[ts-gen] Blowup in Paper Account due to failed reception of OrderStatus 3/3/6 Filled
kfmfe04 at gmail.com
Thu Sep 24 07:49:37 EDT 2009
For those of you who haven't read my previous posts, like usual, let
me start by saying that I am not blaming anyone; I am just looking
for a technical/robust solution to my problems. I am quite happy with
the performance and reliability of shim so far.
Today, while paper trading, my shim --risk failed to detect responses
in OrderStatus through a 3/3/6 after 15:00. This caused a cascade of
problems as my system continued to submit orders thinking that nothing
was filled, when indeed, there were fills, according to TWS.
At first I thought it was a problem with my Ruby code so I looked at
the OrderStatus table. However, OrderStatus did not detect any fills
after 12:30:55, either. My third check in the .log file for 3/3/6
confirmed that "Filled" was received by the shim. So I conclude that
the IB server did not send me a proper 3/3/6 Filled, for whatever
reason. In other words, I can't seem to rely on 3/3/6 or the
OrderStatus table to detect my fills.
Up until today, I have had sporadic problems detecting fills via 3/3/6
Filled. Today was the first big problem as I was away for a while.
What I have found to be reliable so far, is a check is 3/6/2
CashBalance which I get "for free" when I log in via shim --data every
five minutes to get a mark-to-market. Unfortunately, this shows the
breakdown of assets (eg xxx AUD yyy JPY, etc...) and not a breakdown
of positions (eg aaa AUDJPY).
However, I have noticed that clicking on the "ACCOUNT" button on TWS
does show the correct positions in the FX Portfolio section (eg aaa
QUESTION: Does anyone know the command to submit to the shim to get
the same information that is on this screen?
I am thinking of ways to safeguard against problems before submitting
I take this as a very good and worthwhile experience in paper trading;
it is much better and safer to delay the sending of orders (err on the
safe side) than to submit orders based on wrong fill information.
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