Reconciling RT Tests vs. IB actual trades

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March 30, 2024 at 12:48 pm #102293

Anonymous
Inactive

Currently, I am “manually” reconciling my RT test results vs. the actual trades in Interactive Brokers.

I am doing this on a daily basis for about 20-30 trades. It is doable but I am wondering if anyone has a more “sophisticated” / automated solution for doing the same thing?

March 31, 2024 at 1:24 am #116067

KateMoloney
Participant

I created a spreadsheet to reconcile.
Only for when I launch new systems.

After a few months I just reconcile the daily P & L with the backtested daily P & L..

March 31, 2024 at 1:57 am #116073

TerryDunne
Participant

Hi Heiko and Kate and any other people who follow this process,

I do what you have described above, but only when I launch a new system and only for the period of time it takes to ensure I haven’t screwed up my code in some way. After that I don’t look again, so now I’m wondering what I’m missing out on…

Do you regularly/sometimes find differences?
Are you able to find the reason for these differences?
Do the differences require you to reach out to IB for explanations?
Do they provide you with any useful explanations?
Have you had any occasions where IB have ‘adjusted’ your trades/balance because they’ve screwed something up?

Happy Easter!

Terry

March 31, 2024 at 9:26 am #116068

JulianCohen
Participant

I use Order Clerk, and this allows me to download the trades from IB, it uses the Trade Summary from TWS, and then I can run it in a script. I believe this is possible with Basket trader too but I’m not sure.

I then have a script that I can run that shows all the metrics for those trades, like running a backtest. You can then run the Actual Trades and then run the backtest and use the Compare Trade Lists function which will show the trades lists side by side sorted by date, and it is very simple to check actual vs backtests this way.

Have a look in the Help Files for Trade Comparison Window…should have all the information you need, but reach out if you get stuck

April 1, 2024 at 8:41 pm #116069

ScottMcNab
Participant

Hi Heiko,
I use a similar process to Julian except I do not use OC. This means my initial step is using a flex query (log in to IB portal and it is found under the reporting tab…then u need to configure flex export which is a bit of trial and error)….
Next, u need a rtd file that looks at the csv file exported/created by the flex query…this rtd uses those trades contained in the csv only (ie actual trades)
Next, run your rtd file that you have been trading live (for the period looking at…eg the last moth) to get the trades the back test thinks you have executed
Next, right click on the results of the latest back test and select “compare trade lists from the drop down menu
Finally, select the results for the flex query rtd (tradelist1) and the live trades rtd (tradelist2)
I then filter by date of entry to get them to line up in a logical order

April 2, 2024 at 12:56 am #116074

Anonymous
Inactive

Hi Terry,

I mainly do this to get a feeling on whether the trades are executing as expected from system design…e.g. didn’t get filled, missed MOC trades, slippage,…

I am doing this daily as it usually is a bit more difficult to reconcile for multiple days in the past.

So far I haven’t found any major issue with IB other than occasionally missed fills.

April 2, 2024 at 1:03 am #116070

Anonymous
Inactive

Julian, Scott, thanks for the hint on the trade comparison window. Will look into that.
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