Auto symbol mapping IQFeed --> Interactive Brokers Wrong

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AntiMatter
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Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby AntiMatter » 12 Dec 2014

For example, with a new NASDAQ stock, the LHS of the symbol mapping will be correct, but the RHS (broker symbol) will just show "NASDAQ", which results in the order being rejected. If I manually change this to
SMART;ISE;CHX;ARCA;ISLAND;IBSX;DRCTEDGE;NSX;BEX;CBSX;BATS;EDGEA;LAVA;CSFBALGO;JEFFALGO;BYX;PSX;NASDAQ

Then everything works. However, doing this manually for every symbol (whilst trying to trade rapidly) is not ideal.... Ideas?

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby Henry MultiСharts » 12 Dec 2014

Hello AntiMatter,

That is possible to prepare and import a symbol list to avoid adding each symbol manually.

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby AntiMatter » 12 Dec 2014

Does this import actually have relevance for *symbol mapping* though?

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby Henry MultiСharts » 12 Dec 2014

If the instrument name is the same for data provider and broker, and the instruments have the correct settings - symbol mapping can pick them up automatically.

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby AntiMatter » 12 Dec 2014

So with my setup (data from IqFeed, trading with IB), what would be the "correct settings" for i.e. MSFT?

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby Henry MultiСharts » 15 Dec 2014

The "correct settings" are provided when you add an instrument using Adding Symbol from Data Vendor Supplied List.

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby AntiMatter » 15 Dec 2014

I add something from IQFEED, from exchange NASDAQ using the above method, e.g. ADBE.

I then open a chart of ADBE. Next, I connect to Interactive Brokers. Then I attempt to Chart Trade BUY 100 MKT. The order gets rejected with the message:

"No Security definition has been found for the request"


Looking in the Symbol Map, The chart symbol is correct. In the broker symbol the exchange is autofilled as:
NASDAQ;SMART;ISE;CHX;ARCA;ISLAND;VWAP;IBSX;DRCTEDGE;BEX;BATS;EDGEA;LAVA;CSFBALGO;JEFFALGO;BYX;IEX;TPLUS2;PSX

However, this does not work and results in the orders getting rejected. Instead, we need to route to SMART, like this:
SMART;NASDAQ;ISE;CHX;ARCA;ISLAND;VWAP;IBSX;DRCTEDGE;BEX;BATS;EDGEA;LAVA;CSFBALGO;JEFFALGO;BYX;IEX;TPLUS2;PSX

Manually changing this for every stock does not seem the best approach..... Ideas?

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby Henry MultiСharts » 16 Dec 2014

There is no fully automated solution when you are using non-IB feed with IB broker.
IB broker is sensitive to instrument's description, exchanges, price settings (you need to have the correct exchanges, currency in description and price scale/min movement for the instrument).
You can achieve that by adding instruments using the Data Vendor Supplied List one by one (IB API does not provide ability to add instruments for a specific exchange) or by creating an instrument list with the required instruments with proper settings (which requires even more manual interaction).

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby AntiMatter » 22 Jan 2015

Where would I find the "Data Vendor Supplied List"?

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby Henry MultiСharts » 28 Jan 2015

Please use the link I have provided in the post#6 above.

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby whirl » 15 Dec 2015

Ok, just so I am clear. If I use a non IB quote feed like IQFeed, and want to connect to IB, there is no automated way of mapping.
So if I have a few hundred symbols for Portfolio Trader, I will have to map each symbol manually?

I guess as soon as I finish I have to save the list in case something should happen in the future.

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby Henry MultiСharts » 16 Dec 2015

Ok, just so I am clear. If I use a non IB quote feed like IQFeed, and want to connect to IB, there is no automated way of mapping.
So if I have a few hundred symbols for Portfolio Trader, I will have to map each symbol manually?

I guess as soon as I finish I have to save the list in case something should happen in the future.
Hello whirl,

Which security type are you using?

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby whirl » 16 Dec 2015

US equities. However I do want to note, I have one account mapped to SMART which works fine.

However, if I want to use a different exchange that uses different closing prices, I use a different exchange, and it doesn't do it automatically. I want my own exchange on the chart side, but SMART on the broker side.

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Re: Auto symbol mapping IQFeed --> Interactive Brokers Wrong

Postby Henry MultiСharts » 16 Dec 2015

Hello whirl,

As you may already know - there is no way to add multiple instruments in one go for IB using the Lookup, as IB API does not provide such option.
In order to have the symbol mapping configured automatically you need to prepare a symbol list that will be imported into the database.

All symbols should have SMART exchange in the list. Disregard actual exchange used by the data feed.
All duplicated IQFeed stocks with the same name but exchange different from SMART should be deleted from the QuoteManager and Symbol Mapping.
All IB symbols should have SMART exchange in the list as well.

For IB stock trading the currency code in the instrument description is critical.
For example for MSFT the following description is provided by the API: USD Stock MSFT (NASDAQ)
The most import part is the currency code USD
Therefore for each stock in the symbol list one needs to have the currency code on the first place in the description.

When the symbol list is ready - import it into the database. Do it once for IQfeed and once for IB:
https://www.multicharts.com/trading-sof ... ymbol_List

Once you start IQfeed to IB trading - the mapping will be done automatically.
Some orders can be rejected due to instrument settings being different from the SMART exchange settings.
You will need to manually correct the settings for such instruments and re-do the symbol mapping for them.
There is no better way to do that, unless someone will share his database and symbol mapping files with you.
The only way to have the instrument settings correct at once without trial and fail is to add IB symbols one by one using the Lookup and configure the symbol mapping manually.
However, if I want to use a different exchange that uses different closing prices, I use a different exchange, and it doesn't do it automatically. I want my own exchange on the chart side, but SMART on the broker side.
In this case you will need to configure the symbol mapping manually for each instrument.


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