Not if one autotrades via IB Gateway. That, unlike TWS, can run 24/7 without being closed down.
Won’t be an issue. We’re going to do it via their FIX gateway from a FIX server hosted at P123
Will this work for non-US residents who do not have a broker account in the US (like myself)?
I do have a broker account at IB in the Netherlands, and I can use the IB gateway. Will that be enough to make it work for me?
Any status on when this is rolled out by Interactive Brokers?
I’ve got the same question. My IB account is in Canada.
Marco:
If I understand the implications of the two above rules, it seems that some of my orders would hold up the rest. Although I have not kept exact records on this, I think about 1/4 of my orders take more than the number of shares offered at the bid or ask. So such an order would have to go through the steps of waiting, then changing the limit to a penny worse than the current bid/ask, wait some more and if no All or None fill, then change the limit price by another penny. Repeated “Y” tries when the order gets cancelled and gets put at the end of order quene.
My preference would be for the P123 order server to place ALL sell orders simultaneously. Then if one of the sell orders gets bogged down the other sells can be placed and filled without delay.
Similarly, I’d rather not have all buy orders delayed while the P123 order server keeps trying to get a fill for 1 sell order when 3 other sells have filled. It would make sense for the P123 server to issue 3 buy orders and only hold 1 buy order back while waiting for a sell fill for a semi-liquid stock.
Brian
Interactive Brokers does have some interesting alternatives, like for example the ALGO orders.
VWAP - set the order at the start of the day and attempts to get (or better) the VWAP (volume weighted average price) for the day.
Guarenteed VWAP - (has order size and liquidity restrictions) - like above but guarentees to get the VWAP price, though it will never be better.
More simple ALGOs exist, such as splitting the order into multiple chunks, and submitting them at (irregular) intervals.
For example, buy 1,000,000 shares.
Order 500 (randomised +/- 100)
At 30 second intervals (randomised +/- 10 sec)
The randomised component is used to hide your activies. If you simply put a 500 share order every 30 seconds, other trading systems would pick up on what you were doing.
I think it would be quite a bad idea for large amounts of limit orders to hit the market all at once. That is going to significantly affect the market, even before any trading takes place. I understand though, there is a problem of fairness, who gets filled first will have an advantage (this could have legal implications). If the money could somehow be pooled together and executed with one of the ALGOs perhaps this would be a solution.
We’re still waiting for their legal department to review our platform.
Marco,
“-All orders are ALL-OR-NONE” can be a problem
many times a small market cap stocks can’t trade orders with a limit at one time
we need to find a way to fill it by parts,for example limit at the open and market after x min
or auto trading may be good only for a very high liquidity models.
Amiran
Is there a time estimate as to when auto-trading will be fully operational? I’m ready to use this now.
Dear Marco,
could you please give us a short update on how the discussions with interactive brokers are going?
When do you estimate will you do live with “automatic orders”?
If you need testers, I am happy to help.
All the best,
Toby
Got the ok a few days ago: IB is going to play!
The way we envision auto-trade is unlike anything IB has done so far, which is why it took so long to get the ok. In short:
-P123 servers will be allowed to send orders via a certified FIX server (an industry standard) to accounts that have given permission (and signed off on something like 3 waivers + one of our own)
-You will naturally need an IB account. Not sure yet about non-usa, margin, ira, etc.
-We will support a few market order types initially: day orders @ market , limit buy @bid, limit sell @ask, vwap
-Our own order mgmt system OMS will let you specify other rules like: skip a recommendation if intra-day price +/- a %, cancel/retry at higher bid/lower ask every 30min or so for X times (translation: chase bid up, ask down until filled)
- Initially only all-or-none orders.
We’re now beginning the design of the OMS. Some key decisions will include how to handle multiple buy/sell recs. We will most likely play it very safe initially, like sell before buy, and most likely require a button click in the first version.
The beauty of FIX is than the whole process can be automated without any user interaction. The end-goal for P123 is simply: decide how much to invest in a model, set up auto-trading, click ok, and you are done. Check back in a few months:)
I have not asked specifically if we will be able to auto-trade R2G’s (should be ok if a user button click is required). Most likely auto-trading R2Gs will require additional rules, and certainly a signed agreement from the designer that it will not be front-runned. The orders will also have to be executed in all subs in the same order.
We will likely begin beta testing our own account by January.
More to come. The fun begins.
Good news. I like that you are looking to offer vwap orders. Sounds like you have a lot of work to do. Where does AlphaChaser fit into your list? Sooner or later?
Please note that the first version will be as simple and safe as possible, most likely not suited for illiquid trades. It will also probably only ask the rebalance engine once for the list of recs. It will be able to reject some recs and get new ones based on rules I mentioned above, but it will ALL take place before anything is sent to IB. In other words if some orders are not filled it will not go back to the rebalance server for more. We will try to add as many features that will make it flexible enough w/o adding too many complexities. For my own trading it would certainly work (I’m not active right now because trading IS a big chore/distraction).
But yeah, the goal is to finally fulfill what P123 always wanted to be: a virtual portfolio manager & mutual fund replacement.
Technically speaking, AlphaChaser is relatively easy compared to autotrading. Logistically is harder as it involves a lot of people. It’s basically a Book of P123’s user strategies (exclusive to AC and therefore not available on R2G) with trades sent to a human trader @ the RIA. We have found a reputable RIA ready to start. It’s a matter of signing up designers, doing some legal work, deciding on which strategies go in which stage, figuring out the fee structures… Someone wants to head this? Come by to discuss.
Thanks Marco, great stuff. Can’t wait.
Couple questions …
- Will there be a limit on the # of weekly positions/trades per user that IB will accept under this program?
- Will the trading commissions be determined by our current agreement with IB, and/or a surcharge, or some other formula?
Thx,
Ed
I think all-or-none orders aren’t allowed anymore on the NYSE. Not since a few years.
Yep. I checked on the NYSE website, All-or-none and Fill-or-Kill aren’t supported since 2005.
Hi, Marco:
Wonderful.
Will P123 charge for IB autotrade? How much?
Thanks.
AON is emulated by IB, and is quite slow to fill for many stocks.
https://www.interactivebrokers.com/en/software/tws/usersguidebook/ordertypes/all_or_none__aon.htm