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Missing live trading order with IB

I have an algorithm that I'm live trading. In the quantopian live trading dashboard I see PLUS limit order for -16 at 95.68, open. PLUS is right now trading at 105.10.

I go into IB, and I don't see a corresponding open order for PLUS. Other orders, buy and sell, have executed. This order hasn't been canceled. My algorithm sets up orders only once a day, so there should be no discrepancy between the live trading console and IB. Any ideas on what might be happening here? Is there for instance a limit on how many open orders quantopian can create on the IB platform at the same time?

Sunil

3 responses

That definitely doesn't sound right. Sometimes Quantopian has problems opening an order with IB - the order is rejected by IB, or cancelled, or perhaps even a connection problem. The order then reflects the error state. But when Quantopian reports an order as "open" it means we think the order is getting into IB properly.

If you drop an email to [email protected] with the algorithm's URL we can dig into it further.

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I had a similar issue a couple of weeks ago, and we tracked it down to the new list of securities in the "tick size pilot program" - if the order wasn't submitted in 5 cent increments, IB would just ignore it. Here's the list of securities:

http://tsp.finra.org/finra_org/ticksizepilot/TSPilotSecurities.txt

I just wrote a little function to change every limit order to 5 cent increments.

Joseph, thanks for reminding me, I had seen this note too and it had completely slipped my mind. I'll update my code to round down/up to the 5 cent increment.

Sunil