Batchtrader ‘Unack’ trade order

[Anonymous]

Occasionally Batchtrader misses placing an order with the message ‘Unack’ in the order status.
What to do in this situation? Missing 1 trade is not really a big problem but does anybody know if this is an IB bug or Batchtrader bug ?

It would be nice if I could tell batchtrader to ‘try again… a little harder next time!’

[Nick Radge]

Yes, this is a known issue.

Awhile back IB changed the codes for a handful of symbols – I’m unsure why but I think because they trade on multiple exchanges. As a result to place an order via an API one needs to designate the Primary Exchange and not just the ETN routing (via IB we use SMART). The issue effects all API’s and is a well discussed problem with Sierra Charts and Ninja Trader as well. So its not our API having an issue – it’s how the orders are calibrated and sent.

So, our API and our worksheets already have a column “Primary Exchange” so we can in fact route orders. I will need to test what the Primary Exchange is, whether its BATS or ISLAND or whatever. I can only do this using those three symbols on their own.

However, this opens another major issue which I’m not sure can be overcome. We generate the trade sheets direct from Amibroker. If every symbol has a different Primary Exchange, then it will be impossible to code in every single one, indeed, even if these three symbols are the only ones it will be very difficult and time consuming to navigate around it. The only way is if all symbols operate on the same Primary Exchange, although I doubt it because we’d be seeing the same issues across the board.

My feeling is that this issue is limited to three symbols or maybe one or two more that we haven’t seen. Considering the quantity of trades the HFT generates I cannot see this being a major factor in performance. We can’t route them separately because BatchTrader can only manager one set or the other – but not both. My API developer says he can fix the issue to send the Primary Exchange data through, but the issue is getting that data into the API from Amibroker.

Nick

[JulianCohen]

Is INTC one of those symbols? I had this error last night

[Anonymous]

Julian Cohen wrote:

Is INTC one of those symbols? I had this error last night

yes… INTC triggered my post

[Anonymous]

Nick Radge wrote:

Yes, this is a known issue.

Awhile back IB changed the codes for a handful of symbols – I’m unsure why but I think because they trade on multiple exchanges. As a result to place an order via an API one needs to designate the Primary Exchange and not just the ETN routing (via IB we use SMART). The issue effects all API’s and is a well discussed problem with Sierra Charts and Ninja Trader as well. So its not our API having an issue – it’s how the orders are calibrated and sent.

So, our API and our worksheets already have a column “Primary Exchange” so we can in fact route orders. I will need to test what the Primary Exchange is, whether its BATS or ISLAND or whatever. I can only do this using those three symbols on their own.

However, this opens another major issue which I’m not sure can be overcome. We generate the trade sheets direct from Amibroker. If every symbol has a different Primary Exchange, then it will be impossible to code in every single one, indeed, even if these three symbols are the only ones it will be very difficult and time consuming to navigate around it. The only way is if all symbols operate on the same Primary Exchange, although I doubt it because we’d be seeing the same issues across the board.

My feeling is that this issue is limited to three symbols or maybe one or two more that we haven’t seen. Considering the quantity of trades the HFT generates I cannot see this being a major factor in performance. We can’t route them separately because BatchTrader can only manager one set or the other – but not both. My API developer says he can fix the issue to send the Primary Exchange data through, but the issue is getting that data into the API from Amibroker.

Nick

It would be nice to have a functionality in Batchtrader to:
– Attempt to route orders as normal using SMART
– Upon failure (‘Unack’) have the option to edit the Primary exchange data for that symbol and resend
or
– enter failed trade/s manually into IB and have Batchtrader update from IB to manage all buy orders

Agreed that its probably not a huge problem (from my extensive experience of live trading 2 days )

[JulianCohen]

Maybe we can build up our own database of these few stocks and then just exclude them from our systems. If it’s only a handful then it shouldn’t make too much difference.

[LeeDanello]

Julian Cohen wrote:

Maybe we can build up our own database of these few stocks and then just exclude them from our systems. If it’s only a handful then it shouldn’t make too much difference.

i

How does that help batch trader. It doesn’t impact other orders going thru?

[JulianCohen]

Maurice Petterlin wrote:

Julian Cohen wrote:

Maybe we can build up our own database of these few stocks and then just exclude them from our systems. If it’s only a handful then it shouldn’t make too much difference.

i

How does that help batch trader. It doesn’t impact other orders going thru?

No it doesn’t stop other orders going through but it just means we don’t have to think about these stocks. I don’t suppose it matters one way or the other really

[Anonymous]

got another ‘Unack’ order tonight… so far:
INTC
MSFT

[JulianCohen]

Darryl Vink wrote:

got another ‘Unack’ order tonight… so far:
INTC
MSFT

Microsoft! That’s a pretty big stock not to be able to trade…mind you there are another 499 of them in the index so….

[LeeDanello]

Darryl Vink wrote:

got another ‘Unack’ order tonight… so far:
INTC
MSFT

Can you post a screenshot of batch trader with the unack. I’m curious to see what it looks like

[Nick Radge]

Just place the order manually.

[Anonymous]

Nick Radge wrote:

Just place the order manually.

thats what i did last time with INTC and then dropped Batchtrader’s number of positions by 1.
– hypothetically if the market dropped slightly and all orders filled except for INTC i may have been 1 order short of 20 positions (this didn’t happen).
– last night i just ignored MSFT and didnt bother with the order.

either way its probably not going to make or break the system…

[Anonymous]

Julian Cohen wrote:

…mind you there are another 499 of them in the index so….

is there a list somewhere ?

[JulianCohen]

Darryl Vink wrote:

Julian Cohen wrote:

…mind you there are another 499 of them in the index so….

is there a list somewhere ?

498 now….you are making the list as you go mate

[Author]

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