Live and working IB trading system for Equities

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Live and working IB trading system for Equities

edited

Please post up your examples. Interested to see how people are handling things such stuck orders, unfilled shorts...

1 response

Simon Thornington

def cancel_all_stale(context, data):  
    now = get_now()  
    sids_cancelled = set()  
    fresh_orders = False  
    open_orders = get_open_orders()  
    for security, orders in open_orders.iteritems():  
        for oo in orders:  
            if ((get_datetime() - oo.dt) > context.order_cancel_working_time):  
                log.warn(str(now) + ": Cancelling order placed at " + str(oo.dt) +  " for " + str(oo.amount) + " shares of " + str(oo.sid.symbol) + "!")  
                sids_cancelled.add(oo.sid)  
                cancel_order(oo)  
            else:  
                fresh_orders = True  
                #log.info(str(now) + ": NOT CANCELLING order for " + str(oo.amount) + " shares of " + str(oo.sid.symbol) + " because it's fresh!")  
    return (sids_cancelled, fresh_orders)

That's something I wrote for stuck/unfilled shorts. I combined it with some code which inverts the usual weights->positions calculation so that if one leg of a hedged basket is partially filled after the above timeout, it calculates an "implied portfolio value" from the existing basket positions to rescale all the other legs downward, so that what you end up with is a hedged, but smaller, basket.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.