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My definition of batch-trading: Given $N$ BUY orders, $M$ SELL orders and $O$ ($O < N$) as the max number of open positions to be held. Batch-trading should monitor the orders and when $O$ BUY orders are filled it would cancel the $N-O$ BUY Orders.

To perform this, below is the pseudo-code:

for every PositionMessage that comes in: if number_of_filled_openpositions >= Max: // cancel is performed only ONCE, I set a "flag" to make sure // cancel is called only once during this entire process cancel_unfilled_BUY_orders_one_by_one() // OpenPositions have a TimeUpdated field, // Sell order will be generated starting from the last filled orders // Sell order is generated only after the position is fully filled Sell_excess_filled_orders()

The problem I am facing now is, depending on the day, I might get correct number of cancellations and correct number of excess_positions_sold. But on other days, I sometimes run into max number of messages exceeds limit.. or remote host forcibly disconnected your connection or incorrect number of cancellation or excess_filled_sold.

I have tried introducing a time-delay within cancel_unfilled_BUY_orders_one_by_one() so that each cancel order is sent after a time-delay.

I am finding it hard to debug because I need the market-to-be-open to test exhaustively, which is 00:00 (midnight) for me and on weekends the markets are not open (this is a hobby project).

What else should I consider? what am I missing? Has anyone else tried doing something similar?

Happy to elaborate more if required.

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Interactive Brokers posted a webinar on Dec 13 2016 about using IBridgePy to connect to IB's API. https://www.youtube.com/watch?v=hogXB07OJ_I. It is pretty easy to solve the problem you mentioned. You may check out the website of IBridgePy at www.IBridgePy.com To learn how to use it, you may refer to its documentation.

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  • $\begingroup$ Please elaborate on how to solve the problem. Providing an external link is not helping anyone $\endgroup$ – user2979010 Feb 3 '17 at 12:18
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    $\begingroup$ @user2979010 it’s more about the fact that your question is pretty much directly answered in both the video hui provided and in Interactive Broker’s docs. $\endgroup$ – Theodore Jul 19 '18 at 19:15

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