If you ever submitted an order to Trader Workstation using IB API - you are probably aware of a well-known issue involving Interactive Brokers platform sending back duplicate order status updates. This can be problematic if your order management system or trading algorithm relies on accurate order status information. For example, a duplicate "FILLED" order status message for the same order ID can be misleading and confuse your trading logic.
This post demonstrates a method for improving IB ActiveX API's order status handling code using VBA Dictionary object. The algorithm for filtering out duplicate order status updates demonstrated in this post can also be used in Java, C++, and C# applications.
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- IB Data Downloader version 3.3 is now available!
- Download historical data from Interactive Brokers.
- Stocks, Futures, ETFs, Indexes, Forex, Options, FOPs.
- Now supports options historical data download!
- Runs on Windows, MacOS, Linux.
- Automatically handles IB API pacing violations, no restrictions on duration due to pacing limitations!
- Supports historical data for expired futures contracts.
- IB Excel Trader version 1.6 is now available!
- Trade Stocks, ETFs, Futures, and Forex directly from Excel.
- Implement custom trading rules using spreadsheet formulas or VBA.
- Program entry rules for single or bracket exit orders. Market, Stop, Limit, Stop-Limit, as well as complex algo orders are supported.
- Order Log sheet (new!). Contains a detailed list of each order status change in a filterable Excel table.
- Use our Customization Service to extend IB Excel Trader and contract our programmers to develop your custom trading strategies.
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