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 ActiveX API Order status processing with VBA Dictionary object
Posted in Interactive Brokers API, Programming examples Tagged with: ActiveX, Excel, IB ActiveX API, IB API, Interactive Brokers
Calculating Correlations of Forex Currency Pairs in Python
Traders often calculate correlation between different instruments, such as stocks and ETFs, or Forex currency pairs. It is important to know if you portfolio is properly diversified. Highly correlated instruments in your portfolio will tend to go up and down together compromising your diversification strategy. Keeping an eye for high correlations (positive or negative) is even more important to Forex traders, since currency pairs often exhibit high positive or negative correlations due to market conditions or having similar market drivers.… Read more...
Posted in Data Analysis, Programming examples
- 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.
Interactive Brokers (IB) is a low cost provider of trade execution and clearing services for individuals, advisors, prop trading groups, brokers and hedge funds. IB's premier technology provides direct access to stocks, options, futures, forex, bonds and funds on over 100 markets worldwide from a single IB Universal account.
Member NYSE, FINRA, SIPC. Visit www.interactivebrokers.com for more information.