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Interactive Brokers IBALGO Orders

Does QuantConnect allow you to submit IBALGO orders to Interactive Brokers?

When trading securities with low liquidity I find the Adaptive algo to be quite useful, if it is supported by QuantConnect that would be fantastic.

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Details for the Interactive Broker API ALGO function are here:

http://interactivebrokers.github.io/tws-api/ibalgos.html#adaptive

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I'm also interested in this as well.

Is IB's VWAPBestEffort already implemented in QC?

How does one set these options for IB Live Trading if using the SetHoldings() helper function (in Python)?

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+1 to this request.  Any response from the QC folks?  In my view, this is a huge simplifier for QC since it allows much of the low-level work to be offloaded to the IB servers.  I simply place an order for 10,000 shares following whichever execution algo using the IBALGO destination and the broker handles the rest, abstracting it from client-side.  

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Unsure if someone is currently working on custom order types or not, but the argument in the past against putting these order types in core Lean was that they are broker specific and that there is no good way of writing e.g. fill simulations for them. Still, I think one might simply estimate them with a market fill for long term trades and I would certainly appreciate having the option to not have to write order execution myself while on IB.

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We're aware of the request and are building a generic broker neutral way of approaching this feature. No timeline on its ETA but the foundation has been laid with the IOrderProperties type which holds broker/order specific properties. We've already made OrderProperties for Financial Advisors sending trades to multiple accounts. Our general motto is bugs before features and there are enough bugs to keep us busy for a while but I'll ping this thread when there's an update.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Any update on this front?

 

IB's accumulate/distribute algo and adaptive algos seem very appealing.

 

Any way to use them right now or in immediate future?

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We attempted to implement this bug the IB API doesn't support sending VWAP orders via API! Its a bug in IB's API and we're waiting on them to fix it. The other IB Algo orders are still on the list; but it's just a poor use of time if they can't be sent to IB.

The Algorithm Framework is made to write these execution algorithms directly into your strategy. We've implemented the VWAP model for you as an example. 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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