails.contract.secType,
"Currency:", contractDetails.contract.currency,
"Distance:", distance, "Benchmark:", benchmark,
"Projection:", projection, "Legs String:", legsStr)
...
def scannerDataEnd(self, reqId: int):
super().scannerDataEnd(reqId)
print("ScannerDataEnd. ", reqId)
Since the IBApi.EClient.reqScannerSubscription request keeps a subscription open you will keep receiv-ing
periodic updates until the request is cancelled via IBApi.EClient.cancelScannerSubscription :
•client.cancelScannerSubscription(7001);
•client.cancelScannerSubscription(7001);
•client.cancelScannerSubscription(7001)
•m_pClient->cancelScannerSubscription(7001);
•self.cancelScannerSubscription(7001)
18.1 Market Scanner Examples
The available API scans are defined by the fields in the ScannerSubscription object, i.e. abovePrice, aboveVolume,
belowPrice, etc. Some market scanner examples are below.
•//Hot US stocks by volume
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.Instrument = "STK";
scanSub.LocationCode = "STK.US.MAJOR";
scanSub.ScanCode = "HOT_BY_VOLUME";
...
//Top % gainers at IBIS
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.Instrument = "STOCK.EU";
scanSub.LocationCode = "STK.EU.IBIS";
scanSub.ScanCode = "TOP_PERC_GAIN";
...
//Most active futures at SOFFEX
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.Instrument = "FUT.EU";
scanSub.LocationCode = "FUT.EU.SOFFEX";
scanSub.ScanCode = "MOST_ACTIVE";
...
//High option volume P/C ratio US indexes
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.Instrument = "IND.US";
scanSub.LocationCode = "IND.US";
scanSub.ScanCode = "HIGH_OPT_VOLUME_PUT_CALL_RATIO";
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318 Market Scanners
•//Hot US stocks by volume
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.instrument("STK");
scanSub.locationCode("STK.US.MAJOR");
scanSub.scanCode("HOT_BY_VOLUME");
...
//Top % gainers at IBIS
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.instrument("STOCK.EU");
scanSub.locationCode("STK.EU.IBIS");
scanSub.scanCode("TOP_PERC_GAIN");
...
//Most active futures at SOFFEX
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.instrument("FUT.EU");
scanSub.locationCode("FUT.EU.SOFFEX");
scanSub.scanCode("MOST_ACTIVE");
...
//High option volume P/C ratio US indexes
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.instrument("IND.US");
scanSub.locationCode("IND.US");
scanSub.scanCode("HIGH_OPT_VOLUME_PUT_CALL_RATIO");
•’Hot US stocks by volume
Dim scanSub As ScannerSubscription = New ScannerSubscription()
scanSub.Instrument = "STK"
scanSub.LocationCode = "STK.US.MAJOR"
scanSub.ScanCode = "HOT_BY_VOLUME"
...
’Top % gainers at IBIS
Dim scanSub As ScannerSubscription = New ScannerSubscription()
scanSub.Instrument = "STOCK.EU"
scanSub.LocationCode = "STK.EU.IBIS"
scanSub.ScanCode = "TOP_PERC_GAIN"
...
’Most active futures at SOFFEX
Dim scanSub As ScannerSubscription = New ScannerSubscription()
scanSub.Instrument = "FUT.EU"
scanSub.LocationCode = "FUT.EU.SOFFEX"
scanSub.ScanCode = "MOST_ACTIVE"
...
’High option volume P/C ratio US indexes
Dim scanSub As ScannerSubscription = New ScannerSubscription()
scanSub.Instrument = "IND.US"
scanSub.LocationCode = "IND.US"
scanSub.ScanCode = "HIGH_OPT_VOLUME_PUT_CALL_RATIO"
•//Hot US stocks by volume
ScannerSubscription scanSub;
scanSub.instrument = "STK";
scanSub.locationCode = "STK.US.MAJOR";
scanSub.scanCode = "HOT_BY_VOLUME";
...
//Top % gainers at IBIS
ScannerSubscription scanSub;
scanSub.instrument = "STOCK.EU";
scanSub.locationCode = "STK.EU.IBIS";
scanSub.scanCode = "TOP_PERC_GAIN";
...
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18.2 Scanner Parameters 319
//Most active futures at SOFFEX
ScannerSubscription scanSub;
scanSub.instrument = "FUT.EU";
scanSub.locationCode = "FUT.EU.SOFFEX";
scanSub.scanCode = "MOST_ACTIVE";
...
//High option volume P/C ratio US indexes
ScannerSubscription scanSub;
scanSub.instrument = "IND.US";
scanSub.locationCode = "IND.US";
scanSub.scanCode = "HIGH_OPT_VOLUME_PUT_CALL_RATIO";
•#Hot US stocks by volume
scanSub = ScannerSubscription()
scanSub.instrument = "STK"
scanSub.locationCode = "STK.US.MAJOR"
scanSub.scanCode = "HOT_BY_VOLUME"
...
# Top % gainers at IBIS
scanSub = ScannerSubscription()
scanSub.instrument = "STOCK.EU"
scanSub.locationCode = "STK.EU.IBIS"
scanSub.scanCode = "TOP_PERC_GAIN"
...
# Most active futures at SOFFEX
scanSub = ScannerSubscription()
scanSub.instrument = "FUT.EU"
scanSub.locationCode = "FUT.EU.SOFFEX"
scanSub.scanCode = "MOST_ACTIVE"
...
# High option volume P/C ratio US indexes
scanSub = ScannerSubscription()
scanSub.instrument = "IND.US"
scanSub.locationCode = "IND.US"
scanSub.scanCode = "HIGH_OPT_VOLUME_PUT_CALL_RATIO"
See also Scanner Parameters
18.2 Scanner Parameters
A list of TWS scanner parameters can be obtained via IBApi.EClient.reqScannerParameters (p. ??). Not all of
the returned parameters to scannerParameters are available from the API scanners.
•client.reqScannerParameters();
•client.reqScannerParameters();
•client.reqScannerParameters()
•m_pClient->reqScannerParameters();
•self.reqScannerParameters()
A string containing all available XML-formatted parameters will then be returned via IBApi.EWrapper.scanner←-
Parameters
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320 Market Scanners
•public class EWrapperImpl : EWrapper
{
...
public virtual void scannerParameters(string xml)
{
Console.WriteLine("ScannerParameters. "+xml+"\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void scannerParameters(String xml) {
System.out.println("ScannerParameters. "+xml+"\n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub scannerParameters(xml As String) Implements IBApi.EWrapper.scannerParameters
Console.WriteLine("ScannerParameters. " & xml & "\n")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::scannerParameters(const std::string& xml) {
printf( "ScannerParameters. %s\n", xml.c_str());
}
•class TestWrapper(wrapper.EWrapper):
...
def scannerParameters(self, xml: str):
super().scannerParameters(xml)
open(’log/scanner.xml’,’w’).write(xml)
Important: remember the TWS API is just an interface to the TWS. If you are having problems defining a scanner,
always make sure you can create a similar scanner using the TWS' Advanced Market Scanner.
Generated by Doxygen
Chapter 18
News
API news requires news subscriptions that are specific to the API; most news services in TWS are not also available
in the API. Beginning in TWS v966, three API news services are enabled in accounts by default and available from
the API. They are:
• Briefing.com General Market Columns (BRFG)
• Briefing.com Analyst Actions (BRFUPDN)
• Dow Jones Newsletters (DJNL)
There are also four additional news services available with all TWS versions which require API-specific subscrip-
tions to first be made in Account Management. They have different data fees than the subscription for the same
news in TWS-only. As with all subscriptions, they only apply to the specific TWS username under which they were
made:
• Briefing Trader (BT)
• Benzinga Pro (BZ)
• Fly on the Wall (FLY)
• Midnight Trader (MT) ∗not currently available from the API
The API functions which handle news are able to query available news provides, subscribe to news in real time to
receive headlines as they are released, request specific news articles, and return a historical list of news stories
that are cached in the system.
19.1 Checking Subscribed News Sources
Adding or removing API news subscriptions from an account is accomplished through Account Management. From
the API, currently subscribed news sources can be retrieved using the function IBApi::EClient::reqNewsProviders
(p. ??). Note this function is only available starting in API v973.02.
•client.reqNewsProviders();
•client.reqNewsProviders();
•client.reqNewsProviders()
http://interactivebrokers.github.io/tws-api/news.html
322 News
•m_pClient->reqNewsProviders();
•self.reqNewsProviders()
A list of available subscribed news sources is returned to the function IBApi::EWrapper::newsProviders
•public void newsProviders(NewsProvider[] newsProviders)
{
Console.WriteLine("News Providers:");
foreach (var newsProvider in newsProviders)
{
Console.WriteLine("News provider: providerCode - {0}, providerName - {1}",
newsProvider.ProviderCode, newsProvider.ProviderName);
}
}
•@Override
public void newsProviders(NewsProvider[] newsProviders) {
for (NewsProvider np : newsProviders) {
System.out.print("News Provider. ProviderCode: " + np.providerCode() + ", ProviderName: " + np.
providerName() + "\n");
}
System.out.println();
}
•Public Sub newsProviders(newsProviders As NewsProvider()) Implements EWrapper.newsProviders
Console.WriteLine("News Providers")
For Each newsProvider In newsProviders
Console.WriteLine("News Provider: providerCode - " & newsProvider.ProviderCode & ",
providerName - " & newsProvider.ProviderName)
Next
End Sub
•void TestCppClient::newsProviders(const std::vector<NewsProvider> &newsProviders) {
printf("News providers (%lu):\n", newsProviders.size());
for (unsigned int i = 0; i < newsProviders.size(); i++) {
printf("News provider [%d] - providerCode: %s providerName: %s\n", i, newsProviders[i].providerCode
.c_str(), newsProviders[i].providerName.c_str());
}
}
•def newsProviders(self, newsProviders: ListOfNewsProviders):
print("newsProviders: ")
for provider in newsProviders:
print(provider)
19.2 Contract Specific News
There are two ways to subscribe to real time news headlines through the API. You can request Contract specific
News or BroadTape News. See also BroadTape News List
Important: in order to obtain news feeds via the TWS API you need to acquire the relevant API-specific subscrip-
tions via your Account Management.
When invoking IBApi.EClient.reqMktData (p. ??), for a specific IBApi.Contract you will follow the same format
convention as any other Basic Contracts (p. ??). The News Source is identified by the genericTickList.
Note: The error message "invalid tick type" will be returned if the username has not added the appropriate API news
subscription.
•// Without the API news subscription this will generate an "invalid tick type" error
client.reqMktData(1005, ContractSamples.USStock(), "mdoff,292:BZ",false,false, null);
client.reqMktData(1006, ContractSamples.USStock(), "mdoff,292:BT",false,false, null);
client.reqMktData(1007, ContractSamples.USStock(), "mdoff,292:FLY",false,false, null);
client.reqMktData(1008, ContractSamples.USStock(), "mdoff,292:MT",false,false, null);
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19.2 Contract Specific News 323
•// Without the API news subscription this will generate an "invalid tick type" error
client.reqMktData(1005, ContractSamples.USStock(), "mdoff,292:BZ",false,false, null);
client.reqMktData(1006, ContractSamples.USStock(), "mdoff,292:BT",false,false, null);
client.reqMktData(1007, ContractSamples.USStock(), "mdoff,292:FLY",false,false, null);
client.reqMktData(1008, ContractSamples.USStock(), "mdoff,292:MT",false,false, null);
•’ Without the API news subscription this will generate an "invalid tick type" error
client.reqMktData(1005, ContractSamples.USStock(), "mdoff,292:BZ", False, False, Nothing)
client.reqMktData(1006, ContractSamples.USStock(), "mdoff,292:BT", False, False, Nothing)
client.reqMktData(1007, ContractSamples.USStock(), "mdoff,292:FLY", False, False, Nothing)
client.reqMktData(1008, ContractSamples.USStock(), "mdoff,292:MT", False, False, Nothing)
•// Without the API news subscription this will generate an "invalid tick type" error
m_pClient->reqMktData(1005, ContractSamples::USStock(), "mdoff,292:BZ",false,false, TagValueListSPtr(
));
m_pClient->reqMktData(1006, ContractSamples::USStock(), "mdoff,292:BT",false,false, TagValueListSPtr(
));
m_pClient->reqMktData(1007, ContractSamples::USStock(), "mdoff,292:FLY",false,false, TagValueListSPtr
());
m_pClient->reqMktData(1008, ContractSamples::USStock(), "mdoff,292:MT",false,false, TagValueListSPtr(
));
•# Without the API news subscription this will generate an "invalid tick type" error
self.reqMktData(1005, ContractSamples.USStock(), "mdoff,292:BZ",False,False, [])
self.reqMktData(1006, ContractSamples.USStock(), "mdoff,292:BT",False,False, [])
self.reqMktData(1007, ContractSamples.USStock(), "mdoff,292:FLY",False,False, [])
self.reqMktData(1008, ContractSamples.USStock(), "mdoff,292:MT",False,False, [])
BroadTape News
For BroadTape News you specify the IBApi.Contract for the specific news source. This is uniquely identified by the
symbol and exchange. The symbol of an instrument can easily be obtained via the IBApi.EClientSocket.←-
reqContractDetails request.
Examples of news contracts
Briefing Trader
•Contract contract = new Contract();
contract.Symbol = "BT:BT_ALL";//BroadTape All News
contract.SecType = "NEWS";
contract.Exchange = "BT";//Briefing Trader
•Contract contract = new Contract();
contract.symbol("BT:BT_ALL"); //BroadTape All News
contract.secType("NEWS");
contract.exchange("BT"); //Briefing Trader
•Dim contract As Contract = New Contract()
contract.Symbol = "BT:BT_ALL" ’BroadTape All News
contract.SecType = "NEWS"
contract.Exchange = "BT" ’Briefing Trader
•Contract contract;
contract.symbol = "BT:BT_ALL";//BroadTape All News
contract.secType = "NEWS";
contract.exchange = "BT";//Briefing Trader
•contract = Contract()
contract.symbol = "BT:BT_ALL" #BroadTape All News
contract.secType = "NEWS"
contract.exchange = "BT" #Briefing Trader
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324 News
Benzinga Pro
•Contract contract = new Contract();
contract.Symbol = "BZ:BZ_ALL";//BroadTape All News
contract.SecType = "NEWS";
contract.Exchange = "BZ";//Benzinga Pro
•Contract contract = new Contract();
contract.symbol("BZ:BZ_ALL"); //BroadTape All News
contract.secType("NEWS");
contract.exchange("BZ"); //Benzinga Pro
•Dim contract As Contract = New Contract()
contract.Symbol = "BZ:BZ_ALL" ’BroadTape All News
contract.SecType = "NEWS"
contract.Exchange = "BZ" ’Benzinga Pro
•Contract contract;
contract.symbol = "BZ:BZ_ALL";//BroadTape All News
contract.secType = "NEWS";
contract.exchange = "BZ";//Benzinga Pro
•contract = Contract()
contract.symbol = "BZ:BZ_ALL" #BroadTape All News
contract.secType = "NEWS"
contract.exchange = "BZ" #Benzinga Pro
Fly on the Wall
•Contract contract = new Contract();
contract.Symbol = "FLY:FLY_ALL";//BroadTape All News
contract.SecType = "NEWS";
contract.Exchange = "FLY";//Fly on the Wall
•Contract contract = new Contract();
contract.symbol("FLY:FLY_ALL"); //BroadTape All News
contract.secType("NEWS");
contract.exchange("FLY"); //Fly on the Wall
•Dim contract As Contract = New Contract()
contract.Symbol = "FLY:FLY_ALL" ’BroadTape All News
contract.SecType = "NEWS"
contract.Exchange = "FLY" ’Fly On the Wall
•Contract contract;
contract.symbol = "FLY:FLY_ALL";//BroadTape All News
contract.secType = "NEWS";
contract.exchange = "FLY";//Fly on the Wall
•contract = Contract()
contract.symbol = "FLY:FLY_ALL" #BroadTape All News
contract.secType = "NEWS"
contract.exchange = "FLY" #Fly on the Wall
Midnight Trader
•Contract contract = new Contract();
contract.Symbol = "MT:MT_ALL";//BroadTape All News
contract.SecType = "NEWS";
contract.Exchange = "MT";//Midnight Trader
•Contract contract = new Contract();
contract.symbol("MT:MT_ALL"); //BroadTape All News
contract.secType("NEWS");
contract.exchange("MT"); //Midnight Trader
•Dim contract As Contract = New Contract()
contract.Symbol = "MT:MT_ALL" ’BroadTape All News
contract.SecType = "NEWS"
contract.Exchange = "MT" ’Midnight Trader
•Contract contract;
contract.symbol = "MT:MT_ALL";//BroadTape All News
contract.secType = "NEWS";
contract.exchange = "MT";//Midnight Trader
•contract = Contract()
contract.symbol = "MT:MT_ALL" #BroadTape All News
contract.secType = "NEWS"
contract.exchange = "MT" #Midnight Trader
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19.2 Contract Specific News 325
Then you can invoke IBApi.EClient.reqMktData for the broad tape news feed.
•client.reqMktData(1009, ContractSamples.BTbroadtapeNewsFeed(), "mdoff,292",false,false, null)
;
client.reqMktData(1010, ContractSamples.BZbroadtapeNewsFeed(), "mdoff,292",false,false, null)
;
client.reqMktData(1011, ContractSamples.FLYbroadtapeNewsFeed(), "mdoff,292",false,false, null
);
client.reqMktData(1012, ContractSamples.MTbroadtapeNewsFeed(), "mdoff,292",false,false, null)
;
•client.reqMktData(1009, ContractSamples.BTbroadtapeNewsFeed(), "mdoff,292",false,false, null);
client.reqMktData(1010, ContractSamples.BZbroadtapeNewsFeed(), "mdoff,292",false,false, null);
client.reqMktData(1011, ContractSamples.FLYbroadtapeNewsFeed(), "mdoff,292",false,false, null);
client.reqMktData(1012, ContractSamples.MTbroadtapeNewsFeed(), "mdoff,292",false,false, null);
•client.reqMktData(1009, ContractSamples.BTbroadtapeNewsFeed(), "mdoff,292", False, False, Nothing)
client.reqMktData(1010, ContractSamples.BZbroadtapeNewsFeed(), "mdoff,292", False, False, Nothing)
client.reqMktData(1011, ContractSamples.FLYbroadtapeNewsFeed(), "mdoff,292", False, False, Nothing)
client.reqMktData(1012, ContractSamples.MTbroadtapeNewsFeed(), "mdoff,292", False, False, Nothing)
•m_pClient->reqMktData(1009, ContractSamples::BTbroadtapeNewsFeed(), "mdoff,292",false,false,
TagValueListSPtr());
m_pClient->reqMktData(1010, ContractSamples::BZbroadtapeNewsFeed(), "mdoff,292",false,false,
TagValueListSPtr());
m_pClient->reqMktData(1011, ContractSamples::FLYbroadtapeNewsFeed(), "mdoff,292",false,false,
TagValueListSPtr());
m_pClient->reqMktData(1012, ContractSamples::MTbroadtapeNewsFeed(), "mdoff,292",false,false,
TagValueListSPtr());
•self.reqMktData(1009, ContractSamples.BTbroadtapeNewsFeed(),
"mdoff,292",False,False, [])
self.reqMktData(1010, ContractSamples.BZbroadtapeNewsFeed(),
"mdoff,292",False,False, [])
self.reqMktData(1011, ContractSamples.FLYbroadtapeNewsFeed(),
"mdoff,292",False,False, [])
self.reqMktData(1012, ContractSamples.MTbroadtapeNewsFeed(),
"mdoff,292",False,False, [])
Important: For Briefing Trader live head lines via the API is only offered on a case-by-case basis directly
from Briefing.com offers Briefing Trader subscribers access to the subscription live head lines via the A←-
PI. For more information and to submit an API entitlement application, please contact Briefing.com directly at
dbeasley@briefing.com.
The resulting news headlines are returned to the function IBApi::EWrapper::tickNews with the news head-line,
timestamp, and article ID. The article ID can be used to retrieve the body of the news article using the function
IBApi::EClient::reqNewsArticle below.
•public void tickNews(int tickerId, long timeStamp, string providerCode, string articleId, string
headline, string extraData)
{
Console.WriteLine("Tick News. Ticker Id: {0}, Time Stamp: {1}, Provider Code: {2}, Article Id:
{3}, headline: {4}, extraData: {5}", tickerId, timeStamp, providerCode, articleId, headline, extraData);
}
•@Override
public void tickNews(int tickerId, long timeStamp, String providerCode, String articleId, String
headline, String extraData) {
System.out.println("Tick News. TickerId: " + tickerId + ", TimeStamp: " + timeStamp + ",
ProviderCode: " + providerCode + ", ArticleId: " + articleId + ", Headline: " + headline + ", ExtraData: " + extraData
+"\n");
}
•Public Sub tickNews(tickerId As Integer, timeStamp As Long, providerCode As String, articleId As
String, headline As String, extraData As String) Implements IBApi.EWrapper.tickNews
Console.WriteLine("Tick News. Ticker Id: " & tickerId & ", Time Stamp: " & timeStamp & ",
Provider Code: " & providerCode & ", Article Id: " & articleId & ", Headline: " & headline & ", Extra Data: " &
extraData)
End Sub
•void TestCppClient::tickNews(int tickerId, time_t timeStamp, const std::string& providerCode, const
std::string& articleId, const std::string& headline, const std::string& extraData) {
printf("News Tick. TickerId: %d, TimeStamp: %s, ProviderCode: %s, ArticleId: %s, Headline: %s,
ExtraData: %s\n", tickerId, ctime(&(timeStamp /= 1000)), providerCode.c_str(), articleId.c_str(), headline.c_str(),
extraData.c_str());
}
•def tickNews(self, tickerId: int, timeStamp: int, providerCode: str,
articleId: str, headline: str, extraData: str):
print("tickNews: ", tickerId, ", timeStamp: ", timeStamp,
", providerCode: ", providerCode, ", articleId: ", articleId,
", headline: ", headline, "extraData: ", extraData)
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326 News
19.3 Historical News Headlines
With the appropriate API news subscription, historical news headlines can be requested from the API using the
function IBApi::EClient::reqHistoricalNews starting in API v973.02. The resulting headlines are returned to
IBApi::EWrapper::historicalNews (p. ??).
•client.reqHistoricalNews(12003, 8314, "BZ+FLY","","", 10, null);
•client.reqHistoricalNews(10003, 8314, "BZ+FLY","","", 10, null);
•client.reqHistoricalNews(10003, 8314, "BZ+FLY", "", "", 10, Nothing)
•TagValueList*list = new TagValueList();
list->push_back((TagValueSPtr)new TagValue("manual","1"));
m_pClient->reqHistoricalNews(12001, 8314, "BZ+FLY","","", 5, TagValueListSPtr(list));
•self.reqHistoricalNews(215, 8314, "BZ+FLY","","", 10, [])
19.4 Requesting News Articles
After requesting news headlines using one of the above functions, the body of a news article can be requested with
the article ID returned by invoking the function IBApi::EClient::reqNewsArticle starting in API v973.02. The body
of the news article is returned to the function IBApi::EWrapper::newsArticle (p. ??).
•client.reqNewsArticle(12002, "BZ","BZ$04507322", null);
•client.reqNewsArticle(10002, "BZ","BZ$04507322", null);
•client.reqNewsArticle(10002, "BZ", "BZ$04507322", Nothing)
•TagValueList*list = new TagValueList();
// list->push_back((TagValueSPtr)new TagValue("manual", "1"));
m_pClient->reqNewsArticle(12001, "MST","MST$06f53098", TagValueListSPtr(list));
•self.reqNewsArticle(214,"BZ","BZ$04507322", [])
Generated by Doxygen
Chapter 19
IB Bulletins
From time to time, IB sends out important News Bulletins, which can be accessed via the TWS API through
the IBApi.EClient.reqNewsBulletins (p. ??).
•client.reqNewsBulletins(true);
•client.reqNewsBulletins(true);
•client.reqNewsBulletins(True)
•m_pClient->reqNewsBulletins(true);
•self.reqNewsBulletins(True)
Bulletins are delivered via IBApi.EWrapper.updateNewsBulletin whenever there is a new bulletin:
•public class EWrapperImpl : EWrapper
{
...
public virtual void updateNewsBulletin(int msgId, int msgType, String message, String origExchange)
{
Console.WriteLine("News Bulletins. "+msgId+" - Type: "+msgType+", Message: "+message+",
Exchange of Origin: "+origExchange+"\n");
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void updateNewsBulletin(int msgId, int msgType, String message,
String origExchange) {
System.out.println("News Bulletins. "+msgId+" - Type: "+msgType+", Message: "+message+", Exchange
of Origin: "+origExchange+"\n");
}
•Public Class EWrapperImpl
Implements EWrapper
...
Public Sub updateNewsBulletin(msgId As Integer, msgType As Integer, message As String, origExchange
As String) Implements IBApi.EWrapper.updateNewsBulletin
Console.WriteLine("News Bulletins. " & msgId & " - Type: " & msgType & ", Message: " & message
& ", Exchange of Origin: " & origExchange)
End Sub
•class TestCppClient : public EWrapper
{
...
http://interactivebrokers.github.io/tws-api/ib_bulletins.html
328 IB Bulletins
void TestCppClient::updateNewsBulletin(int msgId, int msgType, const std::string& newsMessage, const
std::string& originExch) {
printf( "News Bulletins. %d - Type: %d, Message: %s, Exchange of Origin: %s\n", msgId, msgType,
newsMessage.c_str(), originExch.c_str());
}
•class TestWrapper(wrapper.EWrapper):
...
def updateNewsBulletin(self, msgId: int, msgType: int, newsMessage: str,
originExch: str):
super().updateNewsBulletin(msgId, msgType, newsMessage, originExch)
print("News Bulletins. ", msgId, " Type: ", msgType, "Message:", newsMessage,
"Exchange of Origin: ", originExch)
In order to stop receiving bulletins you need to cancel the subscription:
•client.cancelNewsBulletin();
•client.cancelNewsBulletins();
•client.cancelNewsBulletin()
•m_pClient->cancelNewsBulletins();
•self.cancelNewsBulletins()
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Chapter 20
Display Groups
Display Groups function allows API clients to integrate with TWS Color Grouping Windows.
TWS Color Grouping Windows are identified by a colored chain in TWS and by an integer number via the API.
Currently that number ranges from 1 to 7 and are mapped to specific colors, as indicated in TWS.
21.1 Query Display Groups
The IBApi.EClient.queryDisplayGroups method is used to request all available Display Groups in TWS.
•client.queryDisplayGroups(9001);
•client.queryDisplayGroups(9001);
•client.queryDisplayGroups(9001)
•m_pClient->queryDisplayGroups(9001);
•self.queryDisplayGroups(19001)
The IBApi.EWrapper.displayGroupList is a one-time response to IBApi.EClient.queryDisplayGroups
(p. ??).
It returns a list of integers representing visible Group ID separated by the "|" character, and sorted by most used
group first. This list will not change during TWS session. In other words, user cannot add a new group, but only the
sorting of the group numbers can change.
Example: "4|1|2|5|3|6|7"
•public class EWrapperImpl : EWrapper
{
...
public virtual void displayGroupList(int reqId, string groups)
{
Console.WriteLine("DisplayGroupList. Request: " + reqId + ", Groups" + groups);
}
•public class EWrapperImpl implements EWrapper {
...
http://interactivebrokers.github.io/tws-api/display_groups.html
330 Display Groups
@Override
public void displayGroupList(int reqId, String groups) {
System.out.println("Display Group List. ReqId: "+reqId+", Groups: "+groups+"\n");
}
•Public Sub displayGroupList(reqId As Integer, groups As String) Implements
IBApi.EWrapper.displayGroupList
Console.WriteLine("DisplayGroupList - ReqId [" & reqId & "] Groups [" & groups & "]")
End Sub
•class TestCppClient : public EWrapper
{
...
void TestCppClient::displayGroupList( int reqId, const std::string& groups) {
printf("Display Group List. ReqId: %d, Groups: %s\n", reqId, groups.c_str());
}
•class TestWrapper(wrapper.EWrapper):
...
def displayGroupList(self, reqId: int, groups: str):
super().displayGroupList(reqId, groups)
print("DisplayGroupList. Request: ", reqId, "Groups", groups)
21.2 Subscribe To Group Events
To integrate with a specific Group, you need to first subscribe to the group number by invoking IBApi.EClient.←-
subscribeToGroupEvents (p. ??).
•client.subscribeToGroupEvents(9002, 1);
•client.subscribeToGroupEvents(9002, 1);
•client.subscribeToGroupEvents(9002, 1)
•m_pClient->subscribeToGroupEvents(9002, 1);
•self.subscribeToGroupEvents(19002, 1)
The IBApi.EWrapper.displayGroupUpdated call back is triggered once after receiving the subscription
request, and will be sent again if the selected contract in the subscribed display group has changed.
•public class EWrapperImpl : EWrapper
{
...
public virtual void displayGroupUpdated(int reqId, string contractInfo)
{
Console.WriteLine("displayGroupUpdated. Request: " + reqId + ", ContractInfo: " + contractInfo)
;
}
•public class EWrapperImpl implements EWrapper {
...
@Override
public void displayGroupUpdated(int reqId, String contractInfo) {
System.out.println("Display Group Updated. ReqId: "+reqId+", Contract info: "+contractInfo+"\n");
}
•Public Sub displayGroupUpdated(reqId As Integer, contractInfo As String) Implements
IBApi.EWrapper.displayGroupUpdated
Console.WriteLine("DisplayGroupUpdated - ReqId [" & reqId & "] ContractInfo [" & contractInfo &
"]")
End Sub
Generated by Doxygen
21.3 Update Display Group 331
•class TestCppClient : public EWrapper
{
...
void TestCppClient::displayGroupUpdated( int reqId, const std::string& contractInfo) {
std::cout << "Display Group Updated. ReqId: " << reqId << ", Contract Info: " << contractInfo <<
std::endl;
}
•class TestWrapper(wrapper.EWrapper):
...
def displayGroupUpdated(self, reqId: int, contractInfo: str):
super().displayGroupUpdated(reqId, contractInfo)
print("displayGroupUpdated. Request:", reqId, "ContractInfo:", contractInfo)
21.3 Update Display Group
Once you have subscribed to a specific Group, you can then have the Group Window in TWS to display a certain
contract by invoking IBApi.EClient.updateDisplayGroup (p. ??).
The encoded value that uniquely represents the contract in IB. Possible values include:
1. none = empty selection
2. contractID@exchange - any non-combination contract. Examples: 8314@SMART for IBM SMART;
8314@ARCA for IBM @ARCA
3. combo = if any combo is selected
•client.updateDisplayGroup(9002, "8314@SMART");
•client.updateDisplayGroup(9002, "8314@SMART");
•client.updateDisplayGroup(9002, "8314@SMART")
•m_pClient->updateDisplayGroup(9002, "8314@SMART");
•self.updateDisplayGroup(19002, "8314@SMART")
Note: This request from the API does not get a response from TWS unless an error occurs.
In the above sample we have commanded TWS Windows that chained with Group #1 to display IBM@SMART.
The screenshot of TWS Mosaic below shows that both the pink chained (Group #1) windows are now displaying
IBM@SMART, while the green chained (Group #4) window remains unchanged:
21.4 Unsubscribe From Group Events
Invoke the IBApi.EClient.unsubscribeFromGroupEvents method to cancel a group subscription.
•client.unsubscribeFromGroupEvents(9002);
•client.unsubscribeFromGroupEvents(9002);
•client.unsubscribeFromGroupEvents(9002)
•m_pClient->unsubscribeFromGroupEvents(9002);
•self.unsubscribeFromGroupEvents(19002)
Generated by Doxygen
Chapter 21
Namespace Index
22.1 Namespace List
Here is a list of all documented namespaces with brief descriptions:
IBApi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Chapter 22
Hierarchical Index
23.1 Class Hierarchy
This inheritance list is sorted roughly, but not completely, alphabetically:
AccountSummaryTags . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Bar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CodeMsgPair . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ComboLeg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CommissionReport . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Contract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ContractCondition
PercentChangeCondition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
PriceCondition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
VolumeCondition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ContractDetails . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
DeltaNeutralContract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
EClient . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
EClientSocket . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
EClientSocketSSL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
EClientErrors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
EClientMsgSink
EClientSocket . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
EReader . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
EReaderSignal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
EWrapper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Execution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ExecutionFilter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
HistoricalTick . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
HistoricalTickBidAsk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
HistoricalTickLast . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
OperatorCondition
TimeCondition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Order . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
OrderComboLeg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
OrderCondition
ExecutionCondition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
OrderState . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ScannerSubscription . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SoftDollarTier . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
TagValue . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
TickAttrib . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
http://interactivebrokers.github.io/tws-api/hierarchy.html
Chapter 23
Class Index
24.1 Class List
Here are the classes, structs, unions and interfaces with brief descriptions:
AccountSummaryTags
Class containing all existing values being reported by EClientSocket::reqAccountSummary
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Bar
The historical data bar's description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CodeMsgPair
Associates error code and error message as a pair . . . . . . . . . . . . . . . . . . . . . . .
ComboLeg
Class representing a leg within combo orders . . . . . . . . . . . . . . . . . . . . . . . . . .
CommissionReport
Class representing the commissions generated by an execution . . . . . . . . . . . . . . . .
Contract
Class describing an instrument's definition . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ContractDetails
Extended contract details . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
DeltaNeutralContract
Delta-Neutral Contract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
EClient
TWS/Gateway client class This client class contains all the available methods to communicate
with IB. Up to thirty-two clients can be connected to a single instance of the TWS/Gateway
simultaneously. From herein, the TWS/Gateway will be referred to as the Host . . . . . . . . .
EClientErrors
Contains all possible errors occurring on the client side. This errors are not sent by the TWS but
rather generated as the result of malfunction within the TWS API client . . . . . . . . . . . . .
EClientSocket
TWS/Gateway client class This client class contains all the available methods to communicate
with IB. Up to 32 clients can be connected to a single instance of the TWS/Gateway simultane-
ously. From herein, the TWS/Gateway will be referred to as the Host . . . . . . . . . . . . . .
EClientSocketSSL
Implements a Secure Socket Layer (SSL) on top of the EClientSocket class . . . . . .
EReader
Captures incoming messages to the API client and places them into a queue . . . . . . . . .
EReaderSignal
Notifies the thread reading information from the TWS whenever there are messages ready to be
consumed. Not currently used in Python API . . . . . . . . . . . . . . . . . . . . . . . . . .
http://interactivebrokers.github.io/tws-api/classes.html
338 Class Index
EWrapper
This interface's methods are used by the TWS/Gateway to communicate with the API client.
Every API client application needs to implement this interface in order to handle all the events
generated by the TWS/Gateway. Almost every EClientSocket method call will result in at
least one event delivered here . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Execution
Class describing an order's execution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ExecutionCondition
This class represents a condition requiring a specific execution event to be fulfilled. Orders can
be activated or canceled if a set of given conditions is met. An ExecutionCondition is
met whenever a trade occurs on a certain product at the given exchange . . . . . . . . . . . .
ExecutionFilter
When requesting executions, a filter can be specified to receive only a subset of them . . . . .
HistoricalTick
The historical tick's description. Used when requesting historical tick data with whatToShow =
MIDPOINT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
HistoricalTickBidAsk
The historical tick's description. Used when requesting historical tick data with whatToShow =
BID_ASK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
HistoricalTickLast
The historical tick's description. Used when requesting historical tick data with whatToShow =
TRADES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Liquidity
Class describing the liquidity type of an execution . . . . . . . . . . . . . . . . . . . . . . . .
Order
The order's description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
OrderComboLeg
Allows to specify a price on an order's leg . . . . . . . . . . . . . . . . . . . . . . . . . . . .
OrderState
Provides an active order's current state . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
PercentChangeCondition
Used with conditional orders to place or submit an order based on a percentage change of an
instrument to the last close price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
PriceCondition
Used with conditional orders to cancel or submit order based on price of an instrument . . . .
ScannerSubscription
Defines a market scanner request . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SoftDollarTier
A container for storing Soft Dollar Tier information . . . . . . . . . . . . . . . . . . . . . . . .
TagValue
Convenience class to define key-value pairs . . . . . . . . . . . . . . . . . . . . . . . . . . .
TickAttrib
Tick attributes that describes additional information for price ticks . . . . . . . . . . . . . . . .
TimeCondition
Time condition used in conditional orders to submit or cancel orders at specified time . . . . .
VolumeCondition
Used with conditional orders to submit or cancel an order based on a specified volume change
in a security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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Chapter 24
Namespace Documentation
25.1 IBApi Namespace Reference
Classes
• class AccountSummaryTags
class containing all existing values being reported by EClientSocket::reqAccountSummary
• class Bar
The historical data bar's description.
• class CodeMsgPair
associates error code and error message as a pair.
• class ComboLeg
Class representing a leg within combo orders.
• class CommissionReport
class representing the commissions generated by an execution.
• class Contract
class describing an instrument's definition
• class ContractDetails
extended contract details.
• class CTriggerMethod
• class DeltaNeutralContract
Delta-Neutral Contract (p. ??).
• class EClient
TWS/Gateway client class This client class contains all the available methods to communicate with IB. Up to thirty-two
clients can be connected to a single instance of the TWS/Gateway simultaneously. From herein, the TWS/Gateway
will be referred to as the Host.
• class EClientErrors
Contains all possible errors occurring on the client side. This errors are not sent by the TWS but rather generated as
the result of malfunction within the TWS API client.
• class EClientSocket
TWS/Gateway client class This client class contains all the available methods to communicate with IB. Up to 32 clients
can be connected to a single instance of the TWS/Gateway simultaneously. From herein, the TWS/Gateway will be
referred to as the Host.
• class EClientSocketSSL
Implements a Secure Socket Layer (SSL) on top of the EClientSocket class.
• class EReader
Captures incoming messages to the API client and places them into a queue.
340 Namespace Documentation
• interface EReaderSignal
Notifies the thread reading information from the TWS whenever there are messages ready to be consumed. Not
currently used in Python API.
• interface EWrapper
This interface's methods are used by the TWS/Gateway to communicate with the API client. Every API client applica-
tion needs to implement this interface in order to handle all the events generated by the TWS/Gateway. Almost every
EClientSocket method call will result in at least one event delivered here.
• class Execution
Class describing an order's execution.
• class ExecutionCondition
This class represents a condition requiring a specific execution event to be fulfilled. Orders can be activated or
canceled if a set of given conditions is met. An ExecutionCondition is met whenever a trade occurs on a certain
product at the given exchange.
• class ExecutionFilter
when requesting executions, a filter can be specified to receive only a subset of them
• class HistoricalTick
The historical tick's description. Used when requesting historical tick data with whatToShow = MIDPOINT.
• class HistoricalTickBidAsk
The historical tick's description. Used when requesting historical tick data with whatToShow = BID_ASK.
• class HistoricalTickLast
The historical tick's description. Used when requesting historical tick data with whatToShow = TRADES.
• class Liquidity
Class describing the liquidity type of an execution.
• class Order
The order's description.
• class OrderComboLeg
Allows to specify a price on an order's leg.
• class OrderState
Provides an active order's current state.
• class PercentChangeCondition
Used with conditional orders to place or submit an order based on a percentage change of an instrument to the last
close price.
• class PriceCondition
Used with conditional orders to cancel or submit order based on price of an instrument.
• class ScannerSubscription
Defines a market scanner request.
• class SoftDollarTier
A container for storing Soft Dollar Tier information.
• class TagValue
Convenience class to define key-value pairs.
• class TickAttrib
Tick attributes that describes additional information for price ticks.
• class TimeCondition
Time condition used in conditional orders to submit or cancel orders at specified time.
• class VolumeCondition
Used with conditional orders to submit or cancel an order based on a specified volume change in a security.
Enumerations
• enum TriggerMethod {
Default = 0, DoubleBidAsk,Last,DoubleLast,
BidAsk,LastOfBidAsk = 7, MidPoint }
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Chapter 25
Class Documentation
26.1 AccountSummaryTags Class Reference
class containing all existing values being reported by EClientSocket::reqAccountSummary
Static Public Member Functions
• static string GetAllTags ()
Public Attributes
• const string AccountType = "AccountType"
• const string NetLiquidation = "NetLiquidation"
• const string TotalCashValue = "TotalCashValue"
• const string SettledCash = "SettledCash"
• const string AccruedCash = "AccruedCash"
• const string BuyingPower = "BuyingPower"
• const string EquityWithLoanValue = "EquityWithLoanValue"
• const string PreviousEquityWithLoanValue = "PreviousEquityWithLoanValue"
• const string GrossPositionValue = "GrossPositionValue"
• const string ReqTEquity = "ReqTEquity"
• const string ReqTMargin = "ReqTMargin"
• const string SMA = "SMA"
• const string InitMarginReq = "InitMarginReq"
• const string MaintMarginReq = "MaintMarginReq"
• const string AvailableFunds = "AvailableFunds"
• const string ExcessLiquidity = "ExcessLiquidity"
• const string Cushion = "Cushion"
• const string FullInitMarginReq = "FullInitMarginReq"
• const string FullMaintMarginReq = "FullMaintMarginReq"
• const string FullAvailableFunds = "FullAvailableFunds"
• const string FullExcessLiquidity = "FullExcessLiquidity"
• const string LookAheadNextChange = "LookAheadNextChange"
• const string LookAheadInitMarginReq = "LookAheadInitMarginReq"
• const string LookAheadMaintMarginReq = "LookAheadMaintMarginReq"
• const string LookAheadAvailableFunds = "LookAheadAvailableFunds"
• const string LookAheadExcessLiquidity = "LookAheadExcessLiquidity"
• const string HighestSeverity = "HighestSeverity"
• const string DayTradesRemaining = "DayTradesRemaining"
• const string Leverage = "Leverage"
342 Class Documentation
26.1.1 Detailed Description
class containing all existing values being reported by EClientSocket::reqAccountSummary
26.2 Bar Class Reference
The historical data bar's description.
Public Member Functions
•Bar (string time, double open, double high, double low, double close, long volume, int count, double wap)
Properties
• string Time [get]
The bar's date and time (either as a yyyymmss hh:mm:ss formatted string or as system time according to the request).
Time zone is the TWS time zone chosen on login.
• double Open [get]
The bar's open price.
• double High [get]
The bar's high price.
• double Low [get]
The bar's low price.
• double Close [get]
The bar's close price.
• long Volume [get]
The bar's traded volume if available (only available for TRADES)
• double WAP [get]
The bar's Weighted Average Price (only available for TRADES)
• int Count [get]
The number of trades during the bar's timespan (only available for TRADES)
26.2.1 Detailed Description
The historical data bar's description.
See also
EClient (p. ??), EWrapper
26.3 CodeMsgPair Class Reference
associates error code and error message as a pair.
Generated by Doxygen
26.4 ComboLeg Class Reference 343
Public Member Functions
•CodeMsgPair (int code, string message)
Properties
• int Code [get]
• string Message [get]
26.3.1 Detailed Description
associates error code and error message as a pair.
26.4 ComboLeg Class Reference
Class representing a leg within combo orders.
Public Member Functions
•ComboLeg (int conId, int ratio, string action, string exchange, int openClose, int shortSaleSlot, string
designatedLocation, int exemptCode)
Static Public Attributes
• static int SAME = 0
• static int OPEN = 1
• static int CLOSE = 2
• static int UNKNOWN = 3
Properties
• int ConId [get, set]
The Contract (p. ??)'s IB's unique id.
• int Ratio [get, set]
Select the relative number of contracts for the leg you are constructing. To help determine the ratio for a specific
combination order, refer to the Interactive Analytics section of the User's Guide.
• string Action [get, set]
The side (buy or sell) of the leg:
.
• string Exchange [get, set]
The destination exchange to which the order will be routed.
• int OpenClose [get, set]
Specifies whether an order is an open or closing order. For instituational customers to determine if this order is to
open or close a position. 0 - Same as the parent security. This is the only option for retail customers.
1 - Open. This value is only valid for institutional customers.
2 - Close. This value is only valid for institutional customers.
3 - Unknown.
• int ShortSaleSlot [get, set]
For stock legs when doing short selling. Set to 1 = clearing broker, 2 = third party.
• string DesignatedLocation [get, set]
When ShortSaleSlot is 2, this field shall contain the designated location.
• int ExemptCode [get, set]
DOC_TODO.
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344 Class Documentation
26.4.1 Detailed Description
Class representing a leg within combo orders.
See also
Order
26.4.2 Property Documentation
26.4.2.1 Action
string Action [get], [set]
The side (buy or sell) of the leg:
.
• For individual accounts, only BUY and SELL are available. SSHORT is for institutions.
26.5 CommissionReport Class Reference
class representing the commissions generated by an execution.
Public Member Functions
• override bool Equals (Object p_other)
Properties
• string ExecId [get, set]
the execution's id this commission belongs to.
• double Commission [get, set]
the commissions cost.
• string Currency [get, set]
the reporting currency.
• double RealizedPNL [get, set]
the realized profit and loss
• double Yield [get, set]
The income return.
• int YieldRedemptionDate [get, set]
date expressed in yyyymmdd format.
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26.6 Contract Class Reference 345
26.5.1 Detailed Description
class representing the commissions generated by an execution.
See also
Execution
26.6 Contract Class Reference
class describing an instrument's definition
Public Member Functions
• override string ToString ()
Properties
• int ConId [get, set]
The unique IB contract identifier.
• string Symbol [get, set]
The underlying's asset symbol.
• string SecType [get, set]
The security's type: STK - stock (or ETF) OPT - option FUT - future IND - index FOP - futures option CASH - forex
pair BAG - combo WAR - warrant BOND- bond CMDTY- commodity NEWS- news FUND- mutual fund.
• string LastTradeDateOrContractMonth [get, set]
The contract's last trading day or contract month (for Options and Futures). Strings with format YYYYMM will be
interpreted as the Contract Month whereas YYYYMMDD will be interpreted as Last Trading Day.
• double Strike [get, set]
The option's strike price.
• string Right [get, set]
Either Put or Call (i.e. Options). Valid values are P, PUT, C, CALL.
• string Multiplier [get, set]
The instrument's multiplier (i.e. options, futures).
• string Exchange [get, set]
The destination exchange.
• string Currency [get, set]
The underlying's currency.
• string LocalSymbol [get, set]
The contract's symbol within its primary exchange For options, this will be the OCC symbol.
• string PrimaryExch [get, set]
The contract's primary exchange. For smart routed contracts, used to define contract in case of ambiguity. Should be
defined as native exchange of contract, e.g. ISLAND for MSFT For exchanges which contain a period in name, will
only be part of exchange name prior to period, i.e. ENEXT for ENEXT.BE.
• string TradingClass [get, set]
The trading class name for this contract. Available in TWS contract description window as well. For example, GBL
Dec '13 future's trading class is "FGBL".
• bool IncludeExpired [get, set]
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If set to true, contract details requests and historical data queries can be performed pertaining to expired futures
contracts. Expired options or other instrument types are not available.
• string SecIdType [get, set]
Security's identifier when querying contract's details or placing orders ISIN - Example: Apple: US0378331005 CUSIP
- Example: Apple: 037833100.
• string SecId [get, set]
Identifier of the security type.
• string ComboLegsDescription [get, set]
Description of the combo legs.
• List<ComboLeg >ComboLegs [get, set]
The legs of a combined contract definition.
•DeltaNeutralContract DeltaNeutralContract [get, set]
Delta and underlying price for Delta-Neutral combo orders. Underlying (STK or FUT), delta and underlying price goes
into this attribute.
26.6.1 Detailed Description
class describing an instrument's definition
See also
ContractDetails
26.6.2 Property Documentation
26.6.2.1 ComboLegs
List<ComboLeg>ComboLegs [get], [set]
The legs of a combined contract definition.
See also
ComboLeg
26.6.2.2 DeltaNeutralContract
DeltaNeutralContract DeltaNeutralContract [get], [set]
Delta and underlying price for Delta-Neutral combo orders. Underlying (STK or FUT), delta and underlying price
goes into this attribute.
See also
DeltaNeutralContract
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26.6.2.3 SecId
string SecId [get], [set]
Identifier of the security type.
See also
secIdType
26.7 ContractDetails Class Reference
extended contract details.
Public Member Functions
•ContractDetails (Contract summary, String marketName, double minTick, String orderTypes, String valid←-
Exchanges, int underConId, String longName, String contractMonth, String industry, String category, String
subcategory, String timeZoneId, String tradingHours, String liquidHours, String evRule, double evMultiplier,
int aggGroup)
Properties
•Contract Contract
A fully-defined Contract object.
• string MarketName
The market name for this product.
• double MinTick
The minimum allowed price variation. Note that many securities vary their minimum tick size according to their price.
This value will only show the smallest of the different minimum tick sizes regardless of the product's price. Full
information about the minimum increment price structure can be obtained with the reqMarketRule function or the IB
Contract and Security Search site.
• int PriceMagnifier
Allows execution and strike prices to be reported consistently with market data, historical data and the order price,
i.e. Z on LIFFE is reported in Index points and not GBP.
• string OrderTypes
Supported order types for this product.
• string ValidExchanges
Valid exchange fields when placing an order for this contract.
The list of exchanges will is provided in the same order as the corresponding MarketRuleIds list.
• int UnderConId
For derivatives, the contract ID (conID) of the underlying instrument.
• string LongName
Descriptive name of the product.
• string ContractMonth
Typically the contract month of the underlying for a Future contract.
• string Industry
The industry classification of the underlying/product. For example, Financial.
• string Category
The industry category of the underlying. For example, InvestmentSvc.
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• string Subcategory
The industry subcategory of the underlying. For example, Brokerage.
• string TimeZoneId
The time zone for the trading hours of the product. For example, EST.
• string TradingHours
The trading hours of the product. This value will contain the trading hours of the current day as well as the next's. For
example, 20090507:0700-1830,1830-2330;20090508:CLOSED. In TWS versions 965+ there is an option in the Global
Configuration API settings to return 1 month of trading hours. In TWS version 970+, the format includes the date of
the closing time to clarify potential ambiguity, ex: 20180323:0400-20180323:2000;20180326:0400-20180326:2000
The trading hours will correspond to the hours for the product on the associated exchange. The same instrument can
have different hours on different exchanges.
• string LiquidHours
The liquid hours of the product. This value will contain the liquid hours (regular trading hours) of the contract on
the specified exchange. Format for TWS versions until 969: 20090507:0700-1830,1830-2330;20090508:CLOS←-
ED. In TWS versions 965+ there is an option in the Global Configuration API settings to return 1 month of trading
hours. In TWS v970 and above, the format includes the date of the closing time to clarify potential ambiguity, e.g.
20180323:0930-20180323:1600;20180326:0930-20180326:1600.
• string EvRule
Contains the Economic Value Rule name and the respective optional argument. The two values should be separated
by a colon. For example, aussieBond:YearsToExpiration=3. When the optional argument is not present, the first value
will be followed by a colon.
• double EvMultiplier
Tells you approximately how much the market value of a contract would change if the price were to change by 1. It
cannot be used to get market value by multiplying the price by the approximate multiplier.
• int MdSizeMultiplier
MD Size Multiplier. Returns the size multiplier for values returned to tickSize from a market data request. Generally
100 for US stocks and 1 for other instruments.
• int AggGroup
Aggregated group Indicates the smart-routing group to which a contract belongs. contracts which cannot be smart-
routed have aggGroup = -1.
• List<TagValue >SecIdList
A list of contract identifiers that the customer is allowed to view. CUSIP/ISIN/etc. For US stocks, receiving the ISIN
requires the CUSIP market data subscription. For Bonds, the CUSIP or ISIN is input directly into the symbol field of the
Contract class.
• string UnderSymbol
For derivatives, the symbol of the underlying contract.
• string UnderSecType
For derivatives, returns the underlying security type.
• string MarketRuleIds
The list of market rule IDs separated by comma Market rule IDs can be used to determine the minimum price incre-
ment at a given price.
• string RealExpirationDate
Real expiration date. Requires TWS 968+ and API v973.04+. Python API specifically requires API v973.06+.
• string LastTradeTime
Last trade time.
• string Cusip
The nine-character bond CUSIP. For Bonds only. Receiving CUSIPs requires a CUSIP market data subscription.
• string Ratings
Identifies the credit rating of the issuer. This field is not currently available from the TWS API. For Bonds only. A
higher credit rating generally indicates a less risky investment. Bond ratings are from Moody's and S&P respectively.
Not currently implemented due to bond market data restrictions.
• string DescAppend
A description string containing further descriptive information about the bond. For Bonds only.
• string BondType
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The type of bond, such as "CORP.".
• string CouponType
The type of bond coupon. This field is currently not available from the TWS API. For Bonds only.
• bool Callable
If true, the bond can be called by the issuer under certain conditions. This field is currently not available from the
TWS API. For Bonds only.
• bool Putable
Values are True or False. If true, the bond can be sold back to the issuer under certain conditions. This field is
currently not available from the TWS API. For Bonds only.
• double Coupon
The interest rate used to calculate the amount you will receive in interest payments over the course of the year. This
field is currently not available from the TWS API. For Bonds only.
• bool Convertible
Values are True or False. If true, the bond can be converted to stock under certain conditions. This field is currently
not available from the TWS API. For Bonds only.
• string Maturity
he date on which the issuer must repay the face value of the bond. This field is currently not available from the TWS
API. For Bonds only. Not currently implemented due to bond market data restrictions.
• string IssueDate
The date the bond was issued. This field is currently not available from the TWS API. For Bonds only. Not currently
implemented due to bond market data restrictions.
• string NextOptionDate
Only if bond has embedded options. This field is currently not available from the TWS API. Refers to callable bonds
and puttable bonds. Available in TWS description window for bonds.
• string NextOptionType
Type of embedded option. This field is currently not available from the TWS API. Only if bond has embedded options.
• bool NextOptionPartial
Only if bond has embedded options. This field is currently not available from the TWS API. For Bonds only.
• string Notes
If populated for the bond in IB's database. For Bonds only.
26.7.1 Detailed Description
extended contract details.
See also
Contract
26.8 DeltaNeutralContract Class Reference
Delta-Neutral Contract (p. ??).
Properties
• int ConId [get, set]
The unique contract identifier specifying the security. Used for Delta-Neutral Combo contracts.
• double Delta [get, set]
The underlying stock or future delta. Used for Delta-Neutral Combo contracts.
• double Price [get, set]
The price of the underlying. Used for Delta-Neutral Combo contracts.
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26.8.1 Detailed Description
Delta-Neutral Contract (p. ??).
26.9 EClient Class Reference
TWS/Gateway client class This client class contains all the available methods to communicate with IB. Up to thirty-
two clients can be connected to a single instance of the TWS/Gateway simultaneously. From herein, the TWS/←-
Gateway will be referred to as the Host.
Inheritance diagram for EClient:
EClient
EClientSocket
EClientSocketSSL
Public Member Functions
•EClient (EWrapper wrapper)
Constructor.
• void SetConnectOptions (string connectOptions)
Ignore. Used for IB's internal purposes.
• void DisableUseV100Plus ()
Allows to switch between different current (V100+) and previous connection mechanisms.
• bool IsConnected ()
Indicates whether the API-TWS connection has been closed. Note: This function is not automatically invoked and
must be by the API client.
• void startApi ()
Initiates the message exchange between the client application and the TWS/IB Gateway.
• void Close ()
Terminates the connection and notifies the EWrapper implementing class.
• virtual void eDisconnect (bool resetState=true)
Closes the socket connection and terminates its thread.
• void cancelTickByTickData (int requestId)
Cancels tick-by-tick data.
.
• void reqTickByTickData (int requestId, Contract contract, string tickType, int numberOfTicks, bool ignore←-
Size)
Requests tick-by-tick data.
.
• void cancelHistoricalData (int reqId)
Cancels a historical data request.
• void calculateImpliedVolatility (int reqId, Contract contract, double optionPrice, double underPrice, List<
TagValue >impliedVolatilityOptions)
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Calculate the volatility for an option.
Request the calculation of the implied volatility based on hypothetical option and its underlying prices.
The calculation will be return in EWrapper (p. ??)'s tickOptionComputation callback.
.
• void calculateOptionPrice (int reqId, Contract contract, double volatility, double underPrice, List<Tag←-
Value >optionPriceOptions)
Calculates an option's price based on the provided volatility and its underlying's price.
The calculation will be return in EWrapper (p. ??)'s tickOptionComputation callback.
.
• void cancelAccountSummary (int reqId)
Cancels the account's summary request. After requesting an account's summary, invoke this function to cancel it.
• void cancelCalculateImpliedVolatility (int reqId)
Cancels an option's implied volatility calculation request.
• void cancelCalculateOptionPrice (int reqId)
Cancels an option's price calculation request.
• void cancelFundamentalData (int reqId)
Cancels Fundamental data request.
• void cancelMktData (int tickerId)
Cancels a RT Market Data request.
• void cancelMktDepth (int tickerId)
Cancel's market depth's request.
• void cancelNewsBulletin ()
Cancels IB's news bulletin subscription.
• void cancelOrder (int orderId)
Cancels an active order placed by from the same API client ID.
Note: API clients cannot cancel individual orders placed by other clients. Only reqGlobalCancel is available.
.
• void cancelPositions ()
Cancels a previous position subscription request made with reqPositions.
• void cancelRealTimeBars (int tickerId)
Cancels Real Time Bars' subscription.
• void cancelScannerSubscription (int tickerId)
Cancels Scanner Subscription.
• void exerciseOptions (int tickerId, Contract contract, int exerciseAction, int exerciseQuantity, string account,
int ovrd)
Exercises an options contract
Note: this function is affected by a TWS setting which specifies if an exercise request must be finalized.
• void placeOrder (int id, Contract contract, Order order)
Places or modifies an order.
• void replaceFA (int faDataType, string xml)
Replaces Financial Advisor's settings A Financial Advisor can define three different configurations:
• void requestFA (int faDataType)
Requests the FA configuration A Financial Advisor can define three different configurations:
• void reqAccountSummary (int reqId, string group, string tags)
Requests a specific account's summary.
This method will subscribe to the account summary as presented in the TWS' Account Summary tab. The data is
returned at EWrapper::accountSummary
https://www.interactivebrokers.com/en/software/tws/accountwindowtop.htm.
• void reqAccountUpdates (bool subscribe, string acctCode)
Subscribes to an specific account's information and portfolio Through this method, a single account's subscription
can be started/stopped. As a result from the subscription, the account's information, portfolio and last update time will
be received at EWrapper::updateAccountValue ( p. ??), EWrapper::updateAccountPortfolio, EWrapper::update←-
AccountTime respectively. All account values and positions will be returned initially, and then there will only be
updates when there is a change in a position, or to an account value every 3 minutes if it has changed. Only one
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account can be subscribed at a time. A second subscription request for another account when the previous one is
still active will cause the first one to be canceled in favour of the second one. Consider user reqPositions if you want
to retrieve all your accounts' portfolios directly.
• void reqAllOpenOrders ()
Requests all current open orders in associated accounts at the current moment. The existing orders will be received
via the openOrder and orderStatus events. Open orders are returned once; this function does not initiate a subscrip-
tion.
• void reqAutoOpenOrders (bool autoBind)
Requests status updates about future orders placed from TWS. Can only be used with client ID 0.
• void reqContractDetails (int reqId, Contract contract)
Requests contract information.
This method will provide all the contracts matching the contract provided. It can also be used to retrieve complete
options and futures chains. This information will be returned at EWrapper (p. ??):contractDetails. Though it is now
(in API version >9.72.12) advised to use reqSecDefOptParams for that purpose.
.
• void reqCurrentTime ()
Requests TWS's current time.
• void reqExecutions (int reqId, ExecutionFilter filter)
Requests current day's (since midnight) executions matching the filter. Only the current day's executions can be
retrieved. Along with the executions, the CommissionReport will also be returned. The execution details will arrive at
EWrapper ( p. ??):execDetails.
• void reqFundamentalData (int reqId, Contract contract, String reportType, List<TagValue >
fundamentalDataOptions)
Requests the contract's Reuters or Wall Street Horizons fundamental data. Fundalmental data is returned at E←-
Wrapper::fundamentalData (p. ??).
• void reqGlobalCancel ()
Cancels all active orders.
This method will cancel ALL open orders including those placed directly from TWS.
• void reqHistoricalData (int tickerId, Contract contract, string endDateTime, string durationString, string
barSizeSetting, string whatToShow, int useRTH, int formatDate, bool keepUpToDate, List<TagValue >
chartOptions)
Requests contracts' historical data. When requesting historical data, a finishing time and date is required along with
a duration string. For example, having:
• void reqIds (int numIds)
Requests the next valid order ID at the current moment.
• void reqManagedAccts ()
Requests the accounts to which the logged user has access to.
• void reqMktData (int tickerId, Contract contract, string genericTickList, bool snapshot, bool regulatory←-
Snaphsot, List<TagValue >mktDataOptions)
Requests real time market data. Returns market data for an instrument either in real time or 10-15 minutes delayed
(depending on the market data type specified)
• void reqMarketDataType (int marketDataType)
Switches data type returned from reqMktData request to "frozen", "delayed" or "delayed-frozen" market data. Requires
TWS/IBG v963+.
The API can receive frozen market data from Trader Workstation. Frozen market data is the last data recorded in our
system.
During normal trading hours, the API receives real-time market data. Invoking this function with argument 2 requests
a switch to frozen data immediately or after the close.
When the market reopens the next data the market data type will automatically switch back to real time if available.
• void reqMarketDepth (int tickerId, Contract contract, int numRows, List<TagValue >mktDepthOptions)
Requests the contract's market depth (order book).
This request must be direct-routed to an exchange and not smart-routed. The number of simultaneous market depth
requests allowed in an account is calculated based on a formula that looks at an accounts equity, commissions, and
quote booster packs.
• void reqNewsBulletins (bool allMessages)
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Subscribes to IB's News Bulletins.
• void reqOpenOrders ()
Requests all open orders places by this specific API client (identified by the API client id). For client ID 0, this will bind
previous manual TWS orders.
• void reqPositions ()
Subscribes to position updates for all accessible accounts. All positions sent initially, and then only updates as
positions change.
• void reqRealTimeBars (int tickerId, Contract contract, int barSize, string whatToShow, bool useRTH, List<
TagValue >realTimeBarsOptions)
Requests real time bars
Currently, only 5 seconds bars are provided. This request is subject to the same pacing as any historical data
request: no more than 60 API queries in more than 600 seconds.
Real time bars subscriptions are also included in the calculation of the number of Level 1 market data subscriptions
allowed in an account.
• void reqScannerParameters ()
Requests an XML list of scanner parameters valid in TWS.
Not all parameters are valid from API scanner.
• void reqScannerSubscription (int reqId, ScannerSubscription subscription, List<TagValue >scanner←-
SubscriptionOptions)
Starts a subscription to market scan results based on the provided parameters.
• void setServerLogLevel (int logLevel)
Changes the TWS/GW log level. The default is 2 = ERROR
5 = DETAIL is required for capturing all API messages and troubleshooting API programs
Valid values are:
1 = SYSTEM
2 = ERROR
3 = WARNING
4 = INFORMATION
5 = DETAIL
.
• void verifyRequest (string apiName, string apiVersion)
For IB's internal purpose. Allows to provide means of verification between the TWS and third party programs.
• void verifyMessage (string apiData)
For IB's internal purpose. Allows to provide means of verification between the TWS and third party programs.
• void verifyAndAuthRequest (string apiName, string apiVersion, string opaqueIsvKey)
For IB's internal purpose. Allows to provide means of verification between the TWS and third party programs.
• void verifyAndAuthMessage (string apiData, string xyzResponse)
For IB's internal purpose. Allows to provide means of verification between the TWS and third party programs.
• void queryDisplayGroups (int requestId)
Requests all available Display Groups in TWS.
• void subscribeToGroupEvents (int requestId, int groupId)
Integrates API client and TWS window grouping.
• void updateDisplayGroup (int requestId, string contractInfo)
Updates the contract displayed in a TWS Window Group.
• void unsubscribeFromGroupEvents (int requestId)
Cancels a TWS Window Group subscription.
• void reqPositionsMulti (int requestId, string account, string modelCode)
Requests position subscription for account and/or model Initially all positions are returned, and then updates are
returned for any position changes in real time.
• void cancelPositionsMulti (int requestId)
Cancels positions request for account and/or model.
• void reqAccountUpdatesMulti (int requestId, string account, string modelCode, bool ledgerAndNLV)
Requests account updates for account and/or model.
• void cancelAccountUpdatesMulti (int requestId)
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Cancels account updates request for account and/or model.
• void reqSecDefOptParams (int reqId, string underlyingSymbol, string futFopExchange, string underlying←-
SecType, int underlyingConId)
Requests security definition option parameters for viewing a contract's option chain.
• void reqSoftDollarTiers (int reqId)
Requests pre-defined Soft Dollar Tiers. This is only supported for registered professional advisors and hedge
and mutual funds who have configured Soft Dollar Tiers in Account Management. Refer to: https://www.←-
interactivebrokers.com/en/software/am/am/manageaccount/requestsoftdollars.←-
htm?Highlight=soft%20dollar%20tier.
• void reqFamilyCodes ()
Requests family codes for an account, for instance if it is a FA, IBroker, or associated account.
• void reqMatchingSymbols (int reqId, string pattern)
Requests matching stock symbols.
• void reqMktDepthExchanges ()
Requests venues for which market data is returned to updateMktDepthL2 (those with market makers)
• void reqSmartComponents (int reqId, String bboExchange)
Returns the mapping of single letter codes to exchange names given the mapping identifier.
• void reqNewsProviders ()
Requests news providers which the user has subscribed to.
• void reqNewsArticle (int requestId, string providerCode, string articleId, List<TagValue >newsArticle←-
Options)
Requests news article body given articleId.
• void reqHistoricalNews (int requestId, int conId, string providerCodes, string startDateTime, string end←-
DateTime, int totalResults, List<TagValue >historicalNewsOptions)
Requests historical news headlines.
• void reqHeadTimestamp (int tickerId, Contract contract, string whatToShow, int useRTH, int formatDate)
Returns the timestamp of earliest available historical data for a contract and data type.
• void cancelHeadTimestamp (int tickerId)
Cancels a pending reqHeadTimeStamp request
.
• void reqHistogramData (int tickerId, Contract contract, bool useRTH, string period)
Returns data histogram of specified contract
.
• void cancelHistogramData (int tickerId)
Cancels an active data histogram request.
• void reqMarketRule (int marketRuleId)
Requests details about a given market rule
The market rule for an instrument on a particular exchange provides details about how the minimum price increment
changes with price
A list of market rule ids can be obtained by invoking reqContractDetails on a particular contract. The returned market
rule ID list will provide the market rule ID for the instrument in the correspond valid exchange list in contractDetails.
.
• void reqPnL (int reqId, string account, string modelCode)
Creates subscription for real time daily PnL and unrealized PnL updates.
• void cancelPnL (int reqId)
cancels subscription for real time updated daily PnL params reqId
• void reqPnLSingle (int reqId, string account, string modelCode, int conId)
Requests real time updates for daily PnL of individual positions.
• void cancelPnLSingle (int reqId)
Cancels real time subscription for a positions daily PnL information.
• void reqHistoricalTicks (int reqId, Contract contract, string startDateTime, string endDateTime, int
numberOfTicks, string whatToShow, int useRth, bool ignoreSize, List<TagValue >miscOptions)
Requests historical Time&Sales data for an instrument.
• int ReadInt ()
• byte [ ] ReadAtLeastNBytes (int msgSize)
• byte [ ] ReadByteArray (int msgSize)
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Protected Member Functions
• abstract uint prepareBuffer (BinaryWriter paramsList)
• void sendConnectRequest ()
• bool CheckServerVersion (int requiredVersion)
• bool CheckServerVersion (int requestId, int requiredVersion)
• bool CheckServerVersion (int requiredVersion, string updatetail)
• bool CheckServerVersion (int tickerId, int requiredVersion, string updatetail)
• void CloseAndSend (BinaryWriter paramsList, uint lengthPos, CodeMsgPair error)
• void CloseAndSend (int reqId, BinaryWriter paramsList, uint lengthPos, CodeMsgPair error)
• abstract void CloseAndSend (BinaryWriter request, uint lengthPos)
• bool CheckConnection ()
• void ReportError (int reqId, CodeMsgPair error, string tail)
• void ReportUpdateTWS (int reqId, string tail)
• void ReportUpdateTWS (string tail)
• void ReportError (int reqId, int code, string message)
• void SendCancelRequest (OutgoingMessages msgType, int version, int reqId, CodeMsgPair error←-
Message)
• void SendCancelRequest (OutgoingMessages msgType, int version, CodeMsgPair errorMessage)
• bool VerifyOrderContract (Contract contract, int id)
• bool VerifyOrder (Order order, int id, bool isBagOrder)
Protected Attributes
• int serverVersion
• ETransport socketTransport
•EWrapper wrapper
• bool isConnected
• int clientId
• bool extraAuth
• bool useV100Plus = true
• bool allowRedirect = false
• Stream tcpStream
Properties
•EWrapper Wrapper [get]
Reference to the EWrapper implementing object.
• bool AllowRedirect [get, set]
• int ServerVersion [get]
returns the Host's version. Some of the API functionality might not be available in older Hosts and therefore it is
essential to keep the TWS/Gateway as up to date as possible.
• string ServerTime [get, protected set]
• string optionalCapabilities [get, set]
• bool AsyncEConnect [get, set]
26.9.1 Detailed Description
TWS/Gateway client class This client class contains all the available methods to communicate with IB. Up to thirty-
two clients can be connected to a single instance of the TWS/Gateway simultaneously. From herein, the TWS/←-
Gateway will be referred to as the Host.
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26.9.2 Constructor & Destructor Documentation
26.9.2.1 EClient()
EClient (
EWrapper wrapper ) [inline]
Constructor.
Parameters
wrapper EWrapper (p. ??)'s implementing class instance. Every message being delivered by IB to the API
client will be forwarded to the EWrapper (p. ??)'s implementing class.
See also
EWrapper
26.9.3 Member Function Documentation
26.9.3.1 calculateImpliedVolatility()
void calculateImpliedVolatility (
int reqId,
Contract contract,
double optionPrice,
double underPrice,
List<TagValue >impliedVolatilityOptions ) [inline]
Calculate the volatility for an option.
Request the calculation of the implied volatility based on hypothetical option and its underlying prices.
The calculation will be return in EWrapper (p. ??)'s tickOptionComputation callback.
.
Parameters
reqId unique identifier of the request.
contract the option's contract for which the volatility wants to be calculated.
optionPrice hypothetical option price.
underPrice hypothetical option's underlying price.
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See also
EWrapper::tickOptionComputation (p. ??), cancelCalculateImpliedVolatility (p. ??), Contract
26.9.3.2 calculateOptionPrice()
void calculateOptionPrice (
int reqId,
Contract contract,
double volatility,
double underPrice,
List<TagValue >optionPriceOptions ) [inline]
Calculates an option's price based on the provided volatility and its underlying's price.
The calculation will be return in EWrapper (p. ??)'s tickOptionComputation callback.
.
Parameters
reqId request's unique identifier.
contract the option's contract for which the price wants to be calculated.
volatility hypothetical volatility.
underPrice hypothetical underlying's price.
See also
EWrapper::tickOptionComputation (p. ??), cancelCalculateOptionPrice (p. ??), Contract
26.9.3.3 cancelAccountSummary()
void cancelAccountSummary (
int reqId ) [inline]
Cancels the account's summary request. After requesting an account's summary, invoke this function to cancel it.
Parameters
req←-
Id
the identifier of the previously performed account request
See also
reqAccountSummary
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26.9.3.4 cancelAccountUpdatesMulti()
void cancelAccountUpdatesMulti (
int requestId ) [inline]
Cancels account updates request for account and/or model.
Parameters
request←-
Id
account subscription to cancel
See also
reqAccountUpdatesMulti
26.9.3.5 cancelCalculateImpliedVolatility()
void cancelCalculateImpliedVolatility (
int reqId ) [inline]
Cancels an option's implied volatility calculation request.
Parameters
req←-
Id
the identifier of the implied volatility's calculation request.
See also
calculateImpliedVolatility
26.9.3.6 cancelCalculateOptionPrice()
void cancelCalculateOptionPrice (
int reqId ) [inline]
Cancels an option's price calculation request.
Parameters
req←-
Id
the identifier of the option's price's calculation request.
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See also
calculateOptionPrice
26.9.3.7 cancelFundamentalData()
void cancelFundamentalData (
int reqId ) [inline]
Cancels Fundamental data request.
Parameters
req←-
Id
the request's identifier.
See also
reqFundamentalData
26.9.3.8 cancelHeadTimestamp()
void cancelHeadTimestamp (
int tickerId ) [inline]
Cancels a pending reqHeadTimeStamp request
.
Parameters
ticker←-
Id
Id of the request
26.9.3.9 cancelHistogramData()
void cancelHistogramData (
int tickerId ) [inline]
Cancels an active data histogram request.
Parameters
ticker←-
Id
- identifier specified in reqHistogramData request
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See also
reqHistogramData (p. ??), histogramData
26.9.3.10 cancelHistoricalData()
void cancelHistoricalData (
int reqId ) [inline]
Cancels a historical data request.
Parameters
req←-
Id
the request's identifier.
See also
reqHistoricalData
26.9.3.11 cancelMktData()
void cancelMktData (
int tickerId ) [inline]
Cancels a RT Market Data request.
Parameters
ticker←-
Id
request's identifier
See also
reqMktData
26.9.3.12 cancelMktDepth()
void cancelMktDepth (
int tickerId ) [inline]
Cancel's market depth's request.
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Parameters
ticker←-
Id
request's identifier.
See also
reqMarketDepth
26.9.3.13 cancelNewsBulletin()
void cancelNewsBulletin ( ) [inline]
Cancels IB's news bulletin subscription.
See also
reqNewsBulletins
26.9.3.14 cancelOrder()
void cancelOrder (
int orderId ) [inline]
Cancels an active order placed by from the same API client ID.
Note: API clients cannot cancel individual orders placed by other clients. Only reqGlobalCancel is available.
.
Parameters
order←-
Id
the order's client id
See also
placeOrder (p. ??), reqGlobalCancel
26.9.3.15 cancelPnLSingle()
void cancelPnLSingle (
int reqId ) [inline]
Cancels real time subscription for a positions daily PnL information.
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Parameters
req←-
Id
26.9.3.16 cancelPositions()
void cancelPositions ( ) [inline]
Cancels a previous position subscription request made with reqPositions.
See also
reqPositions
26.9.3.17 cancelPositionsMulti()
void cancelPositionsMulti (
int requestId ) [inline]
Cancels positions request for account and/or model.
Parameters
request←-
Id
- the identifier of the request to be canceled.
See also
reqPositionsMulti
26.9.3.18 cancelRealTimeBars()
void cancelRealTimeBars (
int tickerId ) [inline]
Cancels Real Time Bars' subscription.
Parameters
ticker←-
Id
the request's identifier.
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See also
reqRealTimeBars
26.9.3.19 cancelScannerSubscription()
void cancelScannerSubscription (
int tickerId ) [inline]
Cancels Scanner Subscription.
Parameters
ticker←-
Id
the subscription's unique identifier.
See also
reqScannerSubscription (p. ??), ScannerSubscription (p. ??), reqScannerParameters
26.9.3.20 cancelTickByTickData()
void cancelTickByTickData (
int requestId ) [inline]
Cancels tick-by-tick data.
.
Parameters
req←-
Id
- unique identifier of the request.
26.9.3.21 Close()
void Close ( ) [inline]
Terminates the connection and notifies the EWrapper implementing class.
See also
EWrapper::connectionClosed (p. ??), eDisconnect
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26.9.3.22 exerciseOptions()
void exerciseOptions (
int tickerId,
Contract contract,
int exerciseAction,
int exerciseQuantity,
string account,
int ovrd ) [inline]
Exercises an options contract
Note: this function is affected by a TWS setting which specifies if an exercise request must be finalized.
Parameters
tickerId exercise request's identifier
contract the option Contract to be exercised.
exerciseAction set to 1 to exercise the option, set to 2 to let the option lapse.
exerciseQuantity number of contracts to be exercised
account destination account
ovrd Specifies whether your setting will override the system's natural action. For example, if your
action is "exercise" and the option is not in-the-money, by natural action the option would
not exercise. If you have override set to "yes" the natural action would be overridden and
the out-of-the money option would be exercised. Set to 1 to override, set to 0 not to.
26.9.3.23 IsConnected()
bool IsConnected ( ) [inline]
Indicates whether the API-TWS connection has been closed. Note: This function is not automatically invoked and
must be by the API client.
Returns
true if connection has been established, false if it has not.
26.9.3.24 placeOrder()
void placeOrder (
int id,
Contract contract,
Order order ) [inline]
Places or modifies an order.
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Parameters
id the order's unique identifier. Use a sequential id starting with the id received at the nextValidId
method. If a new order is placed with an order ID less than or equal to the order ID of a previous
order an error will occur.
contract the order's contract
order the order
See also
EWrapper::nextValidId (p. ??), reqAllOpenOrders (p. ??), reqAutoOpenOrders (p. ??), reqOpenOrders
(p. ??), cancelOrder (p. ??), reqGlobalCancel (p. ??), EWrapper::openOrder (p. ??), EWrapper::order←-
Status (p. ??), Order (p. ??), Contract
26.9.3.25 queryDisplayGroups()
void queryDisplayGroups (
int requestId ) [inline]
Requests all available Display Groups in TWS.
Parameters
request←-
Id
is the ID of this request
26.9.3.26 replaceFA()
void replaceFA (
int faDataType,
string xml ) [inline]
Replaces Financial Advisor's settings A Financial Advisor can define three different configurations:
1. Groups: offer traders a way to create a group of accounts and apply a single allocation method to all accounts
in the group.
2. Profiles: let you allocate shares on an account-by-account basis using a predefined calculation value.
3. Account Aliases: let you easily identify the accounts by meaningful names rather than account numbers. More
information at https://www.interactivebrokers.com/en/?f=%2Fen%2Fsoftware%2←-
Fpdfhighlights%2FPDF-AdvisorAllocations.php%3Fib_entity%3Dllc
Parameters
faDataType the configuration to change. Set to 1, 2 or 3 as defined above.
xml the xml-formatted configuration string
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See also
requestFA
26.9.3.27 reqAccountSummary()
void reqAccountSummary (
int reqId,
string group,
string tags ) [inline]
Requests a specific account's summary.
This method will subscribe to the account summary as presented in the TWS' Account Summary tab. The data is
returned at EWrapper::accountSummary
https://www.interactivebrokers.com/en/software/tws/accountwindowtop.htm.
Parameters
reqId the unique request identifier.
group set to "All" to return account summary data for all accounts, or set to a specific Advisor Account Group
name that has already been created in TWS Global Configuration.
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Parameters
tags a comma separated list with the desired tags:
• AccountType — Identifies the IB account structure
• NetLiquidation — The basis for determining the price of the assets in your account. Total cash
value + stock value + options value + bond value
• TotalCashValue — Total cash balance recognized at the time of trade + futures PNL
• SettledCash — Cash recognized at the time of settlement - purchases at the time of trade -
commissions - taxes - fees
• AccruedCash — Total accrued cash value of stock, commodities and securities
• BuyingPower — Buying power serves as a measurement of the dollar value of securities that
one may purchase in a securities account without depositing additional funds
• EquityWithLoanValue — Forms the basis for determining whether a client has the necessary
assets to either initiate or maintain security positions. Cash + stocks + bonds + mutual funds
• PreviousEquityWithLoanValue — Marginable Equity with Loan value as of 16:00 ET the previous
day
• GrossPositionValue — The sum of the absolute value of all stock and equity option positions
• RegTEquity — Regulation T equity for universal account
• RegTMargin — Regulation T margin for universal account
• SMA — Special Memorandum Account: Line of credit created when the market value of
securities in a Regulation T account increase in value
• InitMarginReq — Initial Margin requirement of whole portfolio
• MaintMarginReq — Maintenance Margin requirement of whole portfolio
• AvailableFunds — This value tells what you have available for trading
• ExcessLiquidity — This value shows your margin cushion, before liquidation
• Cushion — Excess liquidity as a percentage of net liquidation value
• FullInitMarginReq — Initial Margin of whole portfolio with no discounts or intraday credits
• FullMaintMarginReq — Maintenance Margin of whole portfolio with no discounts or intraday
credits
• FullAvailableFunds — Available funds of whole portfolio with no discounts or intraday credits
• FullExcessLiquidity — Excess liquidity of whole portfolio with no discounts or intraday credits
• LookAheadNextChange — Time when look-ahead values take effect
• LookAheadInitMarginReq — Initial Margin requirement of whole portfolio as of next period's
margin change
• LookAheadMaintMarginReq — Maintenance Margin requirement of whole portfolio as of next
period's margin change
• LookAheadAvailableFunds — This value reflects your available funds at the next margin change
• LookAheadExcessLiquidity — This value reflects your excess liquidity at the next margin change
• HighestSeverity — A measure of how close the account is to liquidation
• DayTradesRemaining — The Number of Open/Close trades a user could put on before Pattern
Day Trading is detected. A value of "-1" means that the user can put on unlimited day trades.
• Leverage — GrossPositionValue / NetLiquidation
• $LEDGER — Single flag to relay all cash balance tags∗, only in base currency.
• $LEDGER:CURRENCY — Single flag to relay all cash balance tags∗, only in the specified
currency.
• $LEDGER:ALL — Single flag to relay all cash balance tags∗in all currencies.
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Parameters
See also
cancelAccountSummary (p. ??), EWrapper::accountSummary (p. ??), EWrapper::accountSummary←-
End
26.9.3.28 reqAccountUpdates()
void reqAccountUpdates (
bool subscribe,
string acctCode ) [inline]
Subscribes to an specific account's information and portfolio Through this method, a single account's subscription
can be started/stopped. As a result from the subscription, the account's information, portfolio and last update
time will be received at EWrapper::updateAccountValue (p. ??), EWrapper::updateAccountPortfolio, EWrapper←
- ::updateAccountTime respectively. All account values and positions will be returned initially, and then there will
only be updates when there is a change in a position, or to an account value every 3 minutes if it has changed. Only
one account can be subscribed at a time. A second subscription request for another account when the previous one
is still active will cause the first one to be canceled in favour of the second one. Consider user reqPositions if you
want to retrieve all your accounts' portfolios directly.
Parameters
subscribe set to true to start the subscription and to false to stop it.
acctCode the account id (i.e. U123456) for which the information is requested.
See also
reqPositions (p. ??), EWrapper::updateAccountValue (p. ??), EWrapper::updatePortfolio (p. ??), E←-
Wrapper::updateAccountTime
26.9.3.29 reqAccountUpdatesMulti()
void reqAccountUpdatesMulti (
int requestId,
string account,
string modelCode,
bool ledgerAndNLV ) [inline]
Requests account updates for account and/or model.
Parameters
reqId identifier to label the request
account account values can be requested for a particular account
modelCode values can also be requested for a model
ledgerAndNLV returns light-weight request; only currency positions as opposed to account values and
currency positions
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See also
cancelAccountUpdatesMulti (p. ??), EWrapper::accountUpdateMulti (p. ??), EWrapper::account←-
UpdateMultiEnd
26.9.3.30 reqAllOpenOrders()
void reqAllOpenOrders ( ) [inline]
Requests all current open orders in associated accounts at the current moment. The existing orders will be re-
ceived via the openOrder and orderStatus events. Open orders are returned once; this function does not initiate a
subscription.
See also
reqAutoOpenOrders (p. ??), reqOpenOrders (p. ??), EWrapper::openOrder (p. ??), EWrapper::order←-
Status (p. ??), EWrapper::openOrderEnd
26.9.3.31 reqAutoOpenOrders()
void reqAutoOpenOrders (
bool autoBind ) [inline]
Requests status updates about future orders placed from TWS. Can only be used with client ID 0.
Parameters
autoBind if set to true, the newly created orders will be assigned an API order ID and implicitly associated
with this client. If set to false, future orders will not be.
See also
reqAllOpenOrders (p. ??), reqOpenOrders (p. ??), cancelOrder (p. ??), reqGlobalCancel (p. ??), E←-
Wrapper::openOrder (p. ??), EWrapper::orderStatus
26.9.3.32 reqContractDetails()
void reqContractDetails (
int reqId,
Contract contract ) [inline]
Requests contract information.
This method will provide all the contracts matching the contract provided. It can also be used to retrieve complete
options and futures chains. This information will be returned at EWrapper (p. ??):contractDetails. Though it is now
(in API version >9.72.12) advised to use reqSecDefOptParams for that purpose.
.
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Parameters
reqId the unique request identifier.
contract the contract used as sample to query the available contracts. Typically, it will contain the
Contract::Symbol (p. ??), Contract::Currency (p. ??), Contract::SecType (p. ??),
Contract::Exchange
See also
EWrapper::contractDetails (p. ??), EWrapper::contractDetailsEnd
26.9.3.33 reqCurrentTime()
void reqCurrentTime ( ) [inline]
Requests TWS's current time.
See also
EWrapper::currentTime
26.9.3.34 reqExecutions()
void reqExecutions (
int reqId,
ExecutionFilter filter ) [inline]
Requests current day's (since midnight) executions matching the filter. Only the current day's executions can be
retrieved. Along with the executions, the CommissionReport will also be returned. The execution details will arrive
at EWrapper (p. ??):execDetails.
Parameters
req←-
Id
the request's unique identifier.
filter the filter criteria used to determine which execution reports are returned.
See also
EWrapper::execDetails (p. ??), EWrapper::commissionReport (p. ??), ExecutionFilter
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26.9.3.35 reqFamilyCodes()
void reqFamilyCodes ( ) [inline]
Requests family codes for an account, for instance if it is a FA, IBroker, or associated account.
See also
EWrapper::familyCodes
26.9.3.36 reqFundamentalData()
void reqFundamentalData (
int reqId,
Contract contract,
String reportType,
List<TagValue >fundamentalDataOptions ) [inline]
Requests the contract's Reuters or Wall Street Horizons fundamental data. Fundalmental data is returned at E←-
Wrapper::fundamentalData (p. ??).
Parameters
reqId the request's unique identifier.
contract the contract's description for which the data will be returned.
reportType there are three available report types:
• ReportSnapshot: Company overview
• ReportsFinSummary: Financial summary
• ReportRatios: Financial ratios
• ReportsFinStatements: Financial statements
• RESC: Analyst estimates
• CalendarReport: Company calendar from Wall Street Horizons
See also
EWrapper::fundamentalData
26.9.3.37 reqGlobalCancel()
void reqGlobalCancel ( ) [inline]
Cancels all active orders.
This method will cancel ALL open orders including those placed directly from TWS.
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See also
cancelOrder
26.9.3.38 reqHeadTimestamp()
void reqHeadTimestamp (
int tickerId,
Contract contract,
string whatToShow,
int useRTH,
int formatDate ) [inline]
Returns the timestamp of earliest available historical data for a contract and data type.
Parameters
tickerId - an identifier for the request
contract - contract object for which head timestamp is being requested
whatToShow - type of data for head timestamp - "BID", "ASK", "TRADES", etc
useRTH - use regular trading hours only, 1 for yes or 0 for no
formatDate -
formatDate set to 1 to obtain the bars' time as yyyyMMdd HH:mm:ss, set to 2 to obtain it like system time
format in seconds
See also
headTimeStamp
26.9.3.39 reqHistogramData()
void reqHistogramData (
int tickerId,
Contract contract,
bool useRTH,
string period ) [inline]
Returns data histogram of specified contract
.
Parameters
tickerId - an identifier for the request
contract - Contract object for which histogram is being requested
useRTH - use regular trading hours only, 1 for yes or 0 for no
period - period of which data is being requested, e.g. "3 days"
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See also
histogramData
26.9.3.40 reqHistoricalData()
void reqHistoricalData (
int tickerId,
Contract contract,
string endDateTime,
string durationString,
string barSizeSetting,
string whatToShow,
int useRTH,
int formatDate,
bool keepUpToDate,
List<TagValue >chartOptions ) [inline]
Requests contracts' historical data. When requesting historical data, a finishing time and date is required along with
a duration string. For example, having:
• endDateTime: 20130701 23:59:59 GMT
• durationStr: 3 D will return three days of data counting backwards from July 1st 2013 at 23:59:59 GMT
resulting in all the available bars of the last three days until the date and time specified. It is possible to specify
a timezone optionally. The resulting bars will be returned in EWrapper::historicalData
Parameters
tickerId the request's unique identifier.
contract the contract for which we want to retrieve the data.
endDateTime request's ending time with format yyyyMMdd HH:mm:ss {TMZ}
durationString the amount of time for which the data needs to be retrieved:
• " S (seconds) - " D (days)
• " W (weeks) - " M (months)
• " Y (years)
Parameters
barSizeSetting the size of the
bar:
• 1 sec
• 5 secs
• 15 secs
• 30 secs
• 1 min
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• 2 mins
• 3 mins
• 5 mins
• 15 mins
• 30 mins
• 1 hour
• 1 day
Parameters
whatToShow the kind of information being
retrieved:
• TRADES
• MIDPOINT
• BID
• ASK
• BID_ASK
• HISTORICAL_VOLATILITY
• OPTION_IMPLIED_VOLATILITY
• FEE_RATE
• REBATE_RATE
Parameters
useRTH set to 0 to obtain the data which was also generated outside of the Regular Trading
Hours, set to 1 to obtain only the RTH data
formatDate set to 1 to obtain the bars' time as yyyyMMdd HH:mm:ss, set to 2 to obtain it like
system time format in seconds
keepUpToDate set to True to received continuous updates on most recent bar data. If True, and
endDateTime cannot be specified.
See also
EWrapper::historicalData
26.9.3.41 reqHistoricalNews()
void reqHistoricalNews (
int requestId,
int conId,
string providerCodes,
string startDateTime,
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string endDateTime,
int totalResults,
List<TagValue >historicalNewsOptions ) [inline]
Requests historical news headlines.
Parameters
requestId
conId - contract id of ticker
providerCodes - a '+'-separated list of provider codes
startDateTime - marks the (exclusive) start of the date range. The format is yyyy-MM-dd HH:mm:ss.0
endDateTime - marks the (inclusive) end of the date range. The format is yyyy-MM-dd HH:mm:ss.0
totalResults - the maximum number of headlines to fetch (1 - 300)
historicalNewsOptions reserved for internal use. Should be defined as null.
See also
EWrapper::historicalNews (p. ??), EWrapper::historicalNewsEnd
26.9.3.42 reqHistoricalTicks()
void reqHistoricalTicks (
int reqId,
Contract contract,
string startDateTime,
string endDateTime,
int numberOfTicks,
string whatToShow,
int useRth,
bool ignoreSize,
List<TagValue >miscOptions ) [inline]
Requests historical Time&Sales data for an instrument.
Parameters
reqId id of the request
contract Contract object that is subject of query
startDate←-
Time,i.e.
"20170701 12:01:00". Uses TWS timezone specified at login.
endDateTime,i.e. "20170701 13:01:00". In TWS timezone. Exactly one of start time and end time has to be
defined.
numberOfTicks Number of distinct data points. Max currently 1000 per request.
whatToShow (Bid_Ask, Midpoint, Trades) Type of data requested.
useRth Data from regular trading hours (1), or all available hours (0)
ignoreSize A filter only used when the source price is Bid_Ask
miscOptions should be defined as null, reserved for internal use
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26.9.3.43 reqIds()
void reqIds (
int numIds ) [inline]
Requests the next valid order ID at the current moment.
Parameters
numIds deprecated- this parameter will not affect the value returned to nextValidId
See also
EWrapper::nextValidId
26.9.3.44 reqManagedAccts()
void reqManagedAccts ( ) [inline]
Requests the accounts to which the logged user has access to.
See also
EWrapper::managedAccounts
26.9.3.45 reqMarketDataType()
void reqMarketDataType (
int marketDataType ) [inline]
Switches data type returned from reqMktData request to "frozen", "delayed" or "delayed-frozen" market data. Re-
quires TWS/IBG v963+.
The API can receive frozen market data from Trader Workstation. Frozen market data is the last data recorded in
our system.
During normal trading hours, the API receives real-time market data. Invoking this function with argument 2 requests
a switch to frozen data immediately or after the close.
When the market reopens the next data the market data type will automatically switch back to real time if available.
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Parameters
marketDataType by default only real-time (1) market data is enabled sending 1 (real-time) disables frozen,
delayed and delayed-frozen market data sending 2 (frozen) enables frozen market data
sending 3 (delayed) enables delayed and disables delayed-frozen market data sending 4
(delayed-frozen) enables delayed and delayed-frozen market data
26.9.3.46 reqMarketDepth()
void reqMarketDepth (
int tickerId,
Contract contract,
int numRows,
List<TagValue >mktDepthOptions ) [inline]
Requests the contract's market depth (order book).
This request must be direct-routed to an exchange and not smart-routed. The number of simultaneous market depth
requests allowed in an account is calculated based on a formula that looks at an accounts equity, commissions,
and quote booster packs.
Parameters
tickerId the request's identifier
contract the Contract for which the depth is being requested
numRows the number of rows on each side of the order book
See also
cancelMktDepth (p. ??), EWrapper::updateMktDepth (p. ??), EWrapper::updateMktDepthL2
26.9.3.47 reqMarketRule()
void reqMarketRule (
int marketRuleId ) [inline]
Requests details about a given market rule
The market rule for an instrument on a particular exchange provides details about how the minimum price increment
changes with price
A list of market rule ids can be obtained by invoking reqContractDetails on a particular contract. The returned market
rule ID list will provide the market rule ID for the instrument in the correspond valid exchange list in contractDetails.
.
Parameters
market←-
RuleId
- the id of market rule
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See also
EWrapper::marketRule
26.9.3.48 reqMatchingSymbols()
void reqMatchingSymbols (
int reqId,
string pattern ) [inline]
Requests matching stock symbols.
Parameters
reqId id to specify the request
pattern - either start of ticker symbol or (for larger strings) company name
See also
EWrapper::symbolSamples
26.9.3.49 reqMktData()
void reqMktData (
int tickerId,
Contract contract,
string genericTickList,
bool snapshot,
bool regulatorySnaphsot,
List<TagValue >mktDataOptions ) [inline]
Requests real time market data. Returns market data for an instrument either in real time or 10-15 minutes delayed
(depending on the market data type specified)
Parameters
tickerId the request's identifier
contract the Contract for which the data is being requested
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Parameters
genericTickList comma separated ids of the available generic ticks:
• 100 Option Volume (currently for stocks)
• 101 Option Open Interest (currently for stocks)
• 104 Historical Volatility (currently for stocks)
• 105 Average Option Volume (currently for stocks)
• 106 Option Implied Volatility (currently for stocks)
• 162 Index Future Premium
• 165 Miscellaneous Stats
• 221 Mark Price (used in TWS P&L computations)
• 225 Auction values (volume, price and imbalance)
• 233 RTVolume - contains the last trade price, last trade size, last trade time, total
volume, VWAP, and single trade flag.
• 236 Shortable
• 256 Inventory
- 258 Fundamental Ratios
• 411 Realtime Historical Volatility
• 456 IBDividends
snapshot for users with corresponding real time market data subscriptions. A true value will return a
one-time snapshot, while a false value will provide streaming data.
regulatory snapshot for US stocks requests NBBO snapshots for users which have "US Securities
Snapshot Bundle" subscription but not corresponding Network A, B, or C subscription
necessary for streaming ∗market data. One-time snapshot of current market price that will
incur a fee of 1 cent to the account per snapshot.
See also
cancelMktData (p. ??), EWrapper::tickPrice (p. ??), EWrapper::tickSize (p. ??), EWrapper::tickString
(p. ??), EWrapper::tickEFP (p. ??), EWrapper::tickGeneric (p. ??), EWrapper::tickOptionComputation
(p. ??), EWrapper::tickSnapshotEnd
26.9.3.50 reqMktDepthExchanges()
void reqMktDepthExchanges ( ) [inline]
Requests venues for which market data is returned to updateMktDepthL2 (those with market makers)
See also
EWrapper::mktDepthExchanges
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26.9.3.51 reqNewsArticle()
void reqNewsArticle (
int requestId,
string providerCode,
string articleId,
List<TagValue >newsArticleOptions ) [inline]
Requests news article body given articleId.
Parameters
requestId id of the request
providerCode short code indicating news provider, e.g. FLY
articleId id of the specific article
newsArticleOptions reserved for internal use. Should be defined as null.
See also
EWrapper::newsArticle (p. ??),
26.9.3.52 reqNewsBulletins()
void reqNewsBulletins (
bool allMessages ) [inline]
Subscribes to IB's News Bulletins.
Parameters
allMessages if set to true, will return all the existing bulletins for the current day, set to false to receive only
the new bulletins.
See also
cancelNewsBulletin (p. ??), EWrapper::updateNewsBulletin
26.9.3.53 reqNewsProviders()
void reqNewsProviders ( ) [inline]
Requests news providers which the user has subscribed to.
See also
EWrapper::newsProviders
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26.9.3.54 reqOpenOrders()
void reqOpenOrders ( ) [inline]
Requests all open orders places by this specific API client (identified by the API client id). For client ID 0, this will
bind previous manual TWS orders.
See also
reqAllOpenOrders (p. ??), reqAutoOpenOrders (p. ??), placeOrder (p. ??), cancelOrder (p. ??), req←-
GlobalCancel (p. ??), EWrapper::openOrder (p. ??), EWrapper::orderStatus (p. ??), EWrapper::open←-
OrderEnd
26.9.3.55 reqPnL()
void reqPnL (
int reqId,
string account,
string modelCode ) [inline]
Creates subscription for real time daily PnL and unrealized PnL updates.
Parameters
account account for which to receive PnL updates
modelCode specify to request PnL updates for a specific model
26.9.3.56 reqPnLSingle()
void reqPnLSingle (
int reqId,
string account,
string modelCode,
int conId ) [inline]
Requests real time updates for daily PnL of individual positions.
Parameters
reqId
account account in which position exists
modelCode model in which position exists
conId contract ID (conId) of contract to receive daily PnL updates for.
Note: does not return message if invalid conId is entered
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26.9.3.57 reqPositions()
void reqPositions ( ) [inline]
Subscribes to position updates for all accessible accounts. All positions sent initially, and then only updates as
positions change.
See also
cancelPositions (p. ??), EWrapper::position (p. ??), EWrapper::positionEnd
26.9.3.58 reqPositionsMulti()
void reqPositionsMulti (
int requestId,
string account,
string modelCode ) [inline]
Requests position subscription for account and/or model Initially all positions are returned, and then updates are
returned for any position changes in real time.
Parameters
requestId - Request's identifier
account - If an account Id is provided, only the account's positions belonging to the specified model will
be delivered
modelCode - The code of the model's positions we are interested in.
See also
cancelPositionsMulti (p. ??), EWrapper::positionMulti (p. ??), EWrapper::positionMultiEnd
26.9.3.59 reqRealTimeBars()
void reqRealTimeBars (
int tickerId,
Contract contract,
int barSize,
string whatToShow,
bool useRTH,
List<TagValue >realTimeBarsOptions ) [inline]
Requests real time bars
Currently, only 5 seconds bars are provided. This request is subject to the same pacing as any historical data
request: no more than 60 API queries in more than 600 seconds.
Real time bars subscriptions are also included in the calculation of the number of Level 1 market data subscriptions
allowed in an account.
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26.9 EClient Class Reference 383
Parameters
tickerId the request's unique identifier.
contract the Contract for which the depth is being requested
barSize currently being ignored
whatToShow the nature of the data being retrieved:
• TRADES
• MIDPOINT
• BID
• ASK
useRTH set to 0 to obtain the data which was also generated ourside of the Regular Trading Hours, set
to 1 to obtain only the RTH data
See also
cancelRealTimeBars (p. ??), EWrapper::realtimeBar
26.9.3.60 reqScannerParameters()
void reqScannerParameters ( ) [inline]
Requests an XML list of scanner parameters valid in TWS.
Not all parameters are valid from API scanner.
See also
reqScannerSubscription
26.9.3.61 reqScannerSubscription()
void reqScannerSubscription (
int reqId,
ScannerSubscription subscription,
List<TagValue >scannerSubscriptionOptions ) [inline]
Starts a subscription to market scan results based on the provided parameters.
Parameters
reqId the request's identifier
subscription summary of the scanner subscription including its filters.
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384 Class Documentation
See also
reqScannerParameters (p. ??), ScannerSubscription (p. ??), EWrapper::scannerData
26.9.3.62 reqSecDefOptParams()
void reqSecDefOptParams (
int reqId,
string underlyingSymbol,
string futFopExchange,
string underlyingSecType,
int underlyingConId ) [inline]
Requests security definition option parameters for viewing a contract's option chain.
Parameters
reqId the ID chosen for the request
underlyingSymbol
futFopExchange The exchange on which the returned options are trading. Can be set to the empty string
"" for all exchanges.
underlyingSecType The type of the underlying security, i.e. STK
underlyingConId the contract ID of the underlying security
See also
EWrapper::securityDefinitionOptionParameter
26.9.3.63 reqSmartComponents()
void reqSmartComponents (
int reqId,
String bboExchange ) [inline]
Returns the mapping of single letter codes to exchange names given the mapping identifier.
Parameters
reqId id of the request
bboExchange mapping identifier received from EWrapper.tickReqParams
See also
EWrapper::smartComponents
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26.9 EClient Class Reference 385
26.9.3.64 reqSoftDollarTiers()
void reqSoftDollarTiers (
int reqId ) [inline]
Requests pre-defined Soft Dollar Tiers. This is only supported for registered professional advisors and hedge
and mutual funds who have configured Soft Dollar Tiers in Account Management. Refer to: https://www.←-
interactivebrokers.com/en/software/am/am/manageaccount/requestsoftdollars.←-
htm?Highlight=soft%20dollar%20tier.
See also
EWrapper::softDollarTiers
26.9.3.65 reqTickByTickData()
void reqTickByTickData (
int requestId,
Contract contract,
string tickType,
int numberOfTicks,
bool ignoreSize ) [inline]
Requests tick-by-tick data.
.
Parameters
reqId - unique identifier of the request.
contract - the contract for which tick-by-tick data is requested.
tickType - tick-by-tick data type: "Last", "AllLast", "BidAsk" or "MidPoint".
numberOfTicks - number of ticks.
ignoreSize - ignore size flag.
See also
EWrapper::tickByTickAllLast (p. ??), EWrapper::tickByTickBidAsk (p. ??), EWrapper::tickByTickMid←-
Point (p. ??), Contract
26.9.3.66 requestFA()
void requestFA (
int faDataType ) [inline]
Requests the FA configuration A Financial Advisor can define three different configurations:
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386 Class Documentation
1. Groups: offer traders a way to create a group of accounts and apply a single allocation method to all accounts
in the group.
2. Profiles: let you allocate shares on an account-by-account basis using a predefined calculation value.
3. Account Aliases: let you easily identify the accounts by meaningful names rather than account numbers. More
information at https://www.interactivebrokers.com/en/?f=%2Fen%2Fsoftware%2←-
Fpdfhighlights%2FPDF-AdvisorAllocations.php%3Fib_entity%3Dllc
Parameters
faDataType the configuration to change. Set to 1, 2 or 3 as defined above.
See also
replaceFA
26.9.3.67 subscribeToGroupEvents()
void subscribeToGroupEvents (
int requestId,
int groupId ) [inline]
Integrates API client and TWS window grouping.
Parameters
request←-
Id
is the Id chosen for this subscription request
groupId is the display group for integration
26.9.3.68 updateDisplayGroup()
void updateDisplayGroup (
int requestId,
string contractInfo ) [inline]
Updates the contract displayed in a TWS Window Group.
Parameters
requestId is the ID chosen for this request
contractInfo is an encoded value designating a unique IB contract. Possible values include:
1. none = empty selection
2. contractID - any non-combination contract. Examples 8314 for IBM SMART; 8314 for IBM
ARCA
3. combo= if any combo is selected Note: This request from the API does not get a TWS
response unless an error occurs.
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26.10 EClientErrors Class Reference 387
26.10 EClientErrors Class Reference
Contains all possible errors occurring on the client side. This errors are not sent by the TWS but rather generated
as the result of malfunction within the TWS API client.
Static Public Attributes
• static readonly CodeMsgPair AlreadyConnected = new CodeMsgPair(501, "Already Connected.")
• static readonly CodeMsgPair CONNECT_FAIL
• static readonly CodeMsgPair UPDATE_TWS = new CodeMsgPair(503, "The TWS is out of date and must
be upgraded.")
• static readonly CodeMsgPair NOT_CONNECTED = new CodeMsgPair(504, "Not connected")
• static readonly CodeMsgPair UNKNOWN_ID = new CodeMsgPair(505, "Fatal Error: Unknown message
id.")
• static readonly CodeMsgPair FAIL_SEND_REQMKT = new CodeMsgPair(510, "Request Market Data
Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANMKT = new CodeMsgPair(511, "Cancel Market Data
Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_ORDER = new CodeMsgPair(512, "Order Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_ACCT = new CodeMsgPair(513, "Account Update Request
Sending Error -")
• static readonly CodeMsgPair FAIL_SEND_EXEC = new CodeMsgPair(514, "Request For Executions
Sending Error -")
• static readonly CodeMsgPair FAIL_SEND_CORDER = new CodeMsgPair(515, "Cancel Order Sending
Error -")
• static readonly CodeMsgPair FAIL_SEND_OORDER = new CodeMsgPair(516, "Request Open Order
Sending Error -")
• static readonly CodeMsgPair UNKNOWN_CONTRACT = new CodeMsgPair(517, "Unknown contract.
Verify the contract details supplied.")
• static readonly CodeMsgPair FAIL_SEND_REQCONTRACT = new CodeMsgPair(518, "Request Con-
tract Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQMKTDEPTH = new CodeMsgPair(519, "Request Market
Depth Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANMKTDEPTH = new CodeMsgPair(520, "Cancel Market
Depth Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_SERVER_LOG_LEVEL = new CodeMsgPair(521, "Set Server
Log Level Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_FA_REQUEST = new CodeMsgPair(522, "FA Information
Request Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_FA_REPLACE = new CodeMsgPair(523, "FA Information
Replace Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQSCANNER = new CodeMsgPair(524, "Request Scanner
Subscription Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANSCANNER = new CodeMsgPair(525, "Cancel Scanner
Subscription Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQSCANNERPARAMETERS = new CodeMsgPair(526,
"Request Scanner Parameter Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQHISTDATA = new CodeMsgPair(527, "Request Historical
Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANHISTDATA = new CodeMsgPair(528, "Request Historical
Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQRTBARS = new CodeMsgPair(529, "Request Real-time
Bar Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANRTBARS = new CodeMsgPair(530, "Cancel Real-time
Bar Data Sending Error - ")
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• static readonly CodeMsgPair FAIL_SEND_REQCURRTIME = new CodeMsgPair(531, "Request Current
Time Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQFUNDDATA = new CodeMsgPair(532, "Request Funda-
mental Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANFUNDDATA = new CodeMsgPair(533, "Cancel Funda-
mental Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQCALCIMPLIEDVOLAT = new CodeMsgPair(534, "Re-
quest Calculate Implied Volatility Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQCALCOPTIONPRICE = new CodeMsgPair(535, "Request
Calculate Option Price Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANCALCIMPLIEDVOLAT = new CodeMsgPair(536, "Cancel
Calculate Implied Volatility Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANCALCOPTIONPRICE = new CodeMsgPair(537, "Cancel
Calculate Option Price Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQGLOBALCANCEL = new CodeMsgPair(538, "Request
Global Cancel Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQMARKETDATATYPE = new CodeMsgPair(539, "Request
Market Data Type Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQPOSITIONS = new CodeMsgPair(540, "Request Positions
Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANPOSITIONS = new CodeMsgPair(541, "Cancel Positions
Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQACCOUNTDATA = new CodeMsgPair(542, "Request
Account Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANACCOUNTDATA = new CodeMsgPair(543, "Cancel Ac-
count Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_VERIFYREQUEST = new CodeMsgPair(544, "Verify Request
Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_VERIFYMESSAGE = new CodeMsgPair(545, "Verify Message
Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_QUERYDISPLAYGROUPS = new CodeMsgPair(546, "Query
Display Groups Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_SUBSCRIBETOGROUPEVENTS = new CodeMsgPair(547,
"Subscribe To Group Events Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_UPDATEDISPLAYGROUP = new CodeMsgPair(548, "Update
Display Group Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_UNSUBSCRIBEFROMGROUPEVENTS = new CodeMsg←-
Pair(549, "Unsubscribe From Group Events Sending Error - ")
• static readonly CodeMsgPair BAD_LENGTH = new CodeMsgPair(507, "Bad message length")
• static readonly CodeMsgPair BAD_MESSAGE = new CodeMsgPair(508, "Bad message")
• static readonly CodeMsgPair UNSUPPORTED_VERSION = new CodeMsgPair(506, "Unsupported ver-
sion")
• static readonly CodeMsgPair FAIL_SEND_VERIFYANDAUTHREQUEST = new CodeMsgPair(551, "Ver-
ify And Auth Request Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_VERIFYANDAUTHMESSAGE = new CodeMsgPair(552, "Ver-
ify And Auth Message Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQPOSITIONSMULTI = new CodeMsgPair(553, "Request
Positions Multi Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANPOSITIONSMULTI = new CodeMsgPair(554, "Cancel
Positions Multi Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQACCOUNTUPDATESMULTI = new CodeMsgPair(555,
"Request Account Updates Multi Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANACCOUNTUPDATESMULTI = new CodeMsgPair(556,
"Cancel Account Updates Multi Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQSECDEFOPTPARAMS = new CodeMsgPair(557, "Re-
quest Security Definition Option Parameters Sending Error - ")
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26.10 EClientErrors Class Reference 389
• static readonly CodeMsgPair FAIL_SEND_REQSOFTDOLLARTIERS = new CodeMsgPair(558, "Re-
quest Soft Dollar Tiers Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQFAMILYCODES = new CodeMsgPair(559, "Request
Family Codes Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQMATCHINGSYMBOLS = new CodeMsgPair(560, "Re-
quest Matching Symbols Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQMKTDEPTHEXCHANGES = new CodeMsgPair(561,
"Request Market Depth Exchanges Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQSMARTCOMPONENTS = new CodeMsgPair(562, "Re-
quest Smart Components Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQNEWSPROVIDERS = new CodeMsgPair(563, "Request
News Providers Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQNEWSARTICLE = new CodeMsgPair(564, "Request
News Article Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQHISTORICALNEWS = new CodeMsgPair(565, "Request
Historical News Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQHEADTIMESTAMP = new CodeMsgPair(566, "Request
Head Time Stamp Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQHISTOGRAMDATA = new CodeMsgPair(567, "Request
Histogram Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANCELHISTOGRAMDATA = new CodeMsgPair(568, "Can-
cel Request Histogram Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANCELHEADTIMESTAMP = new CodeMsgPair(569, "Can-
cel Head Time Stamp Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQMARKETRULE = new CodeMsgPair(570, "Request Mar-
ket Rule Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQPNL = new CodeMsgPair(571, "Request PnL Sending
Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANCELPNL = new CodeMsgPair(572, "Cancel PnL Sending
Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQPNLSINGLE = new CodeMsgPair(573, "Request PnL
Single Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANCELPNLSINGLE = new CodeMsgPair(574, "Cancel PnL
Single Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQHISTORICALTICKS = new CodeMsgPair(575, "Request
Historical Ticks Error - ")
• static readonly CodeMsgPair FAIL_SEND_REQTICKBYTICKDATA = new CodeMsgPair(576, "Request
Tick-By-Tick Data Sending Error - ")
• static readonly CodeMsgPair FAIL_SEND_CANCELTICKBYTICKDATA = new CodeMsgPair(577, "Can-
cel Tick-By-Tick Data Sending Error - ")
• static readonly CodeMsgPair FAIL_GENERIC = new CodeMsgPair(-1, "Specific error message needs to
be given for these requests! ")
26.10.1 Detailed Description
Contains all possible errors occurring on the client side. This errors are not sent by the TWS but rather generated
as the result of malfunction within the TWS API client.
26.10.2 Member Data Documentation
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390 Class Documentation
26.10.2.1 CONNECT_FAIL
readonly CodeMsgPair CONNECT_FAIL [static]
Initial value:
=new CodeMsgPair(502, @"Couldn’t connect to TWS. Confirm that ""Enable ActiveX and Socket Clients""
is enabled and connection port is the same as ""Socket Port"" on the TWS ""
Edit->Global Configuration...->API->Settings"" menu.
Live Trading ports: TWS: 7496; IB Gateway: 4001. Simulated Trading ports for
new installations of version 954.1 or newer:
TWS: 7497; IB Gateway: 4002")
26.11 EClientSocket Class Reference
TWS/Gateway client class This client class contains all the available methods to communicate with IB. Up to 32
clients can be connected to a single instance of the TWS/Gateway simultaneously. From herein, the TWS/Gateway
will be referred to as the Host.
Inheritance diagram for EClientSocket:
EClientSocket
EClient EClientMsgSink
EClientSocketSSL
Public Member Functions
•EClientSocket (EWrapper wrapper, EReaderSignal eReaderSignal)
• void eConnect (string host, int port, int clientId)
• void eConnect (string host, int port, int clientId, bool extraAuth)
Creates socket connection to TWS/IBG.
• void redirect (string host)
Redirects connection to different host.
• override void eDisconnect (bool resetState=true)
Closes the socket connection and terminates its thread.
Protected Member Functions
• virtual Stream createClientStream (string host, int port)
• override uint prepareBuffer (BinaryWriter paramsList)
• override void CloseAndSend (BinaryWriter request, uint lengthPos)
Additional Inherited Members
26.11.1 Detailed Description
TWS/Gateway client class This client class contains all the available methods to communicate with IB. Up to 32
clients can be connected to a single instance of the TWS/Gateway simultaneously. From herein, the TWS/Gateway
will be referred to as the Host.
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26.12 EClientSocketSSL Class Reference 391
26.11.2 Member Function Documentation
26.11.2.1 eConnect()
void eConnect (
string host,
int port,
int clientId ) [inline]
Creates socket connection to TWS/IBG. This earlier version of eConnect does not have extraAuth parameter.
26.12 EClientSocketSSL Class Reference
Implements a Secure Socket Layer (SSL) on top of the EClientSocket class.
Inheritance diagram for EClientSocketSSL:
EClientSocketSSL
EClientSocket
EClient EClientMsgSink
Public Member Functions
•EClientSocketSSL (EWrapper wrapper, EReaderSignal signal)
Protected Member Functions
• override Stream createClientStream (string host, int port)
Additional Inherited Members
26.12.1 Detailed Description
Implements a Secure Socket Layer (SSL) on top of the EClientSocket class.
26.13 EReader Class Reference
Captures incoming messages to the API client and places them into a queue.
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392 Class Documentation
Public Member Functions
•EReader (EClientSocket clientSocket, EReaderSignal signal)
• void Start ()
• void processMsgs ()
• bool putMessageToQueue ()
26.13.1 Detailed Description
Captures incoming messages to the API client and places them into a queue.
26.14 EReaderSignal Interface Reference
Notifies the thread reading information from the TWS whenever there are messages ready to be consumed. Not
currently used in Python API.
Public Member Functions
• void issueSignal ()
Issues a signal to the consuming thread when there are things to be consumed.
• void waitForSignal ()
Makes the consuming thread waiting until a signal is issued.
26.14.1 Detailed Description
Notifies the thread reading information from the TWS whenever there are messages ready to be consumed. Not
currently used in Python API.
26.15 EWrapper Interface Reference
This interface's methods are used by the TWS/Gateway to communicate with the API client. Every API client
application needs to implement this interface in order to handle all the events generated by the TWS/Gateway.
Almost every EClientSocket method call will result in at least one event delivered here.
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26.15 EWrapper Interface Reference 393
Public Member Functions
• void error (Exception e)
Handles errors generated within the API itself. If an exception is thrown within the API code it will be notified here.
Possible cases include errors while reading the information from the socket or even mishandling at EWrapper (p. ??)'s
implementing class.
• void error (string str)
• void error (int id, int errorCode, string errorMsg)
Errors sent by the TWS are received here.
• void currentTime (long time)
TWS's current time. TWS is synchronized with the server (not local computer) using NTP and this function will receive
the current time in TWS.
• void tickPrice (int tickerId, int field, double price, TickAttrib attribs)
Market data tick price callback. Handles all price related ticks. Every tickPrice callback is followed by a tickSize. A
tickPrice value of -1 or 0 followed by a tickSize of 0 indicates there is no data for this field currently available, whereas
a tickPrice with a positive tickSize indicates an active quote of 0 (typically for a combo contract).
• void tickSize (int tickerId, int field, int size)
Market data tick size callback. Handles all size-related ticks.
• void tickString (int tickerId, int field, string value)
Market data callback. Every tickPrice is followed by a tickSize. There are also independent tickSize callbacks anytime
the tickSize changes, and so there will be duplicate tickSize messages following a tickPrice.
• void tickGeneric (int tickerId, int field, double value)
Market data callback.
• void tickEFP (int tickerId, int tickType, double basisPoints, string formattedBasisPoints, double impliedFuture,
int holdDays, string futureLastTradeDate, double dividendImpact, double dividendsToLastTradeDate)
Exchange for Physicals.
• void deltaNeutralValidation (int reqId, DeltaNeutralContract deltaNeutralContract)
–Upon accepting a Delta-Neutral DN RFQ(request for quote), the server sends a deltaNeutralValidation()
message with the DeltaNeutralContract structure. If the delta and price fields are empty in the original request,
the confirmation will contain the current values from the server. These values are locked when RFQ is processed
and remain locked unitl the RFQ is cancelled.
• void tickOptionComputation (int tickerId, int field, double impliedVolatility, double delta, double optPrice,
double pvDividend, double gamma, double vega, double theta, double undPrice)
Receive's option specific market data. This method is called when the market in an option or its underlier moves.
TWS’s option model volatilities, prices, and deltas, along with the present value of dividends expected on that options
underlier are received.
• void tickSnapshotEnd (int tickerId)
When requesting market data snapshots, this market will indicate the snapshot reception is finished. Expected to
occur 11 seconds after beginning of request.
• void nextValidId (int orderId)
Receives next valid order id. Will be invoked automatically upon successfull API client connection, or after call to
EClient::reqIds Important: the next valid order ID is only valid at the time it is received.
• void managedAccounts (string accountsList)
Receives a comma-separated string with the managed account ids. Occurs automatically on initial API client connec-
tion.
• void connectionClosed ()
Callback to indicate the API connection has closed. Following a API <->TWS broken socket connection, this function
is not called automatically but must be triggered by API client code.
• void accountSummary (int reqId, string account, string tag, string value, string currency)
Receives the account information. This method will receive the account information just as it appears in the TWS'
Account Summary Window.
• void accountSummaryEnd (int reqId)
notifies when all the accounts' information has ben received. Requires TWS 967+ to receive accountSummaryEnd in
linked account structures.
• void bondContractDetails (int reqId, ContractDetails contract)
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Delivers the Bond contract data after this has been requested via reqContractDetails.
• void updateAccountValue (string key, string value, string currency, string accountName)
Receives the subscribed account's information. Only one account can be subscribed at a time. After the initial
callback to updateAccountValue, callbacks only occur for values which have changed. This occurs at the time of a
position change, or every 3 minutes at most. This frequency cannot be adjusted.
• void updatePortfolio (Contract contract, double position, double marketPrice, double marketValue, double
averageCost, double unrealizedPNL, double realizedPNL, string accountName)
Receives the subscribed account's portfolio. This function will receive only the portfolio of the subscribed account.
If the portfolios of all managed accounts are needed, refer to EClientSocket::reqPosition After the initial callback to
updatePortfolio, callbacks only occur for positions which have changed.
• void updateAccountTime (string timestamp)
Receives the last time on which the account was updated.
• void accountDownloadEnd (string account)
Notifies when all the account's information has finished.
• void orderStatus (int orderId, string status, double filled, double remaining, double avgFillPrice, int permId,
int parentId, double lastFillPrice, int clientId, string whyHeld, double mktCapPrice)
Gives the up-to-date information of an order every time it changes. Often there are duplicate orderStatus messages.
• void openOrder (int orderId, Contract contract, Order order, OrderState orderState)
Feeds in currently open orders.
• void openOrderEnd ()
Notifies the end of the open orders' reception.
• void contractDetails (int reqId, ContractDetails contractDetails)
receives the full contract's definitons This method will return all contracts matching the requested via EClient←-
Socket::reqContractDetails (p. ??). For example, one can obtain the whole option chain with it.
• void contractDetailsEnd (int reqId)
After all contracts matching the request were returned, this method will mark the end of their reception.
• void execDetails (int reqId, Contract contract, Execution execution)
Provides the executions which happened in the last 24 hours.
• void execDetailsEnd (int reqId)
indicates the end of the Execution reception.
• void commissionReport (CommissionReport commissionReport)
provides the CommissionReport of an Execution
• void fundamentalData (int reqId, string data)
returns Reuters' Fundamental data
• void historicalData (int reqId, Bar bar)
returns the requested historical data bars
• void historicalDataUpdate (int reqId, Bar bar)
Receives bars in real time if keepUpToDate is set as True in reqHistoricalData. Similar to realTimeBars function,
except returned data is a composite of historical data and real time data that is equivalent to TWS chart functionality
to keep charts up to date. Returned bars are successfully updated using real time data.
• void historicalDataEnd (int reqId, string start, string end)
Marks the ending of the historical bars reception.
• void marketDataType (int reqId, int marketDataType)
Returns the market data type (real-time, frozen, delayed, delayed-frozen) of ticker sent by EClientSocket::reqMkt←-
Data when TWS switches from real-time to frozen and back and from delayed to delayed-frozen and back.
• void updateMktDepth (int tickerId, int position, int operation, int side, double price, int size)
Returns the order book.
• void updateMktDepthL2 (int tickerId, int position, string marketMaker, int operation, int side, double price,
int size)
Returns the order book.
• void updateNewsBulletin (int msgId, int msgType, String message, String origExchange)
provides IB's bulletins
• void position (string account, Contract contract, double pos, double avgCost)
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26.15 EWrapper Interface Reference 395
provides the portfolio's open positions.
• void positionEnd ()
Indicates all the positions have been transmitted.
• void realtimeBar (int reqId, long time, double open, double high, double low, double close, long volume,
double WAP, int count)
updates the real time 5 seconds bars
• void scannerParameters (string xml)
provides the xml-formatted parameters available from TWS market scanners (not all available in API).
• void scannerData (int reqId, int rank, ContractDetails contractDetails, string distance, string benchmark,
string projection, string legsStr)
provides the data resulting from the market scanner request.
• void scannerDataEnd (int reqId)
Indicates the scanner data reception has terminated.
• void receiveFA (int faDataType, string faXmlData)
receives the Financial Advisor's configuration available in the TWS
• void verifyMessageAPI (string apiData)
Not generally available.
• void verifyCompleted (bool isSuccessful, string errorText)
Not generally available.
• void verifyAndAuthMessageAPI (string apiData, string xyzChallenge)
Not generally available.
• void verifyAndAuthCompleted (bool isSuccessful, string errorText)
Not generally available.
• void displayGroupList (int reqId, string groups)
a one-time response to querying the display groups.
• void displayGroupUpdated (int reqId, string contractInfo)
call triggered once after receiving the subscription request, and will be sent again if the selected contract in the
subscribed ∗display group has changed.
• void connectAck ()
callback initially acknowledging connection attempt connection handshake not complete until nextValidID is received
• void positionMulti (int requestId, string account, string modelCode, Contract contract, double pos, double
avgCost)
provides the portfolio's open positions.
• void positionMultiEnd (int requestId)
Indicates all the positions have been transmitted.
• void accountUpdateMulti (int requestId, string account, string modelCode, string key, string value, string
currency)
provides the account updates.
• void accountUpdateMultiEnd (int requestId)
Indicates all the account updates have been transmitted.
• void securityDefinitionOptionParameter (int reqId, string exchange, int underlyingConId, string trading←-
Class, string multiplier, HashSet<string >expirations, HashSet<double >strikes)
returns the option chain for an underlying on an exchange specified in reqSecDefOptParams There will be multiple
callbacks to securityDefinitionOptionParameter if multiple exchanges are specified in reqSecDefOptParams
• void securityDefinitionOptionParameterEnd (int reqId)
called when all callbacks to securityDefinitionOptionParameter are complete
• void softDollarTiers (int reqId, SoftDollarTier[ ] tiers)
called when receives Soft Dollar Tier configuration information
• void familyCodes (FamilyCode[ ] familyCodes)
returns array of family codes
• void symbolSamples (int reqId, ContractDescription[ ] contractDescriptions)
returns array of sample contract descriptions
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• void mktDepthExchanges (DepthMktDataDescription[ ] depthMktDataDescriptions)
called when receives Depth Market Data Descriptions
• void tickNews (int tickerId, long timeStamp, string providerCode, string articleId, string headline, string
extraData)
ticks with news headline
• void smartComponents (int reqId, Dictionary<int, KeyValuePair<string, char >> theMap)
bit number to exchange + exchange abbreviation dictionary
• void tickReqParams (int tickerId, double minTick, string bboExchange, int snapshotPermissions)
tick with BOO exchange and snapshot permissions
• void newsProviders (NewsProvider[ ] newsProviders)
returns array of subscribed API news providers for this user
• void newsArticle (int requestId, int articleType, string articleText)
called when receives News Article
• void historicalNews (int requestId, string time, string providerCode, string articleId, string headline)
returns news headline
• void historicalNewsEnd (int requestId, bool hasMore)
returns news headlines end marker
• void headTimestamp (int reqId, string headTimestamp)
–returns beginning of data for contract for specified data type
• void histogramData (int reqId, HistogramEntry[ ] data)
returns data histogram
• void rerouteMktDataReq (int reqId, int conId, string exchange)
–returns conId and exchange for CFD market data request re-route
• void rerouteMktDepthReq (int reqId, int conId, string exchange)
returns the conId and exchange for an underlying contract when a request is made for level 2 data for an instrument
which does not have data in IB's database. For example stock CFDs and index CFDs.
• void marketRule (int marketRuleId, PriceIncrement[ ] priceIncrements)
returns minimum price increment structure for a particular market rule ID market rule IDs for an instrument on valid
exchanges can be obtained from the contractDetails object for that contract
• void pnl (int reqId, double dailyPnL, double unrealizedPnL, double realizedPnL)
receives PnL updates in real time for the daily PnL and the total unrealized PnL for an account
• void pnlSingle (int reqId, int pos, double dailyPnL, double unrealizedPnL, double realizedPnL, double value)
receives real time updates for single position daily PnL values
• void historicalTicks (int reqId, HistoricalTick[ ] ticks, bool done)
• void historicalTicksBidAsk (int reqId, HistoricalTickBidAsk[ ] ticks, bool done)
• void historicalTicksLast (int reqId, HistoricalTickLast[ ] ticks, bool done)
• void tickByTickAllLast (int reqId, int tickType, long time, double price, int size, TickAttrib attribs, string
exchange, string specialConditions)
returns "Last" or "AllLast" tick-by-tick real-time tick
• void tickByTickBidAsk (int reqId, long time, double bidPrice, double askPrice, int bidSize, int askSize,
TickAttrib attribs)
returns "BidAsk" tick-by-tick real-time tick
• void tickByTickMidPoint (int reqId, long time, double midPoint)
returns "MidPoint" tick-by-tick real-time tick
26.15.1 Detailed Description
This interface's methods are used by the TWS/Gateway to communicate with the API client. Every API client
application needs to implement this interface in order to handle all the events generated by the TWS/Gateway.
Almost every EClientSocket method call will result in at least one event delivered here.
See also
EClientSocket class
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26.15.2 Member Function Documentation
26.15.2.1 accountDownloadEnd()
void accountDownloadEnd (
string account )
Notifies when all the account's information has finished.
Parameters
account the account's id
See also
updateAccountTime (p. ??), updatePortfolio (p. ??), updateAccountValue (p. ??), EClientSocket::req←-
AccountUpdates
26.15.2.2 accountSummary()
void accountSummary (
int reqId,
string account,
string tag,
string value,
string currency )
Receives the account information. This method will receive the account information just as it appears in the TWS'
Account Summary Window.
Parameters
reqId the request's unique identifier.
account the account id
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Parameters
tag the account's attribute being received.
• AccountType — Identifies the IB account structure
• NetLiquidation — The basis for determining the price of the assets in your account. Total
cash value + stock value + options value + bond value
• TotalCashValue — Total cash balance recognized at the time of trade + futures PNL
• SettledCash — Cash recognized at the time of settlement - purchases at the time of trade -
commissions - taxes - fees
• AccruedCash — Total accrued cash value of stock, commodities and securities
• BuyingPower — Buying power serves as a measurement of the dollar value of securities that
one may purchase in a securities account without depositing additional funds
• EquityWithLoanValue — Forms the basis for determining whether a client has the necessary
assets to either initiate or maintain security positions. Cash + stocks + bonds + mutual funds
• PreviousEquityWithLoanValue — Marginable Equity with Loan value as of 16:00 ET the
previous day
• GrossPositionValue — The sum of the absolute value of all stock and equity option positions
• RegTEquity — Regulation T equity for universal account
• RegTMargin — Regulation T margin for universal account
• SMA — Special Memorandum Account: Line of credit created when the market value of
securities in a Regulation T account increase in value
• InitMarginReq — Initial Margin requirement of whole portfolio
• MaintMarginReq — Maintenance Margin requirement of whole portfolio
• AvailableFunds — This value tells what you have available for trading
• ExcessLiquidity — This value shows your margin cushion, before liquidation
• Cushion — Excess liquidity as a percentage of net liquidation value
• FullInitMarginReq — Initial Margin of whole portfolio with no discounts or intraday credits
• FullMaintMarginReq — Maintenance Margin of whole portfolio with no discounts or intraday
credits
• FullAvailableFunds — Available funds of whole portfolio with no discounts or intraday credits
• FullExcessLiquidity — Excess liquidity of whole portfolio with no discounts or intraday credits
• LookAheadNextChange — Time when look-ahead values take effect
• LookAheadInitMarginReq — Initial Margin requirement of whole portfolio as of next period's
margin change
• LookAheadMaintMarginReq — Maintenance Margin requirement of whole portfolio as of next
period's margin change
• LookAheadAvailableFunds — This value reflects your available funds at the next margin
change
• LookAheadExcessLiquidity — This value reflects your excess liquidity at the next margin
change
• HighestSeverity — A measure of how close the account is to liquidation
• DayTradesRemaining — The Number of Open/Close trades a user could put on before
Pattern Day Trading is detected. A value of "-1" means that the user can put on unlimited day
trades.
• Leverage — GrossPositionValue / NetLiquidation
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Parameters
value the account's attribute's value.
currency the currency on which the value is expressed.
See also
accountSummaryEnd (p. ??), EClientSocket::reqAccountSummary
26.15.2.3 accountSummaryEnd()
void accountSummaryEnd (
int reqId )
notifies when all the accounts' information has ben received. Requires TWS 967+ to receive accountSummaryEnd
in linked account structures.
Parameters
req←-
Id
the request's identifier.
See also
accountSummary (p. ??), EClientSocket::reqAccountSummary
26.15.2.4 accountUpdateMulti()
void accountUpdateMulti (
int requestId,
string account,
string modelCode,
string key,
string value,
string currency )
provides the account updates.
Parameters
requestId the id of request
account the account with updates
modelCode the model code with updates
key the name of parameter
value the value of parameter
currency the currency of parameter
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See also
accountUpdateMultiEnd (p. ??), EClient::reqAccountUpdatesMulti
26.15.2.5 accountUpdateMultiEnd()
void accountUpdateMultiEnd (
int requestId )
Indicates all the account updates have been transmitted.
See also
EWrapper::accountUpdateMulti (p. ??), EClientSocket::reqAccountUpdatesMulti
26.15.2.6 bondContractDetails()
void bondContractDetails (
int reqId,
ContractDetails contract )
Delivers the Bond contract data after this has been requested via reqContractDetails.
Parameters
reqId the request's identifier
contract the bond contract's information.
See also
reqContractDetails
26.15.2.7 commissionReport()
void commissionReport (
CommissionReport commissionReport )
provides the CommissionReport of an Execution
See also
execDetails (p. ??), execDetailsEnd (p. ??), EClientSocket::reqExecutions (p. ??), CommissionReport
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26.15 EWrapper Interface Reference 401
26.15.2.8 connectionClosed()
void connectionClosed ( )
Callback to indicate the API connection has closed. Following a API <->TWS broken socket connection, this
function is not called automatically but must be triggered by API client code.
See also
EClientSocket::eDisconnect
26.15.2.9 contractDetails()
void contractDetails (
int reqId,
ContractDetails contractDetails )
receives the full contract's definitons This method will return all contracts matching the requested via EClient←-
Socket::reqContractDetails (p. ??). For example, one can obtain the whole option chain with it.
Parameters
reqId the unique request identifier
contractDetails the instrument's complete definition.
See also
contractDetailsEnd (p. ??), EClientSocket::reqContractDetails
26.15.2.10 contractDetailsEnd()
void contractDetailsEnd (
int reqId )
After all contracts matching the request were returned, this method will mark the end of their reception.
Parameters
req←-
Id
the request's identifier
See also
contractDetails (p. ??), EClientSocket::reqContractDetails
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402 Class Documentation
26.15.2.11 currentTime()
void currentTime (
long time )
TWS's current time. TWS is synchronized with the server (not local computer) using NTP and this function will
receive the current time in TWS.
See also
EClient::reqCurrentTime
26.15.2.12 deltaNeutralValidation()
void deltaNeutralValidation (
int reqId,
DeltaNeutralContract deltaNeutralContract )
• Upon accepting a Delta-Neutral DN RFQ(request for quote), the server sends a deltaNeutralValidation()
message with the DeltaNeutralContract structure. If the delta and price fields are empty in the original
request, the confirmation will contain the current values from the server. These values are locked when RFQ is
processed and remain locked unitl the RFQ is cancelled.
Parameters
reqId the request's identifier.
deltaNeutralContract Delta-Neutral Contract
26.15.2.13 displayGroupList()
void displayGroupList (
int reqId,
string groups )
a one-time response to querying the display groups.
Parameters
req←-
Id
the ID of the request
It returns a list of integers representing visible Group ID separated by the "|" character, and sorted by
most used group first.
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26.15 EWrapper Interface Reference 403
See also
EClientSocket::queryDisplayGroups
26.15.2.14 displayGroupUpdated()
void displayGroupUpdated (
int reqId,
string contractInfo )
call triggered once after receiving the subscription request, and will be sent again if the selected contract in the
subscribed ∗display group has changed.
Parameters
reqId the ID of the request
contractInfo
See also
EClient::subscribeToGroupEvents
26.15.2.15 error() [1/3]
void error (
Exception e)
Handles errors generated within the API itself. If an exception is thrown within the API code it will be notified
here. Possible cases include errors while reading the information from the socket or even mishandling at EWrapper
(p. ??)'s implementing class.
Parameters
ethe thrown exception.
26.15.2.16 error() [2/3]
void error (
string str )
Parameters
str The error message received.
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26.15.2.17 error() [3/3]
void error (
int id,
int errorCode,
string errorMsg )
Errors sent by the TWS are received here.
Parameters
id the request identifier which generated the error. Note: -1 will indicate a notification and not true
error condition.
errorCode the code identifying the error.
errorMsg error's description. Currently Latin-1 encoded error messages are supported. If logged into TWS
in a different language it is recommended to enabled the setting in TWS Global Configuration ->
API ->Settings ->Show API errors in English.
26.15.2.18 execDetails()
void execDetails (
int reqId,
Contract contract,
Execution execution )
Provides the executions which happened in the last 24 hours.
Parameters
reqId the request's identifier
contract the Contract of the Order
execution the Execution details.
See also
execDetailsEnd (p. ??), commissionReport (p. ??), EClientSocket::reqExecutions (p. ??), Execution
26.15.2.19 execDetailsEnd()
void execDetailsEnd (
int reqId )
indicates the end of the Execution reception.
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26.15 EWrapper Interface Reference 405
Parameters
req←-
Id
the request's identifier
See also
execDetails (p. ??), commissionReport (p. ??), EClientSocket::reqExecutions
26.15.2.20 familyCodes()
void familyCodes (
FamilyCode [ ] familyCodes )
returns array of family codes
Parameters
FamilyCode[ ]
See also
EClient::reqFamilyCodes
26.15.2.21 fundamentalData()
void fundamentalData (
int reqId,
string data )
returns Reuters' Fundamental data
Parameters
req←-
Id
the request's identifier
data Reuthers xml-formatted fundamental data
See also
EClientSocket::reqFundamentalData
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406 Class Documentation
26.15.2.22 headTimestamp()
void headTimestamp (
int reqId,
string headTimestamp )
• returns beginning of data for contract for specified data type
Parameters
requestId
headTimestamp - string identifying earliest data date
See also
EClient::reqHeadTimestamp
26.15.2.23 histogramData()
void histogramData (
int reqId,
HistogramEntry [ ] data )
returns data histogram
Parameters
request←-
Id
data - returned Tuple of histogram data, number of trades at specified price level
See also
EClient::reqHistogramData
26.15.2.24 historicalData()
void historicalData (
int reqId,
Bar bar )
returns the requested historical data bars
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26.15 EWrapper Interface Reference 407
Parameters
req←-
Id
the request's identifier
bar the OHLC historical data Bar (p. ??). The time zone of the bar is the time zone chosen on the TWS
login screen. Smallest bar size is 1 second.
See also
EClientSocket::reqHistoricalData
26.15.2.25 historicalDataUpdate()
void historicalDataUpdate (
int reqId,
Bar bar )
Receives bars in real time if keepUpToDate is set as True in reqHistoricalData. Similar to realTimeBars function,
except returned data is a composite of historical data and real time data that is equivalent to TWS chart functionality
to keep charts up to date. Returned bars are successfully updated using real time data.
Parameters
req←-
Id
the requests identifier
bar the OHLC historical data Bar (p. ??). The time zone of the bar is the time zone chosen on the TWS
login screen. Smallest bar size is 1 second.
26.15.2.26 historicalNews()
void historicalNews (
int requestId,
string time,
string providerCode,
string articleId,
string headline )
returns news headline
Parameters
requestId
time
providerCode
articleId
headline
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408 Class Documentation
See also
EClient::reqHistoricalNews
26.15.2.27 historicalNewsEnd()
void historicalNewsEnd (
int requestId,
bool hasMore )
returns news headlines end marker
Parameters
request←-
Id
hasMore - indicates whether there are more results available, false otherwise
See also
EClient::reqHistoricalNews
26.15.2.28 historicalTicks()
void historicalTicks (
int reqId,
HistoricalTick [ ] ticks,
bool done )
Parameters
req←-
Id
ticks list of HistoricalTick data
done flag to indicate if all historical tick data has been received
26.15.2.29 historicalTicksBidAsk()
void historicalTicksBidAsk (
int reqId,
HistoricalTickBidAsk [ ] ticks,
bool done )
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Parameters
req←-
Id
ticks list of HistoricalBidAsk data
done flag to indicate if all historical tick data has been received
26.15.2.30 historicalTicksLast()
void historicalTicksLast (
int reqId,
HistoricalTickLast [ ] ticks,
bool done )
Parameters
req←-
Id
ticks list of HistoricalTickLast data
done flag to indicate if all historical tick data has been received
26.15.2.31 managedAccounts()
void managedAccounts (
string accountsList )
Receives a comma-separated string with the managed account ids. Occurs automatically on initial API client con-
nection.
See also
EClientSocket::reqManagedAccts
26.15.2.32 marketDataType()
void marketDataType (
int reqId,
int marketDataType )
Returns the market data type (real-time, frozen, delayed, delayed-frozen) of ticker sent by EClientSocket::req←-
MktData when TWS switches from real-time to frozen and back and from delayed to delayed-frozen and back.
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Parameters
reqId the id of ticker sent in reqMktData
marketDataType means that now API starts to tick with the folloiwng market data: 1 for real-time, 2 for frozen,
3 for delayed, 4 for delayed-frozen
See also
EClientSocket::reqMarketDataType (p. ??), EClientSocket::reqMktData
26.15.2.33 marketRule()
void marketRule (
int marketRuleId,
PriceIncrement [ ] priceIncrements )
returns minimum price increment structure for a particular market rule ID market rule IDs for an instrument on valid
exchanges can be obtained from the contractDetails object for that contract
Parameters
marketRuleId
PriceIncrement[ ]
See also
EClient::reqMarketRule
26.15.2.34 mktDepthExchanges()
void mktDepthExchanges (
DepthMktDataDescription [ ] depthMktDataDescriptions )
called when receives Depth Market Data Descriptions
Parameters
descriptions Stores a list of DepthMktDataDescriprion
See also
EClient::reqMktDepthExchanges
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26.15 EWrapper Interface Reference 411
26.15.2.35 newsArticle()
void newsArticle (
int requestId,
int articleType,
string articleText )
called when receives News Article
Parameters
requestId The request ID used in the call to EClient::reqNewsArticle
articleType The type of news article (0 - plain text or html, 1 - binary data / pdf)
articleText The body of article (if articleType == 1, the binary data is encoded using the Base64 scheme)
See also
EClient::reqNewsArticle
26.15.2.36 newsProviders()
void newsProviders (
NewsProvider [ ] newsProviders )
returns array of subscribed API news providers for this user
Parameters
NewsProvider[ ]
See also
EClient::reqNewsProviders
26.15.2.37 nextValidId()
void nextValidId (
int orderId )
Receives next valid order id. Will be invoked automatically upon successfull API client connection, or after call to
EClient::reqIds Important: the next valid order ID is only valid at the time it is received.
Parameters
order←-
Id
the next order id
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412 Class Documentation
See also
EClientSocket::reqIds
26.15.2.38 openOrder()
void openOrder (
int orderId,
Contract contract,
Order order,
OrderState orderState )
Feeds in currently open orders.
Parameters
orderId the order's unique id
contract the order's Contract (p. ??).
order the currently active Order (p. ??).
orderState the order's OrderState
See also
orderStatus (p. ??), openOrderEnd (p. ??), EClientSocket::placeOrder (p. ??), EClientSocket::reqAll←-
OpenOrders (p. ??), EClientSocket::reqAutoOpenOrders
26.15.2.39 openOrderEnd()
void openOrderEnd ( )
Notifies the end of the open orders' reception.
See also
orderStatus (p. ??), openOrder (p. ??), EClientSocket::placeOrder (p. ??), EClientSocket::reqAllOpen←
-Orders (p. ??), EClientSocket::reqAutoOpenOrders
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26.15 EWrapper Interface Reference 413
26.15.2.40 orderStatus()
void orderStatus (
int orderId,
string status,
double filled,
double remaining,
double avgFillPrice,
int permId,
int parentId,
double lastFillPrice,
int clientId,
string whyHeld,
double mktCapPrice )
Gives the up-to-date information of an order every time it changes. Often there are duplicate orderStatus messages.
Parameters
orderId the order's client id.
status the current status of the order. Possible values: PendingSubmit - indicates that you have
transmitted the order, but have not yet received confirmation that it has been accepted by the
order destination. PendingCancel - indicates that you have sent a request to cancel the order
but have not yet received cancel confirmation from the order destination. At this point, your
order is not confirmed canceled. It is not guaranteed that the cancellation will be successful.
PreSubmitted - indicates that a simulated order type has been accepted by the IB system and
that this order has yet to be elected. The order is held in the IB system until the election criteria
are met. At that time the order is transmitted to the order destination as specified . Submitted -
indicates that your order has been accepted by the system. ApiCancelled - after an order has
been submitted and before it has been acknowledged, an API client client can request its
cancelation, producing this state. Cancelled - indicates that the balance of your order has been
confirmed canceled by the IB system. This could occur unexpectedly when IB or the
destination has rejected your order. Filled - indicates that the order has been completely filled.
Market orders executions will not always trigger a Filled status. Inactive - indicates that the
order was received by the system but is no longer active because it was rejected or canceled.
filled number of filled positions.
remaining the remnant positions.
avgFillPrice average filling price.
permId the order's permId used by the TWS to identify orders.
parentId parent's id. Used for bracket and auto trailing stop orders.
lastFillPrice price at which the last positions were filled.
clientId API client which submitted the order.
whyHeld this field is used to identify an order held when TWS is trying to locate shares for a short sell.
The value used to indicate this is 'locate'.
mktCapPrice If an order has been capped, this indicates the current capped price. Requires TWS 967+ and
API v973.04+. Python API specifically requires API v973.06+.
See also
openOrder (p. ??), openOrderEnd (p. ??), EClientSocket::placeOrder (p. ??), EClientSocket::reqAll←-
OpenOrders (p. ??), EClientSocket::reqAutoOpenOrders
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26.15.2.41 pnl()
void pnl (
int reqId,
double dailyPnL,
double unrealizedPnL,
double realizedPnL )
receives PnL updates in real time for the daily PnL and the total unrealized PnL for an account
Parameters
reqId
dailyPnL dailyPnL updates for the account in real time
unrealizedPnL total unRealized PnL updates for the account in real time
See also
EClient::reqPnL
26.15.2.42 pnlSingle()
void pnlSingle (
int reqId,
int pos,
double dailyPnL,
double unrealizedPnL,
double realizedPnL,
double value )
receives real time updates for single position daily PnL values
Parameters
reqId
pos current size of the position
dailyPnL dailyPnL for the position
unrealizedPnL total unrealized PnL for the position (since inception) updating in real time
value current market value of the position
See also
EClient::reqSinglePnL
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26.15 EWrapper Interface Reference 415
26.15.2.43 position()
void position (
string account,
Contract contract,
double pos,
double avgCost )
provides the portfolio's open positions.
Parameters
account the account holding the position.
contract the position's Contract
pos the number of positions held. avgCost the average cost of the position.
See also
positionEnd (p. ??), EClientSocket::reqPositions
26.15.2.44 positionEnd()
void positionEnd ( )
Indicates all the positions have been transmitted.
See also
position (p. ??), EClient::reqPositions
26.15.2.45 positionMulti()
void positionMulti (
int requestId,
string account,
string modelCode,
Contract contract,
double pos,
double avgCost )
provides the portfolio's open positions.
Parameters
requestId the id of request
account the account holding the position.
modelCode the model code holding the position.
contract the position's Contract
pos the number of positions held.
avgCost the average cost of the position.
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416 Class Documentation
See also
positionMultiEnd (p. ??), EClientSocket::reqPositionsMulti
26.15.2.46 positionMultiEnd()
void positionMultiEnd (
int requestId )
Indicates all the positions have been transmitted.
See also
positionMulti (p. ??), EClient::reqPositionsMulti
26.15.2.47 realtimeBar()
void realtimeBar (
int reqId,
long time,
double open,
double high,
double low,
double close,
long volume,
double WAP,
int count )
updates the real time 5 seconds bars
Parameters
reqId the request's identifier
date the bar's date and time (either as a yyyymmss hh:mm:ss formatted string or as system time
according to the request)
open the bar's open point
high the bar's high point
low the bar's low point
close the bar's closing point
volume the bar's traded volume (only returned for TRADES data)
WAP the bar's Weighted Average Price rounded to minimum increment (only available for TRADES).
count the number of trades during the bar's timespan (only available for TRADES).
See also
EClientSocket::reqRealTimeBars
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26.15 EWrapper Interface Reference 417
26.15.2.48 receiveFA()
void receiveFA (
int faDataType,
string faXmlData )
receives the Financial Advisor's configuration available in the TWS
Parameters
faDataType one of:
1. Groups: offer traders a way to create a group of accounts and apply a single allocation
method to all accounts in the group.
2. Profiles: let you allocate shares on an account-by-account basis using a predefined
calculation value.
3. Account Aliases: let you easily identify the accounts by meaningful names rather than
account numbers.
faXmlData the xml-formatted configuration
See also
EClientSocket::requestFA (p. ??), EClientSocket::replaceFA
26.15.2.49 rerouteMktDataReq()
void rerouteMktDataReq (
int reqId,
int conId,
string exchange )
• returns conId and exchange for CFD market data request re-route
Parameters
reqId
conId of the underlying instrument which has market data
exchange of the underlying
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26.15.2.50 rerouteMktDepthReq()
void rerouteMktDepthReq (
int reqId,
int conId,
string exchange )
returns the conId and exchange for an underlying contract when a request is made for level 2 data for an instrument
which does not have data in IB's database. For example stock CFDs and index CFDs.
Parameters
reqId
conId
exchange
26.15.2.51 scannerData()
void scannerData (
int reqId,
int rank,
ContractDetails contractDetails,
string distance,
string benchmark,
string projection,
string legsStr )
provides the data resulting from the market scanner request.
Parameters
reqid the request's identifier.
rank the ranking within the response of this bar.
contractDetails the data's ContractDetails
distance according to query.
benchmark according to query.
projection according to query.
legStr describes the combo legs when the scanner is returning EFP
See also
scannerParameters (p. ??), scannerDataEnd (p. ??), EClientSocket::reqScannerSubscription
26.15.2.52 scannerDataEnd()
void scannerDataEnd (
int reqId )
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Indicates the scanner data reception has terminated.
Parameters
req←-
Id
the request's identifier
See also
scannerParameters (p. ??), scannerData (p. ??), EClientSocket::reqScannerSubscription
26.15.2.53 scannerParameters()
void scannerParameters (
string xml )
provides the xml-formatted parameters available from TWS market scanners (not all available in API).
Parameters
xml the xml-formatted string with the available parameters.
See also
scannerData (p. ??), EClientSocket::reqScannerParameters
26.15.2.54 securityDefinitionOptionParameter()
void securityDefinitionOptionParameter (
int reqId,
string exchange,
int underlyingConId,
string tradingClass,
string multiplier,
HashSet<string >expirations,
HashSet<double >strikes )
returns the option chain for an underlying on an exchange specified in reqSecDefOptParams There will be multiple
callbacks to securityDefinitionOptionParameter if multiple exchanges are specified in reqSecDefOptParams
Parameters
reqId ID of the request initiating the callback
underlying←-
ConId
The conID of the underlying security
tradingClass the option trading class
multiplier the option multiplier
expirations a list of the expiries for the options of this underlying on this exchange
strikes a list of the possible strikes for options of this underlying on this exchange
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420 Class Documentation
See also
EClient::reqSecDefOptParams
26.15.2.55 securityDefinitionOptionParameterEnd()
void securityDefinitionOptionParameterEnd (
int reqId )
called when all callbacks to securityDefinitionOptionParameter are complete
Parameters
req←-
Id
the ID used in the call to securityDefinitionOptionParameter
See also
securityDefinitionOptionParameter (p. ??), EClient::reqSecDefOptParams
26.15.2.56 smartComponents()
void smartComponents (
int reqId,
Dictionary<int, KeyValuePair<string, char >> theMap )
bit number to exchange + exchange abbreviation dictionary
Parameters
reqId
theMap sa EClient::reqSmartComponents
26.15.2.57 softDollarTiers()
void softDollarTiers (
int reqId,
SoftDollarTier [ ] tiers )
called when receives Soft Dollar Tier configuration information
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Parameters
req←-
Id
The request ID used in the call to EClient::reqSoftDollarTiers
tiers Stores a list of SoftDollarTier that contains all Soft Dollar Tiers information
See also
EClient::reqSoftDollarTiers
26.15.2.58 symbolSamples()
void symbolSamples (
int reqId,
ContractDescription [ ] contractDescriptions )
returns array of sample contract descriptions
Parameters
ContractDescription[ ]
See also
EClient::reqMatchingSymbols
26.15.2.59 tickByTickAllLast()
void tickByTickAllLast (
int reqId,
int tickType,
long time,
double price,
int size,
TickAttrib attribs,
string exchange,
string specialConditions )
returns "Last" or "AllLast" tick-by-tick real-time tick
Parameters
reqId - unique identifier of the request
tickType - tick-by-tick real-time tick type: "Last" or "AllLast"
time - tick-by-tick real-time tick timestamp
price - tick-by-tick real-time tick last price
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422 Class Documentation
Parameters
size - tick-by-tick real-time tick last size
attribs - tick-by-tick real-time tick attribs (bit 0 - past limit, bit 1 - unreported)
exchange - tick-by-tick real-time tick exchange
specialConditions - tick-by-tick real-time tick special conditions
See also
EClient::reqTickByTickData
26.15.2.60 tickByTickBidAsk()
void tickByTickBidAsk (
int reqId,
long time,
double bidPrice,
double askPrice,
int bidSize,
int askSize,
TickAttrib attribs )
returns "BidAsk" tick-by-tick real-time tick
Parameters
reqId - unique identifier of the request
time - tick-by-tick real-time tick timestamp
bidPrice - tick-by-tick real-time tick bid price
askPrice - tick-by-tick real-time tick ask price
bidSize - tick-by-tick real-time tick bid size
askSize - tick-by-tick real-time tick ask size
attribs - tick-by-tick real-time tick attribs (bit 0 - bid past low, bit 1 - ask past high)
See also
EClient::reqTickByTickData
26.15.2.61 tickByTickMidPoint()
void tickByTickMidPoint (
int reqId,
long time,
double midPoint )
returns "MidPoint" tick-by-tick real-time tick
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Parameters
reqId - unique identifier of the request
time - tick-by-tick real-time tick timestamp
midPoint - tick-by-tick real-time tick mid point
See also
EClient::reqTickByTickData
26.15.2.62 tickEFP()
void tickEFP (
int tickerId,
int tickType,
double basisPoints,
string formattedBasisPoints,
double impliedFuture,
int holdDays,
string futureLastTradeDate,
double dividendImpact,
double dividendsToLastTradeDate )
Exchange for Physicals.
Parameters
tickerId The request's identifier.
tickType The type of tick being received.
basisPoints Annualized basis points, which is representative of the financing rate that can be
directly compared to broker rates.
formattedBasisPoints Annualized basis points as a formatted string that depicts them in percentage
form.
impliedFuture The implied Futures price.
holdDays The number of hold days until the lastTradeDate of the EFP.
futureLastTradeDate The expiration date of the single stock future.
dividendImpact The dividend impact upon the annualized basis points interest rate.
dividendsToLastTradeDate The dividends expected until the expiration of the single stock future.
26.15.2.63 tickGeneric()
void tickGeneric (
int tickerId,
int field,
double value )
Market data callback.
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424 Class Documentation
Parameters
ticker←-
Id
the request's unique identifier.
field the type of tick being received.
value
26.15.2.64 tickNews()
void tickNews (
int tickerId,
long timeStamp,
string providerCode,
string articleId,
string headline,
string extraData )
ticks with news headline
Parameters
tickerId
timeStamp
providerCode
articleId
headline
extraData
See also
EClient::reqMktData
26.15.2.65 tickOptionComputation()
void tickOptionComputation (
int tickerId,
int field,
double impliedVolatility,
double delta,
double optPrice,
double pvDividend,
double gamma,
double vega,
double theta,
double undPrice )
Receive's option specific market data. This method is called when the market in an option or its underlier moves.
TWS’s option model volatilities, prices, and deltas, along with the present value of dividends expected on that
options underlier are received.
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Parameters
tickerId the request's unique identifier.
field Specifies the type of option computation. Pass the field value into TickType.getField(int
tickType) to retrieve the field description. For example, a field value of 13 will map to
modelOptComp, etc. 10 = Bid 11 = Ask 12 = Last
impliedVolatility the implied volatility calculated by the TWS option modeler, using the specified tick type
value.
delta the option delta value.
optPrice the option price.
pwDividend the present value of dividends expected on the option's underlying.
gamma the option gamma value.
vega the option vega value.
theta the option theta value.
undPrice the price of the underlying.
See also
TickType, tickSize (p. ??), tickPrice (p. ??), tickEFP (p. ??), tickGeneric (p. ??), tickString (p. ??), tick←-
SnapshotEnd (p. ??), marketDataType (p. ??), EClientSocket::reqMktData
26.15.2.66 tickPrice()
void tickPrice (
int tickerId,
int field,
double price,
TickAttrib attribs )
Market data tick price callback. Handles all price related ticks. Every tickPrice callback is followed by a tickSize.
A tickPrice value of -1 or 0 followed by a tickSize of 0 indicates there is no data for this field currently available,
whereas a tickPrice with a positive tickSize indicates an active quote of 0 (typically for a combo contract).
Parameters
ticker←-
Id
the request's unique identifier.
field the type of the price being received (i.e. ask price).
price the actual price.
attribs an TickAttrib object that contains price attributes such as TickAttrib::CanAutoExecute (p. ??),
TickAttrib::PastLimit and TickAttrib::PreOpen (p. ??).
See also
TickType, tickSize (p. ??), tickString (p. ??), tickEFP (p. ??), tickGeneric (p. ??),
tickOptionComputation (p. ??), tickSnapshotEnd (p. ??), marketDataType (p. ??),
EClientSocket::reqMktData
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426 Class Documentation
26.15.2.67 tickReqParams()
void tickReqParams (
int tickerId,
double minTick,
string bboExchange,
int snapshotPermissions )
tick with BOO exchange and snapshot permissions
Parameters
tickerId
minTick
bboExchange
snapshotPermissions sa EClient::reqMktData
26.15.2.68 tickSize()
void tickSize (
int tickerId,
int field,
int size )
Market data tick size callback. Handles all size-related ticks.
Parameters
ticker←-
Id
the request's unique identifier.
field the type of size being received (i.e. bid size)
size the actual size. US stocks have a multiplier of 100.
See also
TickType, tickPrice (p. ??), tickString (p. ??), tickEFP (p. ??), tickGeneric (p. ??),
tickOptionComputation (p. ??), tickSnapshotEnd (p. ??), marketDataType (p. ??),
EClientSocket::reqMktData
26.15.2.69 tickString()
void tickString (
int tickerId,
int field,
string value )
Market data callback. Every tickPrice is followed by a tickSize. There are also independent tickSize callbacks
anytime the tickSize changes, and so there will be duplicate tickSize messages following a tickPrice.
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Parameters
ticker←-
Id
the request's unique identifier.
field the type of the tick being received
See also
TickType, tickSize (p. ??), tickPrice (p. ??), tickEFP (p. ??), tickGeneric (p. ??),
tickOptionComputation (p. ??), tickSnapshotEnd (p. ??), marketDataType (p. ??),
EClientSocket::reqMktData
26.15.2.70 updateAccountTime()
void updateAccountTime (
string timestamp )
Receives the last time on which the account was updated.
Parameters
timestamp the last update system time.
See also
updatePortfolio (p. ??), accountDownloadEnd (p. ??), updateAccountValue (p. ??), EClientSocket←
- ::reqAccountUpdates
26.15.2.71 updateAccountValue()
void updateAccountValue (
string key,
string value,
string currency,
string accountName )
Receives the subscribed account's information. Only one account can be subscribed at a time. After the initial
callback to updateAccountValue, callbacks only occur for values which have changed. This occurs at the time of a
position change, or every 3 minutes at most. This frequency cannot be adjusted.
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428 Class Documentation
Parameters
key the value being updated.
• AccountCode — The account ID number
• AccountOrGroup — "All" to return account summary data for all accounts, or set to a
specific Advisor Account Group name that has already been created in TWS Global
Configuration
• AccountReady — For internal use only
• AccountType — Identifies the IB account structure
• AccruedCash — Total accrued cash value of stock, commodities and securities
• AccruedCash-C — Reflects the current's month accrued debit and credit interest to
date, updated daily in commodity segment
• AccruedCash-S — Reflects the current's month accrued debit and credit interest to
date, updated daily in security segment
• AccruedDividend — Total portfolio value of dividends accrued
• AccruedDividend-C — Dividends accrued but not paid in commodity segment
• AccruedDividend-S — Dividends accrued but not paid in security segment
• AvailableFunds — This value tells what you have available for trading
• AvailableFunds-C — Net Liquidation Value - Initial Margin
• AvailableFunds-S — Equity with Loan Value - Initial Margin
• Billable — Total portfolio value of treasury bills
• Billable-C — Value of treasury bills in commodity segment
• Billable-S — Value of treasury bills in security segment
• BuyingPower — Cash Account: Minimum (Equity with Loan Value, Previous Day Equity
with Loan Value)-Initial Margin, Standard Margin Account: Minimum (Equity with Loan
Value, Previous Day Equity with Loan Value) - Initial Margin ∗4
• CashBalance — Cash recognized at the time of trade + futures PNL
• CorporateBondValue — Value of non-Government bonds such as corporate bonds and
municipal bonds
• Currency — Open positions are grouped by currency
• Cushion — Excess liquidity as a percentage of net liquidation value
• DayTradesRemaining — Number of Open/Close trades one could do before Pattern Day
Trading is detected
• DayTradesRemainingT+1 — Number of Open/Close trades one could do tomorrow
before Pattern Day Trading is detected
• DayTradesRemainingT+2 — Number of Open/Close trades one could do two days from
today before Pattern Day Trading is detected
• DayTradesRemainingT+3 — Number of Open/Close trades one could do three days
from today before Pattern Day Trading is detected
• DayTradesRemainingT+4 — Number of Open/Close trades one could do four days from
today before Pattern Day Trading is detected
• EquityWithLoanValue — Forms the basis for determining whether a client has the
necessary assets to either initiate or maintain security positions
• EquityWithLoanValue-C — Cash account: Total cash value + commodities option value
- futures maintenance margin requirement + minimum (0, futures PNL) Margin account:
Total cash value + commodities option value - futures maintenance margin requirement
• EquityWithLoanValue-S — Cash account: Settled Cash Margin Account: Total cash
value + stock value + bond value + (non-U.S. & Canada securities options value)
• ExcessLiquidity — This value shows your margin cushion, before liquidation
• ExcessLiquidity-C — Equity with Loan Value - Maintenance Margin
• ExcessLiquidity-S — Net Liquidation Value - Maintenance Margin
• ExchangeRate — The exchange rate of the currency to your base currency
• FullAvailableFunds — Available funds of whole portfolio with no discounts or intraday
credits
• FullAvailableFunds-C — Net Liquidation Value - Full Initial Margin
• FullAvailableFunds-S — Equity with Loan Value - Full Initial Margin
• FullExcessLiquidity — Excess liquidity of whole portfolio with no discounts or intraday
credits
• FullExcessLiquidity-C — Net Liquidation Value - Full Maintenance Margin
• FullExcessLiquidity-S — Equity with Loan Value - Full Maintenance Margin
• FullInitMarginReq — Initial Margin of whole portfolio with no discounts or intraday credits
• FullInitMarginReq-C — Initial Margin of commodity segment's portfolio with no discounts
or intraday credits
• FullInitMarginReq-S — Initial Margin of security segment's portfolio with no discounts or
intraday credits
• FullMaintMarginReq — Maintenance Margin of whole portfolio with no discounts or
intraday credits
• FullMaintMarginReq-C — Maintenance Margin of commodity segment's portfolio with no
discounts or intraday credits
• FullMaintMarginReq-S — Maintenance Margin of security segment's portfolio with no
discounts or intraday credits
• FundValue — Value of funds value (money market funds + mutual funds)
• FutureOptionValue — Real-time market-to-market value of futures options
• FuturesPNL — Real-time changes in futures value since last settlement
• FxCashBalance — Cash balance in related IB-UKL account
• GrossPositionValue — Gross Position Value in securities segment
• GrossPositionValue-S — Long Stock Value + Short Stock Value + Long Option Value +
Short Option Value
• IndianStockHaircut — Margin rule for IB-IN accounts
• InitMarginReq — Initial Margin requirement of whole portfolio
• InitMarginReq-C — Initial Margin of the commodity segment in base currency
• InitMarginReq-S — Initial Margin of the security segment in base currency
• IssuerOptionValue — Real-time mark-to-market value of Issued Option
• Leverage-S — GrossPositionValue / NetLiquidation in security segment
• LookAheadNextChange — Time when look-ahead values take effect
• LookAheadAvailableFunds — This value reflects your available funds at the next margin
change
• LookAheadAvailableFunds-C — Net Liquidation Value - look ahead Initial Margin
• LookAheadAvailableFunds-S — Equity with Loan Value - look ahead Initial Margin
• LookAheadExcessLiquidity — This value reflects your excess liquidity at the next
margin change
• LookAheadExcessLiquidity-C — Net Liquidation Value - look ahead Maintenance
Margin
• LookAheadExcessLiquidity-S — Equity with Loan Value - look ahead Maintenance
Margin
• LookAheadInitMarginReq — Initial margin requirement of whole portfolio as of next
period's margin change
• LookAheadInitMarginReq-C — Initial margin requirement as of next period's margin
change in the base currency of the account
• LookAheadInitMarginReq-S — Initial margin requirement as of next period's margin
change in the base currency of the account
• LookAheadMaintMarginReq — Maintenance margin requirement of whole portfolio as of
next period's margin change
• LookAheadMaintMarginReq-C — Maintenance margin requirement as of next period's
margin change in the base currency of the account
• LookAheadMaintMarginReq-S — Maintenance margin requirement as of next period's
margin change in the base currency of the account
• MaintMarginReq — Maintenance Margin requirement of whole portfolio
• MaintMarginReq-C — Maintenance Margin for the commodity segment
• MaintMarginReq-S — Maintenance Margin for the security segment
• MoneyMarketFundValue — Market value of money market funds excluding mutual funds
• MutualFundValue — Market value of mutual funds excluding money market funds
• NetDividend — The sum of the Dividend Payable/Receivable Values for the securities
and commodities segments of the account
• NetLiquidation — The basis for determining the price of the assets in your account
• NetLiquidation-C — Total cash value + futures PNL + commodities options value
• NetLiquidation-S — Total cash value + stock value + securities options value + bond
value
• NetLiquidationByCurrency — Net liquidation for individual currencies
• OptionMarketValue — Real-time mark-to-market value of options
• PASharesValue — Personal Account shares value of whole portfolio
• PASharesValue-C — Personal Account shares value in commodity segment
• PASharesValue-S — Personal Account shares value in security segment
• PostExpirationExcess — Total projected "at expiration" excess liquidity
• PostExpirationExcess-C — Provides a projected "at expiration" excess liquidity based
on the soon-to expire contracts in your portfolio in commodity segment
• PostExpirationExcess-S — Provides a projected "at expiration" excess liquidity based
on the soon-to expire contracts in your portfolio in security segment
• PostExpirationMargin — Total projected "at expiration" margin
• PostExpirationMargin-C — Provides a projected "at expiration" margin value based on
the soon-to expire contracts in your portfolio in commodity segment
• PostExpirationMargin-S — Provides a projected "at expiration" margin value based on
the soon-to expire contracts in your portfolio in security segment
• PreviousDayEquityWithLoanValue — Marginable Equity with Loan value as of 16:00 ET
the previous day in securities segment
• PreviousDayEquityWithLoanValue-S — IMarginable Equity with Loan value as of 16:00
ET the previous day
• RealCurrency — Open positions are grouped by currency
• RealizedPnL — Shows your profit on closed positions, which is the difference between
your entry execution cost and exit execution costs, or (execution price + commissions to
open the positions) - (execution price + commissions to close the position)
• RegTEquity — Regulation T equity for universal account
• RegTEquity-S — Regulation T equity for security segment
• RegTMargin — Regulation T margin for universal account
• RegTMargin-S — Regulation T margin for security segment
• SMA — Line of credit created when the market value of securities in a Regulation T
account increase in value
• SMA-S — Regulation T Special Memorandum Account balance for security segment
• SegmentTitle — Account segment name
• StockMarketValue — Real-time mark-to-market value of stock
• TBondValue — Value of treasury bonds
• TBillValue — Value of treasury bills
• TotalCashBalance — Total Cash Balance including Future PNL
• TotalCashValue — Total cash value of stock, commodities and securities
• TotalCashValue-C — CashBalance in commodity segment
• TotalCashValue-S — CashBalance in security segment
• TradingType-S — Account Type
• UnrealizedPnL — The difference between the current market value of your open
positions and the average cost, or Value - Average Cost
• WarrantValue — Value of warrants
• WhatIfPMEnabled — To check projected margin requirements under Portfolio Margin
model
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Parameters
value up-to-date value
currency the currency on which the value is expressed.
accountName the account
See also
updatePortfolio (p. ??), updateAccountTime (p. ??), accountDownloadEnd (p. ??),
EClientSocket::req←-AccountUpdates
26.15.2.72 updateMktDepth()
void updateMktDepth (
int tickerId,
int position,
int operation,
int side,
double price,
int size )
Returns the order book.
Parameters
tickerId the request's identifier
position the order book's row being updated
operation how to refresh the row: 0 = insert (insert this new order into the row identified by 'position')· 1 =
update (update the existing order in the row identified by 'position')· 2 = delete (delete the existing
order at the row identified by 'position').
side 0 for ask, 1 for bid
price the order's price
size the order's size
See also
updateMktDepthL2 (p. ??), EClientSocket::reqMarketDepth
26.15.2.73 updateMktDepthL2()
void updateMktDepthL2 (
int tickerId,
int position,
string marketMaker,
int operation,
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430 Class Documentation
int side,
double price,
int size )
Returns the order book.
Parameters
tickerId the request's identifier
position the order book's row being updated
marketMaker the exchange holding the order
operation how to refresh the row: 0 - insert (insert this new order into the row identified by 'position')· 1 -
update (update the existing order in the row identified by 'position')· 2 - delete (delete the
existing order at the row identified by 'position').
side 0 for ask, 1 for bid
price the order's price
size the order's size
See also
updateMktDepth (p. ??), EClientSocket::reqMarketDepth
26.15.2.74 updateNewsBulletin()
void updateNewsBulletin (
int msgId,
int msgType,
String message,
String origExchange )
provides IB's bulletins
Parameters
msgId the bulletin's identifier
msgType one of: 1 - Regular news bulletin 2 - Exchange no longer available for trading 3 - Exchange is
available for trading
message the message
origExchange the exchange where the message comes from.
26.15.2.75 updatePortfolio()
void updatePortfolio (
Contract contract,
double position,
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26.16 Execution Class Reference 431
double marketPrice,
double marketValue,
double averageCost,
double unrealizedPNL,
double realizedPNL,
string accountName )
Receives the subscribed account's portfolio. This function will receive only the portfolio of the subscribed account.
If the portfolios of all managed accounts are needed, refer to EClientSocket::reqPosition After the initial callback to
updatePortfolio, callbacks only occur for positions which have changed.
Parameters
contract the Contract for which a position is held.
position the number of positions held.
marketPrice instrument's unitary price
marketValue total market value of the instrument.
See also
updateAccountTime (p. ??), accountDownloadEnd (p. ??), updateAccountValue (p. ??), EClient←-
Socket::reqAccountUpdates
26.16 Execution Class Reference
Class describing an order's execution.
Public Member Functions
•Execution (int orderId, int clientId, String execId, String time, String acctNumber, String exchange, String
side, double shares, double price, int permId, int liquidation, double cumQty, double avgPrice, String orderRef,
String evRule, double evMultiplier, String modelCode, Liquidity lastLiquidity)
• override bool Equals (Object p_other)
Properties
• int OrderId [get, set]
The API client's order Id. May not be unique to an account.
• int ClientId [get, set]
The API client identifier which placed the order which originated this execution.
• string ExecId [get, set]
The execution's unique identifier. Each partial fill has a separate ExecId.
• string Time [get, set]
The execution's server time.
• string AcctNumber [get, set]
The account to which the order was allocated.
• string Exchange [get, set]
The exchange where the execution took place.
• string Side [get, set]
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Specifies if the transaction was buy or sale BOT for bought, SLD for sold.
• double Shares [get, set]
The number of shares filled.
• double Price [get, set]
The order's execution price excluding commissions.
• int PermId [get, set]
The TWS order identifier. The PermId can be 0 for trades originating outside IB.
• int Liquidation [get, set]
Identifies whether an execution occurred because of an IB-initiated liquidation.
• double CumQty [get, set]
Cumulative quantity. Used in regular trades, combo trades and legs of the combo.
• double AvgPrice [get, set]
Average price. Used in regular trades, combo trades and legs of the combo. Does not include commissions.
• string OrderRef [get, set]
The OrderRef is a user-customizable string that can be set from the API or TWS and will be associated with an order
for its lifetime.
• string EvRule [get, set]
The Economic Value Rule name and the respective optional argument. The two values should be separated by a
colon. For example, aussieBond:YearsToExpiration=3. When the optional argument is not present, the first value will
be followed by a colon.
• double EvMultiplier [get, set]
Tells you approximately how much the market value of a contract would change if the price were to change by 1. It
cannot be used to get market value by multiplying the price by the approximate multiplier.
• string ModelCode [get, set]
model code
•Liquidity LastLiquidity [get, set]
The liquidity type of the execution. Requires TWS 968+ and API v973.05+. Python API specifically requires API
v973.06+.
26.16.1 Detailed Description
Class describing an order's execution.
See also
ExecutionFilter (p. ??), CommissionReport
26.17 ExecutionCondition Class Reference
This class represents a condition requiring a specific execution event to be fulfilled. Orders can be activated or
canceled if a set of given conditions is met. An ExecutionCondition is met whenever a trade occurs on a certain
product at the given exchange.
Inheritance diagram for ExecutionCondition:
OrderCondition
ExecutionCondition
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26.18 ExecutionFilter Class Reference 433
Public Member Functions
• override string ToString ()
• override void Deserialize (IDecoder inStream)
• override void Serialize (BinaryWriter outStream)
• override bool Equals (object obj)
• override int GetHashCode ()
Protected Member Functions
• override bool TryParse (string cond)
Properties
• string Exchange [get, set]
Exchange where the symbol needs to be traded.
• string SecType [get, set]
Kind of instrument being monitored.
• string Symbol [get, set]
Instrument's symbol.
26.17.1 Detailed Description
This class represents a condition requiring a specific execution event to be fulfilled. Orders can be activated or
canceled if a set of given conditions is met. An ExecutionCondition is met whenever a trade occurs on a certain
product at the given exchange.
26.18 ExecutionFilter Class Reference
when requesting executions, a filter can be specified to receive only a subset of them
Public Member Functions
•ExecutionFilter (int clientId, String acctCode, String time, String symbol, String secType, String exchange,
String side)
• override bool Equals (Object other)
Properties
• int ClientId [get, set]
The API client which placed the order.
• string AcctCode [get, set]
The account to which the order was allocated to.
• string Time [get, set]
Time from which the executions will be brough yyyymmdd hh:mm:ss Only those executions reported after the specified
time will be returned.
• string Symbol [get, set]
The instrument's symbol.
• string SecType [get, set]
The Contract (p. ??)'s security's type (i.e. STK, OPT...)
• string Exchange [get, set]
The exchange at which the execution was produced.
• string Side [get, set]
The Contract (p. ??)'s side (Put or Call).
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434 Class Documentation
26.18.1 Detailed Description
when requesting executions, a filter can be specified to receive only a subset of them
See also
Contract (p. ??), Execution (p. ??), CommissionReport
26.19 HistoricalTick Class Reference
The historical tick's description. Used when requesting historical tick data with whatToShow = MIDPOINT.
Public Member Functions
•HistoricalTick (long time, double price, long size)
Properties
• long Time [get]
The UNIX timestamp of the historical tick.
• double Price [get]
The historical tick price.
• long Size [get]
The historical tick size.
26.19.1 Detailed Description
The historical tick's description. Used when requesting historical tick data with whatToShow = MIDPOINT.
See also
EClient (p. ??), EWrapper
26.20 HistoricalTickBidAsk Class Reference
The historical tick's description. Used when requesting historical tick data with whatToShow = BID_ASK.
Public Member Functions
•HistoricalTickBidAsk (long time, int mask, double priceBid, double priceAsk, long sizeBid, long sizeAsk)
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26.21 HistoricalTickLast Class Reference 435
Properties
• long Time [get]
The UNIX timestamp of the historical tick.
• int Mask [get]
Mask.
• double PriceBid [get]
The bid price of the historical tick.
• double PriceAsk [get]
The ask price of the historical tick.
• long SizeBid [get]
The bid size of the historical tick.
• long SizeAsk [get]
The ask size of the historical tick.
26.20.1 Detailed Description
The historical tick's description. Used when requesting historical tick data with whatToShow = BID_ASK.
See also
EClient (p. ??), EWrapper
26.21 HistoricalTickLast Class Reference
The historical tick's description. Used when requesting historical tick data with whatToShow = TRADES.
Public Member Functions
•HistoricalTickLast (long time, int mask, double price, long size, string exchange, string specialConditions)
Properties
• long Time [get]
The UNIX timestamp of the historical tick.
• int Mask [get]
Mask.
• double Price [get]
The last price of the historical tick.
• long Size [get]
The last size of the historical tick.
• string Exchange [get]
The source exchange of the historical tick.
• string SpecialConditions [get]
The conditions of the historical tick. Refer to Trade Conditions page for more details: https://www.←-
interactivebrokers.com/en/index.php?f=7235.
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436 Class Documentation
26.21.1 Detailed Description
The historical tick's description. Used when requesting historical tick data with whatToShow = TRADES.
See also
EClient (p. ??), EWrapper
26.22 Liquidity Class Reference
Class describing the liquidity type of an execution.
Public Member Functions
•Liquidity (int p)
• override string ToString ()
Properties
• int Value [get, set]
The value of the liquidity type.
26.22.1 Detailed Description
Class describing the liquidity type of an execution.
See also
Execution
26.23 Order Class Reference
The order's description.
Public Member Functions
• override bool Equals (Object p_other)
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26.23 Order Class Reference 437
Static Public Attributes
• static int CUSTOMER = 0
• static int FIRM = 1
• static char OPT_UNKNOWN = '?'
• static char OPT_BROKER_DEALER = 'b'
• static char OPT_CUSTOMER = 'c'
• static char OPT_FIRM = 'f'
• static char OPT_ISEMM = 'm'
• static char OPT_FARMM = 'n'
• static char OPT_SPECIALIST = 'y'
• static int AUCTION_MATCH = 1
• static int AUCTION_IMPROVEMENT = 2
• static int AUCTION_TRANSPARENT = 3
• static string EMPTY_STR = ""
Properties
• int OrderId [get, set]
The API client's order id.
• bool Solicited [get, set]
• int ClientId [get, set]
The API client id which placed the order.
• int PermId [get, set]
The Host order identifier.
• string Action [get, set]
Identifies the side. Generally available values are BUY, SELL. Additionally, SSHORT, SLONG are available in
some institutional-accounts only. For general account types, a SELL order will be able to enter a short position
automatically if the order quantity is larger than your current long position. SSHORT is only supported for institutional
account configured with Long/Short account segments or clearing with a separate account. SLONG is available in
specially-configured institutional accounts to indicate that long position not yet delivered is being sold.
• double TotalQuantity [get, set]
The number of positions being bought/sold.
• string OrderType [get, set]
The order's type. Available Orders are at https://www.interactivebrokers.com/en/software/api/apiguide/tables/supported←-
_order_types.htm.
• double LmtPrice [get, set]
The LIMIT price. Used for limit, stop-limit and relative orders. In all other cases specify zero. For relative orders with
no limit price, also specify zero.
• double AuxPrice [get, set]
Generic field to contain the stop price for STP LMT orders, trailing amount, etc.
• string Tif [get, set]
The time in force. Valid values are:
DAY - Valid for the day only.
GTC - Good until canceled. The order will continue to work within the system and in the marketplace until it executes
or is canceled. GTC orders will be automatically be cancelled under the following conditions: If a corporate action on
a security results in a stock split (forward or reverse), exchange for shares, or distribution of shares. If you do not log
into your IB account for 90 days.
At the end of the calendar quarter following the current quarter. For example, an order placed during the third quarter
of 2011 will be canceled at the end of the first quarter of 2012. If the last day is a non-trading day, the cancellation
will occur at the close of the final trading day of that quarter. For example, if the last day of the quarter is Sunday, the
orders will be cancelled on the preceding Friday.
Orders that are modified will be assigned a new “Auto Expire” date consistent with the end of the calendar quarter
following the current quarter.
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438 Class Documentation
Orders submitted to IB that remain in force for more than one day will not be reduced for dividends. To allow adjust-
ment to your order price on ex-dividend date, consider using a Good-Til-Date/Time (GTD) or Good-after-Time/Date
(GAT) order type, or a combination of the two.
IOC - Immediate or Cancel. Any portion that is not filled as soon as it becomes available in the market is canceled.
GTD. - Good until Date. It will remain working within the system and in the marketplace until it executes or until the
close of the market on the date specified
OPG - Use OPG to send a market-on-open (MOO) or limit-on-open (LOO) order.
FOK - If the entire Fill-or-Kill order does not execute as soon as it becomes available, the entire order is canceled.
DTC - Day until Canceled
.
• string OcaGroup [get, set]
One-Cancels-All group identifier.
• int OcaType [get, set]
Tells how to handle remaining orders in an OCA group when one order or part of an order executes. Valid values are:
1 = Cancel all remaining orders with block.
2 = Remaining orders are proportionately reduced in size with block.
3 = Remaining orders are proportionately reduced in size with no block.
If you use a value "with block" gives your order has overfill protection. This means that only one order in the group
will be routed at a time to remove the possibility of an overfill.
• string OrderRef [get, set]
The order reference. Intended for institutional customers only, although all customers may use it to identify the API
client that sent the order when multiple API clients are running.
• bool Transmit [get, set]
Specifies whether the order will be transmitted by TWS. If set to false, the order will be created at TWS but will not be
sent.
• int ParentId [get, set]
The order ID of the parent order, used for bracket and auto trailing stop orders.
• bool BlockOrder [get, set]
If set to true, specifies that the order is an ISE Block order.
• bool SweepToFill [get, set]
If set to true, specifies that the order is a Sweep-to-Fill order.
• int DisplaySize [get, set]
The publicly disclosed order size, used when placing Iceberg orders.
• int TriggerMethod [get, set]
Specifies how Simulated Stop, Stop-Limit and Trailing Stop orders are triggered. Valid values are:
0 - The default value. The "double bid/ask" function will be used for orders for OTC stocks and US options. All other
orders will used the "last" function.
1 - use "double bid/ask" function, where stop orders are triggered based on two consecutive bid or ask prices.
2 - "last" function, where stop orders are triggered based on the last price.
3 double last function.
4 bid/ask function.
7 last or bid/ask function.
8 mid-point function.
.
• bool OutsideRth [get, set]
If set to true, allows orders to also trigger or fill outside of regular trading hours.
• bool Hidden [get, set]
If set to true, the order will not be visible when viewing the market depth. This option only applies to orders routed to
the ISLAND exchange.
• string GoodAfterTime [get, set]
Specifies the date and time after which the order will be active. Format: yyyymmdd hh:mm:ss {optional Timezone}.
• string GoodTillDate [get, set]
The date and time until the order will be active. You must enter GTD as the time in force to use this string. The trade's
"Good Till Date," format "YYYYMMDD hh:mm:ss (optional time zone)".
• bool OverridePercentageConstraints [get, set]
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26.23 Order Class Reference 439
Overrides TWS constraints. Precautionary constraints are defined on the TWS Presets page, and help ensure tha
tyour price and size order values are reasonable. Orders sent from the API are also validated against these safety
constraints, and may be rejected if any constraint is violated. To override validation, set this parameter’s value to True.
• string Rule80A [get, set]
–Individual = 'I'
Agency = 'A'
AgentOtherMember = 'W'
IndividualPTIA = 'J'
AgencyPTIA = 'U'
AgentOtherMemberPTIA = 'M'
IndividualPT = 'K'
AgencyPT = 'Y'
AgentOtherMemberPT = 'N'
• bool AllOrNone [get, set]
Indicates whether or not all the order has to be filled on a single execution.
• int MinQty [get, set]
Identifies a minimum quantity order type.
• double PercentOffset [get, set]
The percent offset amount for relative orders.
• double TrailStopPrice [get, set]
Trail stop price for TRAILIMIT orders.
• double TrailingPercent [get, set]
Specifies the trailing amount of a trailing stop order as a percentage. Observe the following guidelines when using
the trailingPercent field:
.
• string FaGroup [get, set]
The Financial Advisor group the trade will be allocated to. Use an empty string if not applicable.
• string FaProfile [get, set]
The Financial Advisor allocation profile the trade will be allocated to. Use an empty string if not applicable.
• string FaMethod [get, set]
The Financial Advisor allocation method the trade will be allocated to. Use an empty string if not applicable.
• string FaPercentage [get, set]
The Financial Advisor percentage concerning the trade's allocation. Use an empty string if not applicable.
• string OpenClose [get, set]
For institutional customers only. Valid values are O (open), C (close). Available for institutional clients to determine if
this order is to open or close a position. When Action = "BUY" and OpenClose = "O" this will open a new position.
When Action = "BUY" and OpenClose = "C" this will close and existing short position.
• int Origin [get, set]
The order's origin. Same as TWS "Origin" column. Identifies the type of customer from which the order originated.
Valid values are 0 (customer), 1 (firm).
• int ShortSaleSlot [get, set]
–For institutions only. Valid values are: 1 (broker holds shares) or 2 (shares come from elsewhere).
• string DesignatedLocation [get, set]
Used only when shortSaleSlot is 2. For institutions only. Indicates the location where the shares to short come from.
Used only when short sale slot is set to 2 (which means that the shares to short are held elsewhere and not with IB).
• int ExemptCode [get, set]
Only available with IB Execution-Only accounts with applicable securities Mark order as exempt from short sale uptick
rule.
• double DiscretionaryAmt [get, set]
The amount off the limit price allowed for discretionary orders.
• bool ETradeOnly [get, set]
Trade with electronic quotes.
• bool FirmQuoteOnly [get, set]
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440 Class Documentation
Trade with firm quotes.
• double NbboPriceCap [get, set]
Maximum smart order distance from the NBBO.
• bool OptOutSmartRouting [get, set]
Use to opt out of default SmartRouting for orders routed directly to ASX. This attribute defaults to false unless explicitly
set to true. When set to false, orders routed directly to ASX will NOT use SmartRouting. When set to true, orders
routed directly to ASX orders WILL use SmartRouting.
• int AuctionStrategy [get, set]
–For BOX orders only. Values include: 1 - match
2 - improvement
3 - transparent
• double StartingPrice [get, set]
The auction's starting price. For BOX orders only.
• double StockRefPrice [get, set]
The stock's reference price. The reference price is used for VOL orders to compute the limit price sent to an exchange
(whether or not Continuous Update is selected), and for price range monitoring.
• double Delta [get, set]
The stock's Delta. For orders on BOX only.
• double StockRangeLower [get, set]
The lower value for the acceptable underlying stock price range. For price improvement option orders on BOX and
VOL orders with dynamic management.
• double StockRangeUpper [get, set]
The upper value for the acceptable underlying stock price range. For price improvement option orders on BOX and
VOL orders with dynamic management.
• double Volatility [get, set]
The option price in volatility, as calculated by TWS' Option Analytics. This value is expressed as a percent and is
used to calculate the limit price sent to the exchange.
• int VolatilityType [get, set]
Values include:
1 - Daily Volatility 2 - Annual Volatility.
• int ContinuousUpdate [get, set]
Specifies whether TWS will automatically update the limit price of the order as the underlying price moves. VOL
orders only.
• int ReferencePriceType [get, set]
Specifies how you want TWS to calculate the limit price for options, and for stock range price monitoring. VOL orders
only. Valid values include:
1 - Average of NBBO
2 - NBB or the NBO depending on the action and right.
.
• string DeltaNeutralOrderType [get, set]
Enter an order type to instruct TWS to submit a delta neutral trade on full or partial execution of the VOL order. VOL
orders only. For no hedge delta order to be sent, specify NONE.
• double DeltaNeutralAuxPrice [get, set]
Use this field to enter a value if the value in the deltaNeutralOrderType field is an order type that requires an Aux
price, such as a REL order. VOL orders only.
• int DeltaNeutralConId [get, set]
–DOC_TODO
• string DeltaNeutralSettlingFirm [get, set]
–DOC_TODO
• string DeltaNeutralClearingAccount [get, set]
–DOC_TODO
• string DeltaNeutralClearingIntent [get, set]
–DOC_TODO
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26.23 Order Class Reference 441
• string DeltaNeutralOpenClose [get, set]
Specifies whether the order is an Open or a Close order and is used when the hedge involves a CFD and and the
order is clearing away.
• bool DeltaNeutralShortSale [get, set]
Used when the hedge involves a stock and indicates whether or not it is sold short.
• int DeltaNeutralShortSaleSlot [get, set]
–Has a value of 1 (the clearing broker holds shares) or 2 (delivered from a third party). If you use 2, then you
must specify a deltaNeutralDesignatedLocation.
• string DeltaNeutralDesignatedLocation [get, set]
–Used only when deltaNeutralShortSaleSlot = 2.
• double BasisPoints [get, set]
–DOC_TODO For EFP orders only.
• int BasisPointsType [get, set]
–DOC_TODO For EFP orders only.
• int ScaleInitLevelSize [get, set]
Defines the size of the first, or initial, order component. For Scale orders only.
• int ScaleSubsLevelSize [get, set]
Defines the order size of the subsequent scale order components. For Scale orders only. Used in conjunction with
scaleInitLevelSize().
• double ScalePriceIncrement [get, set]
Defines the price increment between scale components. For Scale orders only. This value is compulsory.
• double ScalePriceAdjustValue [get, set]
–DOC_TODO For extended Scale orders.
• int ScalePriceAdjustInterval [get, set]
–DOC_TODO For extended Scale orders.
• double ScaleProfitOffset [get, set]
–DOC_TODO For extended scale orders.
• bool ScaleAutoReset [get, set]
–DOC_TODO For extended scale orders.
• int ScaleInitPosition [get, set]
–DOC_TODO For extended scale orders.
• int ScaleInitFillQty [get, set]
–DOC_TODO For extended scale orders.
• bool ScaleRandomPercent [get, set]
–DOC_TODO For extended scale orders.
• string HedgeType [get, set]
For hedge orders. Possible values include:
D - delta
B - beta
F - FX
P - Pair
.
• string HedgeParam [get, set]
–DOC_TODO Beta = x for Beta hedge orders, ratio = y for Pair hedge order
• string Account [get, set]
The account the trade will be allocated to.
• string SettlingFirm [get, set]
–DOC_TODO Institutions only. Indicates the firm which will settle the trade.
• string ClearingAccount [get, set]
Specifies the true beneficiary of the order. For IBExecution customers. This value is required for FUT/FOP orders for
reporting to the exchange.
• string ClearingIntent [get, set]
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442 Class Documentation
For exeuction-only clients to know where do they want their shares to be cleared at. Valid values are: IB, Away, and
PTA (post trade allocation).
• string AlgoStrategy [get, set]
The algorithm strategy. As of API verion 9.6, the following algorithms are supported:
ArrivalPx - Arrival Price
DarkIce - Dark Ice
PctVol - Percentage of Volume
Twap - TWAP (Time Weighted Average Price)
Vwap - VWAP (Volume Weighted Average Price)
For more information about IB's API algorithms, refer to https://www.interactivebrokers.←-
com/en/software/api/apiguide/tables/ibalgo_parameters.htm.
• List<TagValue >AlgoParams [get, set]
The list of parameters for the IB algorithm. For more information about IB's API algorithms, refer to
https://www.interactivebrokers.com/en/software/api/apiguide/tables/ibalgo←-
_parameters.htm.
• bool WhatIf [get, set]
Allows to retrieve the commissions and margin information. When placing an order with this attribute set to true, the
order will not be placed as such. Instead it will used to request the commissions and margin information that would
result from this order.
• string AlgoId [get, set]
• bool NotHeld [get, set]
Orders routed to IBDARK are tagged as “post only” and are held in IB's order book, where incoming SmartRouted
orders from other IB customers are eligible to trade against them. For IBDARK orders only.
• List<TagValue >SmartComboRoutingParams [get, set]
Advanced parameters for Smart combo routing.
These features are for both guaranteed and nonguaranteed combination orders routed to Smart, and are available
based on combo type and order type. SmartComboRoutingParams is similar to AlgoParams in that it makes use of
tag/value pairs to add parameters to combo orders.
Make sure that you fully understand how Advanced Combo Routing works in TWS itself first: https://www.←-
interactivebrokers.com/en/software/tws/usersguidebook/specializedorderentry/advanced←-
_combo_routing.htm
The parameters cover the following capabilities:
• List<OrderComboLeg >OrderComboLegs [get, set]
List of Per-leg price following the same sequence combo legs are added. The combo price must be left unspecified
when using per-leg prices.
• List<TagValue >OrderMiscOptions [get, set]
–DOC_TODO
• string ActiveStartTime [get, set]
for GTC orders.
• string ActiveStopTime [get, set]
for GTC orders.
• string ScaleTable [get, set]
Used for scale orders.
• string ModelCode [get, set]
model code
• string ExtOperator [get, set]
This is a regulartory attribute that applies to all US Commodity (Futures) Exchanges, provided to allow client to comply
with CFTC Tag 50 Rules.
• double CashQty [get, set]
The native cash quantity.
• string Mifid2DecisionMaker [get, set]
Identifies a person as the responsible party for investment decisions within the firm. Orders covered by MiFID 2
(Markets in Financial Instruments Directive 2) must include either Mifid2DecisionMaker or Mifid2DecisionAlgo field
(but not both). Requires TWS 969+.
• string Mifid2DecisionAlgo [get, set]
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26.23 Order Class Reference 443
Identifies the algorithm responsible for investment decisions within the firm. Orders covered under MiFID 2 must
include either Mifid2DecisionMaker or Mifid2DecisionAlgo, but cannot have both. Requires TWS 969+.
• string Mifid2ExecutionTrader [get, set]
For MiFID 2 reporting; identifies a person as the responsible party for the execution of a transaction within the firm.
Requires TWS 969+.
• string Mifid2ExecutionAlgo [get, set]
For MiFID 2 reporting; identifies the algorithm responsible for the execution of a transaction within the firm. Requires
TWS 969+.
• bool DontUseAutoPriceForHedge [get, set]
Don't use auto price for hedge.
• bool RandomizeSize [get, set]
–DOC_TODO
• bool RandomizePrice [get, set]
–DOC_TODO
• int ReferenceContractId [get, set]
Pegged-to-benchmark orders: this attribute will contain the conId of the contract against which the order will be
pegged.
• bool IsPeggedChangeAmountDecrease [get, set]
Pegged-to-benchmark orders: indicates whether the order's pegged price should increase or decreases.
• double PeggedChangeAmount [get, set]
Pegged-to-benchmark orders: amount by which the order's pegged price should move.
• double ReferenceChangeAmount [get, set]
Pegged-to-benchmark orders: the amount the reference contract needs to move to adjust the pegged order.
• string ReferenceExchange [get, set]
Pegged-to-benchmark orders: the exchange against which we want to observe the reference contract.
• string AdjustedOrderType [get, set]
Adjusted Stop orders: the parent order will be adjusted to the given type when the adjusted trigger price is penetrated.
• double TriggerPrice [get, set]
–DOC_TODO
• double LmtPriceOffset [get, set]
–DOC_TODO
• double AdjustedStopPrice [get, set]
Adjusted Stop orders: specifies the stop price of the adjusted (STP) parent.
• double AdjustedStopLimitPrice [get, set]
Adjusted Stop orders: specifies the stop limit price of the adjusted (STPL LMT) parent.
• double AdjustedTrailingAmount [get, set]
Adjusted Stop orders: specifies the trailing amount of the adjusted (TRAIL) parent.
• int AdjustableTrailingUnit [get, set]
Adjusted Stop orders: specifies where the trailing unit is an amount (set to 0) or a percentage (set to 1)
• List<OrderCondition >Conditions [get, set]
Conditions determining when the order will be activated or canceled.
• bool ConditionsIgnoreRth [get, set]
Indicates whether or not conditions will also be valid outside Regular Trading Hours.
• bool ConditionsCancelOrder [get, set]
Conditions can determine if an order should become active or canceled.
•SoftDollarTier Tier [get, set]
Define the Soft Dollar Tier used for the order. Only provided for registered professional advisors and hedge and
mutual funds.
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444 Class Documentation
26.23.1 Detailed Description
The order's description.
See also
Contract (p. ??), OrderComboLeg (p. ??), OrderState
26.23.2 Property Documentation
26.23.2.1 SmartComboRoutingParams
List<TagValue>SmartComboRoutingParams [get], [set]
Advanced parameters for Smart combo routing.
These features are for both guaranteed and nonguaranteed combination orders routed to Smart, and are available
based on combo type and order type. SmartComboRoutingParams is similar to AlgoParams in that it makes use of
tag/value pairs to add parameters to combo orders.
Make sure that you fully understand how Advanced Combo Routing works in TWS itself first: https://www.←-
interactivebrokers.com/en/software/tws/usersguidebook/specializedorderentry/advanced←-
_combo_routing.htm
The parameters cover the following capabilities:
• Non-Guaranteed - Determine if the combo order is Guaranteed or Non-Guaranteed.
Tag = NonGuaranteed
Value = 0: The order is guaranteed
Value = 1: The order is non-guaranteed
• Select Leg to Fill First - User can specify which leg to be executed first.
Tag = LeginPrio
Value = -1: No priority is assigned to either combo leg
Value = 0: Priority is assigned to the first leg being added to the comboLeg
Value = 1: Priority is assigned to the second leg being added to the comboLeg
Note: The LeginPrio parameter can only be applied to two-legged combo.
• Maximum Leg-In Combo Size - Specify the maximum allowed leg-in size per segment
Tag = MaxSegSize
Value = Unit of combo size
• Do Not Start Next Leg-In if Previous Leg-In Did Not Finish - Specify whether or not the system should attempt
to fill the next segment before the current segment fills.
Tag = DontLeginNext
Value = 0: Start next leg-in even if previous leg-in did not finish
Value = 1: Do not start next leg-in if previous leg-in did not finish
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26.24 OrderComboLeg Class Reference 445
• Price Condition - Combo order will be rejected or cancelled if the leg market price is outside of the specified
price range [CondPriceMin, CondPriceMax]
Tag = PriceCondConid: The ContractID of the combo leg to specify price condition on
Value = The ContractID
Tag = CondPriceMin: The lower price range of the price condition
Value = The lower price
Tag = CondPriceMax: The upper price range of the price condition
Value = The upper price
26.23.2.2 TrailingPercent
double TrailingPercent [get], [set]
Specifies the trailing amount of a trailing stop order as a percentage. Observe the following guidelines when using
the trailingPercent field:
.
• This field is mutually exclusive with the existing trailing amount. That is, the API client can send one or the
other but not both.
• This field is read AFTER the stop price (barrier price) as follows: deltaNeutralAuxPrice stopPrice, trailing←-
Percent, scale order attributes
• The field will also be sent to the API in the openOrder message if the API client version is >= 56. It is sent
after the stopPrice field as follows: stopPrice, trailingPct, basisPoint
26.24 OrderComboLeg Class Reference
Allows to specify a price on an order's leg.
Public Member Functions
•OrderComboLeg (double p_price)
• override bool Equals (Object other)
Properties
• double Price [get, set]
The order's leg's price.
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446 Class Documentation
26.24.1 Detailed Description
Allows to specify a price on an order's leg.
See also
Order (p. ??), ComboLeg
26.25 OrderState Class Reference
Provides an active order's current state.
Public Member Functions
•OrderState (string status, string initMarginBefore, string maintMarginBefore, string equityWithLoanBefore,
string initMarginChange, string maintMarginChange, string equityWithLoanChange, string initMarginAfter,
string maintMarginAfter, string equityWithLoanAfter, double commission, double minCommission, double
maxCommission, string commissionCurrency, string warningText)
• override bool Equals (Object other)
Properties
• string Status [get, set]
The order's current status.
• string InitMarginBefore [get, set]
The account's current initial margin.
• string MaintMarginBefore [get, set]
The account's current maintenance margin.
• string EquityWithLoanBefore [get, set]
The account's current equity with loan.
• string InitMarginChange [get, set]
The change of the account's initial margin.
• string MaintMarginChange [get, set]
The change of the account's maintenance margin.
• string EquityWithLoanChange [get, set]
The change of the account's equity with loan.
• string InitMarginAfter [get, set]
The order's impact on the account's initial margin.
• string MaintMarginAfter [get, set]
The order's impact on the account's maintenance margin.
• string EquityWithLoanAfter [get, set]
Shows the impact the order would have on the account's equity with loan.
• double Commission [get, set]
The order's generated commission.
• double MinCommission [get, set]
The execution's minimum commission.
• double MaxCommission [get, set]
The executions maximum commission.
• string CommissionCurrency [get, set]
The generated commission currency.
• string WarningText [get, set]
If the order is warranted, a descriptive message will be provided.
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26.26 PercentChangeCondition Class Reference 447
26.25.1 Detailed Description
Provides an active order's current state.
See also
Order
26.25.2 Property Documentation
26.25.2.1 CommissionCurrency
string CommissionCurrency [get], [set]
The generated commission currency.
See also
CommissionReport
26.26 PercentChangeCondition Class Reference
Used with conditional orders to place or submit an order based on a percentage change of an instrument to the last
close price.
Inheritance diagram for PercentChangeCondition:
PercentChangeCondition
ContractCondition
Properties
• override string Value [get, set]
• double ChangePercent [get, set]
26.26.1 Detailed Description
Used with conditional orders to place or submit an order based on a percentage change of an instrument to the last
close price.
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448 Class Documentation
26.27 PriceCondition Class Reference
Used with conditional orders to cancel or submit order based on price of an instrument.
Inheritance diagram for PriceCondition:
PriceCondition
ContractCondition
Public Member Functions
• override string ToString ()
• override bool Equals (object obj)
• override int GetHashCode ()
• override void Deserialize (IDecoder inStream)
• override void Serialize (BinaryWriter outStream)
Protected Member Functions
• override bool TryParse (string cond)
Properties
• override string Value [get, set]
• double Price [get, set]
• TriggerMethod TriggerMethod [get, set]
26.27.1 Detailed Description
Used with conditional orders to cancel or submit order based on price of an instrument.
26.28 ScannerSubscription Class Reference
Defines a market scanner request.
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26.28 ScannerSubscription Class Reference 449
Properties
• int NumberOfRows [get, set]
The number of rows to be returned for the query.
• string Instrument [get, set]
The instrument's type for the scan. I.e. STK, FUT.HK, etc.
• string LocationCode [get, set]
The request's location (STK.US, STK.US.MAJOR, etc).
• string ScanCode [get, set]
Same as TWS Market Scanner's "parameters" field, for example: TOP_PERC_GAIN.
• double AbovePrice [get, set]
Filters out Contracts which price is below this value.
• double BelowPrice [get, set]
Filters out contracts which price is above this value.
• int AboveVolume [get, set]
Filters out Contracts which volume is above this value.
• int AverageOptionVolumeAbove [get, set]
Filters out Contracts which option volume is above this value.
• double MarketCapAbove [get, set]
Filters out Contracts which market cap is above this value.
• double MarketCapBelow [get, set]
Filters out Contracts which market cap is below this value.
• string MoodyRatingAbove [get, set]
Filters out Contracts which Moody's rating is below this value.
• string MoodyRatingBelow [get, set]
Filters out Contracts which Moody's rating is above this value.
• string SpRatingAbove [get, set]
Filters out Contracts with a S&P rating below this value.
• string SpRatingBelow [get, set]
Filters out Contracts with a S&P rating above this value.
• string MaturityDateAbove [get, set]
Filter out Contracts with a maturity date earlier than this value.
• string MaturityDateBelow [get, set]
Filter out Contracts with a maturity date older than this value.
• double CouponRateAbove [get, set]
Filter out Contracts with a coupon rate lower than this value.
• double CouponRateBelow [get, set]
Filter out Contracts with a coupon rate higher than this value.
• string ExcludeConvertible [get, set]
Filters out Convertible bonds.
• string ScannerSettingPairs [get, set]
For example, a pairing "Annual, true" used on the "top Option Implied Vol % Gainers" scan would return annualized
volatilities.
• string StockTypeFilter [get, set]
–CORP = Corporation ADR = American Depositary Receipt ETF = Exchange Traded Fund REIT = Real Estate
Investment Trust CEF = Closed End Fund
26.28.1 Detailed Description
Defines a market scanner request.
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450 Class Documentation
26.29 SoftDollarTier Class Reference
A container for storing Soft Dollar Tier information.
Public Member Functions
•SoftDollarTier (string name, string value, string displayName)
• override bool Equals (object obj)
• override int GetHashCode ()
• override string ToString ()
Static Public Member Functions
• static bool operator== (SoftDollarTier left, SoftDollarTier right)
• static bool operator!= (SoftDollarTier left, SoftDollarTier right)
Properties
• string Name [get]
The name of the Soft Dollar Tier.
• string Value [get]
The value of the Soft Dollar Tier.
• string DisplayName [get]
The display name of the Soft Dollar Tier.
26.29.1 Detailed Description
A container for storing Soft Dollar Tier information.
26.30 TagValue Class Reference
Convenience class to define key-value pairs.
Public Member Functions
•TagValue (string p_tag, string p_value)
• override bool Equals (Object other)
Properties
• string Tag [get, set]
• string Value [get, set]
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26.31 TickAttrib Class Reference 451
26.30.1 Detailed Description
Convenience class to define key-value pairs.
26.31 TickAttrib Class Reference
Tick attributes that describes additional information for price ticks.
Properties
• bool CanAutoExecute [get, set]
Specifies whether the price tick is available for automatic execution (1) or not (0)
• bool PastLimit [get, set]
Indicates whether the bid price is lower than the day's lowest value or the ask price is higher than the highest ask.
• bool PreOpen [get, set]
Indicates whether the bid/ask price tick is from pre-open session.
• bool Unreported [get, set]
• bool BidPastLow [get, set]
• bool AskPastHigh [get, set]
26.31.1 Detailed Description
Tick attributes that describes additional information for price ticks.
See also
EWrapper::tickPrice
26.32 TimeCondition Class Reference
Time condition used in conditional orders to submit or cancel orders at specified time.
Inheritance diagram for TimeCondition:
TimeCondition
OperatorCondition
Public Member Functions
• override string ToString ()
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452 Class Documentation
Protected Member Functions
• override bool TryParse (string cond)
Properties
• override string Value [get, set]
• string Time [get, set]
Time field used in conditional order logic. Valid format: YYYYMMDD HH:MM:SS.
26.32.1 Detailed Description
Time condition used in conditional orders to submit or cancel orders at specified time.
26.33 VolumeCondition Class Reference
Used with conditional orders to submit or cancel an order based on a specified volume change in a security.
Inheritance diagram for VolumeCondition:
VolumeCondition
ContractCondition
Properties
• override string Value [get, set]
• int Volume [get, set]
26.33.1 Detailed Description
Used with conditional orders to submit or cancel an order based on a specified volume change in a security.
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