Interactive Brokers combination ticker data

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dupl
Posts: 158
Joined: 04 Jul 2007

Interactive Brokers combination ticker data

Postby dupl » 18 Dec 2007

Hello,

in TWS you can chart e.g. calendar spread data (Bid/Ask) and I know it is possible to receive this data in realtime also through the api.

Can MC chart this data? Would be very nice to add this separate data from the spread orderbooks.

Thanks

User avatar
Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 21 Dec 2007

Hi dupl,

May I ask where you got the information that it is possible to receive spread data through IB's API?

We can only receive it from their API if they have a symbol showing the spread. Otherwise, it can't be done.

Regards.

dupl
Posts: 158
Joined: 04 Jul 2007

Postby dupl » 21 Dec 2007

Hello,

you create the symbol with the ConID of two legs. Every e.g. futures contract has a conid, so you can combine to symbols to one symbol e.g. calendar spread. You can get the conid over the api or on the website under contract details, Contract Identifiers (see screenshot). And this symbol "Combination" receives in TWS also quotes like a single symbol, and you can trade this Combination... like a single symbol.
SecurityType for this is "BAG"!

E.g. to receive calendar spread qoutes for E-MINI S&P 500

Code: Select all

        AxTws1.clearComboLegs()
        AxTws1.addComboLeg(44664590, "BUY", 1, "GLOBEX", 0)
        AxTws1.addComboLeg(44965335, "SELL", 1, "GLOBEX", 0)
        AxTws1.reqMktData(1, "ES", "BAG", "", 0, "", "", "GLOBEX", "", "USD", "")

In the API documentation you have to look under "Place a Combination Order"

http://www.interactivebrokers.com/php/w ... _combo.htm

In the new api version it should possible to receive quotes from more than only one combination...

So maybe in MC you would have to add a new security type (BAG) and work with this conids?
Combination ticker have only bid asd data, no trades. See schreenshot "combo" a calendar spread of ecbot ZG Gold future.
Attachments
conid.PNG
conid.PNG (21.62 KiB) Viewed 254 times
combo.PNG
combo.PNG (49.22 KiB) Viewed 262 times

User avatar
Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 28 Dec 2007

Hi dupl,

We have studied the question and our software engineers are saying that implementing combination ticker data is possible. At the moment, our schedule is quite tight because we are working on many new features. We are going to bring the feature you are describing to vote and see what MultiCharts users say.

Regards.


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