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TSWP


Total Posts: 381
Joined: May 2012
 
Posted: 2017-10-26 11:07
Hi guys,

while testing our software to upload trades to Interactive Brokers (IB) via TWS API, I was testing various scenarios and found out that IB allows only up to 15 active orders per contract per side per account.

Is this standard or is just for retail traders?

Does anyone know if this limit can be bypassed with some permission from the broker, grandfather exception, whatever, I find it ridiculous to say the least....


indiosmo


Total Posts: 9
Joined: Jun 2011
 
Posted: 2017-10-26 13:31
We have a FIX session directly with them and still have the same limitations.

There are also throttling issues if your fill ratio is not high enough.

Didn't have much luck trying to negotiate these points.

TSWP


Total Posts: 381
Joined: May 2012
 
Posted: 2017-11-01 18:39
Hmm, ok, now I am confused.
We actually got the opposite answer after speaking with our institutional rep at IB.

He said the 15 contracts limit is only on the demo.

A real funded account, he said, has no limits, except your buying power (that is what I would expect).

indiosmo


Total Posts: 9
Joined: Jun 2011
 
Posted: 2017-11-01 19:31
Well to be honest I've always had a hard time with our rep there so my experience might not reflect other people's.

Granted we have a very small account with them (less than 5mm) as I use them as backup, but at the time I hit the 15 order limit it was well within our buying power.

I'll try reaching out to our technical contact there and see what they have to say.


TSWP


Total Posts: 381
Joined: May 2012
 
Posted: 2017-11-02 09:56
Yes, please keep me posted because I am really worried about the lack of uniformity in their answers: if you say you've encountered that issue through the FIX in LIVE trading, that means there is a 15 orders limit, right?

Or does the limit not apply when we connect through their TWS API?
(this seems to be the answer we got from our rep).

Has anyone else here on NP encountered similar issues?

EDIT: I want to add something - I tested this limitation in the demo version (we still don't have the real account open because it takes a few weeks to open the bank account for the fund, in the US) and I managed to upload 59 orders, and then, only after 59 orders, I got the error message that we have > 15 orders

So I am double-puzzled: if the limit is 15 orders, why can I input 59 orders?

indiosmo


Total Posts: 9
Joined: Jun 2011
 
Posted: 2017-11-06 12:02
The reply I got is that there is indeed a default order stacking limit of 15 orders to prevent layering and market maker like activity.

The fact that they said default means it can probably be changed if you can reason with them.

TSWP


Total Posts: 381
Joined: May 2012
 
Posted: 2017-11-06 12:44
Interesting.

goldorak


Total Posts: 1000
Joined: Nov 2004
 
Posted: 2017-11-06 19:25
I would advise you read the API doc first...

TWS API limits

And when people at IB say "default" they usually mean "hard coded".

If you are not living on the edge you are taking up too much space.

TSWP


Total Posts: 381
Joined: May 2012
 
Posted: 2017-11-06 21:49
I know that. It was one of the first things I checked.

I will investigate this further with our rep.

I am not sure I will be posting here what I find, since it starts to look to me that not everybody at IB agrees on what can be done and what cannot be done, regardless what IB officially says, and I don't want to post something that contradicts what IB officially say. Sorry.

[EDIT: today I spoke again to IB reps and this time they said there is a 15 orders limit with the API, so now everybody agrees - there is a limit Head against Wall]

TSWP


Total Posts: 381
Joined: May 2012
 
Posted: 2017-11-08 16:10
Just out of curiosity: does any of you guys know other brokers that do not impose these kind of limits?

Or do we have to go through some direct market access solution?

indiosmo


Total Posts: 9
Joined: Jun 2011
 
Posted: 2017-11-08 18:10
While the "stacking limit" is something I've only encountered at IB, every broker will at least introduce some form of throttling, orders/second limit or fill ratio limits.

I've been trading with a broker that uses Flextrade's OMS and it's going well.

On the low-latency and high message volume front Lime Brokerage seems to be the best option.

TSWP


Total Posts: 381
Joined: May 2012
 
Posted: 2017-11-08 18:20
I've found it so depressing when I found out: a 15 orders stacking limit? seriously?? c'mon...

I will have a look into Lime Brokerage, I had it already on my list. Never heard of Flextrade before, so thanks also for that pointer, much appreciated, I will have a look.
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