Basket Trader V 1.0 User Manual
Contents
1. IB s Trader Workstation TWS A typical scenario of Basket Trader would be Before the market opens the system trader generates orders for the current day The system trader stores them in a text file This text file is imported into Basket Trader There all necessary changes and conversions are done All converted orders are submitted to IB s TWS Basket Trader monitors the account value to delete all outstanding orders in case the cash value drops below a certain value D OR DD The advantages are v Orders can be queued only not transmitted in IB s TWS for later submission v Support of OCA order groups for bracked orders LMT and STP order of same symbol v STP orders can be converted into STP LMT with limit price adjustment v Market orders can be converted to e VWAP e Market on Open e Market on Close v Orders can be submitted with Good Till Date and Good After Date flag v Order destinations can be chosen for each security v NYSE will be chosen automatically where appropriate Support for Financial Advisors different allocation profiles can be chosen v Realtime account monitoring e Deletion of all open orders when Cash avail funds fall below certain value v Generating IB Basketfiles from the WL alertlist Y Statistics about the number value kind of all alerts are calculated v All settings are stored in the registry System Requirements Interactive Brokers TWS version 873 or above Interactive Brokers API V2. Tools Options System settings If all your settings are correct press Connect You should get the following dialog box in IB IB Trader Workstation Accept incoming connection attempt ce IB asks to grant access to an external program Confirm it to grant Basket Trader access to your TWS If you have a firewall installed like ZoneAlarm this firewall will alert you that Basket Trader is trying to access the internet Bracket Trader does not need an internet connection though the firewall does not distinguish between internal and external connection requests You need to allow this in your firewall otherwise Basket Trader can t get access to IB s TWS If you want to disconnect from IB s TWS you can do so at any time by pressing X Disconnect Basket Trader V 1 0 User Manual Transmitting orders Before you transmit your orders you can set some additional parameters like e Time in Force DAY Good Till Cancel Immediate or Cancel e Good Till Date and e Good After Date The time and date values are set to the current date by default If your market is the US American market the default values will be always appropriate for you The Filter setting lets you choose which orders you want to submit Only Buy orders only Sell orders or both Buy and Sell orders If you check the checkbox located above the Submit button the orders will be submitted to TWS and also submitted to the market Caution Your orders
3. maintain the Wealth Lab alertfile syntax symbol action shares type price The statistics will not update automatically after you performed the changes If you want to update the statistics you can save this file without conversion using the command File Save as WLD Alertfile and reopen it again Verifying conversion options Before you might send these orders now to IB you should have a look at the options Choose Options in the Tools menu Options Conversion options File locations System settings Convert Market to Market no conversion C Market on Open MOO C VWAP C Market on Close MOC Order Destination Convert order destination currency according conversion table MW Send to NYSE for all 3 letter symbols M Other MW Create OCA Orders for LMT STP pairs of the same symbol Convert STP to STPLMT Cancel Options window Conversion options Basket Trader V 1 0 User Manual Become familiar with all these options Most of them are self explanatory Each option is explained with a tool tip that appears when your mouse is near the option Soon there will be a Help file that explains all options more thoroughly when you press Help Set the options to your liking and save them with the OK button All options are saved in the registry even after exiting the program So your preferred values are always set correctly These options are valid for transmission of orders through the API as well as
4. price Optionally you can define the adjustment of the Limit price If you leave it at O the Limit price will be the same as the Stop price If you enter values lt gt 0 the Limit price will be adjusted by this value according to this table Order type Adjustment gt 0 Adjustment lt 0 BUY orders LMT price gt STP price LMT price lt STP price SELL orders LMT price lt STP price LMT price gt STP price A thumb rule for this setting In most cases you want to make sure that the STOP order gets filled so you want the Limit price to be slightly below in case of SELL STOP the Stop price and slightly above the Stop price in case of BUY STOP So in both cases the value is positive you rarely choose negative values Options Setting file locations The second tab of the Options window lets you select the default names of the following files e Wealth Lab Alert file containing the alerts generated in Wealth Lab e B Basket file the basket file which can be imported into IB s TWS e Symbol conversion table symlo txt located in the WLDIB folder below the Wealth Lab app folder Basket Trader V 1 0 User Manual Options Conversion options f System settings Default WLD Alertfile le alerts txt Oo Update default filename with the most recent opened file Default IB Basket filename Ic ts basket txt al Update default filename with the most recent saved file Symbol conversion table WLD ooku
5. Basket Trader V 1 0 User Manual July 2007 Jos Cruset All rights reserved info systemtrader24 com Basket Trader V 1 0 User Manual Table of Contents Table of Contents Introduction System Requirements Installation De installation Working with Basket Trader Saving the alerts in Wealth Lab Developer Loading the alerts into Basket Trader Verifying conversion options Options Convert Market to Options Convert order destination Options Send to NYSE for all 3 letter symbols Options Create OCA Orders for LMT STP pairs of SELL orders Options Convert STP to STPLMT Options Setting file locations Options Verifying system settings Options Communication with TWS Options Error handling Options Show Tooltips Options Order transmission delay Options Show Debug information Connecting to IB s TWS Transmitting orders Account monitoring Financial Advisors Saving IB Basketfile Automating Basket Trader Registration Open issues Contact Disclaimer Copyrights trademarks O DO O WO WO WOWONNNNODH A A RA RR RR kh rR RP 11 11 12 12 12 12 Basket Trader V 1 0 User Manual Introduction Thank you for choosing Basket Trader Basket Trader is a tool for End Of Day traders using Wealth Lab Developer WLD as system development tool and Interactive Brokers IB as their broker All trades generated by Wealth Lab Developer can be transmitted to
6. RUSET OR HIS DEALERS DISTRIBUTORS AGENTS OR EMPLOYEES ASSUME THE ENTIRE COST OF ALL LOSSES BOTH FINANCIAL AND NON FINANCIAL By using this software you accept the conditions of this agreement Copyrights trademarks Basket Trader is not free All rights reserved by Jos Cruset For more information please contact the author info systemtrader24 com Wealth Lab Developer is a trademark of Wealth Lab Inc Interactive Brokers Trader Workstation is a trademark of Interactive Brokers Windows is a trademark of Microsoft Corporation 12
7. der V 1 0 User Manual Basket Trader File Tools Help Basket Trader V 1 0 Alettlist TWS Login AA Buy 1 91 Limit 26 22 AIG Buy 81 Limit 62 08 3 43 Connect AXP Buy 116 Limit 42 94 i BA Buy 132 Limit 37 91 TES C Buy 124 Limit 40 41 Order transmission CAT Buy Limit 64 86 Time In Force Filter al DD Buy 1 35 Limit 37 05 v DAS NW GoodTilDate 20070815 16 00 00 EST BUY SELL Submit transmit BUY Orders Value C GTC M Good After Date 20070815 03 30 00 EST BUYs only S Submit LMT 26 12955214 Allocation Profile C SELLs only SIP 1 7170 80 mm MKT 0 000 Realtime account monitoring Total 27 136 722 94 Managed accounts A Delete all open orders now SELL Orders _ Value LMT 4 20 570 45 Cancel all Active Orders when RegTMargin rises above STP 1 4 178 50 MKT 0 0 00 Total 5 24 748 95 Cancel all Active Orders when Leverage rises above Cancel all Active Orders when Buying Power falls below Welcome to Basket Trader Basket Trader main window after loading the alerttile In the upper left corner you will see the content of the Alertfile Below this window you can see the statistics number and value of BUY and SELL orders separated by kind of order of the currently open alertfile Once loaded you can change the alertfile as in any other text editor For your convenience you can press the Zoom button to expand the edit window Please be aware that You should
8. ersion 9 11 or higher Wealth Lab Developer 2 1 or higher 512 MB Ram Windows 95 2000 XP Installation De installation Basket Trader consists of one EXE file that can be stored anywhere on your PC s hard disk you can also copy it after first use to a different location Basket Trader does not need any additional files If you want to deinstall Basket Trader just delete the exe file There will only be an entry in the Windows registry left at this location HKEY_CURRENT_USER Software Basket Trader You can leave it there in case you use BT again But if you don t want this information to remain in the registry you will need to remove it manually or we can send you a file that removes this entry automatically Basket Trader V 1 0 User Manual Working with Basket Trader Basket Trader has been tested thoroughly but no guarantee can be given that it is error free nor any warranty can be given for damages it might produce Please read also the disclaimer at the end of this user manual Before you start using it for your real life trades you should get familiar with Basket Trader using the demo version of IB s TWS To work with this version you need to login into TWS using the username edemo and password demouser Saving the alerts in Wealth Lab Developer Basket Trader gets the alerts orders from the alert file which has been saved within Wealth Lab Developer You need to save the alert list in the Scan tool of Wea
9. etter symbols are traded on NYSE this is not true for all these symbols For example NBR and DVN trade at AMEX Please use the lookup table for these cases Options Create OCA Orders for LMT STP pairs of the same symbol This option is useful if your system generates a Profit Limit order as well as a Protective Stop order for your position s In case you have a long position you would have two Sell orders in case you have a short position you would have to Buy orders As soon as one of them gets filled you want the other to be cancelled automatically IB offers the OCA One Cancels All order Both orders are submitted together as with the same OCA id and as soon as one is filled the other one is deleted Basket Trader analyzes the orders and detects bracket orders automatically The conditions for Basket Trader to detect these orders are e Both orders need to be for the same symbol e One order has to be a Limit order and the other a one a Stop or Stop Limit order e Both orders need to be next to each other in the Alertlist e Only exactly two orders are supported inside one OCA group If these conditions exist in the Alertfile and the option is checked in the Options window two OCA orders will be created in IB s TWS Options Convert STP to STPLMT This option converts all Stop orders into StopLimit orders As soon as you check this option additional information will be displayed M Convert STP toSTPLMT SetLMT O 24 Cents STP
10. f ALL accounts are deleted l e also orders of accounts whose values didn t reach the values will be deleted Currently it is not possible to delete only orders for a specific account because one order can be valid for several accounts due to the allocation profile feature Saving IB Basketfile Instead of transmitting your orders directly to IB s TWS you can convert and save them as an IB Basket file This is a text file which contains all the orders but in a format IB s TWS can read it So you can read this file from IB s TWS with the Basket feature Order Basket in TWS To do this choose Save as IB Basket ile from the File menu All options and settings who are applicable will be used to convert the file Automating Basket Trader You can use Basket Trader also in automation mode to convert an alertfile automatically to an IB Basket file You can start Basket Trader with the following command line arguments Baskettrader exe c lt Alert list filename gt lt Basket filename gt Explanation c conversion switch lt Alert list filename gt Path and filename of the WLD alert list lt Basket filename gt Path and filename of the IB Basket fil All options and settings who are applicable will be used to convert the file After the conversion process has finished Basket Trader exits automatically Caution Currently Basket Trader does not inform you about any errors that occurred during the conversion process E
11. lth Lab Developer IMORTANT The Alertfile has to be saved in version 2 1 format Otherwise it can t be imported into BasketTrader To save the alertlist in this format you need to right click the mouse in the scan window instead of clicking on the Save to File button of WLD If you are using Wealth Lab Developer 2 1 you don t have to worry about the format save it pressing the Save to File button Alerts Performance Open Positions Custom Columns Errors amp Send to Order Manager fel Save to File M Allow Complete Scan of Multi Symbol Scripts Symbol Date CharScript Order Shares Type Price AMZN 15 6 04 1 2 3 4 Strategy Sell 80 Stop 48 915 15 6 04 z i BCR 15 6 04 56 725 Soc Len wee es DHR 15 6 04 2 Select All 49 125 DLTR 15 6 04 2 3 rs 27 145 EXPD 15 6 04 2 Delete Selected Item s Del 45 555 cC E reate WatchList from Selected Symbols eee T zl E Save Alerts to 2 1 Format File are ITW 15 6 04 1 2 3 4 Strategy Buy 40 Stop 93 875 MDP 15 6 04 1 2 3 4 Strategy Buy 70 Stop 55 525 HI 15 6 04 1 2 3 4 Strategy Buy 100 Stop 40 255 MIL 15 6 04 1 2 3 4 Strategy Sell 80 Stop 49 375 HO 15 6 04 1 2 3 4 Strategy Cover 80 Stop 49 445 Saving the alert list in version 2 1 compatible format Loading the alerts into Basket Trader Once your alerts are saved in a file you can import them in Basket Trader Use the command Open WLD Alertfile in the File menu Basket Tra
12. ndling This radio button sets the different error handling methods You should leave the second option checked unless you experience problems and you want to read all errors one by one as they occur Options Show Tooltips This option controls the short descriptions of each option and command in Basket Trader They are helpful to understand all functions better Options Order transmission delay This value specifies the milliseconds that Basket Trader waits between the submission of each of the orders You can enter values between 10 and unlimited You should leave it at the default value of 50 but if you experience problems or you want to slow down the order transmission to debug it increase this value to for example 1000 In this case Basket Trader would wait 1 second between each order Options Show Debug information If you encounter problems with Basket Trader we might ask you to switch on the debug window This will help us determining the problem Please use this option only if asked by us Connecting to IB s TWS Back in the main menu you should now connect to IB Before you press the Connect button please make sure that e TWS is up and running e You enabled ActiveX and Socket Clients in IB s TWS to enable this option in IB s TWS set the checkbox at Configure API Enable ActiveX and Socket Clients e You set the same Socket Port in TWS as in BasketTrader you can set the socket port in Basket Trader go to
13. nsmission of orders for financial advisors works but the orders can t be submitted to the market within IB s TWS In IB s TWS an error message occurs that the order needs a flag 6161 In Automation mode with command line params Basket Trader does not return any information about failure of the conversion process Onsome machines it might be required to perform additional steps in order to install the IB API correctly The reason is because the Interactive Brokers Setup of API 9 1 or 9 2 does not install all required components please read this post for explanation http www interactivebrokers com cgi bin discus board auth pl im 1182702602 amp file 2 42570 html The fix can be downloaded from here http www bracket trader com MissingRegisterCode html We are currently investigating to resolve improve these issues Contact If you have questions or support requests please send an e mail to info systemtrader24 com Disclaimer THIS SOFTWARE AND ACCOMPANYING WRITTEN MATERIALS INCLUDING USER MANUAL ARE PROVIDED AS IS WITHOUT WARRANTY OF ANY KIND FURTHER JOSE CRUSET DOES NOT WARRANT GUARANTEE OR MAKE ANY REPRESENTATIONS REGARDING THE USE OR THE RESULTS OF USE OF THE SOFTWARE OR WRITTEN MATERIALS IN TERMS OF CORRECTNESS ACCURACY RELIABILITY CURRENTNESS OR OTHERWISE THE ENTIRE RISK AS TO THE RESULTS AND PERFORMANCE OF THE SOFTWARE IS ASSUMED BY YOU IF THE SOFTWARE OR WRITTEN MATERIALS ARE DEFECTIVE YOU AND NOT JOSE C
14. p table Ic Archivos de programa ealth Lab Developer 3 0 WLDIB Qo cms O o Options window File locations During installation default values are used for these settings depending on your Wealth Lab folder and your TWS folder If you want these default values to be changed automatically to the most recent used file whenever you save or open a file mark the checkbox below the filenames If the checkbox is unmarked the default file name will not be changed Options Verifying system settings The third tab of the options window contains various system settings Options M Communication with TWS TS Port number 7496 TWS Host name ener en Show each error message in a separate Dialogbox Show error messages only in the statusbar Advanced options M Show Tooltips Order transmission delay 50 E Show co information pesait use ony if asked by us Options window System settings Options Communication with TWS Basket Trader needs to know the TWS Port number to communicate with the TWS The default Port number is 7496 Please make sure that the TWS Port number is the same as the one set in IB s TWS To set the Port number in IB s TWS go to Configure API Socket Port You need to specify a host name if the TWS in question is at a different PC than the one at which Basket Trader is installed Otherwise leave this field empty Basket Trader V 1 0 User Manual Options Error ha
15. rders immediately you can do so by clicking the button A Delete all open orders now After pressing this button all orders are deleted without any additional security questions Please note that all open orders will be deleted thus also your manually entered orders Caution Markets can move fast and the TWS updates the account values with a certain time lag Furthermore communication between the TWS and Basket Trader might not work properly So situations might occur in which the Account Monitor does not get the required information from the TWS in a timely manner In these cases it might be that the account values drop far below the specified threshold and Basket Trader does not react at all So there is no 100 guarantee that the account monitor will protect your account from losses Please use the features in the Account Monitor with caution and with these limitations in mind 10 Basket Trader V 1 0 User Manual Financial Advisors Basket Trader can be used for Financial Advisor accounts too Soon after Login into your account you will see that two more drop down fields are available e Allocation profile Use this setting to choose the appropriate allocation profile for your orders You can edit these allocation profiles within IB s TWS e Managed accounts Use this drop down to choose the account you want to monitor Be careful If you select the option to delete the orders as soon as certain values are reached ALL orders o
16. s installation folder This file is used by Wealth Lab Developer as well as by finantic s IB realtime data adapter IB Data It is a simple text file and contains a conversion table for all symbols used in WLD Basket Trader as well as WLD and IBData needs this information to be able to send the correct symbols to IB s TWS The syntax in this text file is WLD Ticker IBsymbol secType exchange expiry strike right currency localSymbol Lines starting with a hash sign are considered as comment lines and are ignored Example Daimler Chrysler trades at NYSE and at XETRA FWB It needs an entry in the Symlo file You can choose the ECN by inserting one of these lines in the Symlo txt file sending DCX orders to XETRA FWB DCX DCX STK FWB EUR sending DCX orders to NYSE DCX DCX STK NYSE USD For a detailed explanation of the syntax please review the Wealth Lab Developer help file and search there for symlo txt Basket Trader V 1 0 User Manual Options Send to NYSE for all 3 letter symbols The option Send to NYSE for all 3 letter symbols will send all orders whose symbols has only 3 letters to NYSE All other orders are sent to SMART Symbols in the conversion table have preference over this setting i e if you have an entry in the lookup table for IBM this entry will be used to determine the order destination regardless of the switch Sent to NYSE Attention Although most 3 l
17. the conversion process when you create the IB Basket file either manually or in automation mode see below Options Convert Market to In case of Market orders you can choose to convert them automatically to VWAP Volume Weighted Average Price MOO Market On Open or MOC Market On Close In case of VWAP you need to transmit the orders at least three minutes before the market opens otherwise they will not be accepted If you choose MOO these orders will be transmitted as Market with a GAD Good After Date flag regardless of the GAD setting in the main menu You need to set the time accordingly to the market open time A dialog box will alert you about this MOC orders are native MOC orders where the market accepts these kind of orders otherwise IB will simulate MOC orders Options Convert order destination The option Convert order destination currency according conversion table needs to be checked whenever at least one of these situations is true the symbol used in WLD is different than the one used in IB s TWS additional information in case of futures is needed expiry month etc to submit the order to IB s TWS the symbol exists more than once in IB s TWS cause it exists at different markets and needs to be distinguished by the currency You want to force the destination for a symbol to a specific ECN Default is SMART This feature requires the file symlo txt in the WLDIB folder of Wealth Lab Developer
18. will be active and they might be executed immediately It might be better to submit them to IB s TWS first and to submit them to the market at a later stage To submit the orders to IB s TWS you have to press this button EA Submit Note Basket Trader transmits the orders to IB s TWS but does NOT monitor them So you have to verify in IB s TWS if the order s are accepted filled or cancelled For example if an order is rejected because of insufficient margin the order will not be accepted and cancelled immediately Basket Trader does not receive this information A future release of Basket Trader will provide this functionality Account monitoring You might want to monitor your account and cancel all open orders as soon as certain account values fall rise to a certain level You can do so with the checkboxes in the lower part of BasketTrader Three values are available for monitoring e RegTMargin e Buying Power e Leverage At the far right side you can see the current value of these values You can check each of the checkboxes to activate the monitoring feature Fill in some values in the Edit Box next to the value you want to monitor As soon as the value for Buying Power falls below in case of leverage and RegTMargin rises above the threshold value all open orders are deleted automatically Caution All open orders will be deleted Basket Trader deletes also your manually entered orders If you want to delete all open o
19. xample Baskettrader exe c c myalerts alertlist txt c jts portfolio txt This command reads the file alertlist txt in directory c myalerts and writes the alerts in an IB compatible format into the file portfolio txt in IB s directory c jts Registration Basket Trader is not free and works unregistered a limited time only You need to register Basket Trader to get an unlimited version Registration involves payment of the product Therefore you need to send us your name and the hardware key of your computer We will send you back an unlock key You need to enter this unlock key together with your name into Basket Trader to convert Basket Trader into an unlimited version You find the hardware key as well as the entry fields for your name and the unlock key in the following menu of the main form Help Register Basket Trader 11 Basket Trader V 1 0 User Manual Open issues Currently the following open issues are known Basket Trader crashes on startup with a GPF if there is no API installed or the API can t be found No error message with a warning is shown If this happens on your PC try to reinstall the API from scratch i e remove the existing one and reinstall it lf TWS is closed while a connection exists Basket Trader loses connection to it A window will appear to notify the user about this situation but then Basket Trader will close too all settings are saved before closing Sometimes tra
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