Create "Adaptive Algo" Order - Interactive Broker API

Question

Kruin Null 2019-12-3

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/494680-create-adaptive-algo-order-interactive-broker-api

编辑： Annie Leonhart 2019-12-30

I'm trying to determine the matlab method of creating an "Adaptive Algo" order in the Interactive Broker api. The c# method is stated here: https://interactivebrokers.github.io/tws-api/ibalgos.html#adaptive however, I can't figure out its matlab equivalent

C#:

            Order baseOrder = OrderSamples.LimitOrder("BUY", 1000, 1);
...
            AvailableAlgoParams.FillAdaptiveParams(baseOrder, "Normal");
            client.placeOrder(nextOrderId++, ContractSamples.USStockAtSmart(), baseOrder);
...
        public static void FillAdaptiveParams(Order baseOrder, string priority)
        {
            baseOrder.AlgoStrategy = "Adaptive";
            baseOrder.AlgoParams = new List<TagValue>();
            baseOrder.AlgoParams.Add(new TagValue("adaptivePriority", priority));
        }

What I've done so far in Matlab:

% Create TWS connection and Create Order
ib = ibtws('',7496);
ibOrder = ib.Handle.createOrder;
ibOrder.action = 'BUY';
ibOrder.totalQuantity = 1000;
ibOrder.orderType = 'LMT';
% Specifying Adaptive Algo Order
ibOrder.algoStrategy = "Adaptive";

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Answer 1

Annie Leonhart 2019-12-21

3
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/494680-create-adaptive-algo-order-interactive-broker-api#answer_407343

编辑：Annie Leonhart 2019-12-23

在 MATLAB Online 中打开

I have not tested this, but it should work. I'm about 99.75% sure. Let me know how it goes. If you want to change the algo, the same concept will apply. Create the algo properties, then set the value. Easy.

% Connect to IBTWS or GATEWAY
ib = ibtws('',4001,0);
% Create Contract
contract = ib.Handle.createContract;
contract.symbol = 'AAPL';
contract.secType = 'STK';
contract.exchange = 'SMART';
contract.primaryExchange = 'SMART';
contract.currency = 'USD';
% Create Order
order = ib.Handle.createOrder;
order.action = 'BUY';
order.totalQuantity = 1000;
order.orderType = 'LMT';
order.lmtPrice = '274.25';
% Add properties for Algo order
order.algoStrategy = 'Adaptive';
addproperty(order.algoParams,'adaptivePriority');
order.algoParams.adaptivePriority = 'Normal';
% Place the order
id = orderid(ib);
exec = createOrder(ib,contract,order,id);
% Check order status after 5 seconds
pause(5);
exec(1,1).STATUS

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Kruin Null 2019-12-30

Hi,

The updated solution worked perfectly!

Thanks!

Annie Leonhart 2019-12-30

编辑：Annie Leonhart 2019-12-30

在 MATLAB Online 中打开

Very good.

You can use the same concept to build out all the other Algos following the API.

For example. Here's the Accumulate/Distribute algo in python converted to MATLAB

@staticmethod
def FillAccumulateDistributeParams(baseOrder: Order, componentSize: int,
    timeBetweenOrders: int, randomizeTime20: bool, randomizeSize55: bool,
    giveUp: int, catchUp: bool, waitForFill: bool, startTime: str,
    endTime: str):
  baseOrder.algoStrategy = "AD"
baseOrder.algoParams = []
baseOrder.algoParams.append(TagValue("componentSize", componentSize))
baseOrder.algoParams.append(TagValue("timeBetweenOrders", timeBetweenOrders))
baseOrder.algoParams.append(TagValue("randomizeTime20",
  int(randomizeTime20)))
baseOrder.algoParams.append(TagValue("randomizeSize55",
  int(randomizeSize55)))
baseOrder.algoParams.append(TagValue("giveUp", giveUp))
baseOrder.algoParams.append(TagValue("catchUp", int(catchUp)))
baseOrder.algoParams.append(TagValue("waitForFill", int(waitForFill)))
baseOrder.algoParams.append(TagValue("activeTimeStart", startTime))
baseOrder.algoParams.append(TagValue("activeTimeEnd", endTime))

Converted Matlab code

%% Connect to IBTWS or GATEWAY
ib = ibtws('',4001,0);
%% Create Contract
contract = ib.Handle.createContract;
contract.symbol = 'AAPL';
contract.secType = 'STK';
contract.exchange = 'SMART';
contract.primaryExchange = 'SMART';
contract.currency = 'USD';
%% Create Order
order = ib.Handle.createOrder;
%order.account = 'XXXXXXX'
order.action = 'BUY';
order.totalQuantity = 1;
order.orderType = 'LMT';
order.lmtPrice = 100;
%% Add properties for Algo order
FillAccumulateDistrubuteParams(ib, order, 10, 60, 1, 1, 1, 1, 1, '20191231-12:00:00',...
    '20191231-16:00:00')
%% Place the order
id = orderid(ib);
exec = createOrder(ib,contract,order,id);
%% Check order status after 5 seconds
exec(1,1).STATUS
% IB Accumulate/Distribute Algo Function 
function FillAccumulateDistrubuteParams(c, order, componentSize, timeBetweenOrders,...
    randomTime20, randomSize55, giveUp, catchUp, waitForFill, startTime, endTime)
startTime = datestr(startTime,'yyyymmdd HH:MM:SS');
endTime = datestr(endTime,'yyyymmdd HH:MM:SS');
order.algoStrategy = "AD";
algo = c.Handle.createTagValueList;
addproperty(algo, 'componentSize'); algo.componentSize = componentSize;
addproperty(algo, 'timeBetweenOrders');algo.timeBetweenOrders = timeBetweenOrders;
addproperty(algo, 'randomTime20');algo.randomTime20 = randomTime20;
addproperty(algo, 'randomSize55');algo.randomSize55 = randomSize55;
addproperty(algo, 'giveUp');algo.giveUp = giveUp;
addproperty(algo, 'catchUp');algo.catchUp = catchUp;
addproperty(algo, 'waitForFill');algo.waitForFill = waitForFill;
addproperty(algo, 'startTime');algo.startTime = startTime;
addproperty(algo, 'endTime');algo.endTime = endTime;
disp('Algo configured.')
end