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Interactive Brokers notify_order



  • Hello,

    I am using Backtrader to trade live using the Interactive Brokers data feeds. When trading on a handful of data feeds, the notify_order method is called quickly and everything works according to the documentation. However, when I bump up my live data feeds to about 90, the notify_order method is never called most of the time but there has been times where it is called but extremely delayed (30 minutes after submitting and order and seeing that the order got filled on Interactive Brokers TWS). What can be the reason? It is a simple strategy where I just send buy/sell orders and wait for them to come through as order.Completed in the notify_order method to log the price at which it was executed at.

    Thank you


  • administrators

    The obvious candidate with 90 feeds would a pacing violation or the simultaneous number of tickers. The rules are somehow complex and the consequences for data streaming are unknown to me.

    See here: https://www.interactivebrokers.com/en/index.php?f=14193

    The number of symbols that can be viewed simultaneously via the TWS deep book
    windows (including BookTrader, Market Depth and ISW) is determined as follows:
    one unique symbol for every 100 allowed lines of market data, with a minimum of
    three and a maximum of 60. For example, a client with the default allowance of
    100 tickers will be able to simultaneously view three deep book windows. A
    client who, based on commissions, equity or other criteria, is allowed 500
    tickers will be able to simultaneously view five deep book windows. Note that
    this number may change month to month if the number of allowed tickers for your
    account changes.