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Missing live trading order with IB
Sunil Mishra
posted Nov 17, 2016

I have an algorithm that I'm live trading. In the quantopian live trading dashboard I see PLUS limit order for -16 at 95.68, open. PLUS is right now trading at 105.10.

I go into IB, and I don't see a corresponding open order for PLUS. Other orders, buy and sell, have executed. This order hasn't been canceled. My algorithm sets up orders only once a day, so there should be no discrepancy between the live trading console and IB. Any ideas on what might be happening here? Is there for instance a limit on how many open orders quantopian can create on the IB platform at the same time?

Sunil

3 responses
Dan Dunn
Nov 17, 2016

That definitely doesn't sound right. Sometimes Quantopian has problems opening an order with IB - the order is rejected by IB, or cancelled, or perhaps even a connection problem. The order then reflects the error state. But when Quantopian reports an order as "open" it means we think the order is getting into IB properly.

If you drop an email to [email protected] with the algorithm's URL we can dig into it further.

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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.

Joseph Everly
Nov 17, 2016

I had a similar issue a couple of weeks ago, and we tracked it down to the new list of securities in the "tick size pilot program" - if the order wasn't submitted in 5 cent increments, IB would just ignore it. Here's the list of securities:

http://tsp.finra.org/finra_org/ticksizepilot/TSPilotSecurities.txt

I just wrote a little function to change every limit order to 5 cent increments.

Sunil Mishra
Nov 18, 2016

Joseph, thanks for reminding me, I had seen this note too and it had completely slipped my mind. I'll update my code to round down/up to the 5 cent increment.

Sunil

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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.