Can I feed WL list of symbols to IB Workstation?

josvanboxtel

#1

8/8/2012 10:48 AM

Can anyone tell me how to feed WealthLab strategy results, actually the list of Symbols under the Trades tab, to IB Trader Workstation. I want to use a predefined list of symbols as input for trading the gap at market opening. TWS does not allow me to manually enter a list of symbols. Any advice is much appreciated.

Eugene

#2

8/8/2012 12:32 PM

Export the list of symbols to a file, and then Import Tickers from a File on TWS side?

Also, IB has an API that lets you communicate with TWS via DDE, sockets, ActiveX etc.

josvanboxtel

#3

8/10/2012 4:01 AM

Thanks Eugene, this works. I just mist the import function in TWS.

Cone

#4

8/11/2012 2:22 PM

QUOTE:
how to feed WealthLab strategy results,

Here's something I've used with success in the past for importing trades into a Basket. You just open the Basket Trader and import the file, which will be saved to ..\Data\Alerts\..

Note! If you use this, you have to be careful about clicking individual symbols after running the scan for Alerts since it will change the results in the file.

CODE:
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[QUOTE]how to feed WealthLab strategy results,[/QUOTE]Here's something I've used with success in the past for importing trades into a Basket.  You just open the Basket Trader and import the file, which will be saved to ..\Data\Alerts\..

Note! If you use this, you have to be careful about clicking individual symbols after running the scan for Alerts since it will change the results in the file.

[CODE]	protected override void Execute()
	{
		/* Your strategy code here */
		
		// Add this below your strategy code //
		
		string path = System.Windows.Forms.Application.UserAppDataPath;
		path = Path.Combine(path, "Alerts");
		
		if (!Directory.Exists(path))
			Directory.CreateDirectory(path);
		
		string filename = Date[Bars.Count-1].ToString("yyyyMMdd") + "_" + StrategyName + ".csv";
		path = Path.Combine(path, filename);
		
		string tif = "DAY";  // Default Time In Force (also, OPG)
		if (Bars.Scale == BarScale.Weekly || Bars.Scale == BarScale.Monthly)
			tif = "GTC";
		
		// Refresh file if first symbol in MSB
		if (Bars.Symbol == DataSetSymbols[0])
		{
			if ( File.Exists(path))
				File.Delete(path);
		}
		
		// Comment out the following line, recompile if you do not want Alerts to be written to the file
		AlertsToFile(path, tif, Bars.SymbolInfo.Decimals);			
	}
	
	
	/* Writes trades to a CSV file in IB Basket format */
	public void AlertsToFile(string path, string timeInForce, int decimals)
	{        	
		//string fmt = "N" + decimals;	// this is localized. Need to force a period for decimal character
		char z = Convert.ToChar("0");
		string fmt = new String(z, decimals);
		fmt = "0." + fmt;
		
		if( Alerts.Count > 0 )
		{ 
			string s = ",";
			string line = "";
			
			if (!File.Exists(path))
			{				
				// Include the basket header 
				line = "Action,Quantity,Symbol,SecType,Exchange,Currency,TimeInForce,OrderType,LmtPrice,AuxPrice,TriggerMethod,\r\n";					
			}
			
			for( int n = 0; n < Alerts.Count; n++ )
			{					
				WealthLab.Alert a = Alerts[n];					
				string lmtPrice = "";
				string auxPrice = "";
				string triggerMethod = "";
				switch (a.AlertType.ToString())
				{
					case "Cover":
						line += "BUY";
						break;
					case "Short":
						line += "SELL";
						break;
					default:
						line += a.AlertType.ToString().ToUpper();
						break;						
				}
				line += s;
				line += a.Shares.ToString("0");
				line += s;
				line += a.Symbol.ToUpper();
				line += s;
				line += "STK";
				line += s;
				line += "SMART/ARCA";
				line += s;
				line += "USD";
				line += s;
				line += timeInForce;
				line += s;
				
				string otype = "MKT";
				switch (a.OrderType.ToString())
				{
					case "Limit":
						otype = "LMT";
						lmtPrice = a.Price.ToString(fmt);
						break;
					case "Stop":
						otype = "STP";
						auxPrice = a.Price.ToString(fmt);
						triggerMethod = "Default";
						break;
					case "Market":
						otype = "MKT";
						break;	
					case "AtClose":
						otype = "MOC";
						break;
					default:
						otype = "MKT";
						break;
				}			
				line += otype;
				line += s;
				line += lmtPrice;
				line += s;
				line += auxPrice;
				line += s;
				line += triggerMethod;
				line += s;
				line += "\r\n";
				
				
			}
			StreamWriter atf = new System.IO.StreamWriter( path, true );
			atf.Write( line ); 
			atf.Close();				
			atf = null;
			System.Threading.Thread.Sleep(100);
		}[/CODE]

abegy

#5

8/20/2012 10:15 AM

Is it possible for you to add this code in the Community Components ?
At the same time, I would be great if you can have the "import real (historical) trades" adapted to read IB Trade files :-)
Thanks a lot

Cone

#6

8/20/2012 11:02 PM

Support like this for specific brokers is not going to find its way into Community.Components.

Besides, edits are required to get the desired behavior (this is just a starting point). It's pretty to copy the routine to strategies that you require, but you're also welcome to compile a library for you own personal use.

hankt

#7

9/4/2012 10:27 PM

For anyone attempting to use this bit of code, don't forget to add at the top of your code a bit for System.IO

CODE:
Please log in to see this code.

hankt

#8

9/4/2012 11:18 PM

Cone,

This creates a data file with too many alerts for me. Each position will have several alerts depending on one's code for stops (I have a couple).

Without writing a loop on top of the excel file to get the trading stop alert closest to the market price, how would one capture what ends up in the orders window?

Also, this routine creates a quantity of 1 for each line. I thought this might have to do with my placement of the call to AlretsToFile, it is indeed the last line before the end of my strategy execute closing brace.

Lastly, when this code is added to a live strategy (strategy monitor, paper account, automatically stage orders from strategy alerts checked & auto trading on the order window set to Paper Account), it doesn't execute. If I right mouse click the strategy in the strategy window and tell it to open in a new strategy window and run it, the file is produced.

Thank you for the help.

Cone

#9

9/5/2012 9:40 AM

Preface: I'm not supporting this code. It's an example of how to format a file that will work for an IB Basket. And it's not useful for periodic intraday trading.

QUOTE:
Also, this routine creates a quantity of 1 for each line.

Sizing in a script will only work for Raw Profit mode or WealthScript Override.

QUOTE:
when this code is added to a live strategy (strategy monitor,

It's not designed for that. Notice this comment in the code: // Refresh file if first symbol in MSB This idea will definitely not work for intraday operation in the Strategy Monitor because you don't know which symbol will be the first to execute.

hankt

#10

9/5/2012 3:55 PM

Thanks for the update.

I am a close to close strategy and have worked out most everything I need to do via code. I was hoping to get more use from my paid version of Wealth-Lab.

cravens

#11

9/11/2012 4:31 PM

That code segment looks good nice.
An alternate way to get Wealth-lab orders to IB is to run your strategies and then copy the orders page (right click then copy) and then paste to an Excel sheet. Make a simple macro that manipulates the columns and saves to a file. Upload this file to the basket trader. It sounds complicated but in reality only takes about 20 seconds.