IB Known Bug Msg

[glam_100]

Hi,

When installing NT, a pop up window says:

"There is a known bug with Interactive Broker's TWS where a position's average entry price is reported zero. This only affects futures contracts. When NinjaTrader detects this bug, it attempts to calculate the position's average entry price based on historical execution data. If any historical execution data is missing (can happen if initiating a position in TWS while Ninja Trader is disconnected and then carrying that position overnight) the position's average entry price will be slightly incorrect ..."

My strategy uses the position's average entry price extensively and thus it is very important to understand how NT "attemtpts to calculate the position's average entry price based on historical execution data".

Few questions:

1) Does the known bug still exist with newer versions of TWS?

2) What is this "historical execution data"? Isthat meanNT stores everyexecution in itsdatabase? If I have lots of open positions (say hundreds) would it be very slow in calculating that average entry price?

3) Is there any other way I could get the real position's average price instead of calculating it from "historical data", which may be different from the real average price?

Thanks!



Gordon

[NinjaTrader_Ray]

imported post

Hi Gordon,

1) This bug can always potentially exist.
2) When connected, NT stores fills as they come in. There is no way for us to request historical data from IB, this is a limitation on their end. If executions occur when NT is not connected, they will not make it to the database. You would not see any speed degradation when NT calculates position size, this happens before the connected status is reported.
3) No.

Ray

[glam_100]

imported post

Hi,

I saw this from the release notes of Version 5.1.1.1 Beta:

"Improved: IB adapter now supports native TWS reported average entry price"

Is that mean the average entry price is now native and not calculated from NT fill database?

Thanks!



Gordon

[NinjaTrader_Ray]

imported post

It does but there is still that work around logic in place in case NT detects an average price of "0" reported from TWS.