3. live trading : ibbroker.py error when order from another clientid occur
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live trading : ibbroker.py error when order from another clientid occur

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    Hi backtraders,

    I tested on an IB paper account the following :

    • running a strategy with clientid, let's say 8888.
    • Execute manually an order.
      The result was an error :
    08-Oct-20 17:47:24 ERROR     Exception in message dispatch.  Handler 'commissionReport' for 'commissionReport'
Traceback (most recent call last):
  File "x/backtrader-J2SaRgr0/lib/python3.7/site-packages/ib/opt/dispatcher.py", line 44, in __call__
    results.append(listener(message))
  File "x/backtrader/backtrader/backtrader/stores/ibstore.py", line 1323, in commissionReport
    self.broker.push_commissionreport(msg.commissionReport)
  File x/labs/backtrader/backtrader/backtrader/brokers/ibbroker.py", line 482, in push_commissionreport
    ex = self.executions.pop(cr.m_execId)
KeyError: '0000e215.5f7e7752.01.01

    Tested also the following :

    • running a strategy with clientid : 8888.
    • running another strategy with a different client id : 9999

    I encounter the same error.

    As far as I investigated, my understanding is that IB notify the order, that BT receive the notification and do not find it its own list of orders, hence the error. There is no filtering by clientid.

    Is it correct or did I missed something ? Any help would be much appreciated.

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  • E

    So, in case it is of some interest for people who like me were ignorant about this and are willing to know more : BT cannot filter by ClientID when receiving commissionReport, as IB do not send a ClientID in the commissionReport message.
    Feel free to correct me if I am wrong :

    • IB do send the ClientID and the OrderId with the openorder callback but not the ExecId (Which is normal as the order may not have been executed)
    • IB send the ExecId, the ClientID and the OrderId with the execDetails messages.
    • IB do not send the ClientID or OrderId with the commissionReport messages, the only thing that can be linked to an order that is then sent is the ExecId

    So a running strategy will receive commissionReport messages for all order executed on TWS : its own orders, orders placed manually and from another clientId, but not the openorder and execDetails messages.
    There are 2 exception for this :

    • ClientID 0 will receive openorders, execDetails and commissionReports for itself and for orders placed manually
    • If a ClientID is set as "Master API client ID" (in Global configuration / API / Settings) it will receive openorder, execDetails and commissionReport for all clients.
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  • Thanks for sharing. Although I'm not sure how critical this scenario is - it is worth to open an issue for this: https://github.com/backtrader2/backtrader/issues

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