irregular behaviour with IB

[Moony]

Hi fellow ninja-traders,


I'm having kind of an issue with the market analyzer when connected to my IB account. Here is what I did and what happens as a result..


I created a new instrument list (named AEX) in NT and added all symbols of the AEX (dutch index). I've added all these symbols with the exchange set to "default", as recommended.

Normally, before the exchange opens, I create a Market Analyzer window(no indicators present just the standard instrument,ask,bid and last columns) and add the formentioned instrument list to it. Then I wait until the quotes start to roll in.

When I do this there are a few instruments that do not start to collect quotes (all columns in MA window remain blank). Notorious examples are the instruments "AGN" and "MT". Sometimes some of them start way later but often not at all. When this occurs, I have to remove the misbehaving instrument and add it again. Sometimes this works, but more often then not this still fails.

What I have found out is that if I add all the instruments to the instrument list but use the actual exchange they are traded on (AEB in my case) instead of the "Default" then I do not experience the problem in the MA window. Everything works as expected.


that leaves me with three questions..


1) Do others using IB as a broker experience the same behaviour?

2) What am I doing wrong here and/or how can I fix this so the MA window behaves correctly when using "default" as exchange

3) And this is an important one for me, If I change the exchange from "default" to a specific one (e.g. "AEB") in the instrument list, will any order still be routed as "smart"?

Hope someone can help me out

[NinjaTrader_Jason]

Hello Moony,

The recommend procedure is to enable both the Default exchange as well as the native exchange in the Instrument Editor window of the instrument in the Instrument Manager.

Upon adding the stock to your instrument list, please have the Default exchange selected under "Exchange".

Check if the behavior persists using these steps.

[Moony]

Hi Jason,

Thanks for answering.

However, the procedure as you described is exactly what I have done.

When I added the individual instruments to the instrument manager I made sure to select both "default" and the native exchange. When I add the instruments to the instrument list I can only select one exchange and here is where I selected "default".

With this procedure the problem occurs.

Hope you can help me further.

[NinjaTrader_Jason]

Hello Mooney,

If selecting the native exchange works as expected, I suggest to use this manner.

If the issue persists, try to open a Market Analyzer with only the AGN and MT stock and please check the Log-tab for any error messages.

[Moony]

Hi Jason,

I'm perfectly fine with using this workaround but please take a look at question #3 in my original post.

That one is rather crucial to get an answer on when working in this way.
Can you answer this question #3 for me please?

[NinjaTrader_Jason]

You will need to set the exchange to "Default" upon adding the instrument to your list to ensure you will use "smart" routing instead of the workaround.

Please ensure both the native exchange and the Default exchange in the Instrument Editor are selected for the AGN and MT and for any other instrument that does not receive data in the Market Analyzer.

You should now be able to receive data for these instruments in the Market Analyzer as well and orders are routed using "smart".

[Moony]

If I understand you correctly.. using my work-around would mean that my orders are not "smart routed" but directly to a native exchange. Not what I want but it answers my question.


If I do as you say and make sure that both the "default" and the native exchange are added to the instrument and select "default" when adding them to an instrument list (to make sure smart routing is in effect), I encounter the original problem.

Hence, making sure that both the "default" and the native exchange are selected is no solution to the problem.

So I'm guess we have a catch22 here...


anything more we can try?

[NinjaTrader_Jason]

Are you able to receive data for the AGN and MT when selected in the Control Center? If not, please check the Log-tab for error messages.

If you minimize the amount of instruments listed in the Market Analyzer by 50% do all instruments receive data?

[Moony]

No, when I select the MT instrument in the control center I also do not get any data. It just displays "n/a". There is no error in the log whatsoever.


However, I have run into something else.
When I add a strategy to the control center on the instrument MT and try to start it I get the following error message.

"Erorr in requesting historical data from IB. The contract description specified for MT is ambiguous; You must specify the multiplier. (200)"

I'm not sure but could this have something to do with it?

[NinjaTrader_Jason]

It seems you need to use a different symbol mapping for the stock, since the current symbol mapping is ambiguous. I checked the IB website for the multiplier, but I could not find anything related.

http://www.interactivebrokers.com/en/trading/exchanges.php?showcategories=STK&sortproducts=ES&showproducts=M&exch=aeb&ib_entity=llc&search.x=30&search.y=16#show

http://www.interactivebrokers.co.uk/contract_info/index.php?action=Details&site=GEN&conid=47034787

I suggest to contact IB and check what symbol mapping you will need to use to receive data for the MT traded on the Aeb exchange.

Once you receive data for these instruments in the Control Center, you should also receive data in the Market Analyzer.