IBKR Quant Blog


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Quant

Coding Market and Limit Orders in Python with IBKR API


Python

The Market order type is an order to buy or sell at the market bid or offer price.

 

    @staticmethod

    def MarketOrder(action:str, quantity:float):

        #! [market]
        order = Order()
        order.action = action
        order.orderType = "MKT"
        order.totalQuantity = quantity
        #! [market]
        return order

--------------------------------

A Limit order is an order to buy or sell at a specified price or better. 

   

    @staticmethod

    def LimitOrder(action:str, quantity:float, limitPrice:float):

        # ! [limitorder]

        order = Order()
        order.action = action
        order.orderType = "LMT"
        order.totalQuantity = quantity
        order.lmtPrice = limitPrice
        # ! [limitorder]
        return order

--------------------------------

 

Visit our GitHub guide to download the API sample Testbed, and review the Python code for other order types, such as Stop or Stop Loss order: http://interactivebrokers.github.io/

The sample syntax is in the OrderSamples.py file.

 

Information posted on IBKR Quant that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Quant are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.


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IBKR API RTD Server for Excel - Resources for Fintech Students


C# programming language is fast and efficient, so it is no surprise that Fintech students use it for time series analysis and backtesting.

We invite students to explore IBKR API RTD Server for Excel, which is a dynamic link library that enables clients to request real-time market data from TWS via our API and Microsoft Excel. RTD is open source and thus very popular. It is a newer technology compared to Excel DDE and easier to use compared to VB-built ActiveX.

The RTD Server is built in C# so the source file will be installed in the TWS API/source/CSharpClient/TwsRtdServer directory. Follow the below installation instructions:

  1. Install the IBKR API from here http://interactivebrokers.github.io/ 
     
  2. Trader Workstation software from here: https://www.interactivebrokers.com/en/index.php?f=16040

The RTD Server supports streaming live (or 15-minute delayed) market data. You just need to enter formulas into an Excel cell adhering to the RTD API specific syntax, which falls into 3 categories:

  • Simple - components consist of ProgIDServerTicker and Topic
  • Complex - formula strings are defined separately, so each string represents one single parameter at a time
  • Mixed – blended syntax of Simple and Complex but with one restriction - the Ticker string must be the first string that appears in the formula.

For specific syntax samples, visit our GitHub:
http://interactivebrokers.github.io/tws-api/tws_rtd_server.html#gsc.tab=0
 


Note: Students are invited to work with their professors and join the IBKR Student Trading Lab to practice with a university simulated trading account.

 

The analysis in this article is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IB to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual clients. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


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Webinar Invitation - VectorVest - 4 Technical Analysis Indicators to Help Improve Your Entries and Exits


Are you following the latest trends in Technical Analysis? Then join us for this presentation with Vector Vest!

Tuesday, January 22, 2019 12:00 PM EST
 

Register


The title says it all. In this webinar, we will show you 4 chart patterns you can use as a guide to enter and exit trades. The process we’ll show you can act as a checklist, so you spend less time toiling over which trades to make. Instead, you just follow the signal produced by the indicators.

Speaker: Mark Blake, VP Sales & Marketing, VectorVest Inc.
Sponsored by VectorVest, Inc.

 

Information posted on IBKR Quant that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Quant are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.


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FOMC Equity Drift Occurs in Periods of High Uncertainty


Authors: Martello, Ribeiro

Title: Pre-FOMC Announcement Relief

Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3286745

Abstract:

We show that the pre-FOMC announcement drift in equity returns occurs mostly in periods of high market uncertainty or risk premium. Specifically, this abnormal return is explained by a significant reduction in the risk premium (implied volatility and variance risk premium) prior to the announcement, but only when the risk premium is high, e.g., when it is above its median. Likewise, the magnitude of the FOMC Cycle and other related patterns varies with uncertainty and risk premium. Market uncertainty measures are persistent and are not related to policy uncertainty or expectations. Markets become only marginally stressed in the days prior to the announcement and changes in uncertainty appear to be of lower frequency. We also explain why recent studies suggest that the pre-FOMC drift might have disappeared in the past decade, as this moderation is due to time variation that was also present in older data. Additionally, CAPM only works on FOMC dates when the risk premium is high, e.g., implied vol above its prior median level. The results are robust to different samples and measures of risk premium and uncertainty.

To learn more about this paper, view the full article on Quantpedia website:
https://quantpedia.com/Blog/Details/fomc-equity-drift-occurs-in-periods-of-high-uncertainty

 

 

 

About Quantpedia

Quantpedia Mission is to process financial academic research into a more user-friendly form to help anyone who seeks new quantitative trading strategy ideas. Quantpedia team consists of members with strong financial and mathematical background (former quantitative portfolio managers and founders of Quantconferences.com) combined with members with outstanding IT and technical knowledge. Learn more about Quantpedia here: https://quantpedia.com

This article is from Quantpedia and is being posted with Quantpedia’s permission. The views expressed in this article are solely those of the author and/or Quantpedia and IB is not endorsing or recommending any investment or trading discussed in the article. This material is for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IB to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


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IBKR API Offerings for Python or C++ Data Scientists


IBKR invites data scientists interested in finance to try their Python or C++ skills with our proprietary Application Program Interface (API).  Our sophisticated tools allow you to build your own automated rules-based trading application in your favorite programming language or protocol. Use the API to further polish your time series analysis skills or tactical allocation strategies.
 

IBKR API

 

  1. Select your favorite programming language supported by our API:
    • Python.
    • C++ (POSIX-compliant).
    • Or choose from other popular technologies, such as:
      • ActiveX – can be integrated into other programs such as Excel and Matlab.
      • DDE – use our Excel sample application to get started.
      • Java.
      • .NET (C#) - use the C# library with any .NET supported language. 
         
  2. Learn how to download the API and connect to TWS.
  3. Add us to your GitHub watch list! GitHub  https://interactivebrokers.github.io

 

Reminder: be sure to practice your trading strategies in a Simulated account! Test it from here:

FREE TRIAL

 

Information posted on IBKR Quant that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Quant are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.


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Disclosures

We appreciate your feedback. If you have any questions or comments about IBKR Quant Blog please contact ibkrquant@ibkr.com.

The material (including articles and commentary) provided on IBKR Quant Blog is offered for informational purposes only. The posted material is NOT a recommendation by Interactive Brokers (IB) that you or your clients should contract for the services of or invest with any of the independent advisors or hedge funds or others who may post on IBKR Quant Blog or invest with any advisors or hedge funds. The advisors, hedge funds and other analysts who may post on IBKR Quant Blog are independent of IB and IB does not make any representations or warranties concerning the past or future performance of these advisors, hedge funds and others or the accuracy of the information they provide. Interactive Brokers does not conduct a "suitability review" to make sure the trading of any advisor or hedge fund or other party is suitable for you.

Securities or other financial instruments mentioned in the material posted are not suitable for all investors. The material posted does not take into account your particular investment objectives, financial situations or needs and is not intended as a recommendation to you of any particular securities, financial instruments or strategies. Before making any investment or trade, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice. Past performance is no guarantee of future results.

Any information provided by third parties has been obtained from sources believed to be reliable and accurate; however, IB does not warrant its accuracy and assumes no responsibility for any errors or omissions.

Any information posted by employees of IB or an affiliated company is based upon information that is believed to be reliable. However, neither IB nor its affiliates warrant its completeness, accuracy or adequacy. IB does not make any representations or warranties concerning the past or future performance of any financial instrument. By posting material on IB Quant Blog, IB is not representing that any particular financial instrument or trading strategy is appropriate for you.