2008 Interactive Brokers Collegiate Trading Olympiad

[Tuneman]

I put in an order and if i look at the tws screen the trade status is purple, which means it has "not yet been accepted" by the system. Does anyone know what this means? its costing me thousands of dollars.

 

[GusTsahas]

Best guess is that you are passing in some parameter that does not make sense to TWS and causes the rejection. If you were able to pass the same exact trade into the paper trade system and got executed there, the real time system has additional constrictions on size as well. It will not execute a 40 contract order on silver futures if the market at the bid is showing a size of 3 or 5.

To troubleshoot, I would try to submit for execution the same instrument you are trading with very small size, and as a market order. If it gets executed, at least you will know that you have the contract information correct and then submit a more complex order until you see where you start getting rejected.

 

[charlesdwright]

frequency

it seems that, if one attempts to update an order too frequently (ie to track the last trade) the api will just disconnect.

 

[Adam G]

Charles, how frequently are you trying to update? I had problems in placing a lot of orders at the same time. None of the orders would appear in TWS. Now I put in a 100 ms delay between orders, and that fixed the problem.

 

[charlesdwright]

Adam, thanks for the tip. I was modifying orders pretty much with the market, so at times is was rather quick, at others, not so.

I think the hang up involves some event fired routines I have working. It seems to overload the api and it just disconnects; TWS keeps on.

I'm going to try to clean it up today.

 

[Vadim]

Did anybody try to trade futures option?
I am using C++ application and able to trade futures and stocks, however I have difficulties with trading futures options. An error I am getting is that currency is not specified, but I am specifying it.

Properties identified in my code:
VOrder.orderId
NewContract.symbol
VOrder.action
VOrder.totalQuantity
NewContract.secType
NewContract.expiry
NewContract.exchange
VOrder.orderType
NewContract.currency
VOrder.lmtPrice
NewContract.right
NewContract.strike

I did not find a property of a contract object to specify trading class of a futures option (EC, XT etc).

How to execute an option or future option prior to maturity?

Thank you.

 

[alain]

How is everybody doing so far? I haven't been able to have have my strategy on so I traded for only one day and I'm up... which is a good thing

 

[woody]

It's sloppy, but I got strategy #1 coded. I first tried the Excel API because I thought it would be quicker. So far it cost me ~70,000 because it executed the buy part of my strategy, but not the sell. Ugh. Now I'm using Java.

I tested my strategy today with the paper acct and it worked so I'll go live with it tomorrow. It's a day-trading pairs strategy.

With the one screwup I'm up ~45k (made good $ from selling calls then puts).

 

[Maksim79]

The message about currency is misleading. Since the ES FOPs expire bi-weekly you have to specify the correct expiration date. I use JAVA, not C++, but that should give you an idea of what needs to be defined:

Contract myContract = new Contract() ;
myContract.m_symbol = "ES" ;
myContract.m_secType = "FOP" ;
myContract.m_expiry = "20080118" ;
myContract.m_strike = 1400.0 ;
myContract.m_right = "C" ;
myContract.m_exchange = "GLOBEX" ;

 

[charlesdwright]

can anyone shed any light on the sort of thing that causes VS (.NET) to pop up with a "disconnect context" window when running the API in debug?

I don't know if a code syntax error will cause this or if it's something more mysterious.

(I have visited TWASAPI with the question. Just hedging, as any good trader would.)

***
solved this. it was related to a call to an excel object. commented out the call and all was well.

 

[alain]

how is everybody doing? the market is horrible today... thank God my bot is off today... I turned it off yesterday night.

 

[woody]

Today's wacky action in the stocks I'm watching exposed a major hole in my algorithm. Lost money today. Need to fix it.

 

[Erica]

is any one trading etf optx?

My order entry is written in VB and works for stock using paramb "STK" but when I use "OPT" I get no response.

It complies and try catch comes up with nothing. Any suggestions?

 

[Andy Nguyen]

SWEETTTTT !!!!!!!!!

 

[alain]

The results will be announced in 2 weeks (End of March 17th). Check this link:

Interactive Brokers Collegiate Trading Olympiad

I'm hoping my 50% gain gets me on the top 13... although, I'm just happy to be on the black after last year's debacle. Hopefully we have more Baruch student's in the black this year. Who else is in the black?

I spoke with Andrew Wilkinson and he mentioned that, besides manual trades, deviating from the trading plan could lead to disqualification. The most obvious deviation from the trading plan is to trade in a market you didn't mention. Also, he said that next year they plan to have a risk management requirement like having a VaR of X dollars to avoid the "hit for the fences" approach.

 

[giampiero]

I'm hoping my 50% gain gets me on the top 13...

Way to go Alain!! I really hope you make it to the top of that list

 

[charlesdwright]

I'm hoping my 50% gain gets me on the top 13... although, I'm just happy to be on the black after last year debacle. Hopefully we have more Baruch student's in the black this year. Who else is in the black?

Well done, Alain.

 

[Adam G]

How well do you have to do to get a job offer?

 

[Andy Nguyen]

How well do you have to do to get a job offer?

They don't give you offer, they will invite you to interview with them. If you have + return, no matter how small, they will email to see if you want to interview. I received one last year. As far as I know, the conversion rate from this trading top performers to employee is quite low.

 

[Andy Nguyen]

The final results are in. (Interactive Brokers Collegiate Trading Olympiad)
Alain Ledon of Baruch MFE is #15 with 57.6% return

I saw a lot of familiar name, not sure how many are Quantnet members. By the way, the #73 position made 96% return but probably manually.

Congrats Alain and all who participated.