API Reference Guide

602 Pages·2015·17.66 MB·English

by  Interactive Brokers

APIReference Guide
April 2015
Updated through APIRelease 9.72
©2015 Interactive BrokersLLC.All rightsreserved.
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Microsoft Corporation in the United Statesand/orin othercountries.
Any symbolsdisplayed within these pagesare forillustrative purposesonly,and are not intended to portray any recom-
mendation.
Contents
Contents i
Overview 31
About the APIs 32
Installing the APISoftware 33
Run the APIthrough TWS 34
Run the APIthrough the IB Gateway 35
Recommendations 37
APIOrdersand TWSPrecautionary Settings 38
APIOrderIDs 40
New OrderExample 40
Modified OrderExample 40
TraderWorkstation APISettings 41
General 41
Trusted IPAddresses 42
Uninstalling and Re-installing the TWSAPISoftware on Windows 43
DDE forExcel 45
Tutorial: Requesting Real-Time Market Data 46
Tutorial: Requesting Real-Time Market Data -What You Will Need 46
Tutorial: Requesting Real-Time Market Data1.Prepare the Request 47
Tutorial: Requesting Real-Time Market Data2.Request the Data 48
Tutorial: Requesting Real-Time Market Data3.Understand the Formulas 49
The Request 49
The Bid Price Retrieval 49
Tutorial: Requesting Real-Time Market Data4.Obtain the Last Available Error 50
Why isit important to first clearthe errorformula before correcting ourrequest? 51
APIReferenceGuide i
Contents
Tutorial: Requesting Real-Time Market Data5.Define OtherInstruments 52
How to Find the Definition ofa Contract 52
FormulasforDifferent Security Types 54
Tutorial: Requesting Real-Time Market Data6.Request OtherData Values 55
Tutorial: Requesting Historical Data 57
Tutorial: Requesting Real-Time Market Data -What You Will Need 57
Tutorial: Requesting Historical Data1.Prepare the Request 58
How to Handle Spacesand Colonsin the Formula 59
Enterthe Historical Data Request 60
Tutorial: Requesting Historical Data2.Request the Data -Add a Button 61
Tutorial: Requesting Historical Data3.Request the Data -Add the Code 62
Tutorial: Requesting Historical Data4.Request Duration and BarSize 64
Duration 64
BarSizes 65
Tutorial: Requesting Historical Data5.Examples 65
Getting Started with the DDEforExcel API 67
Download the APIComponentsand Spreadsheet 68
Configure TraderWorkstation to Support APIComponents 69
Open the Sample Spreadsheet 70
Using the DDEforExcel Sample Spreadsheet 71
TickersPage 72
Using the TickersPage 72
TickersPage ToolbarButtons 74
Basic OrdersPage 75
Placing Orders 76
Placing a Combination Order 77
APIReferenceGuide ii
Contents
Supported OrderTypes 79
Basic OrdersPage ToolbarButtons 79
Extended OrderAttributesPage 79
Manually ProgramExtended OrderAttributes 80
Apply Extended OrderAttributesto Individual Ordersand GroupsofOrders 81
Extended OrderAttributes 81
Conditional OrdersPage 86
Setting Up Conditional Orders 86
Conditional OrderExamples 88
If-Filled order 88
Price-change order 88
Conditional OrdersPage ToolbarButtons 89
Advanced OrdersPage 89
Placing a Bracket Order 90
Placing a Volatility Order 91
Placing a Trailing Stop Limit Order 92
Placing a Scale Order 93
Placing a Relative Order 94
Advanced OrdersPage ToolbarButtons 94
Open OrdersPage 94
Viewing Open Orders 95
Open OrdersTab ToolbarButtons 96
ExecutionsPage 96
Viewing Executions 97
ExecutionsPage ToolbarButtons 97
ExecutionsReporting Page 97
APIReferenceGuide iii
Contents
Running Execution Reports 98
Account Page 98
Using the Account Page 99
Account Page ToolbarButtons 100
Account Page Values 100
Portfolio Page 104
Viewing YourPortfolio 105
Portfolio Page ToolbarButtons 105
Historical Data Page 106
Viewing Historical Data 106
Historical Data Page ToolbarButtons 108
Historical Data Page Query Specification Fields 108
Market ScannerPage 111
Starting a Market ScannerSubscription 111
Market ScannerParameters 112
Market ScannerPage ToolbarButtons 113
Available Market Scanners 113
Contract DetailsPage 117
Requesting Contract Details 118
Contract DetailsPage ToolbarButtons 118
Bond Contract DetailsPage 119
Requesting Bond Contract Details 119
Bond Contract DetailsPage ToolbarButtons 120
Market Depth Page 120
Using the Market Depth Page 121
Market Depth Page ToolbarButtons 122
APIReferenceGuide iv
Contents
AdvisorsPage 122
Allocating Sharesto a Single Account 123
Placing an Orderusing an FA Account Group and Method 124
Placing an Orderusing an Allocation Profile 124
AdvisorsPage ToolbarButtons 125
DDEforExcel APIReference 126
Viewing the Code 126
Modules 127
Macros 127
Named Ranges 128
DDESyntax forExcel 129
Using DDESyntax to Request Market Data 134
Active X 137
Linking to the Application using ActiveX 138
Registering Third-Party ActiveX Controls 139
Running the ActiveX APIon 64-bit WindowsXPSystems 140
ActiveX Methods 141
connect() 143
disconnect() 143
reqCurrentTime() 143
setServerLogLevel() 143
reqMktDataEx() 144
cancelMktData() 144
calculateImpliedVolatility() 144
cancelCalculateImpliedVolatility() 145
calculateOptionPrice() 145
APIReferenceGuide v
Contents
cancelCalculateOptionPrice() 145
reqMarketDataType() 145
placeOrderEx() 146
cancelOrder() 146
reqOpenOrders() 146
reqAllOpenOrders() 146
reqAutoOpenOrders() 146
reqIds() 147
exerciseOptionsEx() 147
reqGlobalCancel() 148
reqExecutionsEx() 148
reqContractDetailsEx() 148
reqMktDepthEx() 149
cancelMktDepth() 149
reqAccountUpdates() 149
reqAccountSummary() 150
cancelAccountSummary() 153
reqPositions() 153
cancelPositions() 153
reqNewsBulletins() 153
cancelNewsBulletins() 154
reqManagedAccts() 154
requestFA() 154
replaceFA() 154
reqHistoricalDataEx() 155
cancelHistoricalData() 157
APIReferenceGuide vi
Contents
reqScannerParameters() 157
reqScannerSubscriptionEx() 157
cancelScannerSubscription() 158
reqRealTimeBarsEx() 158
cancelRealTimeBars() 159
createComboLegList() 159
createContract() 159
createExecutionFilter() 159
createOrder() 160
createScannerSubscription() 160
createTagValueList 160
createUnderComp() 160
reqFundamentalData() 160
cancelFundamentalData() 161
queryDisplayGroups() 161
subscribeToGroupEvents() 161
updateDisplayGroup() 161
unsubscribeFromGroupEvents() 162
ActiveX Events 163
connectionClosed() 164
currentTime() 164
errMsg() 164
tickPrice() 164
tickSize() 165
tickOptionComputation() 165
tickGeneric() 166
APIReferenceGuide vii
Contents
tickString() 166
tickEFP() 166
tickSnapshotEnd() 167
marketDataType() 167
orderStatus() 168
openOrderEx() 169
openOrderEnd() 169
nextValidId() 169
permId() 170
deltaNeutralValidation() 170
updateAccountValue() 170
updatePortfolioEx() 172
updateAccountTime() 173
accountDownloadEnd() 173
accountSummary() 173
accountSummaryEnd 176
position() 176
positionEnd() 177
updateNewsBulletin() 177
contractDetailsEx() 177
contractDetailsEnd() 177
bondContractDetails() 178
execDetailsEx() 179
execDetailsEnd() 179
commissionReport() 179
updateMktDepth() 180
APIReferenceGuide viii