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Re: [amibroker] Re: get Buy/SELL fill px/per each orderID via ibcontroller (& 2 other questions...)


  • To: <amibroker@xxxxxxxxxxxxxxx>
  • Subject: Re: [amibroker] Re: get Buy/SELL fill px/per each orderID via ibcontroller (& 2 other questions...)
  • From: "Chris DePuy" <cdepuy@xxxxxxxxx>
  • Date: Sat, 31 Jan 2009 17:59:24 -0800

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Timekeeper,
 
I'm having a bit of trouble seeing stuff I've written because I cannot log onto TWS (weekend rules). 
 
I don't think you can see the child orders of a parent.  You'll probably have to use either: (a) separate orders, or (b) you'll have to retrieve the aggregate position from the account.
 
In the case of (a):
 
I think most of what you're trying to do is found in http://www.amibroker.com/at/
 
From example 2, (I haven't done this in a while, but I'm pretty sure you can use)
 
OrderID = ibc.ModifyOrder( OrderID, Name(), "BUY", 100,"LMT", LastValue( C ) + 0.10, 0, "Day", False );
 
And then, right afterwards
 
StaticVarSetText("OrderID"+Name(), OrderID);
 
In the case of (b):
 
Use GetPositionSize( string Ticker )
 
to determine share count.
 
Chris
 
 
----- Original Message -----
Sent: Saturday, January 31, 2009 4:44 PM
Subject: [amibroker] Re: get Buy/SELL fill px/per each orderID via ibcontroller (& 2 other questions...)

Hi Chris,

Mucho appreciado on jumping to my rescue here. i didn't realize big
hedge fund pros have time to participate much in usergroups!

Anyway, all questions answered except in reference to (a) & (b). What
I still seem unable to find is the call function for getting the actual
fillprice itself, not the current bid/ask quote, that would nomally be
found on any garden variety post-execution confirmation. As i now
understand it, admittedly quite sketchily, the aggregate position price
is reported back per the parentID (i.e. the basis of the position) but
not the per order basis as regards each orderID that reside within the
umbrella parent aggregated position?

As background: I am trying to deploy a "beats VWAP" accumulation
strategy that requires I know the fillprice status (including fillprice
itself, not just whether or not it got filled) of each individual unique
order in the aggregated position. Therefore, retrieving this price
swiftly is a priority -

=--timekeeper

--- In amibroker@xxxxxxxxxps.com, "Chris DePuy" <cdepuy@xxx> wrote:
>
> Hi timekeeper,
>
> a) Use AFL code
> b) getrtdata("bid")
> c) 1) delay will be what is in the AA Settings Trades window unless
you say otherwise in the .afl
> c) 2) Yes, in the scenario you outlined, it would be. That is because
you'd be calculating a value (the average) that uses hi and low from
different time periods, and then plugging it in as, say, your entry
price (you'd use buyprice syntax to do that).
>
> Chris
>
> ----- Original Message -----
> From: timekeeper_origen
> To: amibroker@xxxxxxxxxps.com
> Sent: Monday, January 26, 2009 7:58 PM
> Subject: [amibroker] get Buy/SELL fill px/per each orderID via
ibcontroller (& 2 other questions...)
>
>
> hi all!
>
> 2 naive questions from a new user:
>
> (a) i am working with ibcontroller and would like it to return from
tws the BUY/SELL SHORT fill prices - per each orderID - so that i can
later use these IDs as %gain triggers in
> conditional SELL/BUY TO COVER orders. what would i do within either
> (1) the AFL code using a pre-existing command, or
> (2) write a command in AFL, or
> (3) use the C++ DLL builder to achieve my goal somehow, or
> (4) some other workaround i don't know enough to inquire about?
>
> (b) how can i work with BID/ASK prices and sizes instead of OHLC or
AVERAGE?
>
> (c) changing now for a moment to the amibroker backtest (rather than
API) environment, if I use the default AFL trade delay setting is that
default setting (in the AFL code NOT the
> GUI) set to
> (1) zero or a one?
> (2) if it is zero AND i want the average price as my fill price AND
i get my buy signal at the END of the bar, am i backtesting a scenario
that uses forward information??? - - in that
> i am modeling the acquisition of shares at a price (in this example
the average price of the bar) that is chronologically prior to my
knowing that i even have a signal and that i want
> to acquire shares at all?
>
> thks for your help, patience and grace when presented with questions
from the naive among us -
>
> =--timekeeper
>

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