Tag Archives: Interactive Broker

Interactive Brokers API native Python 3 is not stable yet

Running Interactive Brokers with native Python support seems to be a pain in the ass. As I see it, I will continue with the methodologies I show in my Interactive Brokers API course. It seems that using Python 3 on Mac is a real pain so I am not bothered to fully implement or install until there is an official document to show to to implement. It seems that this current API version is not fully stable but only experimental.

What I will do

As for me, I will continue with the same path in using Redis NOSQL for the central data hub. We can connect Redis with either C++ or Java to interface with Interactive Brokers Treader Workstation (TWS). I shall stick with this for many reasons as we currently sit.

I have included some useful URL tips if you are interested. Pleaseunderstand I get frustrated with all these unofficial ways to implement.  I will just stick with the current non Python techniques I have.

https://qoppac.blogspot.ca/2017/03/interactive-brokers-native-python-api.html

Interactive Brokers makes new API available for Python programmers

https://groups.io/g/twsapi/topic/how_to_install_python_api_on/4852334?p=,,,20,0,0,0::recentpostdate%2Fsticky,,,20,2,20,4852334

Interactive Brokers makes new API available for Python programmers

https://www.elitetrader.com/et/threads/ib-native-python-api-for-dummies.307989/

I am sure this will get hammered out over the next few months. Note that this API client release (with the Python client) is not stable. As a result, I will not even enter the fray of playing around with this until there is a stable release you can download.

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Interactive Broker API Workshop Bootcamps LIVE session times: Sat Nov 26 and Dec 3

Interactive Broker #API Workshop Bootcamp LIVE session times: Sat Nov 26 and Dec 3
 
This is a reminder for everyone tomorrow. The Tuesday LIVE session has been posted! This is only available to all my QUANT ELITE members. Don’t forget our wild BLACK EVENT Friday event that ends at midnite. Ask here if you know nothing about it!
 
http://quantlabs.net/academy/interactive-broker-api-workshop-bootcamps-live-session-times-sat-nov-26-and-dec/
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Interactive Broker Java API with Redis or ZeroMQ

Interactive Broker Java API with Redis or ZeroMQ

As Interactive Brokers (IB) is my top pick as a broker, it seems I will be forced to use the Java API (their most popular)

https://www.interactivebrokers.com/en/?f=%2Fen%2Fsoftware%2Fibapi.php&ns=T

From there to be on Mac OSX or Linux, I need to build some communication layer between the Simulink C++/C model to a ‘pricing engine’ for IB. I have two choices to resurrect ZeroMQ or use Redis as described here:

http://redis.io/topics/protocol

http://redis.io/topics/pipelining

Which would you go with?

Note: It looks like Redis could be a winner with v3 which includes custering and failover in Sentinel. Also look at the performance towards the end of this link as long as your server has sufficient (ie. 32 GB RAM)

http://stackoverflow.com/questions/18591999/zmq-vs-redis-for-pub-sub-pattern

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I doubt you can use Interactive Broker TWS software for high frequency trading because of this…no more questions about it

I doubt you can use Interactive Broker TWS software for high frequency trading because of this…no more questions about it

Refer to this link

http://quant.stackexchange.com/questions/325/is-the-interactive-brokers-api-suitable-for-hft

Note:

‘ll just add that with Interactive Brokers you have to be aware of their cancel fees. Remember, Interactive Brokers owns Timber Hill, a very large and active market maker. They will discourage you from competing with Timber Hill through monetary disincentives, among other things.

For example, if you send a directed order (i.e., you don’t allow IB to SMART route it), that order will be subject to a cancellation fee. See: http://individuals.interactivebrokers.com/en/p.php?f=otherFees, specifically the Stock tab.

You’ll notice a $0.12 fee for cancelling or modifying directed orders. This is outrageously high and completely eliminates any HF strategy, even if the latency, market data, and other issues raised in the other answers were non-existent.

IB is not interested in HFT flow. They make their money in other ways. Automated traders that choose to use IB are best off letting them route with SMART and accept/embrace the fact that Timber Hill will get a chance to internalize the order.

And

Updates and orders with the TWS API occur on the order of 10s to 100s of milliseconds, as far as I can tell, which would disqualify it for use in the regime described in the article. (This is just what I have measured on my own computer on my retail Internet connection.)

Honestly I would be surprised if anyone could do HFT with any retail product. Sounds impossible

 

So please no more questions about. In this link you will fine the alternative players who will get you closest to it

All in all, you can still use it for your low frequency trading. Big money is in the market making

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Thanks to Ernie Chan, he has confirmed Interactive Broker API is same as TWS and gateway exchange

Thanks to Ernie Chan, he has confirmed Interactive Broker API is same as TWS and gateway exchange

He has confirmed this but the question is: Does my library easily support that that transition from TWS to gateway exchange in a seamless way.

If so, this will be a boon for Quant Elite members who want to transition their trading execution from TWS to the IB exchange gateway.

I have confirmed this is the case

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Interesting video on Model Portfolio with Interactive Broker TWS client software for quant trading

Interesting video on Model Portfolio with Interactive Broker TWS client software for quant trading

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You control of price matching side of Interactive Brokers when you submit orders? Control of an automated market marker?

Do you have control on the price matching side of Interactive Brokers when you submit your trades and orders? Control of an automated market marker?

From a QuantLabs.net Premium Member:

 

Hi Bryan,
Have you tested the order fill function in IB TWS Demo Account in your
trading platform? Do the orders filled with order book matching
property? This is important for me, as my live simulation depends on
order matching as well.

Thanks in advance!

I would not rely on the backend of what TWS does. At this ;oint, I am only concerned that there is a fill on the order which I have confirmed. Matching is usually controlled on the broker side unless you are on the exchange or have large orders. Let me know if I am wrong on this thinking.

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Interactive Brokers dying? Options of MB Trading Goldman Sachs TD Ameritrade dbFX Lighspeed Sterling Pro for open source forex trading

Interactive Brokers dying?  Options of MB Trading Goldman Sachs  TD Ameritrade dbFX Lighspeed Sterling Pro for open source forex trading

What are the options?

Discuss here:

http://quantlabs.net/academy/forum/quant-academy-forum/could-interactive-brokers-be-in-death-spiral-discuss-other-options-like-mb-trading-goldman-sachs-dbfx-lighspeed-sterling-pro/#p42

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Youtube Demo of TWSLink2 for Matlab Simulink trading order with Interactive Broker TWS with C# and C++

Youtube Demo of TWSLink2 for Matlab Simulink trading order with Interactive Broker TWS with C# and C++

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Youtube video Demo of Interactive Broker TWS C++ client with GPU CUDA Tesla Compute Cluster

Youtube video Demo of Interactive Broker TWS C++ client with GPU CUDA Tesla Compute Cluster

This is what my HFT platform’s graphical user interface will be based off. The POSIX throws unresolved errors so I am focusing on Windows with Visual C++. Hooray…we got something working so now I focus on testing a very very basic Matlab strategy for this new app.

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