Spreader for IB

[Saud]

I came across this spreader for use with Interactive Brokers.<?xml version="1.0" encoding="ISO-8859-1" ?><conf>    <ipaddress>127.0.0.1</ipaddress>    <account>BALH1234</account>    <spreads>        <!-- CL/BRENT  -->        <spread>            <id>1</id>            <sid>1</sid>            <sid>2</sid>            <frontSize>1</frontSize>            <backSize>1</backSize>        </spread>    </spreads>    <instruments>        <instrument>            <sid>1</sid>            <symbol>COIL</symbol>            <exchange>IPE</exchange>            <sectype>FUT</sectype>            <expiry>201101</expiry>        </instrument>        <instrument>            <sid>2</sid>            <symbol>CL</symbol>            <exchange>NYMEX</exchange>            <sectype>FUT</sectype>            <expiry>201101</expiry>        </instrument>    </instruments></conf>

http://miraclespread.wordpress.com/2010/12/15/configuration/

 

That's all there is.

 

I have no idea yet how to run this but just in case anyone is interested

[PaulCao]

Hi, 

 

This looks like the configuration file for the application, basically what pair of spread to trade it on, in this case, a pair of oil futures; not the source code, 

 

However, there are open source tools that support the different type of order execution on IB you might be interested in, 

 

https://code.google.com/p/algo-trader/; see http://doc.algotrader.ch/html/Execution_Algos.html

 

Unfortunately, this tool is designed for executing a block order, so for hedge funds or banks to slice their order into different slices, varying the time when the order is sent to the market to confuse and hide from the human and machine tape readers and randomize a bit the aggressiveness of the bidding; but executes to a set VWAP (volume weighted average price, basically a fancy word for your average fill price if your order gets filled by several partial fills across different times with different price). 

 

So not really for retail traders who wants to get a quick fill on a small order - the original tool  seems to leg in the order and once one leg is filled, tries to execute aggressively the other leg. 

 

There's also another IB order type that you might be interested, https://www.interactivebrokers.com/en/?f=%2Fen%2Ftrading%2Forders%2Fvol.php; instead of entering a limit order for the price, you can enter the IV you want for the whole pair. Since market-makers adjust their prices to the volatility, you might try to have IB automatically adjust your price to IV, 

 

Best,

PC

[Saud]

Thanks so much, Paul. I came across that whilst looking into the Scale Trader at IB, which is as you say, mainly a tool to break up and disguise huge orders being sent in. Not really suited for smaller investors, but I liked the idea of the profit taking offset on that for scalping. Might be useful for a choppy market coming off a low, but I'm not sure if its really scalable.