http://www.dinosaurtech.com/forums/ Dinosaur Technology and Trading: Last 35 Posts en Fri, 29 Aug 2008 00:36:43 +0000 http://www.dinosaurtech.com/forums/topic/trailingstoplimit-description-needs-a-space#post-209 Mon, 25 Aug 2008 20:56:44 +0000 Neil 209@http://www.dinosaurtech.com/forums/ <p>The description attribute for TrailingStopLimit of enum OrderType is [Description("TRAILLIMIT")], but needs to be [Description("TRAIL LIMIT")] else a System.InvalidCastException occurs. </p> http://www.dinosaurtech.com/forums/topic/1-second-historical-data-requests-appear-not-to-work#post-208 Mon, 25 Aug 2008 12:41:44 +0000 Neil 208@http://www.dinosaurtech.com/forums/ <p>Thanks Karl, changing [Description("1 sec")] to [Description("1 secs")] in enum BarSize made it work.</p> <p>Here is some 1-second data:</p> <p>DATETIME,OPEN,HIGH,LOW,CLOSE,VOLUME,SYMBOL<br /> 22-Aug-2008 12:59:30,97.94,97.95,97.94,97.95,5,DNA<br /> 22-Aug-2008 12:59:31,97.95,97.95,97.94,97.94,14,DNA<br /> 22-Aug-2008 12:59:32,97.95,97.95,97.95,97.95,3,DNA<br /> 22-Aug-2008 12:59:33,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:34,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:35,97.95,97.95,97.95,97.95,1,DNA<br /> 22-Aug-2008 12:59:36,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:37,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:38,97.95,97.95,97.95,97.95,1,DNA<br /> 22-Aug-2008 12:59:39,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:40,97.94,97.94,97.94,97.94,1,DNA<br /> 22-Aug-2008 12:59:41,97.94,97.94,97.94,97.94,0,DNA<br /> 22-Aug-2008 12:59:42,97.94,97.94,97.94,97.94,0,DNA<br /> 22-Aug-2008 12:59:43,97.94,97.94,97.94,97.94,0,DNA<br /> 22-Aug-2008 12:59:44,97.94,97.94,97.94,97.94,0,DNA<br /> 22-Aug-2008 12:59:45,97.95,97.95,97.95,97.95,1,DNA<br /> 22-Aug-2008 12:59:46,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:47,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:48,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:49,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:50,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:51,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:52,97.95,97.95,97.95,97.95,27,DNA<br /> 22-Aug-2008 12:59:53,97.95,97.98,97.95,97.98,21,DNA<br /> 22-Aug-2008 12:59:54,97.98,97.98,97.98,97.98,0,DNA<br /> 22-Aug-2008 12:59:55,97.96,97.96,97.96,97.96,5,DNA<br /> 22-Aug-2008 12:59:56,97.95,97.95,97.95,97.95,1,DNA<br /> 22-Aug-2008 12:59:57,97.95,97.95,97.95,97.95,0,DNA<br /> 22-Aug-2008 12:59:58,97.98,97.98,97.98,97.98,21,DNA<br /> 22-Aug-2008 12:59:59,97.98,97.98,97.98,97.98,0,DNA </p> http://www.dinosaurtech.com/forums/topic/how-does-ibclientrun-avoid-the-end-of-the-stream#post-207 Mon, 18 Aug 2008 15:27:58 +0000 dwc144 207@http://www.dinosaurtech.com/forums/ <p>Thanks for your reply, Karl. Okay, that helps to narrow down the source of my incomprehension. Here's the bit I don't understand. Inside IBClient.Run we have:</p> <p> while (!Stopping &#38;&#38; ProcessMsg((IncomingMessage)ReadInt())) ;</p> <p>Now the ReadInt calls ReadStr, which in turn includes:</p> <p> sbyte c = (sbyte)dis.ReadByte();</p> <p>The thing I don't get is why the continuous calls to ReadByte on this worker thread don't quickly exhaust the stream (and cause an EndOfStream exception). According to the MSDN documentation, the ReadByte call, </p> <p>"Reads the next byte from the current stream and advances the current position of the stream by one byte."</p> <p>Is the answer something as simple as that the ReadByte call on the NetworkStream never actually reaches the end, because another null or zero value byte is dropped onto the end of the stream, as quickly as the ReadByte call mows through the stream? </p> http://www.dinosaurtech.com/forums/topic/96-in-progress#post-206 Mon, 18 Aug 2008 08:56:00 +0000 Karl 206@http://www.dinosaurtech.com/forums/ <p>Just thought I'd throw out a note that I am working on integrating the 9.60 beta functionality, but have not yet received the new TWS client. In any case I will release the new client once I finish the port and do some testing. </p> http://www.dinosaurtech.com/forums/topic/how-does-ibclientrun-avoid-the-end-of-the-stream#post-205 Mon, 18 Aug 2008 08:54:38 +0000 Karl 205@http://www.dinosaurtech.com/forums/ <p>I am not sure I follow what you are saying entirely. The reader is matching IB's functionality, in that it assumes the TCP layer provides a 100% accurate stream, and that every command fully parses the arguments. This should always result in the processmsg receiving an opcode, and if it doesn't, something has gone wrong, and it should terminate. </p> http://www.dinosaurtech.com/forums/topic/1-second-historical-data-requests-appear-not-to-work#post-204 Mon, 18 Aug 2008 08:47:50 +0000 Karl 204@http://www.dinosaurtech.com/forums/ <p>I think my barsize enum has a bug - 1 sec should be changed to 1 secs. This is strange since I know this used to work. I just updated it to 1 secs on my copy and will include it in the next release. </p> http://www.dinosaurtech.com/forums/topic/cannot-get-serverversion#post-203 Mon, 18 Aug 2008 08:46:25 +0000 Karl 203@http://www.dinosaurtech.com/forums/ <p>That just means that you are not connecting - check your firewall, and make sure that TWS has the API enabled. </p> http://www.dinosaurtech.com/forums/topic/cancelorder#post-202 Mon, 18 Aug 2008 08:45:48 +0000 Karl 202@http://www.dinosaurtech.com/forums/ <p>Hello Zark - the best way to track order Id's is to cancel an order by the order ID that you placed it with, rather than using the response arguments. IB uses various other Id's that they return in the arguments which, as you found, do not correlate to what you sent. </p> http://www.dinosaurtech.com/forums/topic/cannot-find-requestrealtimebars-documentation#post-201 Mon, 18 Aug 2008 08:42:55 +0000 Karl 201@http://www.dinosaurtech.com/forums/ <p>Hello Clam - I have not updated the api documentation in a little while - check <a href="http://individuals.interactivebrokers.com/en/software/apiReleaseNotes/api9.2.php" rel="nofollow">http://individuals.interactivebrokers.com/en/software/apiReleaseNotes/api9.2.php</a> for the latest on this function. </p> http://www.dinosaurtech.com/forums/topic/how-does-ibclientrun-avoid-the-end-of-the-stream#post-200 Wed, 13 Aug 2008 14:10:16 +0000 dwc144 200@http://www.dinosaurtech.com/forums/ <p>This is a "that's interesting, how does that work" question, rather than a bug report. As such, I appreciate the indulgence of anyone able to offer an explanation.</p> <p>Based on my first quick reading of your excellent C# client code, the reader thread within the IBClient continously polls a BinaryReader object (dis), which in turn listens to the NetworkStream of the TcpClient (socket).</p> <p>I was surprised to see that IBClient.ProcessMsg does not appear to expect zeroes to be passed to it. (If ProcessMsg is passed a zero, that would correspond to IncomingMessage.UnexpectedValue, which is not tested in the switch and would result in ProcessMsg returning a false value via the default, and would promptly close the connection!) By my reading, a zero would be returned by ReadInt any time that IBClient.ReadStr were to make it all the way to the end of the BinaryReader's stream. Out of interest, as I learn more about streams and C#, how come you don't routinely catch up to the end of the BinaryReader's stream from the first .ReadByte within ReadStr, OR, end up passing more zeroes to the ProcessMsg? </p> http://www.dinosaurtech.com/forums/topic/1-second-historical-data-requests-appear-not-to-work#post-199 Tue, 12 Aug 2008 23:11:09 +0000 Neil 199@http://www.dinosaurtech.com/forums/ <p>Hi,</p> <p>For all BarSize intervals except BarSize.OneSecond, a statement like this works for me</p> <p>client.RequestHistoricalData(ThisRequestId, history_contract,<br /> endDateTime, duration, BarSize.FiveSeconds,<br /> HistoricalDataType.Trades, 1);</p> <p>returning me historical data of asked-for BarSize.</p> <p>However, BarSize.OneSecond, with a requested duration of 30 seconds or of any duration, gives this error message:</p> <p>Error 321 Error validating request:-'tb' : cause - Historical data bar size setting is invalid. Legal ones are: 1 secs, 5 secs, 15 secs, 30 secs, 1 min, 2 mins, 3 mins, 5 mins, 15 mins, 30 mins, 1 hour, 1 day, 1 week, 1 month, 3 months, 1 year. TickerId = 1. </p> http://www.dinosaurtech.com/forums/topic/cannot-get-serverversion#post-198 Tue, 12 Aug 2008 21:12:37 +0000 lalunegrosse 198@http://www.dinosaurtech.com/forums/ <p>Now, I'm using IBClient version 9510 and Visual C# 2005. Connect and disconnect with some time and catch error on line:<br /> sbyte c = (sbyte) dis.ReadByte();<br /> when get server version from : serverVersion = ReadInt();<br /> Error message: "Unable to read data from the transport connection: An established connection was aborted by the software in your host machine."<br /> Someone can help me, please??? </p> http://www.dinosaurtech.com/forums/topic/cancelorder#post-197 Tue, 12 Aug 2008 12:10:44 +0000 zark 197@http://www.dinosaurtech.com/forums/ <p>Heyia :)</p> <p>just starting out with this great c# lib !</p> <p>I'm having an issue with canceling an order on tws</p> <p>basically i'm doing :</p> <p>client.CancelOrder(e.Execution.OrderId);</p> <p>(with e being an : ExecDetailsEventArgs e )</p> <p>IB sends me back an error : </p> <p>[4;2;515;135;Can't find order with id =515]</p> <p>i tryed with e.Execution.PermId, same problem (can't find order)</p> <p>I can't seem to find which int to send to IB to cancel an order ? </p> http://www.dinosaurtech.com/forums/topic/invalid-route-for-rt-bars#post-196 Sun, 10 Aug 2008 19:40:56 +0000 clam61 196@http://www.dinosaurtech.com/forums/ <p>i get the invalid route using realtime bars in the sample program, when i changed the symbol to be the EUR. it is sunday, and the forex market is open </p> http://www.dinosaurtech.com/forums/topic/invalid-route-error#post-195 Sat, 09 Aug 2008 13:26:21 +0000 clam61 195@http://www.dinosaurtech.com/forums/ <p>I slightly modified the provided test program, changing the realtime bar request from google to the EUR</p> <p>Forex EUR = new Forex("EUR", "USD");<br /> client.RequestRealTimeBars(16, EUR, 5, RealTimeBarType.Midpoint,false);</p> <p>I get an invalid route error.</p> <p>Could someone help? </p> http://www.dinosaurtech.com/forums/topic/cannot-find-requestrealtimebars-documentation#post-194 Thu, 07 Aug 2008 22:57:41 +0000 clam61 194@http://www.dinosaurtech.com/forums/ <p>I do not see this function in the latest documentation, but I have heard people talking about it. Could someone link me to the latest docs?</p> <p>Thanks </p> http://www.dinosaurtech.com/forums/topic/getting#post-193 Thu, 07 Aug 2008 15:37:48 +0000 Karl 193@http://www.dinosaurtech.com/forums/ <p>Hey Alon,</p> <p>I am not exactly sure what you are doing - but if you are trying to connect/disconnect/reconnect to the IBClient, you'll be disappointed. On disconnects, I dispose of the IBClient object, and recreate it to reconnect. Give that a shot and see if it helps, or let me know some more details on how your program is err'ing</p> <p>-Karl </p> http://www.dinosaurtech.com/forums/topic/problem-with-reconnecting-to-tws#post-192 Thu, 07 Aug 2008 15:30:52 +0000 Karl 192@http://www.dinosaurtech.com/forums/ <p>Yeah - I don't put a lot into cleaning up the object on a disconnect. In my usage, I always recreate the IBClient and remap things when I want to reconnect.</p> <p>If you end up making the neccesary cleanup code - shoot me a patch(or your updates), and I'll incorporate them. </p> http://www.dinosaurtech.com/forums/topic/snapshot-market-data#post-191 Wed, 06 Aug 2008 16:14:00 +0000 Karl 191@http://www.dinosaurtech.com/forums/ <p>Hello Alon,</p> <p>I don't believe you have to worry about the limit under those circumstances, so long as you don't have over 100 requests out that have not been responded to yet.</p> <p>-Karl </p> http://www.dinosaurtech.com/forums/topic/serialize-contract#post-190 Wed, 06 Aug 2008 03:58:32 +0000 derReen 190@http://www.dinosaurtech.com/forums/ <p>sorry for my post, found the discussion in the other part of the forum...</p> <p>thanks so far </p> http://www.dinosaurtech.com/forums/topic/serialize-contract#post-189 Wed, 06 Aug 2008 03:51:41 +0000 derReen 189@http://www.dinosaurtech.com/forums/ <p>i'm not able to serialize a Contract-object, because the UnderlyingComponent property is not set as Serializable. is it possible to change it?</p> <p>thanks</p> <p>reen </p> http://www.dinosaurtech.com/forums/topic/snapshot-market-data#post-188 Wed, 30 Jul 2008 04:40:42 +0000 alongivati 188@http://www.dinosaurtech.com/forums/ <p>Hi Karl,</p> <p>1. If I always call RequestMarketData with snapshot = true, Do I need to worry about the 100 tickers limitation ?<br /> 2. I understand that TickType.Volume represents the number of traded stocks. Is there a way to get the total Dollar worth of all the trades in a given day ?</p> <p>Thanks,<br /> ALON </p> http://www.dinosaurtech.com/forums/topic/problem-with-reconnecting-to-tws#post-187 Thu, 24 Jul 2008 17:20:05 +0000 lksf 187@http://www.dinosaurtech.com/forums/ <p>Funny, as I was debugging this, I realized that the IBClient.Connected property is still set to True even after the ConnectionClosed event is fired. </p> http://www.dinosaurtech.com/forums/topic/problem-with-reconnecting-to-tws#post-186 Thu, 24 Jul 2008 14:22:57 +0000 lksf 186@http://www.dinosaurtech.com/forums/ <p>Hi,</p> <p>I instantiate a client, hook events, connect to TWS and everything works great.<br /> However, if I call .Disconnect and then .Connect again, the events stop firing.<br /> I look at the TWS log and I see that my requests are pass to it and are processed, but my program doesn't get anything. Not even the 'Error' event that is fired upon connection to TWS - and this event is present in the TWS log.</p> <p>Has anyone had similar problem?</p> <p>Thanks. </p> http://www.dinosaurtech.com/forums/topic/getting-market-data-with-time#post-185 Thu, 24 Jul 2008 13:51:27 +0000 Neil 185@http://www.dinosaurtech.com/forums/ <p>ap, how more specifically do you generate and store bars greater than 5 seconds in length? I have an inkling on how to do it, but if you have it already figured out, it would be nice if you could post your code for how you do it so that we may all benefit.</p> <p>You too Karl, if you have code for generating and storing bars greater than 5 seconds in length please post it. </p> http://www.dinosaurtech.com/forums/topic/getting#post-184 Thu, 24 Jul 2008 07:11:01 +0000 alongivati 184@http://www.dinosaurtech.com/forums/ <p>Hi Karl,<br /> Thanks for the reply.<br /> I have one more question for you:<br /> My Client is an Excel file, which gets the data using an RTD function.<br /> I run it once and it works fine. when I close it I make sure to disconnect and dispose my IBClient object. However, for some reason, when I run it again, I get an Exception from the Start() method: "This property has already been set and cannot be modified.", reffering to the "Name" property of the thread.<br /> Do you have any idea what might be the cause ?<br /> Thanks,<br /> Alon </p> http://www.dinosaurtech.com/forums/topic/getting#post-183 Wed, 23 Jul 2008 11:19:43 +0000 Karl 183@http://www.dinosaurtech.com/forums/ <p>Hey Alon,</p> <p>That is correct - just use the snapshot parameter,</p> <p>-Karl </p> http://www.dinosaurtech.com/forums/topic/getting#post-182 Wed, 23 Jul 2008 03:11:27 +0000 alongivati 182@http://www.dinosaurtech.com/forums/ <p>I downloaded the latest version, so I assume what I'm looking for is the snapshot parameter. </p> http://www.dinosaurtech.com/forums/topic/getting#post-181 Wed, 23 Jul 2008 00:38:46 +0000 alongivati 181@http://www.dinosaurtech.com/forums/ <p>Hi Karl,<br /> 1. Thanks for the amazing API, it saved me tons of time !</p> <p>2. My question is: How do I get stock data for the moment of request only ? In other words, I want to write a code that returns the stock data that is correct at the current moment only, without activating the event of updating the data each time it changes.</p> <p>Thanks,<br /> ALON </p> http://www.dinosaurtech.com/forums/topic/getting-market-data-with-time#post-180 Sun, 06 Jul 2008 01:39:26 +0000 ap 180@http://www.dinosaurtech.com/forums/ <p>The realtimebars come in 5-sec intervals with correct timestamp five seconds after the point in time noted in the timestamp. For a new 15 minute bar, the first realtimebar comes 5 seconds into the bar.<br /> Use the tickprice and ticksize event to generate your bars, and additionally update your bar through the realtimebar event. </p> http://www.dinosaurtech.com/forums/topic/ewrapper-and-eclientsocket#post-179 Thu, 03 Jul 2008 14:46:34 +0000 Karl 179@http://www.dinosaurtech.com/forums/ <p>I don't strictly follow the Java version. Check IBClient, it contains a unified implementation of EWrapper and EClientSocket.</p> <p>Thanks!</p> <p>-Karl </p> http://www.dinosaurtech.com/forums/topic/getting-market-data-with-time#post-178 Thu, 03 Jul 2008 14:45:45 +0000 Karl 178@http://www.dinosaurtech.com/forums/ <p>I think the RT bars update with new tick data as opposed to every 5 seconds, but I am really not sure.</p> <p>I would suggest using the real time bars, as the real time ticks are not guaranteed to catch the real high/low/close values, they are just a sub set of all ticks.</p> <p>I am not sure about the time question. I think TWS probably caches it. </p> http://www.dinosaurtech.com/forums/topic/getting-market-data-with-time#post-177 Wed, 02 Jul 2008 14:35:59 +0000 clam61 177@http://www.dinosaurtech.com/forums/ <p>i assume that because the realtimebars only come in 5 second bars, that data also comes in every 5 seconds and not every tick?</p> <p>if i am running a realtime intrabar (orders fired intrabar) forex strategy that is based on 15 minute bars what would you recommend? it seems like the best method would be to use the tick data and to create 15 minute bars from the tick data...trying to synchronize with the server time.</p> <p>question:</p> <p>when you query for the server time via your API, does TWS send a message to the server to query for the current time or does it already have a server time in memory </p> http://www.dinosaurtech.com/forums/topic/ewrapper-and-eclientsocket#post-176 Tue, 01 Jul 2008 07:26:16 +0000 ChadZ 176@http://www.dinosaurtech.com/forums/ <p>Hey,</p> <p>Nice of you to do this. Trying out your API because I was using IB's but when I upgraded to VS2008 it stopped working for me :( . Anyway, I was hoping I could just plug yours in and that it'd run the same as IB's J# .net API, but I've hit a snag. IB's J# API has EWrapper and EClientSocket classes that I an unable to find in yours. Have they been renamed or what's going on?</p> <p>Thanks. </p> http://www.dinosaurtech.com/forums/topic/getting-market-data-with-time#post-175 Mon, 30 Jun 2008 16:47:31 +0000 Karl 175@http://www.dinosaurtech.com/forums/ <p>IB unfortunately does not provide time data with the ticks. I suggest using the real time bars instead of the market ticks.</p> <p>See - public void RequestRealTimeBars(int tickerId, Contract contract, int barSize, RealTimeBarType whatToShow, bool useRth).</p> <p>You can then begin with the real time data, then backfill with the historical bars. I believe the real time bars only come in 5-sec bars, but you can combine them to get bigger bars if you need. </p>