TWS

TWS Users' Guide February 17, 2006 Table Of Contents Get Started ................................................................................................................1 Order Management Modules........................................................................................ 15 Use the Trading Window .......................................................................................... 16 Use the Order Ticket ............................................................................................... 29 Rapid Order Entry ................................................................................................... 41 BookTrader............................................................................................................ 45 OptionTrader ......................................................................................................... 53 BasketTrader ......................................................................................................... 59 SpreadTrader ......................................................................................................... 75 Volatility Trading .................................................................................................... 84 Calculate Order Quantity.......................................................................................... 86 Multi-client Trade Allocation ..................................................................................... 91 Change Order Defaults & Assign Shortcuts ............................................................... 101 Left Pane - Instrument Types............................................................................... 102 Right Pane - Default Order Type........................................................................... 103 ChartTrader ......................................................................................................... 118 DepthTrader ........................................................................................................ 121 Rebalance & Portfolio Allocation .............................................................................. 127 Order Types and Properties....................................................................................... 131 Basic Order Types................................................................................................. 132 Times in Force...................................................................................................... 153 Order Attributes ................................................................................................... 160 Advanced Order Types .......................................................................................... 169 Market Data Tools ................................................................................................... 175 iii TWS Users' Guide Price/Risk Analytics ................................................................................................. 177 Portfolio Analytics ................................................................................................. 182 Option Analytics ................................................................................................... 198 Option Modeler..................................................................................................... 203 Charting .............................................................................................................. 226 Chart Basics...................................................................................................... 227 Chart Types ...................................................................................................... 240 Chart Indicators................................................................................................. 244 Market Scanners................................................................................................... 262 Other Technical Analysis Tools ................................................................................ 267 Configure TWS ........................................................................................................ 269 Global Configuration.............................................................................................. 270 Page Layout......................................................................................................... 306 Workspaces ......................................................................................................... 315 Customize the Main Trading Window ....................................................................... 317 Feature Selector ................................................................................................... 327 Exercise and Rollover ............................................................................................... 331 DVP/RVP ............................................................................................................. 332 Option Exercise .................................................................................................... 336 Real-time Activity Monitoring .................................................................................... 341 Text Colors .......................................................................................................... 357 Background colors on a Market Data line.................................................................. 357 Background colors on an Order Management line ...................................................... 358 Order Status Colors .............................................................................................. 358 Alerts and Notifications.......................................................................................... 361 Application Program Interface ................................................................................... 379 iv Table Of Contents ActiveX ............................................................................................................... 394 C++ ................................................................................................................... 437 DDE.................................................................................................................... 467 Java ................................................................................................................... 488 Advisors .............................................................................................................. 519 TWS Menus Reference.............................................................................................. 523 v Get Started Log in You can run the application from your Internet browser or you can download it to your PC and launch it directly from your desktop. The browser-based version allows you to access your account and execute trades from any Java™-enabled internet browser, and is always running the latest release. The installed version uses less memory and may run faster, but requires you to download each release to take advantage of new features. To download to your PC, see the Installation Instructions on the website. To log in from your browser 1. In the Login box in the upper right corner of the IB homepage, select TWS from the drop-down list. NOTE: If you are a first-time user, select Account Management, enter your username and password, and click Login. 2. Enter your user name and password. If you want to change the directory in which your settings reside, click the Browse button and select a new drive. 3. For added security, use Secure Socket Layer (SSL) by checking Use SSL. Note that your identity and trading information are always protected. Using SSL gives added privacy and integrity to your order information as it travels over the internet. Minor performance impacts may be experienced depending on the capabilities of your PC. To use SSL, you must be running version 1.4.2_03 or higher of the Java runtime environment. To see what version of Java you are currently running, click in any row and press Ctrl +Alt + V. To log in from your desktop 1. 2. 3. Double-click the application icon on your desktop. Enter your username and password. If you are prompted to install the free Java™ Runtime plug-in, see the Java™ Plug-In installation document. This plug-in enables your PC to run the advanced technology that powers the application. Copyrights and Trademarks 1 TWS Users' Guide Add a Market Data Line Before you can trade, you need to add market data lines for your assets. A market data line represents an individual ticker, and displays the product type, order destination, ask and bid prices, and other defining attributes. You can add a market data line by typing directly in the Underlying column of the trading screen, or by using the Request Ticker by Underlying box. NOTE: Advanced/options traders can add security definitions by entering the exchange contract class or contract symbol. To add a ticker line directly to the trading screen 1. 2. 3. 4. Click in an empty row in the Underlying column. Enter the instrument's underlying ticker symbol and press ENTER. Select the instrument type from the list. In the Contract Description box, select a contract and click OK. You can limit the contracts displayed in the right pane by selecting an exchange or a currency from the Filter section. Choose Smart to use SmartRouting. • • • Market data lines are active when visible, regardless of where they originate. Each alarm always uses one line of market data whether or not you are viewing the asset that contains the alarm. Market data requested through an API has top priority, followed by data requested by alarms, and finally basic market data display. This means that if you have are viewing a trading page that includes 100 lines of market data, and you also have priceactivated alarms set for 6 other contracts, those 6 contracts will receive market data, and your trading page will only show data for 96 contracts. The option chains on Option Trader do not count against available market data lines. • To add an asset using the Request Ticker by Underlying box 1. Do one of the following to open the Request Ticker by Underlying box: • • 2 Click the Ticker icon on the Trading toolbar. On the Ticker menu select Add Symbol. Get Started • 2. 3. 4. Select Ticker from the right-click menu anywhere on the trading screen. Enter the underlying ticker symbol. Select the instrument type from the list. From the Contract Selection window, select "Smart" to use IB SmartRouting, or choose a specific order destination. NOTE: If you add a market data line for an option, a new line for the option's underlying asset is automatically created at the top of the page. This price of the underlying is used for model pricing and risk analysis calculations. This line cannot be deleted until all corresponding options have been deleted. Copyrights and Trademarks 3 TWS Users' Guide Create an Order This procedure describes one method of sending an order. To review other techniques for completing actions, see Navigate the Application. To create and transmit an order from a market data line 1. Click the "Ask" or "Bid" price of an asset (or use your buy or sell hot key on the selected Market Data line) to create an Order Management line directly below the selected asset. Click the Ask Price to create a Buy order. Click the Bid Price to create a Sell order. 2. On the Order Management line, modify the order parameters Time in Force, Action, Quantity, Price, Order Type, or Destination, if needed. Set the Limit Price to automatically update to the bid, ask, midpoint, last or closing price. NOTE: To trade more efficiently, set the Quantity and Order Type defaults using the Order Defaults window. 3. To transmit your order, use the right-click menu and select Transmit, click the XMIT icon on the Trading toolbar, or use your Transmit hot key or mouse shortcut. NOTE: Unless you specify otherwise, all of the orders for a specific ticker are displayed on each page on which that ticker appears. To modify this setting to only display working orders on the page on which they were created, on the Page menu select Settings. Uncheck the Show all orders checkbox. This setting does not affect the Pending page. All orders are always displayed on the Pending page. Copyrights and Trademarks 4 Get Started Modify an Order You can modify an order up until the time it has been executed at the order destination. Until this occurs, the order remains visible and editable on both the asset's order management line and the Pending page. An order is "working" if the order status is green. Note that VWAP orders are accepted immediately and cannot be modified. NOTE: If you want to modify parameters other than Price and Quantity, you must cancel this working order, and create and transmit a new order. This practice is commonly required by order destinations. To modify price and quantity in a working order 1. 2. On the Order Management line, click in the Price or Quantity fields and make your change. Use the right-click menu and select Transmit, click the XMIT icon on the Trading toolbar or use your Transmit hot key to transmit your modified order. To undo changes before you transmit, right-click and choose Restore. NOTE: You may receive an execution on the original order before your modified order has replaced it on the exchange. Please see the Customer Agreement for specific details on modifying and canceling an order. Copyrights and Trademarks 5 TWS Users' Guide Transmit an Order Once you have verified the order parameters on an order management line, you are ready to transmit your order. To transmit an order • • • • Use the right-click menu on the order management line and select Transmit, or Use your "Transmit" hot key, or Click in the Transmit column on your trading screen Click the Transmit icon on the Trading toolbar After a transmitted order is accepted at the order destination, it becomes a "working" order. All working orders appear on the Pending page and on each page that displays the asset. The page name on any page that displays the asset will turn red. To transmit all orders on a page • On the Order menu select Transmit Page . Note: The dollar value in parenthesis reflects the value of all orders on the active page. The color of the Status field on an order management line conveys the following information: LIGHT GRAY indicates that you are in the process of creating an order and you have not yet transmitted it. LIGHT BLUE indicates that you have transmitted your order, but have not yet received confirmation that it has been accepted by the order destination. GREEN indicates that your order has been accepted at the order destination and is working. MAGENTA indicates that you have sent a request to cancel the order but have not yet received cancel confirmation from the order destination. At this point, your order is not confirmed canceled. You may still receive an execution while your cancellation request is pending. RED indicates that the balance of your order has been confirmed as canceled by the system. This could occur unexpectedly when the system or the destination has rejected your order. Once the order is confirmed canceled, the Order Management line will disappear from your trading screen after 30 seconds. Please see the Customer Agreement for further information on order confirmation and order cancellation. 6 Get Started DARK BLUE indicates that a simulated order type has been accepted by the system and that this order has yet to be elected. The order is held in the system (and the status remains DARK BLUE) until the election criteria are met. At that time the order is transmitted to the order destination as specified (and the order status color will change). MAROON indicates that an attached simulated order type has been accepted by the system and has yet to be elected. The order is held in the system (and the status remains MAROON) until the election criteria are met. At that time the order is transmitted to the order destination specified and the order status color will change appropriately. Copyrights and Trademarks 7 TWS Users' Guide Cancel an Order For a non-transmitted order, the Cancel command deletes the selected order from your trading screen. For a working order, the Cancel command sends a cancellation request to the order destination. See the table below for the meaning of status colors on an order management line. You can cancel a working order up until the time it has been executed at an order destination. You can also choose to cancel all orders on a page or all orders on your workstation. When you choose a "Cancel all" command, both non-transmitted and working orders are cancelled. To cancel either a non-transmitted or a working order • • • • Right click on the order management line you want to cancel and select Cancel , or Select the order you want to cancel and from the Order menu select Cancel, or Select the order you want to cancel and use your "Cancel" hot key, or Select the order you want to cancel and click the Cancel Icon on the trading toolbar. To cancel all orders (working and non-transmitted) on a trading page 1. 2. 3. Open the page that contains the orders you want to cancel. On the Order menu, select Cancel Page. At the prompt asking if you want to cancel all orders on the page, click Yes. To cancel all orders (working and non-transmitted) on your workstation 1. 2. On the Order menu, select Cancel All. At the prompt asking if you want to cancel all orders, click Yes. The Status field on an order management line uses color to convey the following order status information: LIGHT GRAY indicates that you are in the process of creating an order and you have not yet transmitted it. LIGHT BLUE indicates that you have transmitted your order, but have not yet received confirmation that it has been accepted by the order destination. GREEN indicates that your order has been accepted at the order destination and is working. MAGENTA indicates that you have sent a request to cancel the order but have not yet received cancel confirmation from the order destination. At this point, your order is not confirmed canceled. You may still receive an 8 Get Started execution while your cancellation request is pending. RED indicates that the balance of your order has been confirmed as canceled by the system. This could occur unexpectedly when the system or the destination has rejected your order. Once the order is confirmed canceled, the Order Management line will disappear from your trading screen after 30 seconds. Please see the Customer Agreement for further information on order confirmation and order cancellation. DARK BLUE indicates that a simulated order type has been accepted by the system and that this order has yet to be elected. The order is held in the system (and the status remains DARK BLUE) until the election criteria are met. At that time the order is transmitted to the order destination as specified (and the order status color will change). MAROON indicates that an attached simulated order type has been accepted by the system and has yet to be elected. The order is held in the system (and the status remains MAROON) until the election criteria are met. At that time the order is transmitted to the order destination specified and the order status color will change appropriately. NOTE: Your working order is not confirmed CANCELED until the status field turns red. Please see the Customer Agreement for further information on order confirmation/cancellation. Copyrights and Trademarks 9 TWS Users' Guide TWS Trading Window The Trading window comprises: • • • • • The Menus, located at the top of the page below the title The dockable Trading toolbar, located immediately below the menus The Pages tabset, located below the Trading toolbar and along the top of the column headings The Rapid Order Entry panel The Order Management panel, which encompass the Contract Description columns (Underlying, Exch and Description) and the Market Data and Order Management columns described in the tables below. The Contract Description columns display information about the asset on a market data line. The Underlying column contains the asset's underlying symbol. The Exch column displays the default order destination you set for this asset. The Description column holds a summary of other contract parameters, including the instrument type, expiration date, strike price, option right and market segment when appropriate. The Trading screen pictured below is in the default entry mode (Underlying), and shows all market data lines. The column headings in the top-most row above the trading area (Position, P&L, Bid Size, Bid Price, Ask Price, Ask Size, Last Price, Change, and Last Size) apply to information on the Market Data line. The table below has field names and descriptions. A Market Data line provides real-time data specific to the product represented in the Underlying column. All available columns are described in the table below, although they may not appear in the graphic. To hide and display columns, use the Page Layout Manager. Available Market Data Columns Column Name Underlying (Symbol) Exch Description The underlying symbol or exchange symbol for the contract. To toggle between underlying and symbol mode, on the View menu select the desired mode. The exchange to which orders for the contract will be routed. Select SMART order routing to route directly to the best available market. 10 Get Started Column Name Description Position Avg cost P&L Description Identifies the instrument type and other descriptive contract information. Your current position in the selected contract. The average cost of the current position. Displays unrealized gains or losses. To modify the P&L calculation used, on the Page menu click Layout. On the Columns tab, select P&L in the Market Data Row section and click Customize. Select either New Position P&L or Daily P&L. Displays unrealized gains or losses. Calculates unrealized P&L for stocks, stock options and futures options. Unrealized P&L is calculated using the formula: (current market price - average cost/share) x total number of shares The average cost per share is updated in realtime. Unrealized P&L Bid Exch Bid Size Bid Price Model Used only for options. Identifies the exchange(s) posting the best bid price on the options contract. The approximate depth of the current bid. The best bid price for a contract. This is the best price at which you could currently SELL. For options. The option model price is calculated using the underlying price, interest rate, dividends and other data that you enter using the Option Modeler. The best ask price for a contract. This is the best price at which you could currently BUY. The approximate depth of the current offer. Used only for options. Identifies the exchange(s) posting the best ask price on the options contract. The last price at which the contract traded. A "C" in front of the last price indicates that this is the previous day's closing price. How much the current price has risen or declined from the previous day's closing price. If the price has declined, the background is red. If the price has risen, the background is blue. To toggle between dollar change and percent change, click the column title. The percentage that the current price has risen or declined from the previous day's closing price. If the price has declined, the background is red. If the price has risen, the background is blue. To toggle between percent change and dollar change, click the column title. Ask Price Ask Size Ask Exch Last Price Change Change (%) 11 TWS Users' Guide Column Name Last Size Description The size of the last contract traded. If the last contract traded is larger than the previous one, the font is green. If it's smaller, the font is red. For options. The implied volatility is based on the average of the best bid and offer for an option. This calculation is non-linear, and may not converge for low vega options. In such cases, no implied volatility estimate will be displayed. High price for the day for the selected contract. Low price for the day for the selected contract. Trading volume for the day for the selected contract. Imp Vol (%) High Low Volume The Trading window below is operating in Symbol entry mode and shows both a Buy and Sell Order Management line. Column headings in the bottom-most row above the trading area (Time in Force, Action, Quantity, Lmt. Price, Aux. Price, Type, Transmit, Cancel, Status and Destination) apply to information on an Order Management line. The table below has field names and descriptions. An Order Management line contains information about the order you have created, and appears immediately below the Market Data line for the asset you're trading. All available columns are described in the table below, although they may not appear in the graphic. To hide and display columns, use the Page Layout Manager. Order Management Columns Column Name Trailing Key Description System-created key to identify pieces of a bundled limit, bracket or trailing stop order. 12 Get Started Column Name Account (Allocation) Description Displays the account number of the beneficial account. (For FA accounts, the Allocation column lets you select an account, create a new allocation profile, allocate shares based on percent of equity in each account, or define an absolute number of shares to be allocated to specified accounts. Allows you to create a one-cancels-all advanced order group without opening the Order Ticket window. The time period during which your order remains active: Day order or Good-Til-Canceled. Keeps the order active until the close of market on the date you enter. Date format is YYYY/MM/DD. The order action. BUY, SELL or SELL SHORT. The number of units in your order. The limit price for order types to which this price applies, including Limit, Stop Limit, and Relative orders. This field reflects the Election price for Stop and Stop Limit orders, and the Offset Amount for Relative and Trailing Stop orders. You can set these auxiliary amounts in the Default Order Settings box. The Election price for Stop and Stop Limit orders. The order type. Click to transmit the order. Click to cancel the transmitted order. The order status. See Guide to System Colors for details. The order destination. Check to create a sweep-to-fill order. Enter a display size to create an iceberg order. The customer type from which the order originated. Mainly used for institutional accounts. Check to create a hidden order. Enter a discretionary amount with a limit order to create a discretionary order. Displays volatility for the option at a specific strike price. OCA Group Time in Force GTD Expire Action Quantity Lmt Price Aux. Price Stop Price Type Transmit Cancel Status Dest. Swp Fill Disp Size Origin Hidden Discretionary Volatility The Trading Toolbar The Trading toolbar is movable and configurable. To add or remove buttons, rightclick in the toolbar and select Configure Toolbar. To move and dock the toolbar, click and drag on the textured drag bar to the left of the first toolbar icon. 13 TWS Users' Guide The Trading Pages You can create up to 24 trading pages, each of which can hold up to 40 market data lines. Navigate between pages by clicking the appropriate tab in the Pages tabset. Each Trading page lists Contract, Exchange, and Description on the left. Each contract contains a Market Data line that displays the Bid Exchange, Bid Size, Bid Price, Ask Exchange, Ask Size, Ask Price, Last Price, Change, and Last Size. When you create an order, an Order Management line appears directly below the asset's Market Data line. Copyrights and Trademarks 14 Order Management Modules ORDER MANAGEMENT MODULES Copyrights and Trademarks 15 TWS Users' Guide Use the Trading Window USE THE TRADING WINDOW Copyrights and Trademarks 16 Order Management Modules Add a Market Data Line in Symbol Mode Advanced options traders can use Symbol mode to enter security definitions for options directly into a market data line. Symbol mode requires that you enter the contract symbol or class as defined by the exchange on which it's trading. To change to Symbol mode, on the Configure menu select View and then select Contract Display View both the Underlying and contract Symbol by adding the market data Symbol column using the Page Layout. To add an options security definition directly to the trading screen 1. 2. Click in an empty row in the Symbol column. Enter the security definition by contract class or contract symbol, and press ENTER. Use the formats in the table below. Symbol Entry Formats contract class contract symbol @ # exchange acronym exchange acronym To add an options security definition using the Request Ticker by Exchange Symbol form 1. In symbol mode, do one of the following to open the Request Ticker by Exchange Symbol form: • • • 2. 3. Click the Ticker icon on the Trading toolbar. On the Ticker menu select Add Symbol. Right click anywhere on the trading screen and select Insert Ticker. In the Instrument Type field select Option. Select the Symbol Type. Do this If you select Class Contract Enter the contract class symbol, exchange, expiration date and strike price, and select the right. Enter the exchange local symbol and the exchange. Copyrights and Trademarks 17 TWS Users' Guide Create an Order This procedure describes one method of sending an order. To review other techniques for completing actions, see Navigate the Application. To create and transmit an order from a market data line 1. Click the "Ask" or "Bid" price of an asset (or use your buy or sell hot key on the selected Market Data line) to create an Order Management line directly below the selected asset. Click the Ask Price to create a Buy order. Click the Bid Price to create a Sell order. 2. On the Order Management line, modify the order parameters Time in Force, Action, Quantity, Price, Order Type, or Destination, if needed. Set the Limit Price to automatically update to the bid, ask, midpoint, last or closing price. NOTE: To trade more efficiently, set the Quantity and Order Type defaults using the Order Defaults window. 3. To transmit your order, use the right-click menu and select Transmit, click the XMIT icon on the Trading toolbar, or use your Transmit hot key or mouse shortcut. NOTE: Unless you specify otherwise, all of the orders for a specific ticker are displayed on each page on which that ticker appears. To modify this setting to only display working orders on the page on which they were created, on the Page menu select Settings. Uncheck the Show all orders checkbox. This setting does not affect the Pending page. All orders are always displayed on the Pending page. Copyrights and Trademarks 18 Order Management Modules Modify an Order You can modify an order up until the time it has been executed at the order destination. Until this occurs, the order remains visible and editable on both the asset's order management line and the Pending page. An order is "working" if the order status is green. Note that VWAP orders are accepted immediately and cannot be modified. NOTE: If you want to modify parameters other than Price and Quantity, you must cancel this working order, and create and transmit a new order. This practice is commonly required by order destinations. To modify price and quantity in a working order 1. 2. On the Order Management line, click in the Price or Quantity fields and make your change. Use the right-click menu and select Transmit, click the XMIT icon on the Trading toolbar or use your Transmit hot key to transmit your modified order. To undo changes before you transmit, right-click and choose Restore. NOTE: You may receive an execution on the original order before your modified order has replaced it on the exchange. Please see the Customer Agreement for specific details on modifying and canceling an order. Copyrights and Trademarks 19 TWS Users' Guide Transmit an Order Once you have verified the order parameters on an order management line, you are ready to transmit your order. To transmit an order • • • • Use the right-click menu on the order management line and select Transmit, or Use your "Transmit" hot key, or Click in the Transmit column on your trading screen Click the Transmit icon on the Trading toolbar After a transmitted order is accepted at the order destination, it becomes a "working" order. All working orders appear on the Pending page and on each page that displays the asset. The page name on any page that displays the asset will turn red. To transmit all orders on a page • On the Order menu select Transmit Page . Note: The dollar value in parenthesis reflects the value of all orders on the active page. The color of the Status field on an order management line conveys the following information: LIGHT GRAY indicates that you are in the process of creating an order and you have not yet transmitted it. LIGHT BLUE indicates that you have transmitted your order, but have not yet received confirmation that it has been accepted by the order destination. GREEN indicates that your order has been accepted at the order destination and is working. MAGENTA indicates that you have sent a request to cancel the order but have not yet received cancel confirmation from the order destination. At this point, your order is not confirmed canceled. You may still receive an execution while your cancellation request is pending. RED indicates that the balance of your order has been confirmed as canceled by the system. This could occur unexpectedly when the system or the destination has rejected your order. Once the order is confirmed canceled, the Order Management line will disappear from your trading screen after 30 seconds. Please see the Customer Agreement for further information on order confirmation and order cancellation. 20 Order Management Modules DARK BLUE indicates that a simulated order type has been accepted by the system and that this order has yet to be elected. The order is held in the system (and the status remains DARK BLUE) until the election criteria are met. At that time the order is transmitted to the order destination as specified (and the order status color will change). MAROON indicates that an attached simulated order type has been accepted by the system and has yet to be elected. The order is held in the system (and the status remains MAROON) until the election criteria are met. At that time the order is transmitted to the order destination specified and the order status color will change appropriately. Copyrights and Trademarks 21 TWS Users' Guide Cancel an Order For a non-transmitted order, the Cancel command deletes the selected order from your trading screen. For a working order, the Cancel command sends a cancellation request to the order destination. See the table below for the meaning of status colors on an order management line. You can cancel a working order up until the time it has been executed at an order destination. You can also choose to cancel all orders on a page or all orders on your workstation. When you choose a "Cancel all" command, both non-transmitted and working orders are cancelled. To cancel either a non-transmitted or a working order • • • • Right click on the order management line you want to cancel and select Cancel , or Select the order you want to cancel and from the Order menu select Cancel, or Select the order you want to cancel and use your "Cancel" hot key, or Select the order you want to cancel and click the Cancel Icon on the trading toolbar. To cancel all orders (working and non-transmitted) on a trading page 1. 2. 3. Open the page that contains the orders you want to cancel. On the Order menu, select Cancel Page. At the prompt asking if you want to cancel all orders on the page, click Yes. To cancel all orders (working and non-transmitted) on your workstation 1. 2. On the Order menu, select Cancel All. At the prompt asking if you want to cancel all orders, click Yes. The Status field on an order management line uses color to convey the following order status information: LIGHT GRAY indicates that you are in the process of creating an order and you have not yet transmitted it. LIGHT BLUE indicates that you have transmitted your order, but have not yet received confirmation that it has been accepted by the order destination. GREEN indicates that your order has been accepted at the order destination and is working. MAGENTA indicates that you have sent a request to cancel the order but have not yet received cancel confirmation from the order destination. At this point, your order is not confirmed canceled. You may still receive an execution while your cancellation request is pending. 22 Order Management Modules RED indicates that the balance of your order has been confirmed as canceled by the system. This could occur unexpectedly when the system or the destination has rejected your order. Once the order is confirmed canceled, the Order Management line will disappear from your trading screen after 30 seconds. Please see the Customer Agreement for further information on order confirmation and order cancellation. DARK BLUE indicates that a simulated order type has been accepted by the system and that this order has yet to be elected. The order is held in the system (and the status remains DARK BLUE) until the election criteria are met. At that time the order is transmitted to the order destination as specified (and the order status color will change). MAROON indicates that an attached simulated order type has been accepted by the system and has yet to be elected. The order is held in the system (and the status remains MAROON) until the election criteria are met. At that time the order is transmitted to the order destination specified and the order status color will change appropriately. NOTE: Your working order is not confirmed CANCELED until the status field turns red. Please see the Customer Agreement for further information on order confirmation/cancellation. Copyrights and Trademarks 23 TWS Users' Guide Deactivate an Order When you deactive an order, the order is cancelled at the exchange, but it remains on your trading screen for you to resubmit. To deactivate an order 1. Right-click an order management line and select Deactive. Copyrights and Trademarks 24 Order Management Modules Bond Market Data Information displayed on the trading screen for bonds, including the ask and bid prices, is calculated differently than for other securities. The table below defines market data fields whose values are unique to corporate bonds. Field name Bid and Ask Prices Description The price for bonds is quoted as a percentage of its face relative to 100. A bid of 95 means the bond is trading at 95% of its face value. The yield-to-worst. This is the lower of yield to maturity and yields to all calls. The yield is only shown if it is offered on the exchange. These are optional fields that you can hide or display using the Layout Manager. Bond attributes of last sale price which may include: Bid, Ask, and Last Yields Bond Attributes • Non-standard settlement date (normal settlement for bonds is T + 3), including • • • • • • C - cash trade ND - next day trade S# - seller's option Other Attributes W - weighted average trade A - afterhours trade This is an optional field that you can hide or display using the Layout Manager. Last price Last price may have: • • a "c" following the price indicating that the price includes commission. an asterisk "*" following the price indicating a special price typically due to an arranged trade taking place outside prevailing market bid/ask. Last size Last size may show "est" following the size indicating that the size is an estimate, for trades with size greater than one million. Copyrights and Trademarks 25 TWS Users' Guide Add a Trading Page You can create up to 24 trading pages. You can enter as many lines of market data as you want, but at any one time you will only be able to see 40 active market data lines. Use the trading pages to sort your assets by instrument type, exchange, or your own trading system categories. Use the tabset to navigate between pages. You can also use a page-level feature called Quick Stock Entry, which will automatically complete a market data line for a stock using the set of order destinations you set up. Use the Page menu commands to add, edit and delete trading pages, and edit the page's layout. To add a page 1. 2. 3. 4. On the Page menu, select New. Enter a page name. In the Layout dropdown, select a page layout. Click OK. To edit page settings 1. 2. On the Page menu, select Settings. Modify the page name or assigned layout and click OK. To delete a page 1. 2. On the Page menu, select Delete. At the prompt asking if you want to delete the page, click Yes. NOTE: The Pending page is a system page that displays all of your working orders. You cannot delete or rename the Pending page, but you can edit order parameters. To edit a page layout 1. 2. On the Page menu, select Layout. Modify the desired characteristics and click OK. NOTE: Before you modify the page layout be aware that you are not simply changing the look of the active page, you are modifying an applied layout which may also be associated with other pages. To create a populated page using current positions • On the Page menu select Create Portfolio Page. This creates a page with market data lines for each position you hold. These positions are displayed in the Portfolio section of the Account window. Each time you take a position, the Portfolio page is automatically updated to include market data for the new position. You can 26 Order Management Modules remove zero position tickers from this and other pages using the right-click menu on a page and clicking Clear Zero Positions. Copyrights and Trademarks 27 TWS Users' Guide Trading Bonds Our bond-trading feature gives you direct access to US traded corporate bonds through the NYSE and Bond Desk ECN. To ensure that you have bond trading permissions, use Account Management on the website's Login menu. Create Market Data Line for Bonds 1. 2. Enter an underlying symbol and select Bond as the instrument type. In the contract selection box choose the bond asset(s) for which you want to display market data and click OK. 3. Market data for the bond is displayed on the trading page. The following information is available on the market data line: • • CUSIP number - a nine-character ID for a specific security. Bond rating - identifies the credit rating of the issuer. A higher credit rating generally indicates a less risky investment. The bond ratings are from Moody's and S&P, respectively. Coupon - the interest rate used to calculate the amount you will receive as interest payments over the course of a year. Maturity date - the date on which the issuer must repay the face value of the bond. Issuer - the company who issued the bond instrument. • • • NOTE: To see Details using the Details button, or using the right-click menu from a market data line, you must be running Java version 1.5 or higher. For instructions on downloading this latest version of Java, see Upgrading Java on the website. To see which version of Java you are currently using, on the TWS Help menu select About Trader Workstation. Copyrights and Trademarks 28 Order Management Modules Use the Order Ticket USE THE ORDER TICKET Copyrights and Trademarks 29 TWS Users' Guide Order Ticket Window Select from the available fields to create an order. The fields are context-sensitive, which means that only valid selections will be active. For example, if you select "Stock" as the security type, any fields specific to options and futures will be grayed out (inactive). NOTE: To automatically update contract information with the currently selected asset on the trading screen, click the Refresh Target icon in the upper right corner. A red target indicates that automatic refresh is activated. To remove tabs and view all fields on a single large page in TWS, select the Comprehensive view. 30 Order Management Modules Field Contract radio button Description Select Regular to create a single contract order. Select Combo to modify the interface and create a combination strategy or spread order. Notes You will only see this field if you open the order ticket independent of a market data line. to do this, right click in a blank line and select Order. Underlying Exchange Displays the asset's underlying ticker symbol. Used in conjunction with the underlying symbol to identify the asset. To route your order to a different exchange, use the Destination field in the Order Description section. Primary Exchange Security Type Prem. Currency Exp. date Strike Option Type Action Order Type Identifies the asset's primary exchange. Select the instrument type. Select the currency delivered against the purchase of the underlying currency. The option's expiration date. The option's strike price. Select the option type. Choose Buy or Sell Select an order type. Valid order types are determined by the underlying, exchange and security type selected. The number of units in the order. Enter a display size to create an Iceberg order. Enter the minimum quantity that must be available for the order to execute. Enter the limit price for Limit, Stop Limit and For Stop and Stop limit orders, this is the Stop election price. For Options relative to stock For options routed through Smart. Quantity Display size Min. Quantity Limit Price Aux. Price 31 TWS Users' Guide Field Description orders, this is the starting price. For trailing stop orders, this is the trailing amount. Notes Percent Offset For Relative orders, sets the offset amount based on a percentage of the bid price for Buy orders or the Ask price for sell orders. The amount off the limit price at which the order is still eligible to execute. For Pegged to Stock orders, select from Match, Improve or Transparent. Enter an amount to create a Discretionary order. Available for options orders routed to BOX. For details see the Pegged to Stock order topic. For pegged to Stock orders on BOX Defaults to the value in the Exchange field. Only editable for orders initiated from a market data line. Discretionary Amount Auction Strategy Improvement Cap Destination Set a cap on the price improvement amount. Specifies the order destination. Copyrights and Trademarks 32 Order Management Modules Order Ticket Window - Time in Force Select from the available fields to create an order. The fields are context-sensitive, which means that only valid selections will be active. For example, if you leave the Good After time checkbox empty, the date/time field is not writable (inactive). Field Time in Force Description The time period during which your order will remain active. Select DAY (day order), GTC (order remains active until it is cancelled), OPG (market or limit at the open order), or GTD (order remains working until the date/time specified in the two fields below. When checked, you can set a date/time Notes Good After 33 TWS Users' Guide Field Time Exp. Date Description after which the order will be submitted. Enter the expiration date for the order. Use the format YY:MM:DD. Order continues to work until close of market on that day. Enter the expiration time for the order. Use the format HH:MM:SS. Order continues to work up until the time and date specified. Checked by default. If unchecked, trading hours are determined by the opening/closing times of the order destination. Notes Valid for GTD/GTT times in force. Exp. Time Valid for GTD/GTT times in force. Regular Trading Hours Only Valid for US stocks listed on major exchanges. Not available for IOC, OPG (MOO and LOO), FOK, MOC or LOC orders. Copyrights and Trademarks 34 Order Management Modules Order Ticket Window - Pegged Select from the available fields to create an order. The fields are context-sensitive, which means that only valid selections will be active. For example, if you are creating any kind of order other than a Pegged to Stock options order routed through BOX, this page will be inactive. Field Stock Ref Price Description Enter a stock price. Notes If you do not enter a value, the midpoint of the NBBO at the time of the order is used. Stock Range Define the lower portion of the stock 35 TWS Users' Guide Field (Lower) Description range outside of which your order will be cancelled. Define the higher portion of the stock range outside of which your order will be cancelled. Enter a value (which will be used as a percent, ie. ".5" equal 50%) that will be multiplied by the change in the underlying stock price. The product is added to the starting price to determine the option price. Notes Stock Range (Higher) Delta Copyrights and Trademarks 36 Order Management Modules Order Ticket Window - Conditional A conditional order is an order that will automatically be submitted or cancelled ONLY IF specified criteria for one or more defined contracts are met. You can use stocks, options, futures or security indexes to trigger a conditional order. To create a conditional order 1. 2. 3. 4. 5. a. Select an order management line. From the right-click menu, select Modify and then select Condition. From the Conditional tab on the order ticket click Add Condition. Enter contract information for the contingent asset in the Conditional Order box. Enter the trigger information for the contingent asset: Select the trigger method. b. Select whether the price of the contingent asset should be less than or equal to (<=) or greater than or equal to (>=) the trigger price. c. Enter the trigger price. NOTE: If you select the double bid/ask trigger method, the greater than or equal to operator (>=) will use the BID price and the less than or equal to operator (<=) will use the ASK price. 5. Click OK. The condition appears in the Current Conditions list. To set multiple conditions, use the Add Condition button and click AND or OR in the Current Conditions area. Field/Button Add Condition Delete Modify Description Invokes the Conditional Order entry box. Deletes the selected condition. Opens the Conditional Order entry box for the selected condition to allow you to make changes. 37 TWS Users' Guide Field/Button Allow condition to be satisfied... Action to take... Description Lets the selected condition activate the order if it is satisfied outside of regular trading hours. If selected conditional order is satisfied, you can elect to have the primary order submitted OR cancelled. Copyrights and Trademarks 38 Order Management Modules Order Ticket Window - Miscellaneous Use the Miscellaneous order fields to apply order attributes and set specific rules for OCA groups. NOTE that OCA group names must be unique to ensure proper handling of OCA orders. Once you use a name, you cannot use it again even after the order executes or is canceled. 39 TWS Users' Guide Field Order Ref Large Shareholder Req Market Data Block Order Sweep to Fill Non-Guaranteed Allow triggering outside regular trading hours All or None Hidden Preserve Time Priority Description An identifying number you create to track your order. For large shareholders trading Canadian products. Use the dropdown selection list t appropriately mark your order. Check to request market data for the order. Check to create a block order. Check to create a sweep-to-fill order. Checking this box indicates that you will take all the risk for partially-executed Smart routed combination orders. Check to allow the selected order to trigger outside regular hours. Check to create an All or None order. Check to create a hidden order. Check to keep your order in the queue and prohibit from canceling and resubmittin orders intermittently. This feature is used on exchanges that charge a handling fee for orders that remain on the order book for a specified period of time. OCA Group If the order is part of a one-cancels-all order, enter the OCA name in this field. All orders with the same name in the OCA field become part of an OCA order. Once yo use a name, you cannot use that name again even after the order executes or is canceled. Set instructions on how to behave when order is partially filled. The default is to have other orders in the OCA group proportionately reduced in size based on the quantity of the filled portion. Dictates that only one order in the group will be routed to an exchange at a time. This completely removes the possibility of an overfill. Partially filled instructions Overfill Protection Copyrights and Trademarks 40 Order Management Modules Rapid Order Entry RAPID ORDER ENTRY Copyrights and Trademarks 41 TWS Users' Guide Enter Orders using Rapid Order Entry The Rapid Order Entry panel, which is visible by default at the top of each trading page, allows you to quickly transmit an order without having to open an order ticket or click in a market data line. You simply tab through the fields, enter your order parameters, and press Buy or Sell. You can also enter the local or root underlying symbol, just as you can on the trading screen. NOTE: Rapid order entry can be used for EQUITY and EQUITY OPTION and COMBINATION orders for Individual traders and Advisors. To use the Rapid Order Entry panel 1. 2. If the panel is hidden, right-click in the tabset area. Otherwise right-click in the Rapid Order Entry panel. Select Rapid Order Entry. • • In the first section, use Show or Hide to display or remove the panel. In the second section, select the instrument type/order type you want to trade. You can use the Rapid Order Entry panel to submit only one type of order at a time. For example, if you are using the panel to submit stock orders, you must toggle to the Combos submenu selection if you want to enter spread orders or combination strategies. • Select Configure to do all of the above, and set defaults, tab order and other parameters for the Rapid Order Entry panel. Once you have transmitted an order using Rapid Order Entry, the details of the order appear in the Order Management panel of the trading page. Any modifications to your order must be made on this order management line. Tab Order The tab order allows you to enter order information by tabbing through the fields without removing your fingers from the keyboard. You can add/remove fields from the tab order using the Rapid Order Entry tab on the Layout Manager. The intelligent tab-order mechanism enhances the speed with which you can enter keyboard orders by moving you through only those fields necessary to complete your order. Copyrights and Trademarks 42 Order Management Modules Update Limit Price You can automatically update the limit price for an order (or all orders) to coincide with the ask, bid, midpoint, closing or last price. Automatically update the limit price 1. 2. On the Order menu select Update Limit Prices. Set update parameters: • • • Update price for a single order or all current orders. Set the update parameters for Buy orders and include an offset amount if desired. Set the update parameters for Sell orders. If you check Mirror image of buy orders, parameters are set reversed from the Buy orders selections. The mirror images of Midpoint, Last and Close would be the negative values for each of these prices. Copyrights and Trademarks 43 TWS Users' Guide Create "Instantaneous Transmit" Hot Key You use hot keys to perform common trading functions, such as creating specific order types. Once you have created an order, you must still select Transmit to send the order. You now have the option to enhance the Buy and Sell hot keys by adding "instantaneous transmit" functionality. To add instantaneous transmit functionality to a hotkey 1. 2. 3. 4. On the Configure menu, select Hot keys. In the Shortcuts area select the Buy or Sell action and press Configure. Click the Customize tab. At the bottom of the page check Transmit the order instantaneously and click OK. NOTE: To use this feature, you will be asked to sign an agreement stating that you understand its implications. Under the terms of the Customer agreement, you are responsible for all orders entered in your account. Consider carefully whether setting a hot key to instantaneously transmit orders is the best for the way you trade. Copyrights and Trademarks 44 Order Management Modules BookTrader BOOKTRADER Copyrights and Trademarks 45 TWS Users' Guide Open Book Trader Transmit orders at any price, including the best bid and ask, with a single click. Book Trader displays as a separate window for whichever contract you select. It shows a series of prices above and below the best bid and ask. To open and arm Book Trader 1. 2. 3. 4. Select a contract on the trading page. Right click and select Tools, then select Book Trader OR use the Ticker menu and select Book Trader. In the upper left corner, check Armed. Read the warning message which states that you understand that a single click in the bid or ask field transmits an order directly to an exchange, and click Yes to arm Book Trader. If you leave the Armed option unchecked, you can see prices and sizes but cannot trade. Orders transmitted from Book Trader are displayed on the Pending page and in the Orders section of the Book Trader. Copyrights and Trademarks 46 Order Management Modules Trade with Book Trader Before you can trade with Book Trader, you must "arm" the application, which readies Book Trader to instantaneously transmit an order when you click on a bid or ask price. To trade with Book Trader • • • • • Click on any Bid size to send a Buy Limit order at the selected price. Click on any Ask size to send a Sell Limit order at the selected price. Right-click on any Bid size to send a Buy Stop order. Right-click on any Ask size to send a Sell Stop order. Hold the Alt key and click on any Bid or Ask size to create a Bracket order. Each order you create is displayed in the Orders row and on the TWS trading screen, and uses TWS order defaults. Modify an order by entering new values in the Order row. Click the "T" in the status field to retransmit the modified order. To cancel an order, click the "C" in the status field of the appropriate order row. You can also modify the order by clicking in the desired price field above or below the currently selected line. This initiates a new order at the selected price, and sends a cancel notice to the exchange for the previous order. By default, the stop offset amount used for Bracket orders is set to 1.0. To modify this value, on the Configure menu select Order then select Order Defaults. Change the Stp Offset value. You can hide the tabsets, quote panel, and toolbar to display only the ladder and menu, by clicking the Full Screen Mode icon in the top right corner. Copyrights and Trademarks 47 TWS Users' Guide 48 Order Management Modules Book Trader Window Use Book Trader's buttons to customize the visual display and trading functionality. • • • • • Cancel All - cancels all orders on the active Book Trader. Clear Log - clears all order information from the white log area just above the buttons. Re-center- click to keep the best bid/ask price always visible in the center of the Book Trader screen. Configure- opens the Configuration dialog box. You can configure Hotkeys, market data, order management area and the trade area functionality. Show Help - links to the Book Trader section of the TWS User's Guide. Copyrights and Trademarks 49 TWS Users' Guide Book Trader Colors Book Trader displays a lot of information in a small space using colors and numbers. Market Data Colors The market data colors display after Book Trader is armed but before any order is transmitted. • • • The Bid Size column is yellow until you create an order. Values in this column represent the size of an order at the specific price, and help show market depth. The Ask Size column is green until you create an order. When a size appears in an ask size field, this indicates the current best ask. The Status field remains gray until you submit an order. Price Field - Background Colors • • • • • • The current best bid price is shown by a Yellow background, with the size next to it in the Bid Size field. The current best ask price is shown by a Green background, with the size next to it in the Ask Size field The Last transaction is highlighted by a Slate Blue background. The High price is highlighted by a Bright Blue background. The Low price is highlight by a Red background. The Average Cost (including commissions) is indicated by a highlight across the entire row. You'll only see this if you hold a position in the active contract. Book Trader Colors Column Name Status Possible Color Notes Once you transmit an order, the status colors change. See Order Status Colors table below. Bid Size Indicates the size of the current best bid. Indicates that a limit order has been transmitted (by clicking in the field). Indicates a stop order has been transmitted (by rightclicking in the field). Price No color One in a range of prices displayed for the contract. The current best bid price. 50 Order Management Modules Book Trader Colors The current best ask price. The price at which the last order executed, and the size of the order. The current high price. The current low price. Ask Size Indicates the size of the current best ask. Indicates that a limit order has been transmitted (by clicking in the field). Indicates a stop order has been transmitted (by rightclicking in the field). 51 TWS Users' Guide The number value indicates the size of the current best ask. Multiple Order Mode - Type Field Colors When you create an order in Multiple Order Mode, the Type field displays BLUE to indicate a LIMIT order, and RED STOP order. Order Status Colors The Order Status colors display in the Status field when you transmit an order. Color(s) What it means BLUE indicates that a simulated order type has been accepted by the system and that has yet to be elected. GREEN indicates that your order has been accepted and is working at the orde destination. RED indicates that the balance of your order has been confirmed canceled by system. This could occur unexpectedly when the system or the destination ha rejected your order. LIGHT BLUE indicates that you have transmitted your order, but have not yet confirmation that it has been accepted by the order destination. MAGENTA indicates that you have sent a request to cancel the order but have received cancel confirmation from the order destination. At this point, your or confirmed canceled. You may still receive an execution while your cancellation is pending. MAROON indicates that an attached simulated order type has been accepted by the sy has yet to be elected. The order is held in the system (and the status remains MAROO the election criteria are met. At that time the order is transmitted to the order destina specified and the order status color will change appropriately. Copyrights and Trademarks 52 Order Management Modules OptionTrader OPTIONTRADER Copyrights and Trademarks 53 TWS Users' Guide Introduction to Option Trader Option Trader is a separate, robust window that you open from the right-click Tools menu on a selected stock underlying. This configurable standalone screen shows market data for the underlying, lets you set up option chains based on the underlying, gives you access to your options orders, executions and portfolio information, drives the data for the Option Model Editor and Options Analytics windows, and lets you create combination Spread orders. The Greeks risk dimension values are displayed in green for each option. Use the Option Model Editor to modify the values used to calculate option prices and these risk dimensions. View the Portfolio Analytics risk analysis tool by clicking the Portfolio Analytics icon. Open Option Trader 1. 2. Click on a desired stock underlying on the Trading page to select the line. Right click and select Tools and then select Option Trader. The Option Trader window opens for the selected underlying. The Quote Panel shows the underlying asset. Follow steps 1-2 above to add multiple tabbed pages. Manage your working orders from the Orders tab. You can also check the activity log and view execution reports and portfolio data. NOTE: Market data displayed for options is not counted against the 40-market data line limit. Copyrights and Trademarks 54 Order Management Modules Create Option Chains Use Option Trader to create and manage option chains. Create an option chain Click Load Chains to load data for all options for an underlying, or define the strike, expiry and exchange to limit the number of options returned. 1. 2. 3. Use Strike, Expiry and Exchange buttons to define the options to include in the option chain. Click Load Chains to view market data. Use Clear Chains to remove data and clear the screen. To create an order, click the Bid or Ask price on a market data line. Note that, unlike orders created on the Trading page, option chain orders are displayed above the market data screen in the Orders section of the Activity panel. Copyrights and Trademarks 55 TWS Users' Guide Create/Edit Toolbar Buttons Use the Buttons option on the Configure menu to add, edit and remove action buttons that are displayed directly above the Orders/Log/Executions/Portfolio tabset. To create or edit a button 1. 2. 3. 4. 5. Click Configure and then click Buttons. Click New, or select a button and click Edit. New adds a button, Edit modifies the selected button. Use the Button Appearance section to change the label, the text color and the background color. Select an action to associate with the button using the Select Action dropdown. Fine-tune the action by entering data in the Customize Action area. For example, for the action Increase price or size, you can specify the price or size field to which the button applies, and set the interval by which to increase the field value. Copyrights and Trademarks 56 Order Management Modules Option Trader Menu The Option Trader menu has the following selections: File menu Close Closes the Option Trader window. Option Chains menu Load Chains Populates the Option Chains panel with all available put and call options if you do not set any filters, and with the appropriate options if you select a Strike, Expiry and Exchange from the dropdown windows at the top of the Option Chains panel. Reset When you use the Strike, Expiry and Exchange filters to query a specific option, the values remain in the respective fields. Use Reset to clear these values. Clear Chains Removes all option chains from the Option Chains panel Option Spreads Opens the Combination Composition box which allows you to specify the legs of a spread order. Analytics menu Portfolio Opens the portfolio risk analysis tool Analytics Option Analytics Opens the Option Analytics window populated with data from the active Option Trader page. Edit Model Opens the Option Model editor for the option you have selected from the Option Chains window. Orders menu Cancel All Cancels all working orders on the active Option Trader page. Configure menu Hotkeys Create hotkeys and shortcuts for the Option Trader. Buttons Create custom buttons to add to the Activity panel, and edit existing buttons. Quote Panel Specify columns and colors to display on the Quote Panel. Order Columns Specify columns and colors to display on the Orders tab. Execution Specify columns and colors to display on the Execution tab. Columns Option Chains Specify columns and colors to display on the Option Chains page. Option Trader Set Option Trader functionality, including: • • • • Display menu - Uncheck to hide menu bar. Display toolbar - Uncheck to hide the toolbar icons. Jump to order - If checked, your cursor is automatically moved to the order you just create Allow multiple untransmitted orders - If unchecked, each order you initiate cancels and replaces the existing untransmitted order. Display Quote Panel - Uncheck to hide the Quote Panel, which contains the underlying asset and underlying price. • Help menu 57 TWS Users' Guide Show Help Displays user guide help. Copyrights and Trademarks 58 Order Management Modules BasketTrader BASKETTRADER Copyrights and Trademarks 59 TWS Users' Guide Send a Basket Order Before you can select and transmit a basket order, you must create and save the basket file, using the TWS File >Save as Basket command, or directly from a spreadsheet. You can modify a basket order before you send it by adding or removing assets, changing the multiplier and quantities, and reversing the order sides and then converting limit orders to market, relative or VWAP orders. You can also elect to create a basket file based on a selected index using the index composition or statistical composition. Use the criteria selections to fine-tune your index basket. If you choose to base your index basket on the index composition, the system automatically keeps the basket in line with the index composition as it changes. For detailed field-level information on the Basket Order window, click a field in the image below. When you send a basket order, each order in the basket is cleared individually. If your account does not meet margin requirements, it is possible that only a portion of the basket order will execute. To send a basket order 1. 2. On the Order menu, select Basket. From the Basket Order dialog, select a Basket File using the drop-down or the Browse button. If you created a basket file using Excel, browse to the saved .csv file. When you load the basket the Excel file is read into the trading screen. 3. Modify the Multiplier if necessary. This value multiplies the quantity of each order in the basket. 4. Click Load to populate the Orders panel with the basket order. 5. Modify order parameters if necessary, and click Transmit in the Execute Basket panel to transmit the entire basket order. You can transmit individual orders within the basket using the market data lines in the Orders panel. 60 Order Management Modules The fields below are available through the Orders panel. To hide or display fields, right click in any column title Customize Layout. Check fields to display, uncheck fields to hide them. Fields unique to the basket page are in bold type. Column Name Underlying Description The underlying symbol for the contract. To toggle between underlying and symbol mode, on the View menu select the desired mode. The exchange symbol for the contract. To toggle between underlying and symbol mode, on the View menu select the desired mode. The exchange to which orders for the contract will be routed. Select SMART order routing to route directly to the best available market. Identifies the instrument type and other descriptive contract information. System-created key to identify bundled limit, bracket and trailing stop orders. Displays the account number of the beneficial account. (For FA accounts, the Allocation column lets you select an account, create a new allocation profile, allocate shares based on percent of equity in each account, or define an absolute number of shares to be allocated to specified accounts. Allows you to create a one-cancels-all advanced order group without opening the Order Ticket window. 61 Symbol Exch Description Trailing Key Account (Allocation) OCA Group TWS Users' Guide Column Name Time in Force Exp. Date Exp. Time Description The time span over which your order remains active. For GTD time-in-force, keeps the order active until the close of market on the date you enter. Date format is YYYY/MM/DD. For the the the GTD time-in-force, keeps the order active until the time on date you enter. Time format is hh:mm:ss xxx where xxx is three letter time zone acronym. If no time zone is entered, local time zone is used. Action Total Quan Transmit Quan Quantity % Lmt Price The order action. BUY, SELL or SELL SHORT. The total quantity of units in the order line. The quantity of units you want to transmit in the current order The number of units in your order. The percent of the total order you want to transmit in the current order. The limit price for order types to which this price applies, including Limit, Stop Limit, and Relative orders. You can elect to automatically update the limit price to reflect the current bid, ask, midpoint, last or closing price. This field reflects the Election price for Stop and Stop Limit orders, and the Offset Amount for Relative and Trailing Stop orders. You can set these auxiliary amounts in the Default Order Settings box. Creates an offset price based on a percentage off the best bid or ask. Use a decimal value between 0 - 1. The Election price for Stop and Stop Limit orders. The order type. Click to transmit the order. Click to cancel the transmitted order. The order status. See Guide to System Colors for details. The order destination. Check to create a sweep-to-fill order. Enter a display size to create an iceberg order. The customer type from which the order originated. Mainly used for institutional accounts. Check to create a hidden order. Enter a discretionary amount with a limit order to create a discretionary order. Displays volatility for the option at a specific strike price. Aux. Price Pct Offset Stop Price Type Transmit Cancel Status Dest. Swp Fill Disp Size Origin Hidden Discretionary Volatility Copyrights and Trademarks 62 Order Management Modules Create Basket File through TWS The Basket Order feature lets you save a group of orders in one file, and transmit that file as a single order. Once you have created a basket file, you can create a basket order. Create a basket file automatically using the Save Orders as Basket command, or manually using any text editor. To automatically create a basket file Note that when you create a basket file automatically, you can only include orders from the same Trading page. 1. Create Buy and/or Sell orders for all assets on a page that you want to include in the basket. • • Click the Ask Price on a market data line to create a Buy order. Click the Bid Price on a market data line to create a Sell order. DO NOT TRANSMIT THESE ORDERS. 2. After you create the orders, modify the order parameters Time in Force, Action, Quantity, Price, Order Type, or Destination, if needed. 3. 4. On the File menu, select Save Orders as Basket. In the dialog box, view or edit the .bsk filename and click OK. Note: The system uses the Trading page name as the default basket name. You may change the basket name, but must keep the directory structure and the .bsk filename extension in order to import the file and submit a basket order. 5. Cancel the orders you created. Use the Order menu and select Cancel Page. Copyrights and Trademarks 63 TWS Users' Guide Create Basket File Manually Create a manual basket file by entering a list of order rows, each composed of a series of comma-delimited (separated by commas) fields of data that define an order. TWS reads these fields in a specific sequence to populate the TWS fields, so it is critical that you put the data in order according to the order in which it occurs in the tables below. Because the fields in each order line are interpreted based on their order in the string, some of the fields are required even though they may include a null value. These are required as placeholders to ensure the order parameters are read correctly. For example, if you are entering an options order, you must include the expiry, strike and put-or-call fields, and each of these must include a valid value. If however you are entering a stock order, you do not need to include any of those fields in your string. To manually create a basket file 1. 2. Use any word processor or text editor tool to open a new file. For each order you want to include in the basket file, create one line of text and observe the following rules: • • • Include one value, when required or when appropriate for the instrument type, for each field described in the table below. Separate field values by commas. If you want to leave a field blank, include a blank space followed by a comma. List field values in the order in which they're listed in the table below Table 1 - Required Basket File Fields (in order) Field action quantity underlying symbol security type expiry strike put-or-call exchange Data Type constant integer string constant date/time number character string Possible Values or Example BUY or SELL e.g. 100 e.g. IBM stk, opt, war, fop, fut YYYYMM e.g. 200610 (for Oct. 2006 expiry) e.g. 42.5 or 37.0 P or C Any valid destination, e.g. Smart, or NYSE or PHLX or VWAP. Req. Field? Yes Yes Yes Yes For futures and options. For options. For options. Yes Req. Value? Yes Yes Yes Yes Yes Yes Yes Yes 64 Order Management Modules Table 1 - Required Basket File Fields (in order) NOTE: To clarify any ambiguity for Smart routed contracts, include the primary exchange along with Smart for the destination, for example: Smart/NYSE. order type constant LMT or MKT or REL or VWAP (a VWAP order type must also have a destination value of VWAP and the price field must be left blank) or MOO or LOO or MOC or LOC e.g. 96.47 or 85 1/2 (fraction or decimal value) Leave blank for a VWAP aux. price number e.g. .15, 1/8 (fraction or decimal value) Yes Yes limit price number For Limit, Relative and Stop Limit orders only. For Relative, Stop and Stop Limit orders only. Relative orders Yes Yes Yes Yes. Value may be 0. percent offset currency basket tag number constant string Any decimal value between 0 and 1, e.g. .05 USD, GBP, etc. Any unique string of alpha or numeric characters used to identify the basket order. This tag appears in the Order Reference field of the Execution report. day, gtc, gtd, ioc, fok, opg, auc YYYYMMDD hh:mm:ss [zzz] where zzz is an optional time zone. If you do not designate a time zone, TWS uses the time zone from which the order originated. YYYYMMDD hh:mm:ss [zzz] where zzz is an optional time zone. If you do not designate a time zone, TWS uses the time zone from which the order originated. No Yes No time-in-force goodTilTime constant date/time Yes Yes Yes No goodAfterTime date/time Yes No The fields below are optional in the sense that they are not required for a basic order. However, if you want to use any fields, you must also includes values in any preceeding fields. 65 TWS Users' Guide Table 2 - Optional Basket File Fields (in order, continued from Table 1 above) Field group Data Type string Possible Values or Example existing group name Req. Field? for Advisors only for Advisors only Required Value? No method string • • • • • PctChange AvailableEquity NetLiq EqualQuantity PctOfPortfolio only if group is specified percent percent number in range 1-100, i.e. 100 for Advisors only for Advisors only for Advisors only for noncleared customers only for noncleared customers only for noncleared customers only for noncleared customers only for noncleared customers only only if method is PctChange no profile string existing profile name account string existing account name no account string free text openClose string open, close yes settlingFirm string free text shortSaleSlot number -1 (cust. has shares) -2 (shares are with 3rd party) shortSaleLocation string MPID of third party 66 Order Management Modules Table 2 - Optional Basket File Fields (in order, continued from Table 1 above) origin character c, f for noncleared customers only only if exchange is BOX auctionStrategy number -1 (match) -2 (improvement) -3 (transparent) i.e. 3.00 startingPrice number only if exchange is BOX only if exchange is BOX only if exchange is BOX only if exchange is BOX only if exchange is BOX yes no stockRefPrice number i.e. 25.00 no delta percent number in range 1-100 yes stockRangeLower number i.e. 20.00 no stockRangeUpper number i.e. 30.00 no discretionaryAmt number i.e. 0.25 no displaySize integer i.e. 100 yes no RTHOnly boolean true, false yes no blockOrder boolean true, false yes no 67 TWS Users' Guide Table 2 - Optional Basket File Fields (in order, continued from Table 1 above) sweepToFill boolean true, false yes no hidden boolean true, false yes no allOrNone boolean true, false yes no minQty number integer, i.e. 100 yes no orderGroup string free text, i.e. group1 yes no *NOTE: These orders types can only be used in baskets created from a text file. You cannot create MOO and LOO basket order entries from the trading screen. The lines below illustrate how three possible order lines in a basket file would look. • A limit order to buy one IBM Oct 2003 call option for $6.70 (times the contract multiplier of 100) with a strike price of $95.00, using IB SmartRouting for the order destination would look like: BUY, 1, IBM, OPT, 200310, 95.0, C, SMART, LMT, 6.7, • A VWAP order to sell 100 shares of IBM stock would look like: SELL, 100, IBM, STK, VWAP, VWAP, , • A limit order to buy 100 shares of Microsoft stock for $52.85/share using IB SmartRouting would look like: BUY, 100, MSFT, STK, SMART, LMT, 52.85, 3. Save the file in your directory (it may be in C:\jts). Give the file a meaningful name and use a .bsk file extension. 68 Order Management Modules To save a basket file in your word processing application a. From the File menu select Save. b. In the Save in field, use the drop-down box to select the directory (i.e. C:\jts). c. In the File name field enter filename.bsk d. In the Save as type field, choose "text only" or ".txt" or "Text Document" (depending on your application). e. Click Save. Copyrights and Trademarks 69 TWS Users' Guide Create a Basket File using Excel You can use Excel to create a basket file which you can easily open as a basket order in TWS. Create a basket file with Excel 1. 2. Open a blank Excel worksheet. Create the orders you want to include in your basket, one per line. Enter a parameter in each successive cell. You must use the following guidelines for creating an Excel basket file: • • Include one value, when required or when appropriate for the instrument type, for each field described in the table below. List field values in the order in which they appear below: Table 1 - Required Basket File Fields (in order) Field action quantity underlying symbol security type expiry strike put-or-call exchange Data Type constant integer string constant date/time number character string Possible Values or Example BUY or SELL e.g. 100 e.g. IBM stk, opt, war, fop, fut YYYYMM e.g. 200610 (for Oct. 2006 expiry) e.g. 42.5 or 37.0 P or C Any valid destination, e.g. Smart, or NYSE or PHLX or VWAP. NOTE: To clarify any ambiguity for Smart routed contracts, include the primary exchange along with Smart for the destination, for example: Smart/NYSE. order type constant LMT or MKT or REL or VWAP (a VWAP order type must also have a destination value of VWAP and the price field must be left blank) or MOO or LOO or MOC or LOC e.g. 96.47 or 85 1/2 (fraction or decimal value) Leave blank for a VWAP aux. price number e.g. .15, 1/8 Yes Yes Req. Field? Yes Yes Yes Yes For futures and options. For options. For options. Yes Req. Value? Yes Yes Yes Yes Yes Yes Yes Yes limit price number For Limit, Relative and Stop Limit orders only. For Relative, Yes Yes. Value may be 0. 70 Order Management Modules (fraction or decimal value) Stop and Stop Limit orders only. Relative orders Yes Yes No Yes No percent offset currency basket tag number constant string Any decimal value between 0 and 1, e.g. .05 USD, GBP, etc. Any unique string of alpha or numeric characters used to identify the basket order. This tag appears in the Order Reference field of the Execution report. day, gtc, gtd, ioc, fok, opg, auc YYYYMMDD hh:mm:ss [zzz] where zzz is an optional time zone. If you do not designate a time zone, TWS uses the time zone from which the order originated. YYYYMMDD hh:mm:ss [zzz] where zzz is an optional time zone. If you do not designate a time zone, TWS uses the time zone from which the order originated. time-in-force goodTilTime constant date/time Yes Yes Yes No goodAfterTime date/time Yes No The fields below are optional in the sense that they are not required for a basic order. However, if you want to use any fields, you must also includes values in any preceeding fields. Table 2 - Optional Basket File Fields (in order, continued from Table 1 above) Field group Data Type string Possible Values or Example existing group name Req. Field? for Advisors only for Advisors only Required Value? No method string • • • • • PctChange AvailableEquity NetLiq EqualQuantity PctOfPortfolio only if group is specified 71 TWS Users' Guide Table 2 - Optional Basket File Fields (in order, continued from Table 1 above) percent percent number in range 1-100, i.e. 100 for Advisors only for Advisors only for Advisors only for noncleared customers only for noncleared customers only for noncleared customers only for noncleared customers only for noncleared customers only for noncleared customers only only if exchange is BOX yes only if method is PctChange no profile string existing profile name account string existing account name no account string free text openClose string open, close settlingFirm string free text shortSaleSlot number -1 (cust. has shares) -2 (shares are with 3rd party) shortSaleLocation string MPID of third party origin character c, f auctionStrategy number -1 (match) -2 (improvement) -3 (transparent) i.e. 3.00 startingPrice number only if exchange is BOX no 72 Order Management Modules Table 2 - Optional Basket File Fields (in order, continued from Table 1 above) stockRefPrice number i.e. 25.00 only if exchange is BOX only if exchange is BOX only if exchange is BOX only if exchange is BOX yes no delta percent number in range 1-100 yes stockRangeLower number i.e. 20.00 no stockRangeUpper number i.e. 30.00 no discretionaryAmt number i.e. 0.25 no displaySize integer i.e. 100 yes no RTHOnly boolean true, false yes no blockOrder boolean true, false yes no sweepToFill boolean true, false yes no hidden boolean true, false yes no allOrNone boolean true, false yes no 73 TWS Users' Guide Table 2 - Optional Basket File Fields (in order, continued from Table 1 above) minQty number integer, i.e. 100 yes no orderGroup string free text, i.e. group1 yes no 3. Save the file with a .csv file extension, for example excelBasket.csv. You can save the file to any directory. You may get several messages when you save, the first saying that the selected file type does not support workbooks with multiple sheets. Click OK at this message. The second tells you your file may contain features not compatible with CSV. Click Yes at this message. For example, a 2-order basket with the first order a limit order to buy 100 shares of IBM at $91.95 using SMART as the destination, and the second a limit order to sell 1 IBM July05 95.00 call option for $2.00 would look like this: To transmit this order, open the file from your Basket orders pages. Copyrights and Trademarks 74 Order Management Modules SpreadTrader SPREADTRADER Copyrights and Trademarks 75 TWS Users' Guide Spread Orders Create combination limit orders for options (which can include stock legs if routed through SmartRouting) and spread orders for futures. Although a combination/spread order is constructed of separate legs, it is executed as a single transaction if it is routed directly to an exchange. For combination orders that are SmartRouted, each leg may be executed separately to ensure best execution. You can create a unique combination by manually defining an order leg by leg, or create a named strategy using a template. To use stock legs in the order, you must create the combination manually. Currently TWS provides templates to construct the following named option strategies: • Vertical spread - An order to simultaneously purchase and sell options at different strike prices, where both have the same underlying, right (call or put) and expiration date. This spread is sometimes referred to as a price spread. Call vertical spread example: Buy 1 June02 100 call, Sell 1 June02 105 call. Put vertical spread example: Buy 1 March02 105 put, Sell 1 March02 95 put Calendar spread - An order to simultaneously purchase and sell options with different expiration dates, where both have the same underlying, right (call or put) and strike price. This spread is sometimes referred to as a time spread. A calendar spread whose options have different expiration dates and different strike prices is sometimes referred to as a diagonal spread. For example: Buy 1 June02 100 call, Sell 1 March02 100 call. Futures Calendar spread - An order to simultaneously purchase and sell futures with different expiration dates, where both have the same underlying. This spread is sometimes referred to as a time spread. For example: Buy 1 FUT Sept03, Sell 1 FUT June03. Diagonal spread - An order to simultaneously purchase and sell options with different expiration dates and different strike prices, where both have the same underlying and right (call or put). For example: Buy 1 June03 100 call, Sell 1 Sept03 105 call. Straddle - An order to simultaneously purchase (or sell) a call and a put in identical numbers, where both have the same underlying, expiration date and strike price. For example: Sell 1 Dec02 90 call, Sell 1 Dec02 90 put. Strangle - An order to simultaneously purchase a call and a put with different strike prices, where both have the same underlying and expiration date. In the case where both the call and the put are out of the money, this order is referred to as an inside strangle. For example: Buy 1 June02 95 put, Buy 1 June02 105 call. Butterfly - An order to simultaneously purchase an option with one strike price, purchase an option with a second strike price, and sell two options with a third strike price that is midway between the prices of the first two options. The ratio for a butterfly is always 1 x 2 x 1. For example: Buy 10 March02 95 calls, Sell 20 March02 100 calls, Buy 10 March02 105 calls. Synthetic - An order to simultaneously purchase a call and sell a put in identical numbers (or sell a call and purchase a put in identical numbers), where both have the same underlying, expiration date and strike price. Purchase a synthetic: Buy 1 April02 100 call, Sell 1 April02 100 put. Sell a synthetic: Sell 1 April02 100 call, Buy 1 April02 100 put. • • • • • • • 76 Order Management Modules • Box - An order to simultaneously purchase and sell two synthetics in identical numbers at different strike prices. For example: Buy 1 April02 95 call, Sell 1 April02 95 put, Sell 1 April02 100 call, Buy 1 April02 100 put. Synthetic Put - An order to simultaneously purchase (or sell) a call option and sell (or purchase) stock where both have the same underlying. Purchase a synthetic put: Buy 1 XYZ April03 75 call, Sell 100 shares XYZ Sell a synthetic put: Sell 1 XYZ April03 75 call, Buy 100 shares XYZ. Synthetic Call - An order to simultaneously purchase (or sell) a put option and purchase (or sell) stock where both have the same underlying. Purchase a synthetic call: Buy 1 XYZ April03 75 put, Buy 100 shares XYZ Sell a synthetic put: Sell 1 XYZ April03 75 put, Sell 100 shares XYZ. Conversion - An order to simultaneously sell (or purchase) a call option and purchase (or sell) a put option in identical numbers where both have the same underlying, expiration date and strike price, and purchase stock of the same underlying. Purchase a conversion: Sell 1 XYZ April04 75 call, Buy 1 XYZ April04 75 put, Buy 100 shares XYZ Sell a conversion: Buy 1 XYZ April04 75 call, Sell 1 XYZ April04 75 put, Sell 100 shares XYZ Reversal- An order to simultaneously purchase (or sell) a call option and sell (or purchase) a put option in identical numbers where both have the same underlying, expiration date and strike price, and sell stock of the same underlying. Purchase a reversal: Buy 1 XYZ April04 75 call, Sell 1 XYZ April04 75 put, Sell 100 shares XYZ Sell a reversal: Sell 1 XYZ April04 75 call, Buy 1 XYZ April04 75 put, Buy 100 shares XYZ Risk Reversal- An order to simultaneously purchase (or sell) a put option and sell (or purchase) a call option in identical numbers where both have the same underlying and expiration date, but the call generally has a higher strike price. Purchase a risk reversal: Buy 1 XYZ April04 75 put, Sell 1 XYZ April04 95 call Sell a risk reversal: Sell 1 XYZ April04 75 put, Buy 1 XYZ April04 95 call Buy Write - An order to simultaneously purchase (sell) a stock and sell (purchase) a call option of the same underlying. Purchase a Buy Write: Sell 1 XYZ April06 95 call, Buy 100 shares XYZ Sell a Buy Write: Buy 1 XYZ April06 95 call, Sell 100 shares XYZ • • • • • • For more information on combination orders and margin requirements for combination orders, see U.S. Equity Options Margin Requirements on the IB website. Copyrights and Trademarks 77 TWS Users' Guide Create a Spread Order You can create any kind of combination spread order using the Combination Composition box, including futures spreads and inter-market Smart combos. To create an Inter-market spread or Smart Combo order 1. Right click on a blank line and select Generic Combo, or right click on a blank line and select Order then click the Combo radio button at the top of the page, or create a market data line with the instrument type Comb. In the Leg Query section, enter the underlying symbol for the first leg of the order. 2. Use the Leg Definition section to define parameters of the leg. When finished click Add Leg. 3. 4. Or simply drag a market data line from the trading screen into the bottom of the Leg Definition area. After you have added all desired legs click OK, and the spread appears as a market data line on your trading screen. The implied price is calculated based on the underlying price of each leg, and changes with variations in the price of each underlying. Based on the implied price, SmartRouting will route each leg of the order separately to get the best price. NOTE: To see individual leg prices for a combination or spread order, open the Execution reports window by clicking the Trades icon on the Trading Toolbar. Double-click the desired combination execution report line in the Execution window (or right-click on the line and select Show Legs) to open the Execution Window for Legs. 78 Order Management Modules To create a combination strategy 1. 2. 3. 4. Right-click on a blank line and select Generic Combo, or create a market data line with the instrument type Comb. In the Leg Query section, enter the underlying symbol for the first leg of the order. Use the Combo Template tab to select a strategy. Select data for all legs of the order and click OK. The combination order strategy appears on your trading screen as a market data line. Copyrights and Trademarks 79 TWS Users' Guide Using the Combination Composition Window Use the Combo Template tab to select a recognized combination order and define the necessary parameters. Use the Generic Combo tab to create the combination one leg at a time. Combo Template Field Name Leg Type Description The order type, Option or Future, is selected based on the underlying and exchange you entered. If both choices are active, select the order type you want to create. Combination strategies are listed based on the Leg Type you selected. For descriptions of option combination strategies, see the Combination Orders topic. Use the Help button for strategy descriptions. Select the contract multiplier. Select Sell Combo or Buy Combo in the graph drop-down to see what the combination order looks like. The worksheet categories display drop-down list boxes each time you need to make a selection. Move through the worksheet and select choices as needed. Reset Request market data for all legs Click Reset to start over, either by selecting another strategy or editing the legs of the chosen strategy. Check to create a market data line for each leg of the order, to be displayed on the trading screen. Strategy Multiplier Worksheet Generic Combo Field Name Leg Definition Description Select values to define a specific leg of the combination order. The values displayed in the selection fields are context-sensitive. To ensure that all information is valid, the value in each field is locked in as you move to the next field. To modify criteria, click Reset. Leg Type - The instrument type. Expiry - Select the expiry for the current leg. Right - Select the right (call or put) for the current leg. Strike - Select a strike price for the current leg. Ratio - Select the relative number of contracts for the leg you are constructing. To help determine the ratio for a specific combination order, use Interactive Analytics. First, edit the Interactive Analytics option model, then view model outputs using option analytics. Action - Select Buy or Sell as the action for the current leg. Button Name Add Leg Reset Help Delete Leg 80 Description Adds the leg you just defined to the combination order. The leg is displayed in the table below the buttons. Clears all values from the Leg Definition fields above. Displays button help. Deletes the highlighted leg from the leg table. Order Management Modules Field Name Request market data for all legs OK/Cancel Description Check to create a market data line for each leg of the order, to be displayed on the trading screen. Click OK to save the combination order. The current order is highlighted on the trading page, and named if the combination you created was a recognized strategy. Copyrights and Trademarks 81 TWS Users' Guide Transmit a Spread Order To create a combination order Before you transmit a combination order, you carefully review your order parameters on the order management line, or from the Order Ticket window by clicking Accept. 1. From the market data line, click the "Ask" or "Bid" price for the combination order you want to create. • • 2. Click the Ask Price to create a Buy order. Click the Bid Price to create a Sell order. On the Order Management line, modify order parameters, if needed. Note on pricing: If you buy a spread and you owe cash (debit spread), enter a positive limit price. If you buy a spread and you receive cash (a credit spread), you must enter a negative limit price. Conversely, if you sell a spread and receive cash, enter a positive limit price. If you sell a spread and owe cash, you must enter a negative limit price. For example, an April 20 xyz call shows a BID price of 6.60 and an ASK price of 6.70. An April 30 xyz call shows a BID price of 0.15 and an ASK price of 0.20. If you buy a "debit" call vertical spread with the following legs: Buy 1 OPT APR02 20.0 CALL (6.70) Sell 1 OPT APR02 30.0 CAL L (0.15) For this transaction you pay: 6.55 (a debit transaction) If you buy a "credit" call vertical Sell 1 OPT APR02 20.0 CALL Buy 1 OPT APR02 30.0 CALL For this transaction you receive 3. Transmit the order. spread with the following legs: (6.60) (0.20) 6.40 (a credit transaction; enter a negative limit price). Copyrights and Trademarks 82 Order Management Modules Notes on Spread Orders This page contains notes and tips on creating and transmitting combination orders. • • Use SmartRouting to execute legs separately to ensure you get the best price on all legs of your order. Exchanges that currently support native combination orders (which means they execute the legs together as one transaction) include: • • • • ISE ONE DTB (Euro) To help determine the ratio for a specific combination order, use our Price/Risk Analytics tools. First, edit the model using the Option Modeler, then view model outputs using Option Analytics. Note on pricing: If you buy a spread and you owe cash (debit spread), enter a positive limit price. If you buy a spread and you receive cash (a credit spread), you must enter a negative limit price. Conversely, if you sell a spread and receive cash, enter a positive limit price. If you sell a spread and owe cash, you must enter a negative limit price. For example, an April 20.0 xyz call shows a BID price of 6.60 and an ASK price of 6.70. An April 30 xyz call shows a BID price of 0.15 and an ASK price of 0.20. • If you buy a "debit" call vertical spread with the following legs: Buy 1 OPT APR02 20.0 CALL (6.70), Sell 1 OPT APR02 30.0 CAL L (0.15) For this transaction you pay: 6.55 (a debit transaction) If you invert the legs and buy a legs: Sell 1 OPT APR02 20.0 CALL Buy 1 OPT APR02 30.0 CALL For this transaction you receive price) "credit" call vertical spread with the following (6.60) (0.20) 6.40 (a credit transaction, enter a negative • • When you create a combination order using the Order Ticket window, click Accept (rather than Transmit) to verify your order parameters. Before you transmit a combination order, carefully review the order parameters from the Order Management line. Copyrights and Trademarks 83 TWS Users' Guide Volatility Trading VOLATILITY TRADING Copyrights and Trademarks 84 Order Management Modules Volatility Trading You can apply a volatility page layout that lets you create option orders based on volatility instead of price. To use the Volatility layout for an existing page 1. 2. On the Page menu select Settings. In the Layout drop-down, select Volatility and click OK. When you apply the Volatility layout, the Bid Price and Ask Price fields display volatility instead of price. You will also see several volatility columns including the Model price and Implied Volatility fields on the Market Data row, and the Volatility field on the Order Management row. NOTE: If you have options listed on the same trading page as stocks, when you switch to Volatility layout you will still see the normal bid/ask prices for your equity contracts. For pages using the Volatility layout, you can elect to toggle the view for an individual order between price-based and volatility-based. To toggle between price- and volatility-based order • Right click on an order management line and select the active view option, either Convert to price based or Convert to volatility based. Note: You can only toggle between views on pages that are using the Volatility layout. Copyrights and Trademarks 85 TWS Users' Guide Calculate Order Quantity CALCULATE ORDER QUANTITY Copyrights and Trademarks 86 Order Management Modules Determine Order Quantity When you create an order, you can define the order size several different ways. You can set a general default order size that is used for all orders. You can set specific default sizes for instrument types, for example a quantity of 500 for all stock orders. You can even get more specific and set the default order size for a specific contract, for example set the quantity for all stock orders for underlying XYZ to 1000. Alternatively, you can set a default currency amount that will be used to calculate the order size. For example, set the default amount for stocks to $5000.00. The order quantity is then calculated based on the stock price, and is rounded to the nearest 100 for U.S. stocks. You can also have TWS calculate the order quantity by Deliverable value amount, a percent of your Net Liquidation value, or based on a percentage of your current position. Copyrights and Trademarks 87 TWS Users' Guide Calculate Order Quantity Use the Quantity Type and Quantity Value fields to calculate your order quantity based on: • • • • Currency- assumes the base currency DLV Amount - Deliverable Value % of NLV - percent of Net Liquidation Value % Change in Position - percent of the change for your position in the underlying. For example, say you have a Net Liquidation Value of 40,000. XYZ shows a current ask price of 80.00. If you create a buy order for XYZ, select "% of NLV" as the Quantity Type and enter "20" in the Quantity Value field, you're telling TWS to calculate the number of shares you could buy for 20% of $40,000 or $8000.00, based on the Ask price of $80.00. The calculated Order Quantity value of "100" is then displayed in the Quantity field. To display the Quantity Type and Quantity Value fields 1. Right-click on any column name in the Order Management section of the trading screen, and click Customize Layout. In the Order Row section of the Layout Manager, check Quantity Type and Quantity Value and click OK. 2. 88 Order Management Modules To calculate order quantity by currency 1. 2. 3. Create an order by clicking the bid or ask price. In the Quantity Type field, select the currency type. This field assumes the base currency. In the Quantity Value field, enter a currency amount. For a buy order, enter the amount you want to spend. For a sell order, enter the amount you want to make. Based on the current bid/ask, TWS rounds your value up or down. The order quantity is calculated and displayed in the Quantity field. To calculate order quantity by Deliverable Value (DLV Amount) 1. 2. Create an order by clicking the bid or ask price. In the Quantity Type field, select DLV Amount. For stocks, the deliverable value is the value of the stock converted to the base currency. For options, it is the value of the underlying stock represented in base currency (i.e. stock price * options multiplier). 3. In the Quantity Value field, enter the dollar amount of your deliverable value you want to use to calculate the order quantity. The order quantity is calculated and displayed in the Quantity field. To calculate order quantity as a % of your Net Liquidation Value (% NLV ) 1. 2. Create an order by clicking the bid or ask price. In the Quantity Type field, select % NLV The Net Liquidation value is the first value in the upper left Balance area of the Account window. 89 TWS Users' Guide 3. In the Quantity Value field, enter a percent value that will multiplied by your NLV to calculate a dollar amount. The order quantity is calculated and displayed in the Quantity field. To calculate order quantity as a % of position change 1. 2. Create an order by clicking the bid or ask price. In the Quantity Type field, select % Change in Position. If you do not hold a position in the selected underlying, you will not see this selection. 3. In the Quantity Value field, enter a percent value that will multiplied by your position to calculate the order quantity. Note that if your position is negative, you must enter a negative percent value to calculate a positive order quantity. The order quantity is displayed in the Quantity field. Copyrights and Trademarks 90 Order Management Modules Multi-client Trade Allocation MULTI-CLIENT TRADE ALLOCATION Copyrights and Trademarks 91 TWS Users' Guide Advisors - Allocating Shares We provide several ways to distribute shares among accounts when you create an order. You can select an Account Group, which comprises a pre-defined group of accounts and an associated allocation method. The Account Group allocates shares based on a ratio calculated by the system, or by a percentage. The numbers used to calculate the ratio derive from the method you chose when you created the group, or by the percent change you set. A second way to allocate shares is through an Allocation Profile, which distributes shares to each account in a profile based on a percentage, ratio or absolute number that you define. Both of these methods require that you create a group, assign accounts to the group, and define the group's allocation method. You can also direct an order to a single account by selecting that account from the Allocation field on the order management line. Copyrights and Trademarks 92 Order Management Modules Create an Order for Multiple Clients Advisors can trade stock, options, futures, options on futures and foreign exchanges for Separately Managed Accounts (SMAs) using the Allocation column on an Order Management line. To create an order for multiple clients 1. Click the "Ask" or "Bid" price on a market data line to create an order. • • 2. 3. Click the Ask Price to create a Buy order. Click the Bid Price to create a Sell order. Right-click on the order and select Modify then select Share Allocation. In the Allocation dialog box, select an Account Group in the Automatic Allocation area, an Account Profile in the Manual Allocation area, or select a single account. You can also use the drop-down list in the Allocation field on the trading screen to select an Account Group, an Allocation Profile or an individual account. a. For the Account Group, modify the allocation method if necessary. If you choose the PctChange method, enter a positive or negative value in the Percentage field. All other automatic allocation methods are calculated using the order size. If you use an Allocation Profile, select a group name. To allocate all shares to one account, select a single account. b. c. 4. 5. Click OK to complete the order. To Transmit, click the red "T" in the Transmit field. Copyrights and Trademarks 93 TWS Users' Guide Create Account Aliases You can assign recognizable names to accounts using the Account Aliases dialog box. When you create an order, the account alias appears in the Allocation list instead of the individual account number. To create an account alias 1. 2. On the Configure menu select Advisor then select Account Aliases. Enter a recognizable name in the Alias column for the selected account. Note that when you create an order, the choices displayed in the Allocation list are grouped by Account Groups, then Allocation Profiles, and then individual accounts. However, they are not identified in any other way. When you create an account alias, you may want to include a prefix such as "IA" to identify the selection as an individual account. Copyrights and Trademarks 94 Order Management Modules Create a Share Allocation Profile You can create profiles that allocate specific percentages or shares of each order to individual accounts based on the rules you set and values you input. To create a share allocation profile 1. 2. On the Configure menu, select Advisor, then select Allocation Profiles. Click Create and enter a profile name, preferably one based on the way you plan to allocate shares between clients. Note that when you create an order, the choices displayed in the Allocation list are grouped by Account Groups, then Allocation Profiles, and then individual accounts. However, they are not identified in any other way. When you create a profile, you may want to include a prefix such as "P" in the name to identify the choice as a profile. 3. In the Allocation Profile specifies area, select a method of allocating shares between accounts: • Percentages - this method will split the total number of shares in the order between listed accounts based on the percentages you indicate. For example, an order for 1000 shares using a profile with four accounts at 25% each would allocate 250 shares to each listed account in the profile. Ratios - this method calculates the allocation of shares based on the ratios you enter. For example, an order for 1000 shares using a profile with four accounts set to a ratio of 4, 2, 1, 1 would allocate 500, 250, 125 and 125 shares to the listed accounts, respectively. Shares - this method allocates the absolute number of shares you enter to each account listed. If you use this method, the order size is calculated by adding together the number of shares allocated to each account in the profile. • • 4. Click in the Account field to view all accounts. Select an account and tab over to the Value field. 5. Enter the percent, ratio or number of shares to be allocated to the selected account (you may need to delete the current value). Tab to create a new account line. NOTE: If you use percentages to allocate shares, percentages allocated must equal 100. If you use ratios, The system automatically calculates these percentages. 6. OK. Continue until you have listed all the desired accounts for the current profile, and click Copyrights and Trademarks 95 TWS Users' Guide Create an Account Group for Share Allocation You can use an Account Group to automatically calculate ratios and allocate order shares to a pre-defined group of accounts based on a selected allocation method. When you create an order and choose a group, the order uses the default method to allocate shares amongst the accounts in the group. To create an Account Group 1. 2. On the Configure menu, select Advisor, then select Account Groups, and click Create. Enter an Account Group name. Do not use the name "All" since this is reserved by the system. Note that when you create an order, the choices displayed in the Allocation list are grouped first by Account Groups, then Allocation Profiles, and then individual accounts. However, they are not identified in any other way. When you create an account group, you may want to include a prefix such as "AG" in the name to identify the choice as an Account Group. 3. Select a default allocation method. You can change the allocation method for each order. • EqualQuantity - Requires you to specify an order size. This method distributes shares equally between all accounts in the group. Example: You transmit an order for 400 shares of stock ABC. If your Account Group includes four accounts, each account receives 100 shares. If your Account Group includes six accounts, each account receives 66 shares, and then 1 share is allocated to each account until all are distributed. • NetLiq - Requires you to specify an order size. This method distributes shares based on the net liquidation value of each account. The system calculates ratios based on the Net Liquidation value in each account and allocates shares based on these ratios. Example: You transmit an order for 700 shares of stock XYZ. The account group includes three accounts, A, B and C with Net Liquidation values of $25,000, $50,000 and $100,000 respectively. The system calculates a ratio of 1:2:4 and allocates 100 shares to Client A, 200 shares to Client B, and 400 shares to Client C. • • AvailableEquity - Requires you to specify an order size. This method distrib utes shares based on the amount of equity with loan value currently available in each account. The system calculates ratios based on the Equity with Loan value in each account and allocates shares based on these ratios. Example: You transmit an order for 700 shares of stock XYZ. The account group includes three accounts, A, B and C with available equity in the amounts of $25,000, $50,000 and $100,000 respectively. The system calculates a ratio of 1:2:4 and allocates 100 shares to Client A, 200 shares to Client B, and 400 shares to Client C. 96 Order Management Modules • PctChange - Do not specify an order size. Since the quantity is calculated by the system, the order size is displayed in the Quantity field after the order is acknowledged. This method increases or decreases an already existing position. Positive percents will increase a position, negative percents will decrease a position. BUY ORDER Long Position Short Position Negative Percent No effect Decreases position Positive Percent Increases position No effect SELL ORDER Long Position Short Position Positive Percent No effect Increases position Negative Percent Decreases position No effect Example 1: Assume that three of the six accounts in this group hold long positions in stock XYZ. Client A has 100 shares, Client B has 400 shares, and Client C has 200 shares. You want to increase their holdings by 50%, so you enter "50" in the percentage field. The system calculates that your order size needs to be equal to 350 shares. It then allocates 50 shares to Client A, 200 shares to Client B, and 100 shares to Client C. Example 2: You want to close out all long positions for three of the five accounts in a group. You create a sell order and enter "-100" in the Percentage field. The system calculates 100% of each position for every account in the group that holds a position, and sells all shares to close the positions. 4. The list of accounts in the Non Group Account section includes all accounts available to you. To add an account to the group, select a Non Group account and click Add. 5. Click OK to save the group and its settings. Copyrights and Trademarks 97 TWS Users' Guide Edit a Share Allocation Profile After you have created share profiles, you can select one when you create an order. To edit a share allocation profile 1. 2. 3. 4. From the Configure menu, select Advisor then select Allocation Profiles. Select an Allocation Profile and click Edit. In the Allocation Profile window, you can add or delete accounts, select a different allocation method, or modify the allocated percentage or ratio for any accounts. Click OK to save the edited profile. NOTE: Percentages allocated must equal 100. If you use ratios, the system will automatically calculate share percentages based on the ratios. Copyrights and Trademarks 98 Order Management Modules Advisors - View Execution Reports for SMAs The Executions window lets you see execution reports for all SMAs (Separately Managed Accounts) or for a selected account. To view execution reports for a specific account 1. 2. Open the Executions window by clicking the Trades icon on the toolbar, or selecting Executions from the View menu. In the Account drop-down field, select the account for which you want to view execution reports. Copyrights and Trademarks 99 TWS Users' Guide Advisors Account Window To select an account 1. 2. Open the Account window by clicking the Account icon on the toolbar, or use the Configure menu to select Advisors, then select Accounts. In the Multiple Account Name area, use the Account drop-down to select the managed account whose information you want to view. Use the Groups selection to choose one group which includes all accounts. Copyrights and Trademarks 100 Order Management Modules Change Order Defaults & Assign Shortcuts ORDER DEFAULTS AND HOT KEYS Copyrights and Trademarks 101 TWS Users' Guide Default Order Settings Window A "default" order parameter is the value that automatically appears on your order management line when you create an order. The system uses default values to help save time. Instead of invoking a completely blank order management line, when you instigate an order each field is filled in with a default value. Each of these parameters can be manually changed on your trading screen before you transmit an order, but if you use certain parameters for most of your orders, you will save time by making that value your default order value. For example, if you use VWAP orders 95% of the time, you can change your Default Order Type to VWAP. Now each time you click on the Bid or Ask price to create an order, the order type and order destination are automatically set to VWAP. You use the Default Order Settings window to modify the default order values, including order type, order size, offset amounts and time in force, for specific instrument types. You can also set order defaults that will only be applied to a specific contract. To change order defaults for an instrument type 1. 2. 3. 4. On the Configure menu, Global Configuration. In the left pane, click Order and then Order Defaults. If desired, in the center pane select a specific instrument type. If not instrument is selected, the defaults you set will apply across all asset classes. In the right pane, set order defaults by choosing from selections. • • Default Order Type - use the Type drop-down to choose an order type. Default Order Sizes and Offsets - to edit values in the table, triple-click an entry and type your new data over the existing value. Alternatively, set the system up to automatically save a modified order size as the default order size for that instrument type. On the Order menu select Auto-Save Default Size. • Other Default Order Settings Left Pane - Instrument Types Instrument Type Abbreviation STK IND OPT FUT FOP WAR SPRD BAG Market Data Line Equivalent Stock Index Option Future FutOpt Warrant FutSprd Comb Full Name Stock Index Option Future Futures Option Warrant Futures Spread Combination order 102 Order Management Modules Instrument Type Abbreviation CASH Market Data Line Equivalent Cash Full Name Cash Right Pane - Default Order Type Type LMT MKT STP Order Type Limit Market Stop Description An order to buy or sell a contract at a specified price or better. An order to buy or sell a contract at the bid or offer price currently available in the marketplace. An order to buy or sell a contract which becomes a market order once the specified stop price is attained or penetrated. An order to buy or sell a contract which becomes a limit order once the specified stop price is attained or penetrated. Allows the customer to enter a more aggressive price than the current market price, and have the entered price stay within a fixed interval to the market should prices deteriorate. Your order is pegged to buy on the best offer, and sell on the best bid. The Volume Weighted Average Price for a stock. VWAP is calculated by adding the dollars traded for every transaction in that stock and dividing the total shares traded. An order submitted no later than 15 minutes prior to the close of the market, that will execute as a market order as close to the closing price as possible. An order submitted no later than 15 minutes prior to the close of the market, that will execute at the closing price if the closing price is equal to or better than the submitted limit price. A sell (buy) order where the stop price is set at some fixed amount below (above) the market price. If the market price rises (falls), the stop loss price rises (falls) by this amount, but if the stock price falls (rises), the stop loss price doesn't change. This technique allows an investor to specify a limit on the maximum possible loss, without setting a limit on the maximum possible gain. STP LMT REL Stop Limit Relative PEG MKT VWAP Pegged Market VWAP MKT CLS Market-onclose (MOO) LMT CLS Limit-onclose (LOO) TRAIL Trailing stop For more detailed order type descriptions, refer to the order types page in the User's Guide. 103 TWS Users' Guide Right Pane - Default Order Sizes and Offsets Field Use closing position size if possible Description When checked, if you hold a position in the asset, the system will create the order equal to the quantity of your open position on the assumption that you want to close out your position. If you hold no position, the system will use the default order size. If checked, when you create an order from any line in the market depth window, the order size is set to the total cumulative size available for that asset. Otherwise, the order size will be equal to the quantity in the Size field of the order line from which the order is created. If checked, the default order size will be calculated based on the dollar amount you enter in the Def Amount field on this page. The calculated order size is then displayed in the Quantity field on the trading page as the default amount. Default Size - the default order size. Size Increment - the interval by which the order size increases/decreases are displayed when using the size wand, or the amount by which the quantity will increase/decrease when using the hotkeys. The default amount that will be displayed for Iceberg orders. The amount off the current market price that will be used for auto stop orders to set the stop election price. This value is used to calculate the stop price and the limit price for attached bracket orders. The amount off the current market price by which you want the stop price to trail. The amount that will be added to the best bid (for a buy order) and subtracted from the best ask (for a sell order) to create the limit price at which the relative order will be submitted. The Notes Use cumulative size for Market Depth We do not recommend creating orders from the Market Depth window. Use Default Amount to Calculate Size This is a different way to set the default order size. You can still modify the order size on the trading page. Def Size Size Inc Display Size Stp Offset Trailing Amt Relative Amt Discretionary Amt Right Pane - Other Default Order Settings Field Order Origin 104 Description Notes Defines the origin of your order in relation to the market. Order Management Modules Field Time in Force Description Select from Notes • • • • • Percentage Day GTC (good 'till cancelled) OPG (at the open, valid with Limit and Market orders IOC (Immediate or cancel) AUC (Price Improvement Auction) Size Limit Number of ticks Regular Trading Hours only This option was created as a safety net to prevent you from transmitting a limit order that has a mistyped limit price. If you attempt to transmit a limit order with a price outside of this calculated percent off the market price, you will receive a message asking you to verify that you meant to enter that offpercentage price before it will transmit the order. The market price used is the price displayed in either the bid (sell) or ask (buy) field at the time you transmit the order. This option can be left blank. Limits the value in the Quantity field. If you enter a higher value, you can override the default size limit by clicking Yes in the warning box. Like the Percentage option above, number of ticks is also a safety net to prevent you from transmitting a limit order that has a mistyped limit price. If you attempt to transmit a limit order with a price outside of this calculated number of ticks off the market price, you will get a message asking you to verify that you meant to enter the off-percentage price before it will transmit the order. The market price used is the price displayed in either the bid (sell) or ask (buy) field at the time you transmit the order. This option can be left blank. Valid for US stocks Checked by default. If unchecked, listed on major trading hours are determined by the exchanges. opening/closing times of the order destination. Not available for IOC, OPG (MOO and LOO), FOK, MOC or LOC orders. Right Pane - OCA Group • Partially filled instructions - Set instructions on how to behave when order is partially filled. The default is to have other orders in the OCA group proportionately reduced in size based on the quantity of the filled portion. Overfill Protection - Dictates that only 1 order in the group will be routed to an exchange at a time. This completely removes the possibility of an overfill. • Copyrights and Trademarks 105 TWS Users' Guide Default Offset Amount An offset amount is the amount off the current price used for the order. Using the default offset amount of 1.0, a bracket order with a price of $50.00 would create high side and low side orders at $51.00 and $49.00. You can modify the default offset amount of 1.0 that is currently used to set the price for auto stop, trailing stop and bracket orders. To modify the default offset amount 1. 2. On the Configure menu, click Order and then click Order Defaults In the Default Order Sizes area, change the offset amount (in the last column) for the selected specific instrument type. NOTE: To set a default offset for a specific contract rather than an instrument type, select an instrument type and click Add. Enter an underlying symbol and click OK. Copyrights and Trademarks 106 Order Management Modules Modify the Stop Trigger Method By default, the double bid/ask trigger method is used to trigger simulated stop, simulated stop-limit, and trailing stop orders for OTC stocks and U.S. options. Use the Trigger Configuration box to modify the trigger method for these order types. All other order types must use the last method. NOTE: Cash contracts must always use the double bid/ask trigger method. To modify the stop trigger method 1. 2. Right-click on the market data line for a stop, stop-limit, or trailing stop order and select Trigger Method. Select the trigger method to use for the current transaction. Description For a sell (buy) order to be triggered: Trigger Method • Last One last price value must be less than (greater than) or equal to the trigger price The exchange or other market center where the order is to be executed must also publish (and the system must also receive) an ask price equal to or higher than, and a bid price equal to or lower than, the trigger price. • Double bid/ask (Default) For a sell (buy) order to be triggered: • Two consecutive ask price (bid price) values must be less than (greater than) or equal to the trigger price. NOTE: The Last method has leeway to trigger up to 0.5% above the ask price or up to 0.5% below the bid price. This 0.5% amount of leeway is subject to change at any time without notice. Copyrights and Trademarks 107 TWS Users' Guide Edit SmartRouting Directives You can define event-specific directives for contracts routed through IB SmartRouting, specifically excluding exchanges and setting a price cap by defining the acceptable distance from the NBBO. To modify SmartRouting functionality 1. 2. 3. On the Configure menu select Global Configuration. Click Smart Routing in the left pane. Use the right panel to set these parameters: Excluded Exchanges Use this area to direct SmartRouting NOT to route to a specific exchange for a specific contract. Enter the underlying and select the security type. Valid exchanges that may be excluded are available in the Exchange drop down list. Excluded Quotes • • Exclude exchanges with non-firm quotes - if the available quantity is over 100, the quote is considered firm. Exclude exchanges whose quotes are not automatically executable. If this option is selected, IB will use its best efforts to determine which exchanges’ quotes are immediately automatically executable, and which exchanges’ quotes would require manual (human) handling, and IB will route only to those exchanges offering automatic execution. Please note that while IB will use its best efforts, it is not always possible to determine whether a quote is automatically executable.. Define the NBBO price cap by entering the "maximum allowable distance from NBBO." Note that NBBO price capping supersedes the exclusion of non-firm quotes, i.e. your order will be routed to a non-firm quote within the price cap over a firm quote outside the price cap. • Pre-Open Re-route This allows you to route orders to major exchanges three minutes before the open. For orders submitted before the open, checking this box ensures your orders are routed prior to the open. This directive only applies to stocks listed on a major exchange. IMPORTANT NOTE: If you choose to: 1) exclude quotes from certain exchanges; 2) exclude non-firm quotes; or 3) exclude exchanges whose quotes are not automatically executable, your order may not be executed at the best posted price nationally (the “NBBO”). This is because one of the exchanges that you chose to exclude might have the best posted price but that exchange will be bypassed by the IB SmartRouting system on your instruction. In addition, if you exclude certain exchanges from the eligible SmartRouting destinations and your order is routed to another exchange with an inferior posted price, your order may not be executed by the exchange to which it is sent because that exchange or ECN may not be willing to execute at an inferior price, or your order may not be marketable at that exchange. You should carefully evaluate all of these factors before deciding whether to exclude certain exchanges from the eligible IB SmartRouting destinations. Copyrights and Trademarks 108 Order Management Modules Update Limit Price You can automatically update the limit price for an order (or all orders) to coincide with the ask, bid, midpoint, closing or last price. Automatically update the limit price 1. 2. On the Order menu select Update Limit Prices. Set update parameters: • • • Update price for a single order or all current orders. Set the update parameters for Buy orders and include an offset amount if desired. Set the update parameters for Sell orders. If you check Mirror image of buy orders, parameters are set reversed from the Buy orders selections. The mirror images of Midpoint, Last and Close would be the negative values for each of these prices. Copyrights and Trademarks 109 TWS Users' Guide Assign Quick-Action Hot Keys Assigning actions to specific keys and key combinations helps you rapidly create and transmit orders to the marketplace. You can assign any keystroke, or a combination of the "Ctrl" and "Shift" keys with one of the 26 keyboard letters, to map specific order creation and order transmission commands, such as buy, sell, transmit and cancel. To record hot keys 1. 2. 3. 4. On the Configure menu, select Global Configuration, then select Hot Keys from the left pane. In the Possible Actions area, choose an action to which you want to assign a hot key and click Create Shortcut. In the Keyboard area, click Record. If you already have a hot key recorded for the selected action, it is displayed in the Current Key Shortcut field. Press the actual keystroke or keystroke combination you will use to complete this action. The system records your keystroke and displays it in the Current Key Shortcut field. NOTE: If the Customize tab is visible, you can customize your hot key to be more specific. For example, after you record a Buy hot key, customize it to create a bracket or trailing stop limit order. After you record the desired hot keys and click Close, the mapped keys are displayed on the status line at the bottom of the screen. To re-record a hot key assignment, follow steps 1-4 above. To remove a hot key assignment from an action, click Clear. Specific Hot Key Procedures and Information • • View a table of field definitions for buy/sell hotkeys. Create a Buy/Sell hot key for a specific order type (i.e. Buy Limit Order, Sell Stop Order) 1. 2. 3. 4. 5. 6. 7. 8. On the Configure menu click Hot Keys Select Buy or Sell as the Action and click Create Shortcut. Click the Customize tab. In the Order Type drop-down select the order type for which you want to create a hot key. Populate any necessary order type-related fields. Click the Shortcuts tab. Click Record and press the keystroke combination that will represent the order type hot key. Verify that the hot key has been properly recorded in the Shortcuts section. • Instantaneous transmission When you create a buy or sell hot key for any order type, you can elect to "Transmit the order instantaneously" by checking this feature at the bottom of the Customize page. When you activate instantaneous transmission, using the hot key combination creates and transmits the order without giving you time to review and modify order parameters. 110 Order Management Modules Leave this feature unchecked to have the hot key combination create an order and leave it on the trading screen for you to manually transmit. • Attach bracket orders 1. 2. 3. 4. 5. On the Configure menu, select Hot Keys Select Buy or Sell as the Action and click Create Shortcut. Click the Customize tab. In the Attached Orders area, check Add Simple Bracket. In the Bracket Orders area: • In the Lmt Price (+/- offset) field select Bid, Ask, Last or None as the basis for the Limit Price portion of the bracket order, and enter an offset amount if desired. • Select a Stop Type. • Set the Stop price and offset for the stop trigger price. • For Stop Limit orders, set the Stop Limit price and offset. On the Shortcuts page record the hot key combination, and click OK. 6. • Create Increase (Decrease) Order Size hot key 1. 2. 3. 4. 5. 6. On the Configure menu select Hot Keys. Select Increase (Decrease) price or size and click Create Shortcut. On the Customize tab select Size in the Field drop-down. Set the Num Ticks value to represent the increment by which to increase (decrease) the default order size. On the Shortcuts page, click Record and press the hot key combination to represent Increase (Decrease) order size. Close the dialog box. • Create Increase (Decrease) Limit (Aux.) Price hot key 1. 2. 3. 4. 5. 6. On the Configure menu select Hot Keys. Select Increase (Decrease) price or size and click Create Shortcut. On the Customize tab select Limit Price (Aux. Price) in the Field drop-down. Enter the Num Ticks increment by which you want the hot key to increase (decrease) the price value. On the Shortcuts page, click Record and press the hot key combination to represent Increase (Decrease) Limit (Aux.) Price. Close the dialog box. • Use All Available for Buy/Sell Order Quantity 1. 2. 3. 4. On the Configure menu click Hot Keys Select Buy or Sell as the Action and click Create Shortcut. Click the Customize tab. In the Size field, select Available, then click OK. Now when you use the Buy or Sell hotkey, the order quantity will be determined by the number of available contracts as shown in the Ask Size or Bid Size field. • Change order type/time in force 111 TWS Users' Guide 1. 2. 3. 4. On the Configure menu select Hot Keys. In the Modify/Transmit Order section, select Modify Order Type or Modify Time in Force and click Create Shortcut. On the Shortcuts page, click Record and press the hot key combination. Close the dialog box. • Open the Alerts box to view/set alerts 1. 2. 3. 4. 5. On the Configure menu select Hot Keys. In the Real-time Activity Monitoring section, select View Alerts and click the Create Shortcut button. On the Shortcuts page, click Record and press the hot key combination, for example Ctrl + A. Close the dialog box. Click OK. When you use Ctrl + A from the TWS, the Alerts box opens displaying your current alerts. To create an alert, click the New button. Several keyboard keys cannot be used as hot keys, including: Alt, Page Up, Page Down, Print Screen, Home, Backspace, and the Windows key. We reserve the right to activate these keys or to remove hot key functionality from a key at any time without notice. Attempted use of invalid keys invokes the message "The hot key you selected is not valid. Please select another hot key combination." NOTE: The standard hot keys do not function within the Rapid Order Entry panel. When you record a hot key for one of the rapid order entry actions, you must use "Ctrl" plus a character key, or the Escape key. Copyrights and Trademarks 112 Order Management Modules Customize Hot Keys After you map a hot key, use options on the Customize tab to make your hot key action more specific. To customize a hot key 1. 2. 3. On the Configure menu, click Hot Keys. In the Shortcuts area, choose an action to whose hot key you want to customize and click Configure. Click the Customize tab and set parameters to support the customized hot key. The customized mapped keys are displayed on the status line at the bottom of the application. Copyrights and Trademarks 113 TWS Users' Guide Create "Instantaneous Transmit" Hot Key You use hot keys to perform common trading functions, such as creating specific order types. Once you have created an order, you must still select Transmit to send the order. You now have the option to enhance the Buy and Sell hot keys by adding "instantaneous transmit" functionality. To add instantaneous transmit functionality to a hotkey 1. 2. 3. 4. On the Configure menu, select Hot keys. In the Shortcuts area select the Buy or Sell action and press Configure. Click the Customize tab. At the bottom of the page check Transmit the order instantaneously and click OK. NOTE: To use this feature, you will be asked to sign an agreement stating that you understand its implications. Under the terms of the Customer agreement, you are responsible for all orders entered in your account. Consider carefully whether setting a hot key to instantaneously transmit orders is the best for the way you trade. Copyrights and Trademarks 114 Order Management Modules Assign Mouse Shortcuts You can record mouse-click shortcuts to specific order creation and transmission commands, such as buy, sell, transmit and cancel and many others. To assign a mouse shortcut 1. 2. On the Configure menu, select Global Configuration, then select Hot Keys. In the Possible Actions list, choose an action to which you want to assign a mouse shortcut and click Create Shortcut. 3. In the Mouse area, use the Market Data Field drop-down to choose the field you click in to activate the shortcut. 115 TWS Users' Guide 4. In the Click Event drop-down, choose the click method you will use in the selected field to initiate the shortcut. 116 Order Management Modules 5. Click Apply, then click Close. Example: If you choose Cancel Order in Possible Actions, Bid Size in Market Data Field, and Left Click as the Click Event, when you use your mouse to click (Left Click) in the Bid Size column, you will cancel the order. Note that you must have the appropriate field displayed to use this mouse shortcut! To hide and display fields, use the Layout Manager. NOTE: Mouse shortcuts will override default mouse actions. To return to default mouse action, you must re-set the action as a shortcut in the Hot Keys and Mouse Shortcuts box. Copyrights and Trademarks 117 TWS Users' Guide ChartTrader CHARTTRADER Copyrights and Trademarks 118 Order Management Modules ChartTrader You can trade directly from a real-time chart using ChartTrader, which you display from the Charts menu. Once you create an order, you can transmit it, cancel it or modify it directly on the chart, or using the order management line on the Orders tab. To open ChartTrader 1. 2. 3. Open an interactive chart by selecting a contract on the trading screen and clicking the Charts icon on the trading toolbar. On the Charts menu, select ChartTrader and then select Show/Hide ChartTrader. The ChartTrader tool displays directly below the Quote line of the chart. To use ChartTrader to create an order 1. 2. Click the blue Buy button to create a buy order, or the Red sell button to create a sell order. Move your cursor into the chart and position the broken blue line at the order price you want. Note that your exact price position is displayed in blue to the left of the broken line, along the price axis. Click to create an order. The order management line appears below the Quote line, in the Orders section of the ChartTrader, and the broken line becomes a solid line. The order parameter defaults are the same as those you set for your trading window using the Order Defaults window. Click the "T" in the Transmit field to submit the order. You can also submit an order directly from the chart. 3. 4. Transmit an order from the chart 1. To transmit directly from the chart, click the green Transmit button, and position the IB cursor over the order you want to send. You can tell that an order is properly selected as the solid order line becomes broken. 119 TWS Users' Guide 2. Click on the order to transmit. NOTE: You can modify order parameters in the Order Management line before you transmit the order from the chart. Modify order price from the chart 1. You can modify the order price directly from the chart by clicking the Modify button, and positioning the modify cursor over the selected order until the solid order line becomes broken. Click the order and drag it up or down to the desired price. 2. Orders that you create using ChartTrader also display on the Trading page that displays the contract data. Trading pages that hold an order display the page title in red. Copyrights and Trademarks 120 Order Management Modules DepthTrader DEPTHTRADER Copyrights and Trademarks 121 TWS Users' Guide Market Depth The Market Depth window displays the alternative bids and offers away from the inside quote to allow you to better gauge market liquidity. You can create and transmit orders from the Underlying panel by clicking the bid or ask price, just as you do from the main trading window. Also send orders by clicking the bid or ask price in the Bid and Ask columns. For Nasdaq stocks you can elect to display the Level II window, and NYSE listed equities with market data allow access to the NYSE Open Book. • • We cannot guarantee that every price quoted for a particular security/commodity will be displayed in the Market Depth window. Cumulative size represents the total contract size available at a particular price or better. For example, using the image above, the cumulative contract size available on the bid at a price of 13.88 would be 11 contracts (1 contract at 13.89, 10 contracts at 13.88). If you have the default order size set to 100, the order will be for the cum size times the default order size, in this case 1100. Average Price is the average execution price received when transacting the cumulative contract size. You receive multiple executions as your order goes through the order book. Executions will appear in the Execution window that you access using the Executions tab. NOTE: Exercise particular caution when trading from the Market Depth screen since the order size may be larger than you intended. We recommend you use the Market Depth information only as a trading tool to help gauge market liquidity. 122 Order Management Modules • For the Smart Market Depth window, we aggregate and display the best bids and offers available from all markets for the particular product. NOTE: You can display a maximum of three (3) Market Depth, Level II or NYSE Open Book windows simultaneously. Copyrights and Trademarks 123 TWS Users' Guide Monitor the Market Depth The Market Depth window displays the alternative bids and offers away from the inside quote, to allow you to better gauge market liquidity. Market Depth is not available for all products or exchanges. You may open up to three Market Depth windows simultaneously. You can also view market depth for NYSE-listed products through the NYSE Open Book*. To view market depth or Open Book for an asset • Right-click on a market data line and select Show Market Depth or Show NYSE Open Book . Note: To view Level II quotes, you must subscribe to Level II market data services. Click Subscribe to Market Data on the Ticker menu. *display edited by Copyrights and Trademarks 124 Order Management Modules Create an Order from the Market Depth Window Although you can trade from the Market Depth window, we recommend that you use the market depth as an evaluative tool only. When you initiate an order from the Market Depth window, your order management line is created in the main Trading window, and uses the average price shown in the Market Depth window. Modify and transmit the order just as you would any other. To create and transmit an order from the Market Depth window 1. Click on the "Ask" or "Bid" price of an asset to create an Order Management line in the main Trading window, directly below the selected asset. • • 2. Click on the Ask Price to create a Buy order. Click on the Bid Price to create a Sell order. In the Order Management line, modify the order parameters Time in Force, Action, Quantity, Price, Order Type, or Destination, if needed. NOTE: When you create an order from the Market Depth window, the order size is derived from the cumulative size column; it is not the default quantity size that is used when you create an order from the main Trading window. IT IS IMPORTANT THAT YOU REVIEW THE ORDER PRICE AND SIZE ON THE TRADING SCREEN BEFORE YOU TRANSMIT YOUR ORDER. 3. To transmit your order, click the red "T" in the Transmit field. Copyrights and Trademarks 125 TWS Users' Guide View Level II Quotes If you subscribe to the Level II market data service, you can view Level II quotes for selected Nasdaq securities. You may open up to three Level II quote windows simultaneously. To view Level II quotes for a Nasdaq security • Right-click on a market data line and select Show Level II Quotes WARNING: If you click in the Bid or Ask areas of the Level II Quotes window, you are creating an order on the main Trading window with a size and price derived from this data. Note: To subscribe to a market data service, on the Ticker menu click Subscribe to Market Data. Copyrights and Trademarks 126 Order Management Modules Rebalance & Portfolio Allocation REBALANCE YOUR PORTFOLIO Copyrights and Trademarks 127 TWS Users' Guide Rebalance Your Portfolio Use the Rebalance window to redistribute percentages of positions in your portfolio that make up your current (signed) net liquidation value. TWS automatically opens and closes positions to rebalance your portfolio based on the new percentages you enter. You can add contracts and create orders just as you would from the main trading screen. Rebalance your portfolio 1. 2. On the View menu, select Rebalance. The Rebalance window shows three columns that are different from those on your trading screen: • Deliv Value - this is the deliverable value of the position, which is the same as the Market Value for the position shown in the Portfolio section of the Account window. Current % - this is the current signed percent of the position to your net liquidation value shown in the Balance section of the Account window. This figure is calculated by dividing the DLV by the NLV (Net Liq. Value). Rebal % - use this field to enter a new percentage of the NLV that you want the position to have. • • 3. 4. 5. In the Rebal % field, enter a new percent of the NLV that you want the position to have. Click the Create Orders button to instruct TWS to automatically create the orders to achieve the percent change. Use the Transmit All button to send all orders, or click "T" on an order line to transmit a single order. Open positions from the Rebalance window 1. First, add a ticker line to the Rebalance window by selecting the market data line on your trading screen, and then clicking the selection arrow attached to the Rebalance icon on the trading toolbar. Click Add to Rebalance Window. Or, enter an underlying 128 Order Management Modules symbol into a blank row on the Rebalance screen as you would on the main trading window. 2. 3. Enter a value in the Rebal % column and click the Create Orders button. Transmit the order. Copyrights and Trademarks 129 Order Types and Properties ORDER PROPERTIES Copyrights and Trademarks 131 TWS Users' Guide Basic Order Types BASIC ORDER TYPES Copyrights and Trademarks 132 Order Types and Properties Create a Limit Order A limit order is an order to buy or sell a contract at a specified price or better. Using a Limit order ensures that the order will only execute at the price you specified or better, however, it does not guarantee that your order will execute. To create a Limit order 1. 2. 3. 4. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field select LMT as the order type. In the Lmt Price field, enter the price at which you want the order to execute. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of limit orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 133 TWS Users' Guide Create a Limit if Touched Order A limit if touched order is an order designed to buy (or sell) a contract below (or above) the market, at the limit price or better. To create a Limit if Touched order 1. 2. 3. 4. 5. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field select LIT as the order type. In the Lmt Price field, enter the price at which you want the order to execute. In the Aux. Price field, enter the "touched" price to trigger the order. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of Limit if Touched orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 134 Order Types and Properties Create a Market Order A market order is an order to buy or sell an asset at the bid or offer price currently available in the marketplace. When you submit a market order, you have no guarantee that the order will execute at any specific price. To create a Market order 1. 2. 3. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field select MKT as the order type. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of market orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 135 TWS Users' Guide Create a Market if Touched Order A Market if Touched order is an order designed to buy (or sell) a contract below (or above) the market. To create a Market if Touched order 1. 2. 3. 4. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field select MIT as the order type. In the Aux. Price field, enter the "touched" price to trigger the order. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of Market if Touched orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 136 Order Types and Properties Create a Limit-On-Close Order A LOC (limit-on-close) order must be submitted no later than 15 minutes prior to the close of the market. It will execute at the closing price if the closing price is at or better than the submitted limit price, according to the rules of the specific exchange. Otherwise the order will be cancelled. To create a LOC order 1. 2. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field, select LOC as the order type. NOTE: An LOC order must be routed direct to the exchange (Amex, NYSE or SuperSOES). Select an exchange from the Dest. field on the order line. 3. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of LOC orders, visit the Order Types information page. Copyrights and Trademarks 137 TWS Users' Guide Create a Market-On-Close Order A MOC (market-on-close) order will execute as a market order as close to the closing price as possible. To create a MOC order 1. 2. 3. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field, select MOC as the order type. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of MOC orders and the products and exchanges on which they're available, visit the Order Types information page. Copyrights and Trademarks 138 Order Types and Properties Market with Protection Order A Market with Protection order is sent in as a market order to execute at the current best price. If the entire order does not immediately execute at the market price, the remainder of the order is re-submitted as a limit order with the limit price set by Globex to a price slightly higher/lower than the current best price. To create a market with protection order 1. 2. 3. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field select MKT PRT as the order type. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of market with protection orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 139 TWS Users' Guide Create a Market-to-Limit Order A market-to-limit order is sent in as a market order to execute at the current best price. If the entire order does not immediately execute at the market price, the remainder of the order is re-submitted as a limit order with the limit price set to the price at which the market order portion of the order executed. To create a market-to-limit order 1. 2. 3. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field select MTL as the order type. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of market-to-limit orders, visit the Order Types information page. Copyrights and Trademarks 140 Order Types and Properties Pegged to Stock Orders Sometimes referred to as Relative to Stock, a pegged to stock order specifies that the option price will adjust automatically relative to the stock price, using a calculated value based on data you enter. Note that choosing a Pegged to Stock order on BOX indicates that you want to participate in BOX's Price Improvement auction. You can enter this order type using the Trading screen or the Order Ticket. To create a Pegged to Stock order from the Trading Screen 1. 2. Create an option order and select PEG STK in the Type field. On the Page menu select Layout. At the bottom of the Columns - Order Row section, check Stock Ref. Price, Stock Range (Low), Stock Range (High) and Delta. You may need these fields to complete your order. 4. If desired, enter a price in the Stock Ref. Price field. If you do not enter a value, the midpoint of the NBBO at the time of the order is used. 5. If desired, enter a stock range. If the stock price moves outside of the range, your order will be cancelled. Use the Stock Range (High) and Stock Range (Low) fields. 6. If desired, enter a starting price in the Aux. Price field. If you don't enter a value, the current stock price is used as the starting price. 7. In the Delta field, enter a value which will be used as a percent, ie. ".5" equal 50%. This percent value is multiplied by the change in the underlying stock price. The product is added to the starting price to determine the option price. When you created a pegged to stock order using the Order Ticket, use the Basic tab to select the order type and set the Starting price. Use the Pegged tab to set the Stock Ref. price, the high and low stock ranges and the delta value. If you're using BOX, select an Auction Strategy. For a more detailed description of pegged-to-stock orders and the products and exchanges on which they're supported, visit the Order Types information page. 141 TWS Users' Guide Copyrights and Trademarks 142 Order Types and Properties Pegged-to-Market Order You can submit an order that is pegged to buy on the best offer and sell on the best bid. To create a Pegged-to-Market order 1. 2. 3. 4. 5. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Dest. field ensure that the destination is Brut. In the Type drop-down select PEG MKT. If desired, modify the offset amount in the Aux. Price field. To transmit, click the red "T" in the Transmit field. For a more detailed description of pegged-to-market orders and the products and exchanges on which they're available, visit the Order Types information page. Copyrights and Trademarks 143 TWS Users' Guide Pegged-to-Primary Order A Pegged-to-Primary order is an advanced order type whose price is dynamically derived from a combination of the market quote and a user-defined offset amount. To enter a Pegged-to-Primary order 1. 2. 3. Click in the Ask Price field to initiate a BUY order, or the Bid Price field to initiate a SELL order. Click in the Type field and select PEG PRIM as the order type. Enter the offset amount in the Aux. Price field, or set a percent using the Pct. Offset field. If both fields have values TWS will use the higher of the two as the offset. To display the Pct. Offset field: a. On the Page menu, click Layout. b. In the Columns - Order Row section on the right side of the page, check Pct. Offset and click OK. For a more detailed description of Pegged-to-Primary orders and the products and exchanges on which they're available, visit the Order Types information page. Copyrights and Trademarks 144 Order Types and Properties Create a Box Top Order A BOX TOP order is sent in as a market order to execute at the current best price. If the entire order does not immediately execute at the market price, the remainder of the order is resubmitted as a limit order with the limit price set to the price at which the market order portion of the order executed. To create a BOX TOP order 1. 2. 3. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field select BOX TOP as the order type. To transmit the order, click the red "T" in the Transmit field. Available for options routed to BOX. For a more detailed description of Boxtop orders, visit the Order Types information page. Copyrights and Trademarks 145 TWS Users' Guide Price Improvement Auction For options routed through BOX, you may elect to participate in the Price Improvement Auction to better your price. You can submit nine different types of Price Improvement Auction orders by combining one of three order types (Limit, Relative, Pegged to Stock) with one of three Auction Strategies (Match, Improve, Transparent) described below. To submit a Price Improvement Auction order 1. 2. Create an options order routed to BOX. In the Type field, select either LMT, REL, or PEG STK. • • • For Limit orders, enter the limit price in the Lmt. Price field in penny increments. For Relative orders, set a relative offset amount (in penny increments) in the Aux. Price field. For PEG STK orders, you enter the starting price in the Aux. Price field, auction strategy in the Auc. Strat. field, the delta in the Delta field, the optional stock reference price in the Stock Ref. Price field, the low side of the optional stock range in the Stock Range (Low) field, the high side of the optional stock range in the Stock Range (High) field. 3. In the Auc. Strat. field, select from one of three strategies: • • Match - matches the current auction price, but will not exceed the calculated price improvement amount. Improve - enters a bid higher (for SELL order) or lower (for BUY order) than the current auction price, but will not exceed the calculated price improvement amount. Transparent - enters a price that includes the full calculated price improvement amount. • 4. Transmit the order. For a more detailed description of pegged to stock orders and the products and exchanges on which they're supported, visit the Order Types information page. 146 Order Types and Properties Copyrights and Trademarks 147 TWS Users' Guide Create a Relative Order A Relative order is an advanced order type whose price is dynamically derived from a combination of the market quote and a user-defined offset amount. The order is submitted as a limit order and modified according to the pricing logic until it is executed or you cancel the order. You can also set an optional price cap, which keeps your order from executing at a price inferior to the cap. Use the Lmt Price and Aux. Price fields to enter orders requiring multiple prices or values. To enter a Relative order 1. 2. Click in the Ask Price field to initiate a BUY order, or the Bid Price field to initiate a SELL order. Click in the Type field and select REL as the order type. NOTE: A BUY relative order is pegged to the bid, although the displayed Limit price reflects the ASK price. A SELL relative order is pegged to the ask, although the displayed Limit price reflects the BID. 3. Enter the offset amount in the Aux. Price field, or set a percent using the Pct. Offset field. If both fields have values the higher of the two will be used as the offset. To display the Pct. Offset field: a. b. On the Page menu, click Layout. In the Columns - Order Row section on the right side of the page, check Pct. Offset and click OK. You can modify the offset amount for several relative orders on the same trading page at one time. To do this, select multiple relative orders by holding the Ctrl key and clicking on each order. After you have selected all relative orders, right-click on one of the selected orders and select Modify. In the Relative Order Modification box, define an offset or percent offset amount and click OK. All selected orders will be changed. For a more detailed description of relative orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 148 Order Types and Properties Create a VWAP Order VWAP (Volume-Weighted Average Price) orders are supported for large cap securities only. To create a VWAP order 1. 2. 3. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field select VWAP as the order type. To transmit the order, click the red "T" in the Transmit field. NOTE: A transmitted VWAP order is accepted immediately and CANNOT BE CANCELLED. VWAP orders are automatically routed. For a more detailed description of scale orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 149 TWS Users' Guide Create a Stop Order A Stop order becomes a market order to buy or sell securities or commodities once the specified stop price is attained or penetrated. A Stop order is not guaranteed a specific execution price. To create a Stop order 1. 2. 3. 4. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field select STP as the order type. Enter the Stop Election price in the Aux. Price field. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of stop orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 150 Order Types and Properties Create a Stop Limit Order A Stop Limit order is similar to a stop order in that a stop price will activate the order. However, the stop order becomes a market order when elected, but the stop limit order becomes a limit order. Use the Lmt Price and Aux. Price fields on the trading screen to enter orders requiring multiple prices or values. To enter a Stop Limit order 1. 2. 3. 4. Click in the Ask Price field to initiate a BUY order, or the Bid Price field to initiate a SELL order. Click in the Type field and select STP LMT as the order type. Enter the Limit price in the Lmt Price field. Enter the Stop Election price in the Aux. Price field. NOTE: You can enable the system to automatically adjust the limit price if you change the stop price. To activate this feature, on The Configure menu select Order, then select Auto-Adjust Stop-Lmt Price. The limit price will move based on the offset you defined when you set the original limit and stop election prices. For a more detailed description of stop limit orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 151 TWS Users' Guide Create a Trailing Stop Order A trailing stop for a sell order sets the stop price at a fixed amount below the market price. If the market price rises, the stop loss price rises by this amount, but if the stock price falls, the stop loss price remains the same. Reverse this for a buy trailing stop order. This strategy supposedly allows an investor to limit the maximum possible loss without limiting possible gain. NOTE: We do not recommend using trailing stop orders, as there is no guarantee that your order will be filled at or near the designated stop price, which is especially dangerous in rapidly rising or falling markets. In addition, trailing stop orders will accentuate volatility in rough markets. To enter a trailing stop order 1. 2. 3. 4. Click in the Ask Price field to initiate a BUY order, or the Bid Price field to initiate a SELL order. Click in the Type field and select TRAIL. Enter the amount by which you want the stop price to trail the market price in the Aux. Price field. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of scale orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 152 Order Types and Properties Times in Force TIMES IN FORCE Copyrights and Trademarks 153 TWS Users' Guide Create a "Good After Time" Order A "good after time" order is held in the system and sent to the exchange on the date and time you enter. To create a "good after time" order 1. a. b. Display the Good After Time field on an order management line: On the Page menu, click Layout. In the Columns - Order Row section on the right side of the page, check Good After Time and click OK. 2. On the TWS screen, create an order (click in the Ask Price to create a BUY order, or the Bid Price to create a Sell order). In the Good After Time field, enter the date and time after which you want TWS to submit your order. Use the format YYYYMMDD hh:mm:ss (where :ss is optional). Use military time to set the hour, minute and seconds. 4. If necessary, enter a time zone using an accepted three-letter acronym. Note that if you do not enter a specific time zone, the time zone to which your computer is set is the one used. 5. Transmit the order. The order is held in the IB system until the time and date you set. For a more detailed description of GAT orders and the products and exchanges supported, visit the Order Types information page. Copyrights and Trademarks 154 Order Types and Properties Create a Fill or Kill Order Mark an order as "fill or kill" to specify that the order must execute entirely as soon as it becomes available, or be canceled. To tag an order as having fill-or-kill time in force, select FOK from the Time in Force field. To create a FOK order 1. 2. 3. Create an options order (click the Ask Price to create a BUY order, or the Bid Price to create a Sell order) routed to ISE or Smart. In the Time in Force field, select FOK. Transmit the order. For a more detailed description of Fill or Kill orders and the products and exchanges supported, visit the Order Types information page. Copyrights and Trademarks 155 TWS Users' Guide Auction Order An auction order is submitted at the Calculated Opening Price (COP). If the order doesn't execute, it is resubmitted as a limit order at the COP or best bid/ask. To create an auction order 1. 2. 3. 4. 5. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. This action will open the Order Ticket window. In the Order Type field, select MTL (Market-to-Limit). In the Time in Force field, select AUC (auction). Modify any other order parameters. To transmit the order, click Transmit. To put the order on your trading page without transmitting, click Accept. To cancel the order, click Abort. For a more detailed description of auction and other order types, visit the Order Types information page. Copyrights and Trademarks 156 Order Types and Properties Create a Market-on-Open Order MOO (market-on-open) is a market order executed at the market's open at the market price. To create a MOO order 1. 2. 3. 4. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field, select MKT as the order type. In the TIF field, select OPG as the time in force. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of MOO orders and the products and exchanges on which they're available, visit the Order Types information page. Copyrights and Trademarks 157 TWS Users' Guide Create a Limit-On-Open Order A LOO (limit-on-open) order is a limit order executed at the market's open if the opening price is equal to or better than the limit price. To create a LOO order 1. 2. 3. 4. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field, select LMT as the order type. In the TIF field, select OPG as the time in force. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of LOO orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 158 Order Types and Properties Time in Force for Orders The time in force for an order defines the length of time over which an order will continue working before it is canceled. We support the following time in force options: • • DAY - A Day order is canceled if it does not execute by the close of the trading day. Unless otherwise specified, every order is a Day order. GTC - A Good-Til-Canceled order will continue to work within the system and in the marketplace until it executes or is canceled by the customer. Customers who trade U.S. equities may use GTC for Limit, Stop, and Stop-Limit orders. Note that GTC orders will also automatically be cancelled under the following conditions: if any type of corporate action is taken on a security if you do not log in to your account for 90 days OPG - Use OPG to send a market-on-open (MOO) or limit-on-open (LOO) order. GTD - A Good-Til-Date order will remain working within the system and in the marketplace until it executes or until the close of the market on the date specified. When you select GTD as the time in force, both an Exp. Date and Exp. Time field is displayed on the order management line. Enter the date up until which you want the order to continue to work in the format YYYYMMDD. To set a time, enter the time in the format HH:MM(:SS). If desired, enter a time zone using an accepted three-letter acronym. Note that if you do not enter a specific time zone, the time zone to which your computer is set will be used. IOC - Any portion of an Immediate-or-Cancel order that is not filled as soon as it becomes available in the market is canceled. IOC is valid for market or limit orders. FOK - If the entire Fill-or-Kill order does not execute as soon as it becomes available, the entire order is canceled. • • • • • • NOTE: For market centers that do not accept "native" GTC orders, the order type is simulated by resubmitting the relevant order each business day upon opening of the market center. For a list of market centers that both do and do not accept GTC orders, see the Order Types page. Copyrights and Trademarks 159 TWS Users' Guide Order Attributes ORDER ATTRIBUTES Copyrights and Trademarks 160 Order Types and Properties Create a Hidden Order A Hidden order (generally a large volume order) shows no evidence of its existence in either the market data or the deep book. To create a Hidden order 1. Display the Hidden field on an order management line: a. On the Page menu, click Layout. b. In the Columns - Order Row section on the right side of the page, check Hidden and click OK. 2. On the TWS screen, create an order (click in the Ask Price to create a BUY order, or the Bid Price to create a Sell order). 3. 4. In the Destination field of the Order Mgmt. row, choose INet as your order destination. Check the Hidden field. 5. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of hidden orders and the products and exchanges supported, visit the Order Types information page. Copyrights and Trademarks 161 TWS Users' Guide Create a Discretionary Order A Discretionary Order is a limit order for which you define a discretionary amount (which is added to or subtracted from the limit price) that increases the price range over which the order is eligible to execute. The original limit price is displayed to the market. To create a Discretionary order 1. Display the Discretionary field on an order management line: a. On the Page menu, click Layout. b. In the Columns - Order Row section on the right side of the page, check Discr Amt and click OK. 2. 3. 4. 5. Click the Ask price to create a BUY order, or the Bid price to create a SELL order. In the Type field, select LMT as the order type. Set a discretionary amount in the Discr Amt field of the order management line. To transmit the order, click the red "T" in the Transmit field. For a more detailed description of discretionary orders and the products and exchanges supported, visit the Order Types information page. Copyrights and Trademarks 162 Order Types and Properties Create an Iceberg Order An Iceberg order allows you to submit an order (generally a large volume order) while publicly disclosing only a portion of the submitted order. To create an Iceberg order 1. Show the Disp. Size field on an order management line: a. On the Page menu, click Layout. b. In the Columns - Order Row section on the right side of the page, check Disp. Size and click OK. 2. On the TWS screen, create an order (click the Ask Price to create a BUY order, or the Bid Price to create a Sell order). 3. In the Disp. Size field, enter the number of shares you want publicly disclosed. For a more detailed description of iceberg orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 163 TWS Users' Guide Create an All or None Order Mark an order as "all or none" to specify that the order must execute entirely. Use the Order Ticket, or display the optional AON checkbox using Page Layout to send the order directly from the trading screen. To create an AON order from the trading screen 1. Display the AON field on an order management line: a. On the Page menu, click Layout. b. In the Columns - Order Row section on the right side of the page, check AON and click OK. 2. On the TWS screen, create an order (click the Ask Price to create a BUY order, or the Bid Price to create a Sell order). 3. Check the AON checkbox to tag the order as All or None. Or, use the Order Ticket to create an order, and check the All or none checkbox in the Miscellaneous section. For a more detailed description of All or None orders and the products and exchanges supported, visit the Order Types information page. Copyrights and Trademarks 164 Order Types and Properties Minimum Quantity Orders Use the Minimum Quantity order attribute to ensure at least a minimum specified number of units is filled for your order. To create a Minimum Quantity order 1. Show the Min. Quantity field on an order management line: a. On the Page menu, click Layout. b. In the Columns - Order Row section on the right side of the page, check Min. Quantity and click OK. 2. On the trading screen, create an order (click the Ask Price to create a BUY order, or the Bid Price to create a Sell order). 3. In the Min. Quantity field enter the minimum number of contracts that must be available for any part of the order to execute. Available for options orders routed to Smart. Copyrights and Trademarks 165 TWS Users' Guide Create Block Orders A block order is a high volume order that consists of a minimum of 50 contracts at a specific limit price. To submit a block order 1. 2. 3. 4. 5. 6. 7. Select the option for which you want to submit a block order. On the Order menu select Ticket. In the Exchange field, select ISE. In the Price field enter a limit price. Go to the Misc tab. Check Block Order. Choose Transmit to send, or Accept to display the order on the trading screen before you transmit. For a more detailed description of block orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 166 Order Types and Properties Create a Sweep-to-Fill Order A sweep-to-fill order identifies the best price and the exact quantity offered/available at the price, and transmits the corresponding portion of your order for immediate execution. Simultaneously it is identifying the next best price and quantity offered/available, and submits the matching quantity of your order for immediate execution. To create a sweep-to-fill order 1. Display the Swp Fill field for an order management line: a. On the Page menu, click Layout. b. In the Columns - Order Row section on the right side of the page, check Swp Fill and click OK. 2. On the trading screen, click the Ask Price to create a BUY order, or the Bid Price to create a Sell order. 3. 4. Check the Swp Fill field. To transmit the order, click the red "T" in the transmit field. For a more detailed description of sweep-to-fill orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 167 TWS Users' Guide Create a One-Cancels-All (OCA) Order A One-Cancels-All (OCA) order is a combination of separate orders that are worked in conjunction with one another in the marketplace. A customer enters orders as part of an OCA group, and when an order is executed, the remaining orders in the group are canceled. If an order is partially executed, the remaining orders in the group are reduced proportionately to the amount that was executed. If an order is canceled before execution, the remaining orders in the group are canceled. To create an OCA order 1. Display the OCA group field on an order management line: a. On the Page menu, click Layout. b. In the Columns - Order Row section on the right side of the page, check OCA Group and click OK. 2. On the TWS screen, create an order (click in the Ask Price to create a BUY order, or the Bid Price to create a Sell order). 3. Identify the order as part of an OCA group by entering a group name in the OCA Group field (you can use any descriptive name that you want). 4. Continue to create orders, and identify each as part of the group by entering the same name in the OCA Group field for each order you create. 5. After you have created all orders for a group, transmit the OCA order by clicking Transmit Page on the Order menu. NOTE: Because the OCA procedure is an automated process, cannot guarantee that requested cancellations and modifications will reach the specific exchange before an order has been executed. For a more detailed description of OCA orders and the products and exchanges on which they're available, visit the Order Types information page. Copyrights and Trademarks 168 Order Types and Properties Advanced Order Types ADVANCED ORDER TYPES Copyrights and Trademarks 169 TWS Users' Guide Create an Auto Trailing Stop Order You can attach a trailing stop order to a limit order. The attached stop order is automatically activated when the limit order is filled. To attach a trailing stop to a limit order 1. 2. Right-click on a limit order. Select Attach and then select Auto Trailing Stop. • • • To modify the trailing amount, use the Aux. Price field. To modify the stop trigger method, right-click on the attached trailing stop order and select Modify and then select Trigger Method. To view/modify the stop election price, display the Stop Price column from the Order Row section by checking Stop Price. Copyrights and Trademarks 170 Order Types and Properties Create a Bracket Order Bracket orders are designed to limit your loss and lock in a profit by "bracketing" an order with two opposite-side orders. A BUY order is bracketed by a high-side sell limit order and a lowside sell stop (or stop-limit) order. A SELL order is bracketed by a high-side buy stop (or stoplimit) order and a low side buy limit order. The order quantity for the bracketing orders is the same as that of the original order. By default, the amount off the current price to which a bracket order is set is 1.0. This offset amount can be manually changed on the order management line for a specific order, or you can modify the default offset amount using the Default Order Settings box. To create a Bracket order 1. Click the "Ask" or "Bid" price of an asset to create an Order Management line. • Click the Ask Price to create a Buy order. • Click the Bid Price to create a Sell order. 2. On the right-click menu, select Attach and then select Bracket Orders. 1. 2. 3. Verify that the order parameters are correct. 4. Transmit the order. NOTE: The "bracketing" or "child" orders are not transmitted until the original or "parent" order has executed. For a more detailed description of bracket orders and the products and exchanges supported, visit the Order Types information page. Copyrights and Trademarks 171 TWS Users' Guide Create a Conditional Order A conditional order is an order that will automatically be submitted or cancelled ONLY IF specified criteria for one or more defined contracts are met. You can use stocks, options, futures or security indexes to trigger a conditional order. To create a conditional order 1. 2. 3. 4. Right-click on an order and select Modify, then select Condition. From the Conditional tab on the order ticket click Add Condition. Enter contract information for the contingent asset. Enter the trigger information for the contingent asset: a. Select whether the price of the contingent asset should be less than or equal to (<=) or greater than or equal to (>=) the trigger price. b. c. Enter the trigger price. Select the trigger method. NOTE: If you select the double bid/ask method, the greater than or equal to operator (>=) will use the BID price and the less than or equal to operator (<=) will use the ASK price. 5. You can set up to three conditions on a single order. 6. Select the action to take when conditions are met, either Submit the order or Cancel the order. Trigger Descriptions Trigger Method Description 172 Order Types and Properties Trigger Method Last Description For a sell (buy) order to be triggered: • • One last price value must be less than (greater than) or equal to the trigger price. The exchange or other market center where the order is to be executed must also publish (and the system must also receive) an ask price equal to or higher than, and a bid price equal to or lower than, the trigger price. Double Last For a sell (buy) order to be triggered: • • Two consecutive last price values must be less than (greater than) or equal to the trigger price. The exchange or other market center where the order is to be executed must also publish (and the system must also receive) an ask price equal to or higher than, and a bid price equal to or lower than, the trigger price. Two consecutive ask price (bid price) values must be less than (greater than) or equal to the trigger price. Double bid/ask For a sell (buy) order to be triggered: • Trigger Notes: o o o o The Last and Double Last methods have leeway to trigger up to 0.5% above the ask price or up to 0.5% below the bid price. This 0.5% amount of leeway is subject to change at any time without notice. For CASH contracts, the trigger method must always be the double bid/ask. For OTC stocks and US Options, the default trigger method is the double bid/ask. For all other contracts, the default trigger method is Last. For a more detailed description of conditional orders and the products and exchanges supported, visit the Order Types information page. Copyrights and Trademarks 173 TWS Users' Guide Create a Scale Order Automatically create a series of buy (sell) limit orders with incrementally lower (higher) prices, based on your original limit order. Although the created scaled orders stand alone, they are displayed below the original limit order after you define the order parameters. To create scale orders 1. 2. 3. 4. 5. Click in the Ask Price field to initiate a BUY order, or the Bid Price field to initiate a SELL order. Select LMT in the Type field to specify a limit order. Right click on the order and select Create Scale Orders. In the Create Scale Orders dialog box, enter the number of limit orders you want to create. Press Enter to update summary information. Enter the price decrement/increment by which to scale the series of orders. The price decrement/increment amount must be a positive number. For buy orders, the order prices decrease successively by the defined amount. For sell orders, the order prices increase successively by the defined amount. For a more detailed description of scale orders and the products and exchanges on which they're supported, visit the Order Types information page. Copyrights and Trademarks 174 Market Data Tools Enable Quick Stock Entry Quick Stock Entry is a page-level feature which automatically completes a market data line for a stock based on the underlying symbol you enter. To use the Quick Stock Entry feature, you must: • • create a list of order destinations enable a trading page for Quick Stock Entry To create Quick Stock Entry destinations 1. 2. 3. 4. On the Configure menu, select Global Configuration. In the left pane, select Quick Stock Entry Exchanges. Click Add, enter a destination and click OK. Add as many order destinations as you would like to have available. You can add more destinations at any time. Note: Add Smart to the list to be able to route via Smart order routing. Enter SuperSOES for Nasdaq stocks. "Nasdaq" is not recognized as an order destination. To enable a page for Quick Stock Entry When you enable Quick Stock Entry for a page, the system assumes that you want to enter ONLY stock tickers on this page, and automatically completes a market data line with the appropriate order destination. 1. Open the page you want to enable for Quick Stock Entry. Note: We recommend that you identify the page as being enabled for Quick Stock Entry by naming it appropriately. 2. 3. On the Page menu, select Settings. In the Page Settings dialog box, select Quick Stock Entry. Copyrights and Trademarks 175 Price/Risk Analytics RISK ANALYSIS - INTERACTIVE ANALYTICS Copyrights and Trademarks 177 TWS Users' Guide Price/Risk Interactive Analytics SM IB's Price/Risk Interactive Analytics (IA) is a suite of mathematical profit-measuring and riskassessment tools that uses a combination of market data and parametric values to: • Assess the risk of your entire portfolio across asset classes, look at the risk of "whatif" scenarios and evaluate worst case risk scenarios using Value at Risk calculations (Portfolio Analytics). Risk-assess individual option classes (Option Analytics). Calculate option model prices based on live market data including the volatility smile (Option Modeler). The Index Arbitrage Meter illustrates the extent of the premium (or discount) of the lead month futures price above (or below) its fair future value with respect to the index price (Index Arbitrage Meter). • • • IA valid for US stocks, stock options and index options. Portfolio Analytics Portfolio Analytics shows your portfolio risk across multiple asset classes, and allows you to create hypothetical "what-if" risk scenarios by adding, removing and modifying contract positions. Six tabbed pages show specific slices of your portfolio risk sorted by position, underlying, Greek risk dimension and Value at Risk. The bottom half of the Portfolio Analytics window displays portfolio- and sub-portfolio value plots, which show the contribution that each contract in your portfolio or sub-portfolio makes to the slope and curvature of the plot. For details on using Portfolio Analytics including the Value at Risk, see the Portfolio Analytics topics. For instructions on creating "what-if" scenarios, see Create What-if Portfolio Scenarios. Option Analytics 178 Price/Risk Analytics Option Analytics is accessed through the Option Trader window, and includes the following tools: • The main Option Trader window which can be configured to display the real-time model prices, implied volatilities and the Greek risk measures. • The Option Analytics window which shows theoretical prices over a range of underlying prices (updated on a daily basis). Option Modeler The Option Modeler is accessed through the Option Trader window, and allows you to view and change the model pricing assumptions. 179 TWS Users' Guide Index Arbitrage Meter The Index Arbitrage Meter illustrates the extent of the premium (or discount) of the lead month futures price above (or below) its fair future value with respect to the index price. This tool opens by default if you have market data for indices on your trading page. For details on how to use and configure these tools, see the Option Trader for IA, Option Analytics, and Option Modeler topics. For more information on margining, visit the Margin Overview page on the IB website. Copyrights and Trademarks 180 Price/Risk Analytics Show/Hide the Index Arbitrage Meter The Index Arbitrage Meter illustrates the extent of the premium (or discount) of the lead month futures price above (or below) its fair future value with respect to the index price. A green bar indicates that the lead month futures price is at a premium to (i.e. greater than) its fair future value. A red bar indicates that the lead month futures price is at a discount to its fair future value. This tool is available for Index instrument types. To show or hide the Arbitrage Meter on Login When you log in, the Arbitrage Meter is displayed by default for all index instruments. To hide the arbitrage meter on login: 1. 2. On the Configure menu, select Global Configure, then select Display in the left pane. Check or uncheck Show Arbitrage Meter. To display the Arbitrage Meter for an index 1. 2. Click on the desired market data line to select the index. Right click and select Tools and then select Arbitrage Meter. Copyrights and Trademarks 181 TWS Users' Guide Portfolio Analytics PORTFOLIO ANALYTICS Copyrights and Trademarks 182 Price/Risk Analytics Portfolio Analytics Portfolio Analytics, part of a suite of risk analysis tools included in IB's Interactive AnalyticsSM, allows you to look at slices of risk for your entire portfolio using the traditional Greek risk dimensions, across multiple asset classes. You can create "what-if" scenarios by dragging contracts into Portfolio Analytics from your trading screen and modifying the quantity and price point to affect hypothetical changes in the risk dimensions. Portfolio Analytics is accessible from the Analytics menu on the trading screen, and from the Option Trader. The Portfolio Analytics screens are split into two sections. The top section of each Portfolio Analytics page displays values directly relevant to your current portfolio, and is based on real-time market data. Each page in the tabset shows a slice of your risk. The tabset is organized as follows: • • • • • Position - All of your positions and their values sorted alphabetically by underlying. Position Risk - The risk position for each underlying. Underlying Summary - The total risk by expiry and risk dimension (Greek value) for each underlying. Dimension Summary - The total risk by underlying and expiry for each risk dimension (Greek value). Portfolio Risk - The equivalent portfolio risk for all positions, and a summary of all stock and options values in your portfolio. 183 TWS Users' Guide The bottom section of each page displays a value plot and summary. The Portfolio Value plots are displayed for the Position, Dimension Summary and Portfolio Risk pages, and include results based on your entire portfolio. The Sub-Portfolio Value plots are shown for Position Risk and Underlying Summary pages, and plots a subset of the portfolio, which includes all of your positions in a single underlying and all of its derivatives. In both cases, the information in the bottom section is derived from a pricing model which is updated daily. Copyrights and Trademarks 184 Price/Risk Analytics Portfolio Analytics - Position The Position tab displays all of your positions and their values sorted alphabetically by underlying. You can also elect to close selected positions or all positions in your portfolio using the right-click menu. To trade positions 1. 2. Select one or multiple positions. Using the right-click menu, select Trade Selected to close the selected positions, or Trade Portfolio to close all positions in your portfolio. Position Tab Field Symbol Description Position Price Value Description The underlying symbol. Identifies the asset type and other contract parameters. The number of units in your position for the contract. A positive quantity indicates a long position. A negative quantity indicates a short position. The last trade price for the contract. The current value of the position (Quantity) x (Price) x (Contract multiplier) A Portfolio Value plot can be seen at the bottom left of the window. It shows the change in portfolio market value over a range of underlying price changes. Copyrights and Trademarks 185 TWS Users' Guide Portfolio Analytics - Position Risk The Position Risk tab shows your risk position for each underlying grouped by expiry. Position Tab Field Strike Call Pos Put Pos Delta Description The strike price for the series. The number of units in your call position for the series. A positive quantity indicates a long position. A negative quantity indicates a short position. The number of units in your put position for the series. A positive quantity indicates a long position. A negative quantity indicates a short position. For stock positions - the number of units in your position for the contract. For options: {(delta call) x (call position) + (delta put) x (put pos) } x (contract multiplier) Gamma Vega Theta (Gamma) x {(Call Pos) + (Put Pos)} x (Contract multiplier). (Vega) x {(Call Pos) + (Put Pos)} x (Contract multiplier). (Theta) x {(Call Pos) + (Put Pos)} x (Contract multiplier). A Sub-Portfolio Value plot can be seen at the bottom left of the window. It shows the change in the sub-portfolio market value over a range of underlying price changes (a sub-portfolio includes all of your positions in an underlying and all of its derivatives). Copyrights and Trademarks 186 Price/Risk Analytics Portfolio Analytics - Underlying Summary The Underlying Summary page tabulates the total risk by expiry and risk dimension for each underlying. Position Tab Field Expiry Delta Gamma Vega Theta Description The expiry for the given underlying. The sum of all Delta risk positions for the given underlying and expiry. The sum of all Gamma risk positions for the given underlying and expiry. The sum of all Vega risk positions for the given underlying and expiry. The sum of all Theta risk positions for the given underlying and expiry. A Sub-Portfolio Value plot can be seen at the bottom left of the window. It shows the change in the sub-portfolio market value over a range of underlying price changes (a sub-portfolio includes all of your positions in an underlying and all of its derivatives). Copyrights and Trademarks 187 TWS Users' Guide Portfolio Analytics - Dimension Summary Each Greek value represents a different dimension of risk. The Dimension Summary page tabulates the total risk by underlying and expiry for each of these risk dimensions. Dimension Summary Tab Risk Dimension Delta Description Delta represents the change in an option price relative to a change in the price of the underlying. Each cell in the expiry column(s) represents the sum of all Delta risk positions for the given underlying and expiry. Gamma represents the rate of change of Delta. Each cell in the expiry column(s) represents the sum of all Gamma risk positions for the given underlying and expiry. Vega represents the change in an option price relative to a change in volatility. Each cell in the expiry column(s) represents the sum of all Vega risk positions for the given underlying and expiry. Theta represents the time-value decay. Each cell in the expiry column(s) represents the sum of all Theta risk positions for the given underlying and expiry. Gamma Vega Theta A Portfolio Value plot can be seen at the bottom left of the window. It shows the change in portfolio market value over a range of underlying price changes. Copyrights and Trademarks 188 Price/Risk Analytics Value at Risk Summary The VAR summary tab shows the greatest loss that a portfolio will sustain over a one-day period, with 99% confidence. To load the VAR summary, click the Refresh button in the upper right corner of the VAR page. The VAR's are calculated using three different methods, each with different assumptions about correlations of the underlying assets in the portfolio. • Worst Case - Identifies the sum of the greatest loss of each underlying in your portfolio assuming each product moves independently to the worst loss within a 3 standard deviation range of each underlying. Perfect Correlation - Assumes each product is perfectly correlated to a reference index. It then looks for the worst loss within a 4.5 standard deviation range of the reference index. Index Correlated Price Estimate - Assigns a correlation (Beta) to each underlying in your portfolio to a reference index, and then looks for the worst loss within a 4.5 standard deviation range of that index. • • Copyrights and Trademarks 189 TWS Users' Guide Portfolio Analytics - Portfolio Risk Displays the equivalent portfolio risk for all positions, and provides a summary of all stock and options values in your portfolio. Portfolio Risk Tab Risk Table Greek Description • • • • Delta represents the change in the option price relative to a change in the price of the underlying. Gamma represents the rate of change of Delta. Vega represents the change in the option price relative to a change in volatility. Theta represents the time-value decay. Portfolio Equivalent Position Position Risk Hypothetically scales all positions in your portfolio to be equal to $100.00 per share. Shows the change in the Greeks if the price of each underlying were to change by one dollar (1%). Below the Risk table are two summary tables of all Stock and Option positions in your portfolio. The Stock summary shows all long positions, all short positions, the net and the gross shares, and the corresponding values. The Option summary shows all long calls and puts, all short calls and puts, and the net and gross units, and the corresponding values. 190 Price/Risk Analytics A Portfolio Value plot can be seen at the bottom left of the window. It shows the change in portfolio market value over a range of underlying price changes. Copyrights and Trademarks 191 TWS Users' Guide Portfolio Value The Portfolio Value summary window shows the change in your portfolio's value over a range of underlying price changes, and shows the contribution that each contract in your portfolio makes to the slope and curvature of the Portfolio Value plot, at the price point shown. Each row of the table names a contract and shows your position as well as the contribution that position makes to the price risk (delta) and curvature risk (gamma) at the named price point. The final row of the table contains the total price and curvature risk at the named price point. The Portfolio Value plot to the left of the summary shows the total value of all your positions over the intersection of the ranges of the price scans for each underlying. You can view the Portfolio Value on the Position, Dimension Summary and Portfolio Risk tabs. The Portfolio Value summary lets you dissect the risk exposure of your portfolio not only at the current market price (represented by a 0.0 price point) but also at any price within the price scan range. By examining both the slope and curvature contribution of each position, you can determine how to modify your portfolio, thereby changing your portfolio value curve to suit your own risk limits. Create "what-if" scenarios to better understand the risk within your portfolio. If your portfolio value curve falls outside your risk tolerance for part of the price scan range, you can use the "what-if" feature to devise trades to reduce your risk profile to within your risk bounds. The "what-if" feature allows you to: • • • Change the underlying price to view the slope and curvature contributions that would prevail at that price. Change any set of positions in your portfolio to see how they would modify both the Portfolio Value plot and Portfolio Value summary. Add new contracts to your "what if" portfolio and set the position to see how they will modify both the Portfolio Value plot and Portfolio Value summary. You can sort on any column by clicking the column header. To reverse the sort (from ascending to descending, or descending to ascending) click the column header again. Portfolio Value Summary Table Field Contract Position Delta Description Identifies the contract by underlying, instrument type, currency, (expiry, strike price, right). Your signed position in the contract. The change of your portfolio value due to a one percent change in the underlying price, at the underlying price specified by the value in the Price Point field. This is the contribution to the slope of the Portfolio Value curve. 192 Price/Risk Analytics Portfolio Value Summary Table Gamma The change in your associated Delta value due to a one percent change in the underlying price, at the underlying price specified by the value in the Price Point field. This is the contribution to the curvature of the Portfolio Value curve. The starting price point value of 0.00 corresponds to the current underlying price. Each whole number change (positive or negative) corresponds to a one-percent change in that direction in the underlying price. Price Point Copyrights and Trademarks 193 TWS Users' Guide Sub-Portfolio Value For the purposes of Interactive Analytics,SM a sub-portfolio includes all of your positions in an underlying and all of its derivatives. The Sub-Portfolio Value summary window shows the change in this subset of your portfolio's value over a range of underlying price changes, and shows the contribution that each position in your sub-portfolio makes to the slope and curvature of the Sub-Portfolio Value plot, at the price point shown at the bottom of the window. Each row of the table names a contract and shows your position as well as the contribution that position makes to the price risk (delta) and curvature risk (gamma) at the named price point. The final row of the table contains the total price and curvature risk at the named price point. The Sub-Portfolio Value plot to the left of the summary shows the total value of all your positions in an underlying and its derivatives over a specific price range for its underlying. You can view the Sub-Portfolio Value on the Position Risk and Underlying Summary tabs. The Sub-Portfolio Value summary table lets you dissect the risk exposure of your subportfolio not only at the current market price (represented by a 0.0 price point) but also at any price within a specific price range. By examining both the slope and curvature contribution of each position, you can determine how to modify your sub-portfolio, thereby changing your sub-portfolio value curve to suit your own risk limits. Create "what-if" scenarios to better understand the risk within your sub-portfolio. If your subportfolio value curve falls outside your risk tolerance for part of the specific price range, you can use the "what-if" feature to devise trades to reduce your risk profile to within your risk bounds. The "what-if" feature allows you to: • • • Change the underlying price to view the slope and curvature contributions that would prevail at that price. Change any set of positions in your sub-portfolio to see how they would modify both the Sub-Portfolio Value plot and Sub-Portfolio Value summary. Add new contracts to your "what if" sub-portfolio and set the position to see how they will modify both the Sub-Portfolio Value plot and Sub-Portfolio Value summary. You can sort on any column by clicking the column header. To reverse the sort (from ascending to descending, or descending to ascending) click the column header again. Sub-Portfolio Value Summary Table Field Contract Position Delta Description Identifies the contract by underlying, instrument type, currency, (expiry, strike price, right). Your signed position in the contract. The change of your portfolio value due to a one percent change in the underlying price, at the underlying price specified by the value in the 194 Price/Risk Analytics Sub-Portfolio Value Summary Table Price Point field. This is the contribution to the slope of the Sub-Portfolio Value curve. The change in your associated Delta value due to a one percent change in the underlying price, at the underlying price specified by the value in the Price Point field. This is the contribution to the curvature of the SubPortfolio Value curve. The starting price point value of 0.00 corresponds to the current underlying price. Each whole number change (positive or negative) corresponds to a one-percent change in that direction in the underlying price. Gamma Price Point Copyrights and Trademarks 195 TWS Users' Guide Create What-If Portfolio Scenarios Portfolio Analytics lets you create and view the risk implications of one or multiple "what-if" scenarios. Use the "what-if" feature to determine if trades you are considering will leave your risk profile within your risk bounds. All of the "what-if" scenarios are outlined in red for easy identification, and have the portfolio title at the top of the window. You can also elect to open actual positions for some or all of the "what-if" positions in your hypothetical portfolio. To create a "what-if" scenario 1. On the Portfolio menu at the top of the largest window select New. From the trading screen, drag contracts into the "What-If" window. 2. • • • You can modify the Price Point% or the Position values to change the scenario. Save a portfolio using the Save command on the Portfolio menu. The active portfolio has a blue title bar and is at the top of the stack of open Portfolio windows. Any commands you use will be applied to the active portfolio. To add/subtract positions from other portfolio files 1. 2. 3. From the active portfolio, on the Edit menu select Add From or Subtract From. Select a portfolio to add/subtract. The add/subtract selection list only displays names of portfolios that are currently open. Click OK to add or subtract positions from the active portfolio. The add/subtract feature nets out positions common to both portfolios, and creates a contract line for each new contract (even if the position is "0"). You can add/subtract the same portfolio multiple times. Current positions are netted out each time. To create a "what-if" scenario based on your current portfolio 1. 2. 3. On the Portfolio menu, select New. On the Edit menu, select Add From. Click OK to add your current portfolio (My Portfolio). This creates a copy of your portfolio. You can now drag in new contracts from your trading screen, and see the results of modifying your positions without actually committing to any changes. To save a "what-if" portfolio 196 Price/Risk Analytics 1. 2. On the Portfolio menu select Save As. Enter a file name and click Save. To reload the last saved version Use this command to reset all values in the active portfolio to the last saved version. This command only works on an unsaved file. An unsaved portfolio will display an asterisk "*" at the end of the title. 1. 2. On the Edit menu select Reload from file. Confirm that you want to reload the file and lose all of your unsaved changes by clicking Yes. To open positions from a "what-if" scenario 1. 2. Select one or multiple positions. Using the right-click menu, select Trade Selected to open positions on the selected contracts, or Trade Portfolio to open positions for all contracts in your what-if portfolio. Copyrights and Trademarks 197 TWS Users' Guide Option Analytics OPTION ANALYTICS Copyrights and Trademarks 198 Price/Risk Analytics Option Trader for IA Display the Model Price, Implied Volatilities and Greeks risk measures on the main Option Trader window. To display IA columns 1. 2. 3. Click the Configure icon. Select Option Chains. In the Option Chains Columns section, scroll through the available columns and check: • • • • • • 4. NOTES: Model (displays the model price) Imp Vol. (displays the implied volatilities) Delta Gamma Vega Theta Click OK. These columns are now displayed on the Option Trader screen. • • • You can choose to view volatilities in either daily or annual percentage terms. On the Trading page menus, use the Configure menu, select Misc and then select Volatility Units. Choose Daily or Yearly. The implied volatility is based on the average of the best bid and offer for an option. The implied volatility calculation is non-linear and may not converge for low vega options. In such cases, Interactive Analytics will not provide an implied volatility estimate. Understanding model price colors 199 TWS Users' Guide Model prices are displayed in color to help you see at a glance where they fall in relation to the bid and ask prices. The color bar below shows the range within which model prices may fall. Model price colors update with the underlying last price. Note: Implied volatilities (in the Imp. Vol column) are always displayed in either pink or white. If either the Model or Imp Vol(%) values are displayed in white, it means you haven't the model hasn't calculated any prices or implied volatilities. Note that you can also display the Model and Imp Vol columns on your trading screen using the Layout manager. Copyrights and Trademarks 200 Price/Risk Analytics Option Analytics Option Analytics is composed of: • • Option Trader Option Analytics window The Option Trader window displays values that reflect the rate of change of an option's price with respect to a unit change in each of a number of risk dimensions. The contract price plots display the static set of contract prices determined during the price scan. Each point associates an underlying price on the horizontal axis with the corresponding contract price on the vertical axis. Note that the contract price is expressed as the price per underlying unit (just as it is represented on an order line or in the execution window). The top plot displays calls, the bottom plot displays puts, for whichever option your have highlighted in the list. To view the Option Analytics window You must have the Option Trader tool opened to view Option Analytics. • Select a contract, and on the Option Trader toolbar click Option Analytics. 201 TWS Users' Guide Option Analytics Fields Contract delta-call Lists options on the active trading page, sorted by underlying, expiration date and strike price. The rate of change in the value of a call option with respect to a change in the price of the underlying asset. Since call values increase with an increase in the price of the underlying asset, delta-call is always a positive number. A call option with a delta of 1.0 will move at 100% of the rate of change of the underlying, an option with a delta of 0.50 will move at 50% of the rate of change of the underlying, etc. delta-put The rate of change in the value of a put option with respect to a change in the price of the underlying asset. Since put values decrease with an increase in the price of the underlying asset, delta-put is always a negative number. A put option with a delta of -1.0 will move at 100% of the rate of change of the underlying, an option with a delta of -0.25 will move -25% of the rate of change the underlying, etc. gamma vega theta The rate at which the delta of an option changes with respect to a change in the price of the underlying asset. The rate of change in the value of an option with respect to a change in the volatility. The amount that an option value will change with the passage of one day. This is not the derivative, but rather it is a difference. Theta is also known as the time value decay, or premium decay. Note: These values are updated with the underlying last price, and when you apply changes to an option class. These risk dimension values can also be displayed on the Option Trader screen. Copyrights and Trademarks 202 Price/Risk Analytics Option Modeler OPTION MODELER Copyrights and Trademarks 203 TWS Users' Guide Introduction to the Option Modeler IA uses current market data along with interest and dividend values to calculate implied volatilities and option model prices. Use the Option Modeler to modify any of these pricing assumptions and recalculate the model prices. You can edit the model's volatility curve by adding and removing "volatility knots." The model prices and implied volatilities can be displayed on your trading page and in the Option Trader window. To open the editor, on the Option Trader screen select an option and click the Edit Model icon on the toolbar. The Option Modeler is composed of three sections: variables, parameters, and the volatility model. The components of these sections are described below. Variables The data you enter in the three input tables is used along with the underlying price and other parameters to calculate the model prices. • Use the Volatility Function table to enter the volatility and calculate the slope for a strike price. The values in this table correspond to the knots on the volatility profile. Use the Dividend Schedule table to enter ex-dividend dates and their associated dividend amounts. Use the Interest Rates table to enter term interest rates. • • Parameters The parameters across the bottom of the editor window, Expire in, Symbol-Expiry, Annual Interest Rate and PV Dividend are derived fields and are not editable. • • • • You will see data for any options listed in the Option Chains table on the Option Editor. The Expire in and Symbol-Expiry fields get their values from information on the Trading page. The Annual Interest Rate value is calculated for an expiry based on the term and interest rate information. The PV (Present Value) Dividend field is calculated using the Dividend Schedule and Interest Rates values. Volatility Model Use to set the volatility profile as a function of the option strike price. 204 Price/Risk Analytics • • The horizontal axis is the strike price, and the vertical axis is the volatility. The connected black knots can be used to specify a volatility model for a given option class and expiry. The numerical Strike and Volatility values for each knot are displayed in the Volatility Function table to the right of the model. You can add/delete knots to create a volatility profile that more accurately represents the implied volatility data. To add a knot, point to where you would like to add it, right click and select Insert Knot. To delete a knot, point to the knot, right click and select Delete Knot. To move a knot click on the knot and drag it. To refresh the volatility curve based TWS-calculated data, click New Fit. The blue and red dots show implied volatility derived from the market data for calls and puts, respectively. Magenta indicates an overlap of put and call volatility. If you don't see any implied volatility dots, you must subscribe to the market data then click Refresh Plot at the bottom of the Model Input window. Dark blue and dark red dots are derived from closing prices. To see the option details for a given implied volatility point, hold your mouse cursor over the point for a second. The system will display the option right, strike price and implied volatility for five seconds. Compare volatility changes by saving and viewing historical profiles from the Model History window. • • • • • • • Other • • Underlying Price Offset - set an absolute dollar value offset or a percent offset amount if desired. Interest Rate Offset - set a percent offset off the interest rate if desired. For details on configuring these pricing assumptions and viewing the results, see Setting the Option Model Inputs and Viewing the Option Model Price and Implied Volatility. Copyrights and Trademarks 205 TWS Users' Guide Volatility Trading You can apply a volatility page layout that lets you create option orders based on volatility instead of price. To use the Volatility layout for an existing page 1. 2. On the Page menu select Settings. In the Layout drop-down, select Volatility and click OK. When you apply the Volatility layout, the Bid Price and Ask Price fields display volatility instead of price. You will also see several volatility columns including the Model price and Implied Volatility fields on the Market Data row, and the Volatility field on the Order Management row. NOTE: If you have options listed on the same trading page as stocks, when you switch to Volatility layout you will still see the normal bid/ask prices for your equity contracts. For pages using the Volatility layout, you can elect to toggle the view for an individual order between price-based and volatility-based. To toggle between price- and volatility-based order • Right click on an order management line and select the active view option, either Convert to price based or Convert to volatility based. Note: You can only toggle between views on pages that are using the Volatility layout. Copyrights and Trademarks 206 Price/Risk Analytics Volatility History You can save your volatility profiles from the Option Modeler and view them from the Volatility History window. Use this feature to judge the volatility change by saving a profile prior to close one day and comparing it with the profile just after open the following day. Or save profiles over a period of time to see trends in the volatility changes. To save a volatility profile 1. On the Edit menu, select Save Current Model. To view a historical profile 1. 2. 3. On the Edit menu, select Model History. In the Model History window, highlight the timestamp of the profile you want to view. You can select as many profiles as you want. In the Option Modeler, view the historical profile. Note: The active profile is drawn in black. All historical profiles are drawn in gray. To see the timestamp for a profile in the Option Modeler-, hold your mouse cursor over a knot in the curve for a second, and the timestamp will be displayed for five seconds. Copyrights and Trademarks 207 TWS Users' Guide Set Option Model Inputs Use the Option Modeler to re-configure values that are used, along with the last sale price of the underlying and other parameters, to calculate the model price and implied volatility. To configure pricing model inputs Set the Interest Rate There are two interest rate columns, Auto and Manual. The Auto column displays the U.S. default rate. The Manual column initially displays the U.S. rate (rather than an empty field), but the value is editable. To edit an existing value in the Manual field, select it by triple clicking in the field, and type your new value over the existing one. • The option model is calculated using the interest rate you define by selecting the Auto or Manual radio buttons. To recalculate the option model, set the interest rate by selecting the appropriate button, and click Refresh Plot. The interest rate applies over a period of 30 days. The annual percentage rate is a simple time deposit rate using the bank year calendar (360 days/year). The system converts the interest rate table to a set of exponential interest rates that apply on a spot-to-date basis for each expiry in a class. These are displayed in the Annual Interest Rate column in the parameters section of the Model Editor. NOTE: The interest rate table applies across all option classes. When you change the interest rate in one option class, the change is applied to all option classes. • • • Set the Dividends In addition to letting you manually set the dividend schedule, IA also provides an automatic "best guess" dividend payment schedule based on historical data for that asset. To add or delete lines for manual entry, right click in the section and select Insert Dividend or Delete Dividend from the right-click menu. To edit an existing value in the Manual column, select it by triple clicking in the field, and type your new value over the existing one. NOTE: The data in the Automatic column is not editable. When you create a new line to manually add a new dividend, a blank field appears in the Automatic column. You cannot add data to this field. To set the dividends 1. In the Date field, enter the exdividend date in the format yyyymmdd. For example, for an exdividend date of March 15, 2002 you would enter 20020315. 208 Price/Risk Analytics 2. 3. 4. Enter the amount of the dividend payment and press Enter. Select the dividend schedule to use by clicking either the Auto or Manual radio button. Click Refresh Plot to recalculate the option model with the selected set of data. Set the Volatility Profile as a Function of the Option Strike Price 1. 2. Select an expiry in the Symbol-Expiry column. In the Volatility Model display, click and hold a knot, and drag left/right to change the strike price at a fixed volatility, and up/down to change the volatility at a fixed strike price. (Note that the horizontal axis represents the strike price of the option, and the vertical axis represents the volatility). The numerical strike, volatility value and slope for all knots is displayed in the Volatility Function table to the right of the model. Note: You can also type a strike or volatility value directly into the Strike or Volatility field in the Volatility Function table. Press Enter to accept the value. To add a knot to the volatility profile, point to where you want the knot, right click and select Insert Knot. The corresponding values are added in a new line in the Volatility Function table to the right of the model. 3. 4. 5. If desired, save the volatility profile. To re-set the model, click the New Fit button below the parameters. To get current data and recalculate the implied volatility, click Refresh Plot. View the model output. Copyrights and Trademarks 209 TWS Users' Guide View Model Price and Implied Volatility The Model price and Imp. Vol. columns are displayed on the Option Trader and in the Trading window. The values will initially display in white on the trading page. This signifies that the Option Modeler has not calculated any prices or implied volatilities. Once you open Option Trader and load the appropriate chains, the model price will display in color. Data displayed in the Option Modeler is driven by the option chains in the Option Trader. To view the model price and implied volatility 1. a) On a Trading page, right-click in the gray top section of the page and select Layout. b) On the Option Trader, right-click in the gray top section of the Option Chains area and select Configure Option Chains. 2. a) In the Market Data Row list, check Model and Imp. Vol%, and click OK. b) In the Columns list, check Model and Imp. Vol%, and click OK. 3. 4. NOTES: View the model price in the Model field on the option's market data line. View the implied volatility in the Imp. Vol(%) field on the option's market data line. • • • You can choose to view volatilities in either daily or annual percentage terms. On the Configure menu, select Misc and then select Volatility Units. Choose Daily or Yearly. The implied volatility is based on the average of the best bid and offer for an option. The implied volatility calculation is non-linear and may not converge for low vega options. In such cases, Interactive Analytics will not provide an implied volatility estimate. Understanding model price colors Model prices are displayed in color to help you see at a glance where they fall in relation to the bid and ask prices. The color bar below shows the range within which model prices may fall. Model price colors update with the underlying last price. 210 Price/Risk Analytics Note: Implied volatilities (in the Imp. Vol column) are always displayed in either pink or white. If either the Model or Imp Vol(%) values are displayed in white, it means the model hasn't calculated any prices or implied volatilities. Copyrights and Trademarks 211 FUNDAMENTAL ANALYSIS Copyrights and Trademarks 213 TWS Users' Guide Earnings Estimates To view company-specific financials 1. 2. Highlight a market data line on the main trading screen. Use the right-click menu to select Analysis, then Earnings Estimates. Copyrights and Trademarks 214 Fundamental Analytics Company Profile The Company Profile displays basic data such as industry, contact information, product/services offerings and per share and profitability data and valuation ratios for the selected asset. To view company profile 1. 2. Highlight a market data line on the main trading screen. Use the right-click menu to select Analysis, then Company Profile. Copyrights and Trademarks 215 TWS Users' Guide News and Commentary The News and Commentary displays industry and contract-specific headlines and press releases. To view news and commentary 1. 2. Highlight a market data line on the main trading screen. Use the right-click menu to select Analysis, then News and Research. Copyrights and Trademarks 216 Fundamental Analytics Historical Charts Charting lets you set chart parameters to create historical charts ranging over time periods of 1 day to ten years. To create historical charts 1. 2. Highlight a market data line on the main trading screen. Use the right-click menu to select Analysis, then Historical Charts. Copyrights and Trademarks 217 TWS Users' Guide Company Financials See financial data for the past fiscal year for the selected company, including the balance sheet and cash flow statement. To view company-specific financials 1. 2. Highlight a market data line on the main trading screen. Use the right-click menu to select Analysis, then Financials. Copyrights and Trademarks 218 Fundamental Analytics Insider Trading Information View trading activity by the major insider shareholders for the selected company. To view insider trading information 1. 2. Highlight a market data line on the main trading screen. Use the right-click menu to select Analysis, then Insider Trading. Copyrights and Trademarks 219 TWS Users' Guide Analyst Information See the most recent analyst recommendations for the selected contract. To view analyst information 1. 2. Highlight a market data line on the main trading screen. Use the right-click menu to select Analysis, then Analyst Info. Copyrights and Trademarks 220 Fundamental Analytics SEC Filings View all SEC filings for the selected company for the past year. To view SEC filings 1. 2. Highlight a market data line on the main trading screen. Use the right-click menu to select Analysis, then SEC Filings. Copyrights and Trademarks 221 TWS Users' Guide Streaming News Feeds You can now elect to view real-time news stories from sources like CNET News, Google News and MSNBC, using the RSS News features. To enable RSS News 1. 2. On the Configure menu, choose Feature Selector. Expand the Fundamental Analysis category by clicking the horizontal Key icon. Check RSS News, and then click OK. 3. To display RSS News fields 1. Right-click in the fields row at the top of the trading window, and click Customize Layout. In the Columns - Market Data Row list, scroll to the bottom of the list and check News Time and News Title, then click OK. On your trading page, the columns News Time and New Title appear in the list of fields. Note that you can drag and drop them to another position if desired. In addition, the rows are displayed in colors. Stories with the lightest color are the most recent. 3. Click a news title to open the News browser directly below the Trading window. Headlines display in the left pane, and the headline and news leader display in the right pane. Click the story line in the right pane to view the whole story in another browser. NOTE: You can also double-click the storyline in the trading window to open the story in another browser. These rows also show color gradations. The lightest color indicates the most recent stories. 2. 222 Fundamental Analytics Copyrights and Trademarks 223 TECHNICAL ANALYSIS Copyrights and Trademarks 225 TWS Users' Guide Charting TECHNICAL ANALYSIS- CHARTING Copyrights and Trademarks 226 Technical Analytics Chart Basics CHART BASICS Copyrights and Trademarks 227 TWS Users' Guide Create a Real-time Chart You can define parameters to display a real-time line or bar chart for any contract on your trading page, including currencies that trade on IDEAL. For details on how to trade directly from your see, see the ChartTrader topic in the Order Management Modules section of the Users' guide. To create a chart 1. 2. Select the contract for which you want to create a chart. From the right-click menu, select Analysis and then select Real-time Charts. Set Chart Parameters to define the chart, including: 3. • • Time Period Keep chart up-to-date: For charts with a time period under two days, checking this box updates the chart in realtime. If unchecked, the chart does not update. What to Show: Trades shows the prices at which orders executed. Midpoint plots the midpoint of the current best bid/ask price. Bid/Ask shows the best bid and best ask. How to Show: select from a line or bar chart with specified intervals. Show bars is the default for a bar chart. Show candlesticks is available for Trade- and Midpoint-based charts, if you choose a bar chart in How to Show. • • • • • • • 228 Technical Analytics 4. Click OK to view the chart. Copyrights and Trademarks 229 TWS Users' Guide ChartTrader You can trade directly from a real-time chart using ChartTrader, which you display from the Charts menu. Once you create an order, you can transmit it, cancel it or modify it directly on the chart, or using the order management line on the Orders tab. To open ChartTrader 1. 2. 3. Open an interactive chart by selecting a contract on the trading screen and clicking the Charts icon on the trading toolbar. On the Charts menu, select ChartTrader and then select Show/Hide ChartTrader. The ChartTrader tool displays directly below the Quote line of the chart. To use ChartTrader to create an order 1. 2. Click the blue Buy button to create a buy order, or the Red sell button to create a sell order. Move your cursor into the chart and position the broken blue line at the order price you want. Note that your exact price position is displayed in blue to the left of the broken line, along the price axis. Click to create an order. The order management line appears below the Quote line, in the Orders section of the ChartTrader, and the broken line becomes a solid line. The order parameter defaults are the same as those you set for your trading window using the Order Defaults window. Click the "T" in the Transmit field to submit the order. You can also submit an order directly from the chart. 3. 4. Transmit an order from the chart 1. To transmit directly from the chart, click the green Transmit button, and position the IB cursor over the order you want to send. You can tell that an order is properly selected as the solid order line becomes broken. 230 Technical Analytics 2. Click on the order to transmit. NOTE: You can modify order parameters in the Order Management line before you transmit the order from the chart. Modify order price from the chart 1. You can modify the order price directly from the chart by clicking the Modify button, and positioning the modify cursor over the selected order until the solid order line becomes broken. Click the order and drag it up or down to the desired price. 2. Orders that you create using ChartTrader also display on the Trading page that displays the contract data. Trading pages that hold an order display the page title in red. Copyrights and Trademarks 231 TWS Users' Guide Save a Chart Layout as a Template You can reuse the layout of a favorite chart, including the time period, what to show and how to show parameters, by saving the chart as a template and then reapplying the template to other contracts. To modify the data behind the chart, click the Refresh Target icon. To create a chart template 1. Create a real-time chart with all parameters defined. On the chart's File menu, select Save Chart Template. Give the template a descriptive name by replacing "untitled" in the Template File field with a chart name. If the chart has multiple contracts, check Replaceable next to at least one of the contracts. Click OK to save the template. 2. 3. 4. 5. To use a template to create a new chart 1. 2. 3. 4. On the chart's File menu, select Open Chart Template. Select the chart template you want to open from the Template File list, or use the Browse button to find the template you want to use. Enter new contracts by entering the underlying symbol in the Underlying field Click OK to see the new chart based on your saved template. Copyrights and Trademarks 232 Technical Analytics Chart Multiple Assets You can chart two or more assets on the same chart for comparison. To chart multiple assets 1. 2. 3. 4. 5. Create a chart. On the Charts menu, select Add Contract. Enter the underlying symbol and hit Enter. Select an instrument type, then choose the contract from the Contract Selection box. Select What to Show: • • • 6. Trades shows the prices at which orders executed. Midpoint plots the midpoint of the current best bid/ask price. Bid/Ask shows the best bid and best ask. Click OK. Both contracts are charted in different colors. Copyrights and Trademarks 233 TWS Users' Guide View Historical Charts Define a historical chart using a time period from 1 day to one decade. You can also create interactive charts that update in real-time. To view historical charts 1. On the trading screen, highlight a contract and use the right-click menu to select Analysis, then select Historical Charts. Define chart parameters such as time frame, events, index comparison and moving average, then click Draw Chart. 2. Any time you modify chart parameters, you must click Draw Chart to update. Copyrights and Trademarks 234 Technical Analytics Time and Sales Data You can elect to view the Time & Sales for any underlying by changing the underlying's chart cursor to the Time & Sales cursor using the Charts toolbar. To view Time & Sales 1. 2. 3. 4. Create a chart by selecting an underlying symbol on the trading window and clicking the Charts icon on the trading toolbar. On the chart, use the Chart toolbar to click the Time & Sales icon. cursor to the Time & Sales cursor, indicator by the clock. This changes the Position the cursor in the chart to the time you want to view, and click. The Time and Sales data appears in a separate window. It's listed in ascending order based on time. The time & sales data is shown in sixty-second increments. There is a new line each time any of the data changes. 5. To see the next or previous 60-second increment, click the Previous or Next buttons. Copyrights and Trademarks 235 TWS Users' Guide Charts Toolbar Use the icons on the toolbar to initiate an action. For instructions on how to add or remove buttons from the toolbar, use the charts Configuration topic. Toolbar Items Chart Parameters Show/Hide ChartTrader Show/Hide Time Parameters panel Open Chart Template Shift Time Period Shift Time Period to Present Add Contract Studies Modify or Remove Show bars Show candlesticks Show/Hide Volume Time & Sales Opens the Chart Parameters dialog box. Opens (or hides) the ChartTrader tool, which lets you submit trades directly from a chart. Allows you to change the time period and interval for the active chart. Allows you to open a saved chart. Set a new date and time for the chart data. Resets the time period to the current data/time. Define chart parameters for a new asset which is added to the current chart. Click the dropdown arrow next to the icon to select a chart study. Click the dropdown arrow next to the icon to modify or remove the selected asset or study from the chart. For a candlestick chart, click to change to bars. For a bar chart, click to change to candlestick display. Displays or hides the Volume panel on the bottom of the chart. Click to change the cursor to the Time & Sales line. Click on a time, and the Time & Sales data page opens for that time. To change the cursor back, click the Switch to Crosshair icon. Changes the cursor to a crosshair. Turns the cursor to a horizontal trendline. Click in the chart to set the trendline. To change the cursor back, click the Switch to Crosshair icon. Turns the cursor to a vertical trendline. Click in the chart to set the trendline. To change the cursor back, click the Switch to Crosshair icon. Lets you add a freehand trendline. Click in the chart to set the trendline. To change the cursor back, click the Switch to Crosshair icon. Adds a trendline that is parallet to the selected line. To change the cursor back, click the Switch to Crosshair icon. Lets you move the selected trendline. To change the cursor back, click the Switch to Crosshair icon. Switch to Crosshair Mode Add Horizontal Trendline Add Vertical Trendline Add Freehand Trendline Create Parallel with Selected Trendline Move Selected Trendline 236 Technical Analytics Toolbar Items Remove Selected Trendline Remove all Trendlines Zoom in Zoom out Add Horizontal Space Remove Horizontal Space Add Vertical Space Remove Vertical Space Configure Chart Colors Refresh Configure Removes the selected trendline. To change the cursor back, click the Switch to Crosshair icon. Removes all trendlines. Zooms in to an area on the chart. You can scroll to a new area in the zoom in box. Zooms out to give you a bigger view of the chart area. Creates a "zoom out" effect by condensing the current view and adding more time intervals to the right side of the chart. Removes time intervals to create a "zoom in" effect. Creates a vertical "zoom out" effect by condensing the current view and adding more price intervals to the top of the price axis. Removes price intervals from the top of the chart to create a "zoom in" effect. Opens the Global Configuration window with Chart Colors selected. Change the colors displayed on different chart parameters. Refreshes chart data. Opens the Global Configuration window for Chart configuration. Copyrights and Trademarks 237 TWS Users' Guide Use the Chart Menus The chart window includes a File menu, Charts menu and View menu. Menu commands are described below. File Menu New Chart Open Saved Chart Open Chart Image Open Chart Template Save Chart Save Chart Image Save Chart Template Description Opens the New Chart window for you to create a new chart with a different underlying. Allows you to select a saved set of chart parameters which opens a live chart. Allows you to open a saved image or snapshot of a chart. Opens the Load Chart Template dialog box. Use the Browse button to select a template, or click Load if the template you want is displayed in the Template File field. Allows you to save the chart parameters to re-open the chart at a later date (Save definition as file), or Allows you to save a snapshot of the chart to be opened as an image file (Save chart as image file). Opens the Save Chart as Template dialog box. The template saves all of the chart parameters so you don't need to reset them all if you want to create a new chart using different underlyings but the same settings. Check Replaceable to allow the line's underlying asset to be replaced by another in future charts that use the template. Prints the active chart. Closes the chart. Print Close Charts Menu Chart Parameters Shift Time Period Shift Time Period to Present Add Contract Add Study Modify or Remove Description Modify current parameters View historical charts by entering date and time in the past. Resets chart to display current real time data. Opens the Add New Graph dialog box. Data for the new chart is included alongside existing data. View Technical Analysis indicators. Allows you to modify or remove chart data or studies. 238 Technical Analytics View Menu Price/Value Info Refresh Configure Chart Colors Switch to Crosshair Mode Add Horizontal Trendline Add Vertical Trendline Add Freehand Trendline Create Parallel with Selected Trendline Move Selected Trendline Remove Selected Trendline Remove all Trendlines Description Define whether or not to display price/value information, and where to display it (in a pop-up or in a separate window). Refreshes current chart data. Change colors for various charting components. Changes the cursor to a crosshair shape. Click to add a horizontal trendline. Click to add a vertical trendline. Click and drag a trendline vertically, horizontally or diagonally. Release the mouse to anchor the trendline. Hold the mouse over a trendline and click to create a parallel line. Click and drag a trendline to a new location. Release the mouse button to anchor the trendline. Hold the mouse over the selected trendline and click to erase the line. Clicking the icon removes all trendlines from the chart. Copyrights and Trademarks 239 TWS Users' Guide Chart Types CHART TYPES Copyrights and Trademarks 240 Technical Analytics Create a Bar Chart To create a bar chart 1. 2. 3. Select the contract for which you want to create a chart. From the right-click menu, select Analysis and then select Real-time Charts. Set Chart Parameters to define the chart, including: • • Time Period Keep chart up-to-date: For charts with a time period under two days, checking this box updates the chart in realtime. If unchecked, the chart does not update. What to Show: • • • Trades shows the prices at which orders executed. Midpoint plots the midpoint of the current best bid/ask price. Bid/Ask shows the best bid and best ask. • • • • • How to Show: select Bar with a specified interval. Ensure Show bars is selected. Elect to Show Volume if desired. By default, chart data is based on regular trading hours. Check Show data outside regular trading hours to chart all data. 4. Click OK to view the chart. Copyrights and Trademarks 241 TWS Users' Guide Create a Line Chart To create a line chart 1. 2. 3. Select the contract for which you want to create a chart. From the right-click menu, select Analysis and then select Real-time Charts. Set Chart Parameters to define the chart, including: • • Time Period Keep chart up-to-date: For charts with a time period under two days, checking this box updates the chart in realtime. If unchecked, the chart does not update. What to Show: • • • Trades shows the prices at which orders executed. Midpoint plots the midpoint of the current best bid/ask price. Bid/Ask shows the best bid and best ask. • • • • 4. How to Show: Select Line. Elect to Show Volume if desired. By default, chart data is based on regular trading hours. Check Show data outside regular trading hours to chart all data. Click OK to view the chart. Copyrights and Trademarks 242 Technical Analytics Create a Candlestick Chart To create a candlestick chart 1. 2. 3. Select the contract for which you want to create a chart. From the right-click menu, select Analysis and then select Real-time Charts. Set Chart Parameters to define the chart, including: • • Time Period Keep chart up-to-date: For charts with a time period under two days, checking this box updates the chart in realtime. If unchecked, the chart does not update. What to Show: • • • Trades shows the prices at which orders executed. Midpoint plots the midpoint of the current best bid/ask price. • • • • 4. How to Show: Select Bar with specified interval. Select Show candlesticks. Elect to Show Volume if desired. By default, chart data is based on regular trading hours. Check Show data outside regular trading hours to chart all data. Click OK to view the chart. Copyrights and Trademarks 243 TWS Users' Guide Chart Indicators CHART INDICATORS Copyrights and Trademarks 244 Technical Analytics Apply Simple Moving Average Indicator The simple moving average sums the prices (you can choose from the closing price, the VWAP time-weighted price or the high/low/close average price) for a specific number of data points and divides by that number. The calculation for a 3-bar simple moving average is: (price_1) + (price_2) + (price_3) divided by 3 To apply a Simple Moving Average 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Simple Moving Average. Copyrights and Trademarks 245 TWS Users' Guide Apply Weighted Moving Average Indicator The weighted moving average gives each data point a weight proportionate to its number in the sequence and divides by the sum of its weights. The calculation for a 3-bar weighted moving average is: (1 x price_1) + (2 x price_2) + (3 x price_3) divided by 6, where 6 is the sum of the weights (1 + 2 + 3). To apply a Weighted Moving Average 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Weighted Moving Average. Copyrights and Trademarks 246 Technical Analytics Apply Exponential Moving Average Indicator The exponential moving average gives more weight to the latest prices and includes all of the price data in the life of the instrument. It is defined by taking: (previous period's exponential moving average)/(N+1) and adding (current price)*2/(N+1). For the first period we take the simple average as above. To apply a Exponential Moving Average 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Exponential Moving Average. Copyrights and Trademarks 247 TWS Users' Guide Apply Envelope Indicator SMA/WMA/EMA Envelopes plot a band composed of two moving averages, one which is shifting upwards, the other shifting downwards, to help define a stock's upper and lower boundaries. The bands of an envelope are calculated as follows: Upper Band = MA(CLOSE, N)*[1+K/100] Lower Band = MA(CLOSE, N)*[1-K/100] Where: MA — Simple (or Weighted or Exponential) Moving Average; N — averaging period; K/100 — the value of shifting from the average (measured in basis points). To apply an Envelope indicator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Envelope. Copyrights and Trademarks 248 Technical Analytics Apply Bollinger Band Indicator Bollinger Bands measure volatility by plotting a series of three bands. The middle band represents the moving average (SMA or WMA or EMA). The upper band is a set number of standard deviations higher than the middle band (generally 2), and the lower band is a set number of standard deviations (generally 2) lower than the middle band. You set the distance of standard deviation when you create the study. Bollinger Bands are calculated like this: ML = Avg. (N) TL = ML + (D*StdDev) BL = ML — (D*StdDev) Where: ML - middle line Avg(N) - SMA or WMA or EMA TL - top line BL - bottom line N — is the number of periods used in calculation; StdDev — the Standard Deviation. StdDev = SQRT(SUM[(CLOSE — SMA(CLOSE, N))^2, N]/N) To apply a Bollinger Band Indicator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Bollinger Bands. Copyrights and Trademarks 249 TWS Users' Guide Apply Parabolic SAR Indicator For use in trending markets, parabolic SAR uses a trailing stop and reverse method to help determine good exit and entry points. The Parabolic SAR calculation is: SARt+1 = SARt+ AF x (EPtradex SARt) Where: SARt+1 — next period's SAR SARt - current SAR AF - acceleration factor, begins at .02 and increases by .02 to a maximum of 20. NOTE: You can reset the initial, increments and maximum acceleration factor when you create the study. EPtrade — the extreme price (HIGH for long positions and LOW for short positions). To apply a Parabolic SAR indicator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Parabolic SAR. Copyrights and Trademarks 250 Technical Analytics Apply a Relative Strength Indicator The RSI indicator is for overbought/oversold conditions. It goes up when the market is strong, and down when the market is weak, and oscillates between 0 -100. The RSI calculation is: RSI = 100-(100/1+RS) Where: RS - Average of X bars Up Closes/Average X bars Down Closes (X=number of bars set by user) To apply a Relative Strength Indicator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Relative Strength Ind. Copyrights and Trademarks 251 TWS Users' Guide Apply MACD Indicator This is a trend-following dynamic indicator that shows the correlation between two moving averages, generally a 26-period and 12-period SMA or WMA or EMA. You can modify the period length when you create the study. To help illustrate opportunity, a 9-period EMA "signal line" is plotted on top of the MACD. The MACD and signal line are plotted using the following calculations: MACD = MA(CLOSE, 12)-MA(CLOSE, 26) SIGNAL = EMA(MACD, 9) MACD Histogram/OSMA = MACD - SIGNAL Where: MA — Simple or Weighted or Exponential Moving Average; SIGNAL — the signal line of the indicator. To apply a Moving Average Convergence/Divergence Indicator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Moving Avg Conv. Div. Copyrights and Trademarks 252 Technical Analytics Apply ADX/DMI Indicator The ADX/DMI is represented by three lines +DM, -DM and ADX. The Directional movement If today's High is higher than yesterday's High then: +DM = today's High - yesterday's High If today's Low is lower than yesterday's Low then:-DM = yesterday's Low - today's Low If +DM is greater than -DM then:-DM = 0 If +DM is less than -DM then:+DM = 0 The true range True range is the largest of: • • • |today's High - today's Low| |today's High - yesterday's Close| |yesterday's Close - today's Low| Moving average of +DM, -DM and True Range • • • +DMMA = exponential moving average of +DM -DMMA = exponential moving average of -DM TRMA = exponential moving average of True Range The Directional Indicators • • +DI = +DMMA / TRMA -DI = -DMMA / TRMA Directional Index • DX = |(+DI - (-DI))| / (+DI + (-DI)) The Average Directional Movement Index • • Where: ADX = the exponential moving average of DX ADX = SUM[(+DI-(-DI))/(+DI+(-DI)), N]/N N — the number of periods used in the calculation. To apply an ADX/DMI Indicator 1. 2. Create a realtime interactive chart. On the Charts menu select Add Study. 253 TWS Users' Guide 3. From the list of study indicators, select ADX/DMI. Copyrights and Trademarks 254 Technical Analytics Apply a Stochastic Oscillator Indicator The stochastic oscillator provides information about the location of a current close in relation to the period's high and low. It ranges between 0% and 100%. A reading of 0% indicates that the close was the lowest price at which the security traded during the preceding x number of time periods. A reading of 100% indicates that the close was the highest price at which the security traded during the preceding x number of time periods. NOTE: You can specify the method (SMA, WMA or EMA), observation period, period of slow average and period of fast average when you create the study. To apply a Stochastic Oscillator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Stochastic Osc. Copyrights and Trademarks 255 TWS Users' Guide Apply an On Balance Volume Indicator The concept behind the OBV indicator is: volume precedes price. OBV is a simple indicator that adds a period's volume when the close is up and subtracts the period's volume when the close is down. A cumulative total of the volume additions and subtractions forms the OBV line. If today’s close is greater than yesterday’s close then: OBV(i) = OBV(i1)+VOLUME(i) If today’s close is less than yesterday’s close then: OBV(i) = OBV(i-1)-VOLUME(i) If today’s close is equal to yesterday’s close then: OBV(i) = OBV(i-1) Where: OBV(i) — is the indicator value of the current period. OBV(i-1) — is the indicator value of the previous period. VOLUME(i) — is the volume of the current bar. To apply a On Balance Volume indicator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select On Balance Volume. Copyrights and Trademarks 256 Technical Analytics Apply Rate of Change Indicator ROC is a refined version of Momentum. The readings fluctuate as percentages around the zero line. You set the number of periods when you create the study. Rate of change =100(V/Vx) where: V - the latest closing price. Vx - the closing price of x bars ago. To apply a Rate of Change indicator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Rate of Change. Copyrights and Trademarks 257 TWS Users' Guide Apply a Momentum Indicator The Momentum is the difference between the current point (price or something else) and the point N periods ago. Momentum is calculated as a ratio of today’s price to the price several (N) periods ago. Momentum = CLOSE(i)-CLOSE(i-N) Where: CLOSE(i) — is the closing price of the current bar. CLOSE(i-N) — is the closing bar price N periods ago To apply a Momentum Indicator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Momentum. Copyrights and Trademarks 258 Technical Analytics Apply an Average True Range Indicator The Average True Range indicator is used to determine the volatility of the market. The idea is to replace the high-low interval for the given period, as the high-low does not take into consideration gaps and limit moves. You set the period when you create the study. The True Range is the largest of: • • • difference between the current maximum and minimum (high - low) difference between the previous closing price and the current maximum difference between the previous closing price and the current minimum The Average True Range is a simple moving average of the true range values. To apply an Average True Range 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Average True Range. Copyrights and Trademarks 259 TWS Users' Guide Apply a Williams Oscillator Indicator The Williams Percent Range (%R) indicator identifies the overbought/oversold levels. The scale extends from 0 to -100. %R = (HIGH(i-n)-CLOSE)/(HIGH(i-n)-LOW(i-n))-100 Where: • • • CLOSE — is today’s closing price. HIGH(i-n) — is the highest high over a number (n) of previous periods. LOW(i-n) — is the lowest low over a number (n) of previous periods. To apply a Williams Oscillator indicator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Williams Osc. Copyrights and Trademarks 260 Technical Analytics Apply an Ultimate Oscillator Indicator The Ultimate Oscillator combines the price action for three different time frames. You set the observations periods 1, 2, and 3 when you create the study. Time Frames: • • • true low = min(low or prev close) buying pressure = close - true low true range = max(high - low, high - prev close, prev close - low) Buying pressure sum 1, buying pressure sum 2 and buying pressure sum 3 are calculated by adding up buying pressures for 3 different time frames. The same applies to the true range sum 1, 2 and 3. raw ultimate oscillator = 4 * (buying pressure sum 1 / true range sum 1) + 2 * (buying_pressure_sum_2 / true_range_sum_2) + (buying_pressure_sum_3 / true_range_sum_3) ultimate oscillator = raw ultimate oscillator / (4 + 2 + 1) ) * 100 To apply a Ultimate Oscillator indicator 1. 2. 3. Create a realtime interactive chart. On the Charts menu select Add Study. From the list of study indicators, select Ultimate Osc. Copyrights and Trademarks 261 TWS Users' Guide Market Scanners MARKET SCANNERS Copyrights and Trademarks 262 Technical Analytics Market Scanners The Market Scanner automatically populates a pre-formatted trading page with related market data for stocks, bonds, futures and indexes based on specified criteria. To create a Market Scanner page 1. 2. 3. 4. On the Page menu select Create Market Scanner. A new Market Scanner page is created in the pages tabset. In the Instrument field select from Stocks, Bonds, Futures or Indexes. Choose a location. Click in the Filter field to set search filters. To include all securities in your search, click Cancel and leave Any in the filter field. To limit search results, set one or multiple search filters. Specify Scanner parameters, such as Top % Gainers, Hot Contracts by Price and Top Option Implied Volatility in the Parameter field. Click Query to return the top 50 contracts that meet your search criteria. Data is updated every 60 seconds. NOTE: The Time in Scan field shows how long the asset has been included in the scan. It refreshes each minute when the data query updates. 5. 6. Note that you cannot initiate an order from a Market Scanner page, but you can drag and drop a ticker onto another of your trading pages. You can create multiple Market Scanner pages and detach Market Scanner pages, but these are counted as trading pages, and the market data displayed is counted as active market data. You cannot modify Page settings for Market Scanner pages. Copyrights and Trademarks 263 TWS Users' Guide Market Scanner Types After you create a market scanner page, select a parameter to return specific contracts. Market Scanner Parameters Parameter Top % Gainers Description Contracts whose last trade price shows the highest percent increase from the previous night's closing price. Contracts whose last trade price shows the lowest percent increase from the previous night's closing price. Contracts with the highest trading volume today, based on units used by TWS (lots for US stocks; contract for derivatives and nonUS stocks). Contracts that have not traded today. Contracts for which trading has been halted. Contracts where: (lastTradePrice-prevClose)/avgDailyChange is highest in absolute value (positive or negative). The avgDailyChange is defined as an exponential moving average of the contract's (dailyClose-dailyOpen) Contracts where: today'sVolume/avgDailyVolume is highest. avgDailyVolume is a 30-day exponential moving average of the contract's daily volume. Top Trade Count Top Trade Rate The top trade count during the day. Contracts with the highest number of trades in the past 60 seconds (regardless of the sizes of those trades). Top % Losers Most Active Not Open Halted Hot Contracts by Price Hot Contracts by Volume 264 Technical Analytics Market Scanner Parameters Top Price Range The largest difference between today's high and low, or yesterday's close if outside of today's range. The largest price range (from Top Price Range calculation) over the volatility. The top volume rate per minute. Shows the top underlying contracts (stocks or indices) with the highest vega-weighted implied volatility of near-the-money options with an expiration date in the next two months. Hot by Price Range Top Volume Rate Highest Option Imp Vol* Lowest Option Imp Vol* Top Option Imp Vol % Gainers* Top Option Imp Vol % Losers* High Option Imp Vol Over Historical* Low Option Imp Vol Over Historical* Most Active by Opt Volume High Opt Volume P/C Ratio Low Opt Volume P/C Ratio Shows the top underlying contracts (stocks or indices) with the lowest vega-weighted implied volatility of near-the-money options with an expiration date in the next two months. Shows the top underlying contracts (stocks or indices) with the largest percent gain between current implied volatility and yesterday's closing value of the 15 minute average of implied volatility. Shows the top underlying contracts (stocks or indices) with the largest percent loss between current implied volatility and yesterday's closing value of the 15 minute average of implied volatility. Shows the top underlying contracts (stocks or indices) with the largest divergence between implied and historical volatilities. Shows the top underlying contracts (stocks or indices) with the smallest divergence between implied and historical volatilities. Displays the most active contracts sorted descending by options volume. Put option volumes are divided by call option volumes and the top underlying symbols with the highest ratios are displayed. Put option volumes are divided by call option volumes and the top underlying symbols with the lowest ratios are displayed. High Option Open Interest P/C Ratio Low Option Open Interest P/C Ratio Hot by Option Volume Market Statistics Shows the top underlying contracts for highest options volume over a 10-day average. Let's you see exchange-specific statistics for: • Advancing, declining and unchanged issues 265 TWS Users' Guide Market Scanner Parameters • • Up, down and unchanged volumes TRIN and TICK indicators To use, select Market Statistics from the Parameters list, then select an exchange from the Location dropdown. *30-day (V30) Implied Volatilities: Implied volatility is calculated using a 100-step binary tree for American style options, and a Black-Scholes model for European style options. Interest rates are calculated using the settlement prices from the day’s Eurodollar futures contracts, and dividends are based on historical payouts. The IB 30-day volatility is the at-market volatility estimated for a maturity thirty calendar days forward of the current trading day. It is based on option prices from two consecutive expiration months. The first expiration month is that which has at least eight calendar days to run. The implied volatility is estimated for the eight options on the four closest to market strikes in each expiry. The implied volatilities are fit to a parabola as a function of the strike price for each expiry. The at-the-market implied volatility for an expiry is then taken to be the value of the fit parabola at the expected future price for the expiry. A linear interpolation (or extrapolation, as required) of the 30-day variance based on the squares of the at-market volatilities is performed. V30 is then the square root of the estimated variance. If there is no first expiration month with less than sixty calendar days to run, we do not calculate a V30. Copyrights and Trademarks 266 Technical Analytics Other Technical Analysis Tools TECHNICAL ANALYSIS TOOLS Copyrights and Trademarks 267 TWS Users' Guide Market Indicators Use market indicators to help spot trends. The Tick Index indicator shows the number of stocks trading on an uptick minus the number of stocks trading on a downtick. The TRIN (Trader's Index) indicator is a technical analysis indicator calculated by dividing the advancesto-declines spread by the volume of advances to declines. To see tick and trin indicators • In a blank line, type "tick-nyse" or "trin-nyse." Note that these market data lines are indicators only. You can not trade these indexes. Copyrights and Trademarks 268 Configure TWS CONFIGURE TWS Copyrights and Trademarks 269 TWS Users' Guide Global Configuration GLOBAL CONFIGURATION Copyrights and Trademarks 270 Configure TWS Using Global Configuration The global Configuration window is your starting point for defining system-wide default configuration settings. To access Global Configuration 1. On the Configure menu, select Global Configuration. 2. Scroll down the left pane to select an item and open it in the right pane. Copyrights and Trademarks 271 TWS Users' Guide General Configuration Use the General configuration page to set miscellaneous defaults such as automatic future rollover notification, audit trails and use of stock underlying instead of local symbol when exporting execution reports for options. To define general configuration settings 1. 2. 3. On the Configure menu select Global Configuration. Click General in the left pane. Use the right panel to set these parameters: General • • Keep application on top - check to keep the main trading screen on top of all other active windows. Use underlying when exporting exec reports - when exporting execution reports for options, elect to use the underlying symbol instead of the local symbol. Auto future rollover - when checked, you will be notified via a pop-up message just prior to expiration, and you will have the option to roll over your futures. Create audit trail - when checked, you can elect to view a condensed or extended version of your audit trail, which includes all trade activity for your account. • • Browser • Enter complete path to browser - for standalone TWS users, modify the browser location if necessary. Copyrights and Trademarks 272 Configure TWS Display Configuration Use the Display configuration page to define display settings such as hiding or showing the index arbitrage meter, enabling column tooltips and changing the font. To define display configuration settings 1. 2. 3. On the Configure menu select Global Configuration. Click Display in the left pane. Use the right panel to set these parameters: Display Settings • • • • • Show arbitrage meter - check to automatically show the index arb meter if you have an index instruments listed in your market data. Display server time - check to display the current time in the bottom right corner of the status line. Flash bulletin - check to have TWS notifications flash in red at the top of the screen. Display last login time - when checked, the last time you logged in is displayed at the far left of the status bar. Color text - check to display the order status as both a color and as text. For example, if the status field is green to indicate a working order, the word "Green" will also be displayed. Show total row - When checked, the Total row is displayed which shows profit/lost for the page. Use condensed combo description - when checked, only the local symbols are displayed in the Description field for combination and spread orders. Enable tooltips over column headers - when checked, you will see descriptive text when you hold your cursor over any of the main Trading screen column names. Reset messages - invokes a message asking if you want to clear the "don't display this message" flag. Clicking Yes allows the system to use confirmation messages for certain actions. • • • • Font • • • Select Font Style - choose a new font. Select Font Size - choose a new font size. Default - click to reset font style and size to the default values. 273 TWS Users' Guide Copyrights and Trademarks 274 Configure TWS Assign Quick-Action Hot Keys Assigning actions to specific keys and key combinations helps you rapidly create and transmit orders to the marketplace. You can assign any keystroke, or a combination of the "Ctrl" and "Shift" keys with one of the 26 keyboard letters, to map specific order creation and order transmission commands, such as buy, sell, transmit and cancel. To record hot keys 1. 2. 3. 4. On the Configure menu, select Global Configuration, then select Hot Keys from the left pane. In the Possible Actions area, choose an action to which you want to assign a hot key and click Create Shortcut. In the Keyboard area, click Record. If you already have a hot key recorded for the selected action, it is displayed in the Current Key Shortcut field. Press the actual keystroke or keystroke combination you will use to complete this action. The system records your keystroke and displays it in the Current Key Shortcut field. NOTE: If the Customize tab is visible, you can customize your hot key to be more specific. For example, after you record a Buy hot key, customize it to create a bracket or trailing stop limit order. After you record the desired hot keys and click Close, the mapped keys are displayed on the status line at the bottom of the screen. To re-record a hot key assignment, follow steps 1-4 above. To remove a hot key assignment from an action, click Clear. Specific Hot Key Procedures and Information • • View a table of field definitions for buy/sell hotkeys. Create a Buy/Sell hot key for a specific order type (i.e. Buy Limit Order, Sell Stop Order) 1. 2. 3. 4. 5. 6. 7. 8. On the Configure menu click Hot Keys Select Buy or Sell as the Action and click Create Shortcut. Click the Customize tab. In the Order Type drop-down select the order type for which you want to create a hot key. Populate any necessary order type-related fields. Click the Shortcuts tab. Click Record and press the keystroke combination that will represent the order type hot key. Verify that the hot key has been properly recorded in the Shortcuts section. • Instantaneous transmission When you create a buy or sell hot key for any order type, you can elect to "Transmit the order instantaneously" by checking this feature at the bottom of the Customize page. When you activate instantaneous transmission, using the hot key combination creates and transmits the order without giving you time to review and modify order parameters. 275 TWS Users' Guide Leave this feature unchecked to have the hot key combination create an order and leave it on the trading screen for you to manually transmit. • Attach bracket orders 1. 2. 3. 4. 5. On the Configure menu, select Hot Keys Select Buy or Sell as the Action and click Create Shortcut. Click the Customize tab. In the Attached Orders area, check Add Simple Bracket. In the Bracket Orders area: • In the Lmt Price (+/- offset) field select Bid, Ask, Last or None as the basis for the Limit Price portion of the bracket order, and enter an offset amount if desired. • Select a Stop Type. • Set the Stop price and offset for the stop trigger price. • For Stop Limit orders, set the Stop Limit price and offset. On the Shortcuts page record the hot key combination, and click OK. 6. • Create Increase (Decrease) Order Size hot key 1. 2. 3. 4. 5. 6. On the Configure menu select Hot Keys. Select Increase (Decrease) price or size and click Create Shortcut. On the Customize tab select Size in the Field drop-down. Set the Num Ticks value to represent the increment by which to increase (decrease) the default order size. On the Shortcuts page, click Record and press the hot key combination to represent Increase (Decrease) order size. Close the dialog box. • Create Increase (Decrease) Limit (Aux.) Price hot key 1. 2. 3. 4. 5. 6. On the Configure menu select Hot Keys. Select Increase (Decrease) price or size and click Create Shortcut. On the Customize tab select Limit Price (Aux. Price) in the Field drop-down. Enter the Num Ticks increment by which you want the hot key to increase (decrease) the price value. On the Shortcuts page, click Record and press the hot key combination to represent Increase (Decrease) Limit (Aux.) Price. Close the dialog box. • Use All Available for Buy/Sell Order Quantity 1. 2. 3. 4. On the Configure menu click Hot Keys Select Buy or Sell as the Action and click Create Shortcut. Click the Customize tab. In the Size field, select Available, then click OK. Now when you use the Buy or Sell hotkey, the order quantity will be determined by the number of available contracts as shown in the Ask Size or Bid Size field. • 276 Change order type/time in force Configure TWS 1. 2. 3. 4. On the Configure menu select Hot Keys. In the Modify/Transmit Order section, select Modify Order Type or Modify Time in Force and click Create Shortcut. On the Shortcuts page, click Record and press the hot key combination. Close the dialog box. • Open the Alerts box to view/set alerts 1. 2. 3. 4. 5. On the Configure menu select Hot Keys. In the Real-time Activity Monitoring section, select View Alerts and click the Create Shortcut button. On the Shortcuts page, click Record and press the hot key combination, for example Ctrl + A. Close the dialog box. Click OK. When you use Ctrl + A from the TWS, the Alerts box opens displaying your current alerts. To create an alert, click the New button. Several keyboard keys cannot be used as hot keys, including: Alt, Page Up, Page Down, Print Screen, Home, Backspace, and the Windows key. We reserve the right to activate these keys or to remove hot key functionality from a key at any time without notice. Attempted use of invalid keys invokes the message "The hot key you selected is not valid. Please select another hot key combination." NOTE: The standard hot keys do not function within the Rapid Order Entry panel. When you record a hot key for one of the rapid order entry actions, you must use "Ctrl" plus a character key, or the Escape key. Copyrights and Trademarks 277 TWS Users' Guide Assign Mouse Shortcuts You can record mouse-click shortcuts to specific order creation and transmission commands, such as buy, sell, transmit and cancel and many others. To assign a mouse shortcut 1. On the Configure menu, select Global Configuration, then select Hot Keys. 2. In the Possible Actions list, choose an action to which you want to assign a mouse shortcut and click Create Shortcut. 3. In the Mouse area, use the Market Data Field drop-down to choose the field you click in to activate the shortcut. 278 Configure TWS 4. In the Click Event drop-down, choose the click method you will use in the selected field to initiate the shortcut. 5. Click Apply, then click Close. Example: If you choose Cancel Order in Possible Actions, Bid Size in Market Data Field, and Left Click as the Click Event, when you use your mouse to click (Left Click) in the Bid Size column, you will cancel the order. Note that you must have the appropriate field displayed to use this mouse shortcut! To hide and display fields, use the Layout Manager. 279 TWS Users' Guide NOTE: Mouse shortcuts will override default mouse actions. To return to default mouse action, you must re-set the action as a shortcut in the Hot Keys and Mouse Shortcuts box. Copyrights and Trademarks 280 Configure TWS Toolbar Configuration Use the Toolbar configuration page to define settings for the main Trading toolbar. To define toolbar configuration settings 1. 2. 3. On the Configure menu select Global Configuration. Click Toolbar in the left pane. Use the right panel to set these parameters: Options • • • • Show toolbar - check to display the main Trading toolbar. Show icons - check to display icons on the main Trading toolbar. Use large icons - check to increase the size of the icons on the main Trading toolbar. Show text - check to display text descriptions of buttons on the toolbar. Use this feature in conjunction with the Show icons selection to see both the icon and the text name of the toolbar buttons. Font • • • Font name - choose a new font. Font Size - choose a new font size. Default - click to reset font style and size to the default values. Toolbar Items The items in the screen can be added to/removed from the trading toolbar. Change the order of the buttons and separators using the Move Up and Move Down buttons on the right. Use the Remove button to remove a feature from the toolbar. Use the Add Separator button to add a line separator above the selected toolbar feature. Click Reset to put back all removed features and separator lines. Click Default to configure the toolbar based on the default layout. Toolbar Items Order Transmit Cancel Account Trades Book Trader Opens the Order Ticket. Transmits the selected order. Cancels the selected order. Opens the Account information window where you can see all information pertinent to your account, including the market value of your account, your margin requirements and current portfolio. Opens the Executions window which displays daily execution reports including those completed during after-hours trading. Opens the Book Trader window. Before you can trade, you 281 TWS Users' Guide Toolbar Items Market Depth Option Trader Basket Mkt Scanner Alerts Rebalance Market Lookup Add Ticker Charts News Bulletin Chat Configure must arm the window. Opens the market depth window. Opens the Option Trader window. Opens the Basket Order window. Creates a new Market Scanner page. Opens the Alerts window where you can set price, time and margin alerts. Opens the Rebalance window which you use to reallocate your portfolio. Opens the Exchanges page on the IB website. Opens the Contracts and Securities seach page on the IB website. Ask for the underlying symbol to help you add a new market data line to the main Trading window. Opens the New Chart window where you set parameters to create a chart. Brings you to the appropriate News & Commentary page based on the selected asset. Displays active trading bulletins issued by IB. Opens the IB Traders Chat window. Opens the Global Configuration window. Copyrights and Trademarks 282 Configure TWS Edit SmartRouting Directives You can define event-specific directives for contracts routed through IB SmartRouting, specifically excluding exchanges and setting a price cap by defining the acceptable distance from the NBBO. To modify SmartRouting functionality 1. 2. 3. On the Configure menu select Global Configuration. Click Smart Routing in the left pane. Use the right panel to set these parameters: Excluded Exchanges Use this area to direct SmartRouting NOT to route to a specific exchange for a specific contract. Enter the underlying and select the security type. Valid exchanges that may be excluded are available in the Exchange drop down list. Excluded Quotes • • Exclude exchanges with non-firm quotes - if the available quantity is over 100, the quote is considered firm. Exclude exchanges whose quotes are not automatically executable. If this option is selected, IB will use its best efforts to determine which exchanges’ quotes are immediately automatically executable, and which exchanges’ quotes would require manual (human) handling, and IB will route only to those exchanges offering automatic execution. Please note that while IB will use its best efforts, it is not always possible to determine whether a quote is automatically executable.. Define the NBBO price cap by entering the "maximum allowable distance from NBBO." Note that NBBO price capping supersedes the exclusion of non-firm quotes, i.e. your order will be routed to a non-firm quote within the price cap over a firm quote outside the price cap. • Pre-Open Re-route This allows you to route orders to major exchanges three minutes before the open. For orders submitted before the open, checking this box ensures your orders are routed prior to the open. This directive only applies to stocks listed on a major exchange. IMPORTANT NOTE: If you choose to: 1) exclude quotes from certain exchanges; 2) exclude non-firm quotes; or 3) exclude exchanges whose quotes are not automatically executable, your order may not be executed at the best posted price nationally (the “NBBO”). This is because one of the exchanges that you chose to exclude might have the best posted price but that exchange will be bypassed by the IB SmartRouting system on your instruction. In addition, if you exclude certain exchanges from the eligible SmartRouting destinations and your order is routed to another exchange with an inferior posted price, your order may not be executed by the exchange to which it is sent because that exchange or ECN may not be willing to execute at an inferior price, or your order may not be marketable at that exchange. You should carefully evaluate all of these factors before deciding whether to exclude certain exchanges from the eligible IB SmartRouting destinations. Copyrights and Trademarks 283 TWS Users' Guide 284 Configure TWS Assign Sounds to Events Use the Sound Manager to modify sounds assigned to trading events. NOTE: To hear sounds other than a beep on your computer, you must have a sound card installed. To configure the Sound Manager 1. On the Configure menu select Global Configuration. 2. 3. 4. Click Sound Manager in the left pane. In the Event drop-down list, select the event for which you want to change a sound. De-select Use Default Sound. 5. In the Sound Samples Path field, enter a path to a .wav sound file, or use the browse button to define a path to a .wav sound file. 6. Select the number of times you want the sound to repeat when it is invoked. Copyrights and Trademarks 285 TWS Users' Guide Quick Stock Entry Exchange Configuration Quick Stock Entry is a page-level feature which automatically completes a market data line for a stock based on the underlying symbol you enter. To use the Quick Stock Entry feature, you must: • • create a list of order destinations enable a trading page for Quick Stock Entry To configure Quick Stock Entry destinations 1. 2. 3. 4. On the Configure menu select Global Configuration. Click Quick Stock Entry Exchanges in the left pane. In the right pane, click Add, enter a destination and click OK. Add as many order destinations as you would like to have available. You can add more destinations at any time. Note: Add Smart to the list to be able to route via Smart order routing. Enter SuperSOES for Nasdaq stocks. "Nasdaq" is not recognized as an order destination. Clarify aggregate exchanges such as Smart by specifying the primary exchange also. For example, Smart/NYSE or Smart/SuperSOES. Copyrights and Trademarks 286 Configure TWS Enable API Connections You must have your system running to use any of the API components.Note that more than one API application can simultaneously access a single instance. Except for DDE, the API application does not need to be running on the same computer on which the application is running. To define API configuration settings 1. 2. 3. On the Configure menu select Global Configuration. Click API in the left pane. Use the right panel to set these parameters: General • Enable Active X and Socket client - Check to enable integration with TWS using ActiveX or socket clients. Download sample programs from the Software page on the IB website. Enable dde clients - Check to enable integration with TWS through DDE. Download sample files from the TWS Software page on the website. Download open orders on connection - uncheck if you do not want to download all open orders when you connect to your API. Fire openorder on status change - Fires openOrder1() and openOrder2() API events when an order status changes. Socket port - Enter a socket port number which allows you to sync up multiple versions of TWS in your ActiveX spreadsheet. • • • • Trusted IP Addresses If you connect to the API through a trusted IP address, the connection is not questioned. Otherwise, you will get a verification message asking if you are sure you want to make the connection. • • • Click Create to add a new trusted IP address to the list. Click Edit to modify the selected address. Click Delete to remove the selected address. Copyrights and Trademarks 287 TWS Users' Guide Configure RSS News Feeds You can elect to add more pre-configured news feeds to your TWS browser. To add existing RSS news feeds 1. 2. 3. 4. 5. On the Configure menu, select Global Configuration. In the left pane, click the horizontal key to expand the RSS Configuration feature, then select RSS Suppliers. The right pane displays the current list of news suppliers whose headlines you can access. Click the Add button to configure a new supplier. Select a supplier name from the dropdown list. The RSS Link is automatically loaded. Click OK. The new supplier appears in the list of available news feeds. Copyrights and Trademarks 288 Configure TWS Configure Auto Export Use the Auto Export configuration page to define settings for automatically exporting execution reports. To define auto export configuration settings 1. 2. 3. On the Configure menu select Global Configuration. Click Auto Export in the left pane. Use the right panel to set these parameters: • • • • • Start time - set the time at which you want to start exporting reports, using the format HH:MM. Stop time - set the time at which you want to stop exporting reports, using the format HH:MM. Export filename - enter the directory path and filename where you want exported files saved. Interval - set the interval (in minutes) to be used for exporting reports. Extended mode - along with primary fields (symbol, action, shares, price, time, date, exchange, account #, order reference ID, exec ID and give-up), extended mode also exports the type, expiry, strike, right and premium currency fields. ID - check this box to include the ID field on exported execution reports. • Copyrights and Trademarks 289 TWS Users' Guide Configure Exit Parameters Use the Exit configuration page to define exit options such as whether or not you want a confirmation message before TWS closes. To define exit configuration settings 1. 2. 3. On the Configure menu select Global Configuration. Click Exit in the left pane. Use the right panel to set these parameters: Exit Options • Warn on exit with position - check to display a warning message when you exit TWS that lets you know you are holding positions, and verifies that you still want to exit. Display server time - check to display the current time in the bottom right corner of the status line. • Copyrights and Trademarks 290 Configure TWS Configure the Trading Window Use the Trading Window configuration section to modify the layout of existing pages, or apply a new layout to a page. To define display configuration settings 1. 2. 3. On the Configure menu select Global Configuration. Click Trading Window in the left pane. You can expand the options in the left pane or in the right panel. Use the right panel to set these parameters: Pages The Pages selection presents a list of all current page tabs you have set up in the Trading Window. Click a page name to modify the following page-level parameters. • • • • • • Name - change the name of the current page by deleting and re-typing a name. Layout - apply a new page layout to the selected page. Order Origin - sets the default origin for all orders on the page. Quick Stock Entry - check to instruct the selected page to use Quick Stock entry. Quick Stock Entry Exchanges - click to open the configuration page that lets you enter valid quick stock exchanges. Show all orders - when checked, all orders transmitted for an asset that is listed on the page are displayed. When unchecked, only orders created from that page will be displayed. Default Layout Opens the layout manager for the default page layout. When you modify the settings here, changes apply to ALL trading window pages that use the Default page layout. • Columns tab • • • • Colors Market Data Row Order Row Rapid Order Entry Other Layouts Presents a list of other available page layouts. Click a layout to modify columns and colors. • Columns tab • • • • Colors Market Data Row Order Row Rapid Order Entry Copyrights and Trademarks 291 TWS Users' Guide 292 Configure TWS Configure Order Defaults Use the Order configuration section to modify the general order directives and order defaults. To define display configuration settings 1. 2. 3. On the Configure menu select Global Configuration. Click Order in the left pane. You can expand the options in the left pane or in the right panel. Use the right panel to set these parameters: General The General selection allows you to modify general order parameters that apply across all orders, and help to define how orders are handled. • Auto-save default size- when checked, any change you make to the quantity of an order is saved as the default size for that instrument type, after the order is transmitted. Big Scale prices - when checked, the increment used in the price wand is increased. The price wand presents a selection of prices above and below the order price, and is invoked when you click and hold the cursor in the Price field on an order line. Big scale sizes - when checked, the increment used in the size wand is increased. The size wand presents a selection of quantities higher and lower than the order size, and is invoked when you click and hold the cursor in the Quantity field on an order line. Auto-remove orders - this feature is checked by default. When unchecked, executed and cancelled orders remain on the both the trading and the pending pages. Auto sort submitted orders - this feature is check by default. When unchecked, orders created on the same underlying are no longer sorted by limit price. Reuse rejected order - if checked, rejected orders will remain on the trading page. Auto-adjust stop-lmt price - if checked, the limit price in a stop limit order will automatically be adjusted when you modify the stop price. The limit price adjusts based on the offset amount you define when you create the order. Round US stocks to 100 shares - if checked, the system will round the order quantity to the nearest 100 shares. Display pending day and GTC orders on separate pages - if checked, pending orders will be separated by GTC and DAY times in force to display on different pages. Delay to cleanup filled - lets you increase or decrease the number of seconds before filled orders are deleted from the Trading window. Delay to cleanup cancelled - lets you increase or decrease the number of seconds before cancelled orders are deleted from the Trading window. • • • • • • • • • • Order Defaults Sets defaults for all orders, or by asset class. Stop Trigger Method Modify the trigger method. 293 TWS Users' Guide Copyrights and Trademarks 294 Configure TWS Configure Book Trader Use the Book Trader configuration page to define basic settings, hotkeys, buttons and to control the visibility of column fields. To define Book Trader configuration settings 1. 2. 3. On the Configure menu select Global Configuration, or click Configure from the Book Trader menu. Click Book Trader in the left pane. You can expand the options in the left pane or in the right panel. Use the right panel to set these parameters: Settings • • • • Number of rows to display - enter a value that defines the number of rows, or prices, you will see. Display menu - check to see the Book Trader menu. Display toolbar - check to see the Book Trader toolbar. Display Quote panel - check to display the Quote Panel, which displays a single line of market data for the asset. You can create an order from the Quote panel by click the bid or ask price. Display status column - click to display a Status column on the bid and ask sides of the Book Trader ladder. Display P&L column - click to display the P&L column on both the bid and ask sides of the Book Trader ladder. Multiple-order mode - Multiple-order mode allows you to submit more than one order on the same side of the market, at the same or different price level. Show High/Low - when checked, identifies the high and low prices by displaying different colored backgrounds. • • • • • • • • • The High price is highlighted by a Bright Blue background. The Low price is highlight by a Red background. Show bold prices every 5 lines - use this feature to help make prices easier to follow by having every 5th row bolded. Allow multiple untransmitted orders - if checked, you can create more than one order in the Underlying panel. Otherwise, only one untransmitted order is allowed. Center around... - when you click the Re-center button, the central focus of the Book Trader window is brought back to either the last traded price, or the midpoint bid/ask price. Hotkeys Opens the Hotkeys and Mouse Shortcuts dialog box. You can modify the configuration of existing shortcuts by selecting an action and clicking Configure. For more information see the Assign Mouse Shortcuts topic. Buttons Create custom buttons to add to the toolbar, or edit existing buttons. 295 TWS Users' Guide Quote Panel Hide or display fields in the Quote Panel using the Columns page of the Page Layout. Modify text and background colors using the Colors page. Order Columns Hide or display fields in the Orders area using the Columns page of the Page Layout. Execution columns Hide or display fields in the Executions area using the Executions columns. Sound Manager Opens the Sound Manager for the Book Trader where you apply sound settings for placing a limit order ( click bid or ask price), cancelling an order, and placing a stop order (right-click bid or ask price). Copyrights and Trademarks 296 Configure TWS Configure Option Trader Use the Option Trader configuration page to define basic settings, hotkeys, buttons and to control the visibility of column fields. To define Option Trader configuration settings 1. 2. 3. On the Configure menu select Global Configuration, or click Configure from the OptionTrader menu. Click OptionTrader in the left pane. You can expand the options in the left pane or in the right panel. Use the right panel to set these parameters: Settings • • • • • Display menu - check to see the Option Trader menu. Display toolbar - check to see the Option Trader toolbar. Jump to order- automatically puts the cursor on the newly created order in the Orders panel. Allow multiple untransmitted orders - if checked, you can create more than one order in the Underlying panel. Otherwise, only one untransmitted order is allowed. Display Quote panel - check to display the Quote Panel, which displays a single line of market data for the asset. You can create an order from the Quote panel by click the bid or ask price. Hotkeys Opens the Hotkeys and Mouse Shortcuts dialog box. You can modify the configuration of existing shortcuts by selecting an action and clicking Configure. For more information see the Assign Mouse Shortcuts topic. Buttons Create custom buttons to add to the toolbar, or edit existing buttons. Quote Panel Hide or display fields in the Quote Panel using the Columns page of the Page Layout. Modify text and background colors using the Colors page. Order Columns Hide or display fields in the Orders area using the Columns page of the Page Layout. Execution columns Hide or display fields in the Executions area using the Executions columns. Option Chains Hide or display option chain fields. 297 TWS Users' Guide Copyrights and Trademarks 298 Configure TWS Configure Market Depth Use the Market Depth configuration page to define basic settings, hotkeys, buttons and to control the visibility of column fields. To define Market Depth configuration settings 1. 2. 3. On the Configure menu select Global Configuration, or click Configure from the Market Depth menu. Click Market Depth in the left pane. You can expand the options in the left pane or in the right panel. Use the right panel to set these parameters: Settings • • • Display menu - check to see the Market Depth menu. Display toolbar - check to see the Market Depth toolbar. Display Quote panel - check to display the Quote Panel, which displays a single line of market data for the asset. You can create an order from the Quote panel by click the bid or ask price. Display user-configurable buttons - if checked, the buttons that allow configuration are displayed. Jump to order- automatically puts the cursor on the newly created order in the Orders panel. Allow multiple untransmitted orders - if checked, you can create more than one order in the Underlying panel. Otherwise, only one untransmitted order is allowed. • • • Hotkeys Opens the Hotkeys and Mouse Shortcuts dialog box. You can modify the configuration of existing shortcuts by selecting an action and clicking Configure. For more information see the Assign Mouse Shortcuts topic. Buttons Create custom buttons to add to the toolbar, or edit existing buttons. Click New to create a button to Quote Panel Hide or display fields in the Quote Panel using the Columns page of the Page Layout. Modify text and background colors using the Colors page. Order Columns Hide or display fields in the Orders area using the Columns page of the Page Layout. Execution columns Hide or display fields in the Executions area using the Executions columns. 299 TWS Users' Guide Copyrights and Trademarks 300 Configure TWS Configure Basket Trader Use the Basket Trader configuration section to modify the layout of existing pages, or apply a new layout to a page. To define Basket Trader configuration settings 1. 2. 3. On the Configure menu select Global Configuration. Click Basket Trader in the left pane. You can expand the options in the left pane or in the right panel. Use the right panel to set these parameters: Basket Layout Hide or display market data and order management fields in the Orders section of the Basket Trader. Copyrights and Trademarks 301 TWS Users' Guide Configure Charts Use the Charts configuration page to define basic settings, hotkeys, buttons and to control the visibility of column fields. To define Charts configuration settings 1. 2. 3. On the Configure menu select Global Configuration, or click Configure from the Charts menu. Click Charts in the left pane. You can expand the options in the left pane or in the right panel. Use the right panel to set these parameters: Settings • • • • • • • • Display menu - check to see the Charts menu. Display toolbar - check to see the Charts toolbar. Show time parameters panel - if checked, the toolbar that displays time parameters is visible at the top of the chart. Show market clock Show chart key Show quote line Display price axis on right Display time axis on top - Quote Panel Hide or display fields in the Quote Panel area using the Columns page of the Page Layout. Toolbar Add or remove buttons from the Charts toolbar. Chart Colors Modify the colors of chart parameters. Price/Value Info Define how to show, and whether or not to show, price/value information. Time/Sales Define the layout of the Time & Sales page that you can display for a chart. • • Settings - choose to show quote line and show last only. Quote Panel - Hide or display fields in the Quote Panel area using the Columns page of the Page Layout. 302 Configure TWS • • Colors - modify colors. Columns - uncheck to remove columns from the Time & Sales main data area. Copyrights and Trademarks 303 TWS Users' Guide Configure Alerts Use the Alerts configuration page to define basic settings, hotkeys, buttons and to control the visibility of column fields. To define Alerts configuration settings 1. 2. 3. On the Configure menu select Global Configuration, or click Configure from the Alerts menu. Click Alerts in the left pane. You can expand the options in the left pane or in the right panel. Use the right panel to set these parameters: Settings • • • • • • Display menu - check to see the Alerts menu. Display toolbar - check to see the Alerts toolbar. Display message as pop up - if checked, the default for Alerts is a pop up message. Flash rows - if checked, the rows of market data used for the Alerts will flash when the Alert has been activated. Sound - select a default alert sound. Delete Timeout - set the time after which the alert notifications will stop. Hotkeys Opens the Hotkeys and Mouse Shortcuts dialog box. You can modify the configuration of existing shortcuts by selecting an action and clicking Configure. For more information see the Assign Mouse Shortcuts topic. Buttons Create custom buttons to add to the toolbar, or edit existing buttons. Click New to create a button to Order Columns Hide or display fields in the Orders area using the Columns page of the Page Layout. Copyrights and Trademarks 304 Configure TWS Configure the Rebalance Window Use the Rebalance configuration page to define basic settings, hotkeys, buttons and to control the visibility of column fields. To define Rebalance configuration settings 1. 2. 3. On the Configure menu select Global Configuration, or click Configure from the Rebalance menu. Click Rebalance in the left pane. You can expand the options in the left pane or in the right panel. Use the right panel to set these parameters: Settings • • • • Display menu - check to see the Rebalance menu. Display toolbar - check to see the Rebalance toolbar. Jump to order- automatically puts the cursor on the newly created order in the Orders panel. Allow multiple untransmitted orders - if checked, you can create more than one order in the Underlying panel. Otherwise, only one untransmitted order is allowed. Hotkeys Opens the Hotkeys and Mouse Shortcuts dialog box. You can modify the configuration of existing shortcuts by selecting an action and clicking Configure. For more information see the Assign Mouse Shortcuts topic. Buttons Create custom buttons to add to the toolbar, or edit existing buttons. Click New to create a button to Order Columns Hide or display fields in the Orders area using the Columns page of the Page Layout. Execution columns Hide or display fields in the Executions area using the Executions columns. Portfolio columns Hide or display fields in the Portfolio area using the Portfolio columns. Copyrights and Trademarks 305 TWS Users' Guide Page Layout CONFIGURE THE PAGE LAYOUT Copyrights and Trademarks 306 Configure TWS Create a Page Layout The Layout feature lets you create custom layouts that you can then apply to your trading pages. Use the Layout editor to identify which columns you want to display, where you want the columns to be in relation to each other, and the text and background colors used to convey trading information for a specific layout. If you want to change the way your pages display but want them all to look the same, you can simply change the Default page layout. If you want to apply different layouts to specific pages or save the default settings, create a new layout by copying the Default, renaming and editing it. To create a page layout To create a new layout, you must copy an existing layout, rename it, and then edit it to your specifications. 1. 2. 3. 4. 5. On the Configure menu, click View and then click Layout Manager. Select a layout from the list (Default may be the only layout) and click Copy. Enter a name for the new page layout and click OK. Click Edit to open the Page Layout editor. Modify column visibility, column order, and text and background colors and click OK. The layout remains unused until you apply it to a page. Note: If you create a layout named "Pending," it is automatically applied to the Pending page the next time you log in. If you create a page layout named "Basket" it is automatically applied to all basket order pages the next time you log in, and if you create a layout named "Excel" it is automatically applied to the page that is created when you request market data or submit an order from an Excel®spreadsheet using the API integration. Note: To shade alternate rows on your trading screen, enter a brightness level of 1-4 (where "1" is the most subtle and "4" displays the highest contrast) in the Brighten Alternating Rows field at the bottom of the Page Layout editor. Copyrights and Trademarks 307 TWS Users' Guide Apply a Page Layout You can apply a layout to existing trading pages one page at a time, or to a new page when you create it. To apply a layout to an existing page 1. 2. 3. 4. 5. On the Configure menu, select Global Configuration. Double-click Trading Window in the left pane, then click Pages. In the right pane, click the page whose layout you want to edit. In the Layout dropdown list, select the layout you want to apply. Click Apply. Note that all pages use the Default layout until you specify otherwise. To apply a layout to a new page 1. 2. 3. On the Page menu click New and enter a page name. In the Layout drop-down, select the desired layout to apply to the new page. Click OK. Copyrights and Trademarks 308 Configure TWS Edit a Page Layout The Page Layout feature lets you make changes to the organization and display characteristics of your trading pages. You can identify which columns to display, where you want them on a page in relation to each other, and the text and background colors of fields, rows and columns. The original design of your workstation is saved as the Default layout. Any changes you make to this layout are applied to all existing trading pages, and to any new pages you create until you create and assign a new page layout. To give individual trading pages a unique look and feel, create a custom layout and apply it to existing pages or select it for new pages. To edit a page layout If you have not created any page layouts, the Default layout is the only one available for editing. Once you make changes to the Default layout you cannot easily restore the original configuration. 1. 2. On the Configure menu, click View and then click Layout Manager. Select a layout from the list and click Edit to open the Layout editor. Note: The name of the layout you are editing is displayed in the Layout title bar. 3. Modify column visibility, column order, and text and background colors and click OK. Copyrights and Trademarks 309 TWS Users' Guide Display Market Data Columns You can choose to display or hide many of the columns on the trading page. To show or hide columns on a trading page, first create a page layout, set the Column parameters, and then apply the layout to a page. To hide/display market data columns for a page 1. On the Page menu, select Layout. Note that the layout assigned to the page you are editing appears in the title box at the top of the Layout box. When you make changes to the current page, the changes are saved in the current layout and applied to all other pages that use this layout. 2. In the Columns - Market Data Row area, check a column title to display it on the screen. To hide a column, click in the checkbox to de-select the column title. Click OK. Note: Column titles in bold are always visible and cannot be de-selected. For descriptions of data displayed in Market Data columns, see the Market Data Columns descriptions. To hide/display market data columns in a page layout 1. 2. 3. On the Configure menu, click View and then click Layout Manager. Select a layout and click edit, or create a new page layout. In the Columns - Market Data Row area, check a column title to display it on the screen. To hide a column, click in the checkbox to de-select the column title. Click OK. Note: Column titles in bold are always visible and cannot be de-selected. 4. In the Layout Manager, click Apply to apply the edited layout to the active trading page. Click Close to save changes to the edited layout without applying it to any pages. Note: Changes to a page layout are automatically applied to any pages that already use the layout. Copyrights and Trademarks 310 Configure TWS Display Order Management Columns You can choose to display or hide many of the columns on the trading page. To show or hide columns on a trading page, first create a page layout, set the Column parameters, and then apply the layout to a page. To hide/display order management columns in a page layout 1. 2. 3. On the Configure menu, click View and then click Layout Manager. Select a layout and click edit, or create a new page layout. In the Columns - Order Row area, check a column title to display it on the screen. To hide a column, click in the checkbox to de-select the column title. Click OK. Note: Column titles in bold are always visible and cannot be de-selected. 4. In the Layout Manager, click Apply to apply the edited layout to the active trading page. Click Close to save changes to the edited layout without applying it to any pages. Note: Changes to a page layout are automatically applied to any pages that already use the layout. To hide/display order management columns for a page 1. On the Page menu, select Layout. Note that the layout assigned to the page you are editing appears in the title box at the top of the Layout box. When you make changes to the current page, the changes are saved in the current layout and applied to all other pages that use this layout. 2. In the Columns - Order Row area, check a column title to display it on the screen. To hide a column, click in the checkbox to de-select the column title. Click OK. For descriptions of data displayed in Order Management columns, see the Order Management Columns descriptions. Copyrights and Trademarks 311 TWS Users' Guide Rearrange Trading Page Columns You can reposition columns on a trading page two ways: 1) using the Page Layout editor to define column positions for a specific layout, or 2) opening a trading page, holding your mouse on a column, and dragging it to the left or right directly on that trading page (drag-and-drop). If you choose to drag and drop columns on a trading page, note these limitations: • • • The changes only apply to the page on which they're made. The changes are not saved when you exit the system. The Market Data and Order Management columns retain their positions relative to each other. If you use the Layout Editor to manipulate your columns: • • • • Your changes are applied to all pages that use the layout. You can assign the layout to any new or existing pages. The layout is saved and reloaded each time you log in. You can change the relationships of Market Data and Order Management columns to each other. We recommend using the drag-and-drop method to experiment with column layouts, and using the Layout Editor to save and apply column layouts. To reposition columns using the Page Layout editor 1. 2. On the Configure menu, click View and then click Layout Manager. Select a layout from the list and click Edit to open the Layout editor. Note: The Market Data columns in the list box on the left correspond to the top row of column headings at the top of the trading page. The Order Management columns in the list box on the right correspond to the bottom row of columns headings at the top of the trading page. 3. Select the column you want to move. 4. To move a column to the right on the screen, click Down. To move a column to the left, click Up. Except for columns whose titles are bold, columns are only visible if they are checked. Copyrights and Trademarks 312 Configure TWS Change Background and Text Colors of Columns You can modify the background and text color for specific columns using the Customize button on the Page Layout editor. To change column colors in a page layout 1. 2. 3. 4. On the Configure menu, click View and then click Layout Manager. Select a layout and click edit, or create a new page layout. Click the Columns tab. In either the Market Data or Order Row column list, select the column whose colors you want to modify and click Customize. The editable column attributes appear in the Column box. To Do this Modify the column's text color Modify the column's background color Click Text, select a color and click OK. Click Background, select a color and click OK. Click Use Defaults. Select the Left or Right alignment radio button. Enter a value in the Width field. Change the text and background to the default colors Align contents to the column's left or right margin Set the column to an exact pixel width 5. 6. 7. Click OK To customize another column, return to Step 4 above, or click OK if you're finished. Click Apply to apply the revised layout to the active trading page, or click Close. Copyrights and Trademarks 313 TWS Users' Guide Change Background and Text Colors of Rows You can modify the background and text color for Market Data and Order Management fields by creating and applying page layouts. To change background colors for rows in a page layout 1. 2. 3. 4. On the Configure menu, click View and then click Layout Manager. Select a layout and click edit, or create a new page layout. Click the Colors tab. In the Default Colors area, click Text to change text color, click Background to change the row's background color. Use the To Change text/background for a market data line Change the text color that signifies upward movement in the price and size fields Ticker Row options up-tick Text option Change the text color that signifies downward movement in the down-tick Text option. price and size fields Change the text color in the Bid Exch or Ask Exch columns that signifies whether an options exchange is automatically executing Change the background color for lines on which you have set a price-activated alarm Change text/background for an order management line Change the background color that identifies an order that was transmitted and then modified Change the background color for selecting an order that was modified and is selected Change the text/background on the TOTAL row Change the color of the gridlines that separate rows and columns on the trading screen no auto-ex Text option. alarm set Background option. Order Row options modified Background option selected modified Background option Total Row options Background Grid Background option. Copyrights and Trademarks 314 Configure TWS Workspaces CONFIGURE WORKSPACES Copyrights and Trademarks 315 TWS Users' Guide Managing Workspaces Create a custom trade environment on your desktop based on your trading needs. When you log in, select a workspace from the set of buttons on your toolbar. You can create a workspace that includes any of the following self-contained windows: trading window, trading toolbar, Book Trader, Option Trader, Basket Orders, Market Depth (including Level II and NYSE Open Book), Index Arbitrage Meter, Account Information, Execution Reports, Interactive Charts, News and Research. Create a workspace 1. 2. 3. 4. Arrange windows on your desktop in any combination and any design. On the File menu select Manage Workspaces (or click the ellipses on the workspace section of the toolbar). Click New Workspace and enter a workspace name. Click OK, and the new workspace appears in the list. The last used workspace is loaded when you login. To delete a workspace, right-click on the appropriate workspace icon on the status line at the bottom of TWS and select Remove Workspace. Copyrights and Trademarks 316 Configure TWS Customize the Main Trading Window CUSTOMIZE THE TRADING SCREEN Copyrights and Trademarks 317 TWS Users' Guide Sort Market Data Lines You can sort a page of market data lines alphabetically by underlying ticker symbol. Once you have sorted the lines, you cannot return to your original market data line order. To alphabetically sort market data lines on a page 1. 2. Open the page you want to sort by ticker. On the Page menu click Sort Tickers. Copyrights and Trademarks 318 Configure TWS Insert Lines on a Trading Page You can insert a market data line or a blank line in your trading page using the right-click menu or the Request Ticker dialog box. To insert a Market Data line between two existing lines NOTE: When you add a line, it is inserted ABOVE the selected line. 1. 2. Click in a market data line. The new line will be inserted ABOVE this line. Do one of the following to add a new market data line: • • Right click and select Insert Ticker or, From the Ticker menu select Add Symbol. To insert a blank line between two existing Market Data lines 1. 2. Click in a market data line. The blank row will be inserted ABOVE this line. Right click and select Insert Row. To move a Market Data line up or down on a page 1. 2. 3. 4. Select the market data line you want to move by clicking in the line. Click and hold the mouse in the selected line. Drag the selected line up or down on the page. Release the mouse to drop the line in its new position. Copyrights and Trademarks 319 TWS Users' Guide Delete Lines on a Trading Page You can delete lines from your Trading page using the right-click menu. NOTE: The delete command does not distinguish between deleting blank lines and deleting market data lines, and does not give you a warning before it deletes your data. Be certain you have only selected the lines you want to delete. Selected lines appear highlighted in dark grey across the Trading screen. To delete a line 1. 2. Click in the line you want to delete. Right click and select Delete Line. To delete multiple lines 1. Select the line(s) you want to delete. To Do this Select multiple successive lines Click in the first line, hold the Shift key and click in the last line, or Click and hold the mouse in the first line and drag through a range of lines. Hold the Ctrl key and click in each desired line. Select multiple nonsuccessive lines 2. Right click and select Delete Lines. Copyrights and Trademarks 320 Configure TWS Reposition Pages within the Tabset Use drag-and-drop to rearrange the order of your trading pages within the tabset. To move a Trading page within the pages tabset 1. 2. 3. Click on a page tab to select the page. Click and hold the mouse, and drag the page left or right within the tabset. Release the mouse to drop the page in its new location. Note: You cannot move the Pending page tab. Copyrights and Trademarks 321 TWS Users' Guide Move the Trading Toolbar To move the Trading toolbar • Click and drag the textured drag handle on the left side of the toolbar. NOTE: To re-dock the toolbar at the top of the page, use the drag handle to position the toolbar under the menu bar, or click the "x" in the upper right corner of the toolbar. Copyrights and Trademarks 322 Configure TWS Define Page Settings Each trading page has a name and a layout, and several other page-level settings. To modify page settings • On the Page menu, select Settings. You can modify the following page settings: Field Name Name Layout Description Enter the page name. This name appears on the tab at the top of the trading page. This field holds the Default and Volatility layouts, along with any other page layouts you create. Check this box to allow quick stock entry for the selected page. Use the Volatility layout to trade options based on their volatility instead of their price. Assumes you are only entering stock symbols, so it bypasses instrument type and goes directly to contract selection. Notes Quick Stock Entry Show all orders Checked by default. If checked, when you have a contract displayed on more than one trading page, any order you create for the contract will be displayed on every page on which the symbol appears. Uncheck to only display orders on the page on which they are created. Copyrights and Trademarks 323 TWS Users' Guide Resize the Trading Screen To resize the screen 1. 2. 3. Move your cursor to the outside border of the window until it changes to a line with two arrow-ends. Press and hold the mouse key. Drag the screen in to reduce its size, and push it out to increase its size. NOTE: The columns inside the Trading window contract or expand proportionately. Copyrights and Trademarks 324 Configure TWS Restore a Trading Page If you lose information, or want to restore the trading pages and tickers you had set up on a previous day, you can elect to restore the entire page file, which includes all trading pages and the tickers you had set up on them. Note that restoring a page file completely replaces all of your current trading pages with those from a previous day. To restore a page file 1. 2. On the File menu, select Restore Page File. In the Open dialog box, click on the day's file you want to use to replace the current set of pages and tickers. To view the actual dates the files were saved, click the Details icon on the top right of the box. 3. Click Open. Your current trading pages and tickers are replaced with those in the file you selected. Copyrights and Trademarks 325 TWS Users' Guide Change Text Display Characteristics You can change the appearance of text displayed on your trading screen by modifying the size and style of the font. To change the font 1. 2. On the Configure menu, select View and then select Font. Select a font style and a font size and click OK. Copyrights and Trademarks 326 Configure TWS Feature Selector FEATURE SELECTOR Copyrights and Trademarks 327 TWS Users' Guide Feature Selector TWS is a powerful, feature-rich trading application with the built-in flexibility to customize your workspace environment for optimal productivity. As a first-time user, the Feature Selector allows you to become familiar with the simplified version of the application and then add functionality as you need it. Experienced users can use the Feature Selector to hide functionality they don't need and simplify their trading environment. You can enable/disable the following features: • Order Entry tools, including Rapid Order Entry, Book Trader, Option Trader, Rebalance, Basket Trader, Scale orders, Volatility trading, Option Exercise and trading by dollar amount percentages. • Order properties including specific order types, times in force and order attributes. Complex order types include attached orders such as bracket and auto railing stops, dependent orders such as conditional and OCA orders, and combination and spread orders. Market data tools such as the Market Depth (and Level II) windows, Arbitrage meter, Quick Stock entry, RFQ, Auto Future rollover, and Bond- and Optionrelated columns. • • • • • • • Fundamental Analysis resources including Analyst Info, Company Profile, Financials, Insider Trading, News and Research, and SEC Filings. Technical Analysis tools including: Market Scanner and Historical and Realtime charts. Risk Management tools such as: Portfolio and Option Analytics, Option Modeler, What-if Margin and Value at Risk. Real-time Activity Monitoring including Alerts, Alarms and P&L columns. Workspace Manager 328 Configure TWS To open the Feature Selector • On the Configure menu select Feature Selector. Note that when you disable a feature, that selection no longer appears in the TWS interface. You can disable an entire category of features with a single click, or drill down to a specific feature within a group using the expand/collapse icon. To disable/enable a feature using the Feature Selector 1. 2. Click to remove the checkmark next to a feature or a feature group. Click the expand icon to drill down in a group. Copyrights and Trademarks 329 TWS Users' Guide Enable Features through Menus The Feature Selector, accessible through the Configuration menu or by clicking the Configure icon on the toolbar, allows you to disable features you don't use. These disabled features are hidden from the TWS menus and screens. You can now enable these features at any time without having to search for them within the Feature Selector by expanding the TWS menu to show disabled features. Enable a feature from its menu Menus which contain disabled features show a double "expand" arrow following the final menu command. 1. 2. 3. Click the double arrows at the bottom of the selected menu. Disabled features now appear in the menu, highlighted in dark grey. Select the feature you want to use. Click Yes to the question "Would you like to enable this feature now?" The feature is enabled, and will become active if appropriate. For example, if you have an underlying selected and elect to enable Market Depth, the Market Depth window will open for the selected underlying after you click "Yes." If you don't have an underlying selected, the Market Depth feature will be enabled but will not open since it has no data to display. Copyrights and Trademarks 330 Exercise and Rollover EXERCISE & ROLLOVER Copyrights and Trademarks 331 TWS Users' Guide DVP/RVP DVP/RVP Copyrights and Trademarks 332 Exercise and Rollover Transfer a Position using DVP/RVP After you have added instructions via the Account Management screen, you can select a prime or clearing broker account to whom you want to transfer all or part of any positions you currently hold, or from whom you want to receive positions into your account. NOTE: will only transfer and receive positions between accounts of the same type and with the same title as your account. To transfer a position 1. 2. 3. 4. 5. 6. 7. 8. Open the Account window. On the Portfolio menu, select Transfer DVP/RVP and define the contract. In the Transfer Information section, select an action, DVP or RVP. Enter the quantity to transfer. The quantity transferred must be equal to or less than the Available Quantity. The Price field displays the current market price. You can modify the price to within 10% either side of the current market price. Use the Destination Institution ID drop-down to select a destination from the list of instructions you created from the Account Management page. Click OK. Click the DVPs in Transit tab on the Account window to see all pending DVP positions. NOTE: DVP/RVP settle on the third day after entry. If your contra broker has not accepted the DVP/RVP instructions by 12:00:00 ET the day prior to settlement date, will cancel the transaction. Please click DVP/RVP Information on the Transfer dialog box for complete details. Copyrights and Trademarks 333 TWS Users' Guide Automatic Futures Rollover Message You can elect to have the system automatically display a message eight days prior to expiration which gives you the option to automatically roll over expiring futures contracts. The message will display when you log in. To activate auto futures rollover 1. On the Configure menu select Global Configuration. 2. 3. In the left panel, select General. In the right panel, check Auto future rollover. To view futures ready to rollover when you're logged in 1. On the Ticker menu, select Futures Rollover. 334 Exercise and Rollover Copyrights and Trademarks 335 TWS Users' Guide Option Exercise Exercise an Option Use the Option Exercise window to exercise options prior to their expiration date, or to exercise options on Expiration Friday that would normally be allowed to lapse according to OCC rules. To exercise an option Note that this process is irrevocable; once you commit to exercising an option, you cannot undo your actions. 1. 2. 3. 4. From the View menu, select Option Exercise. In the Option Exercise window, highlight the option you want to exercise in the Current Long Option Positions portion of the window. Click Exercise. Review/modify the number of contracts you want to exercise and click OK. NOTE: You cannot enter a value greater than the quantity in the Current Long Option Positions box. 5. Review your selection, and click "Yes" at the message that asks if you're sure you want to exercise the selected option. The exercised option appears in the Outstanding Exercises portion of the window until it is cleared by the OCC. Copyrights and Trademarks 336 Exercise and Rollover Option Exercise Window Use the Option Exercise window to deliver "contrary intentions" to the OCC (or manually instruct them to exercise an option or let it lapse). If you don't use the Option Exercise feature, options are automatically processed as follows: • • Any stock options expiring in the current month that are more than $.25 in the money are automatically exercised by the OCC without the need for any explicit instructions. Any index options expiring in the current month that are more than $.01 in the money are automatically exercised by the OCC without the need for any explicit instructions. The OCC must receive contrary intentions through the Option Exercise window for: • • • • • stock options that are in the money by $.25 OR LESS and need to be exercised stock options that are out of the money but need to be exercised index options that are out of the money but need to be exercised stock options that are in the money by more than $.25 but DON'T need to be exercised index options that are in the money by more than $.01 but DON'T need to be exercised Copyrights and Trademarks 337 TWS Users' Guide Exercise Options - Manual File The Option Exercise window now includes a Load from File button that lets you import a file with instructions to exercise or lapse specific options. You can create the file using any word processing program, and the file must include a comma-delimited list of values, one line for each option. You can use one of two different formats. Table 1 illustrates using the underlying, Table 2 shows fields for symbol mode. For each option you want to include in the file, create one line of text and observe the following rules: • • • Include one value for each field described in the table(s) below. Separate field values by commas. List field values in the order in which they appear in the table(s) below. Table 1 - Underlying Mode Field Name action Possible Values exercise, lapse Table 2- Symbol Mode Field Name action Possible Values exercise, lapse account # IB acct number, i.e. U44982 underlying symbol, i.e. IBM i.e. 50 account # IB acct number, i.e. U44982 IBMSE underlying local symbol strike exchange i.e. AMEX (smart is not accepted) i.e. 3 yes, no right expiry(yyyymm) multiplier exchange p, c i.e. 200501 i.e. 100 i.e. AMEX (smart is not accepted) i.e. 3 yes, no quantity override* quantity override* * Specifies whether your settings will override the system's natural action. For 338 Exercise and Rollover Table 1 - Underlying Mode Table 2- Symbol Mode example, if you have the action set to exercise an option and that contract is not inthe-money, TWS by default would send you a message that the contract was not inthe-money and would not exercise option. However, if you have the override set to "yes," this instruction will override the system and the option will exercise. Your lines in the file based on the examples in the tables above would look like this: exercise, U44982, IBM, 50, C, 200501, 100, AMEX, 3, no exercise, U44982, IBMSE, AMEX, 3, no Copyrights and Trademarks 339 Real-time Activity Monitoring REAL-TIME ACTIVITY MONITORING Copyrights and Trademarks 341 TWS Users' Guide Real-time Margin Monitoring Use real-time margin monitoring to see your current margin requirements at a glance, and to understand the margin implications of any transaction before you transmit an order. To view real-time margin requirements 1. 2. 3. On the View menu, select Account. The Account Information window shows your account details, including the current market value and portfolio. Use the Margin Requirements and Trading Limits section to monitor your margin. To view "what-if" margin scenarios 1. 2. 3. Create an order on the trading screen by clicking the Bid or Ask price of an asset. Use the right-click menu to select Check Margin. View your potential margin requirements. Copyrights and Trademarks 342 Real-time Activity Monitoring Account Window The Account window displays all information pertinent to your account, including the market value of your account, your margin requirements and current portfolio. To access the Account window 1. On the main trading Toolbar, click the Account icon, or select Account from the View menu. Securities Account Balance at: Net Liquidation Value Total cash value + stock value + securities options value + bond value Commodities Account Total cash value + commodities options value Equity with Loan Value • • Cash Account: Settled Cash Margin Account: Total cash value + stock value + bond value +( non-U.S. & Canada securities options value) • • Cash Account: Total cash value + commodities option value futures maintenance margin requirement + minimum (0, futures PNL) Margin Account: total cash value + commodities option value - futures maintenance margin requirement Previous Day Equity with Loan Value Marginable Equity with Loan Value as of 16:00 ET the previous day Not applicable 343 TWS Users' Guide Securities Account SMA Max ((EWL - US initial margin requirements)*, (Prior Day SMA +/- change in day's cash +/- US initial margin requirements** for trades made during the day.)) * calculated end of day under US Stock rules, regardless of country of trading. **at the time of the trade Commodities Account Not applicable Buying Power • • Cash Account: (Minimum (Equity with Loan Value, Previous Day Equity with Loan Value)-Initial Margin) Standard Margin Account: Available Funds*4 Securities Gross Position Value (GPV) Total Cash Value Settled Cash Long Stock Value + Short Stock Value + Long Option Value + Short Option Value Settled cash + sales at the time of trade Cash recognized at the time of settlement - purchases at the time of trade - commissions taxes - fees Settled cash + sales at the time of trade + futures PNL Cash recognized at the time of settlement - purchases at the time of trade - commissions - taxes fees • • Stock Settlement: Trade date + 3 days Options Settlement: Trade date + 1 day • Futures Settlement: Trade date + 1 day Available Funds Leverage Equity with Loan Value - Initial margin Gross Position value / Net Liquidation value Net Liquidation Value - Initial margin Net Liquidation value - Initial margin Margin Requirements and Trading Limits Current: Initial Margin Initial margin requirement in the base currency of the account Initial margin requirement in the base currency of the account 344 Real-time Activity Monitoring Securities Account Maintenance Margin Available Funds Excess Liquidity Overnight: Initial Margin Initial margin requirement as of next period's margin change in the base currency of the account. Maintenance margin requirement as of next period's margin change in the base currency of the account. Equity with Loan Value - Lookahead Initial margin Equity with Loan Value - Lookahead Maintenance margin Maintenance margin requirement in the base currency of the account. Equity with Loan Value - Initial margin Equity with Loan Value Maintenance margin Commodities Account Maintenance margin requirement in the base currency of the account. Net Liquidation Value - Initial margin Equity with Loan Value Maintenance margin Initial margin requirement as of next period's margin change in the base currency of the account. Maintenance margin requirement as of next period's margin change in the base currency of the account. Net Liquidation Value - Look-ahead Initial margin Equity with Loan Value - Lookahead Maintenance margin Maintenance Margin Available Funds Excess Liquidity Day Trades Left Market Value Currency Cash Balance Stock Value Securities Options Value Futures Options Value Futures Pnl Net Liquidation Value Unrealized Pnl Realized Pnl # of day trades left for pattern day trader period. Open positions are grouped by currency. Cash recognized at the time of trade + futures PNL Real-time mark-to-market value of stock Real-time mark-to-market value of securities options. Real-time mark-to-market value of futures options. Real-time change in futures value since last settlement. Total cash value + stock value + options value + bond value The difference between the current market value of your open positions and the average cost, or Value - Average Cost. Shows your profit on closed positions, which is the difference between your entry execution cost and exit execution cost, or (execution price + commissions to open the positions) - (execution price + commissions to close the position). Portfolio 345 TWS Users' Guide Securities Account Contract description Position Currency Market Price Market Value Average Cost Unrealized PNL Realized PNL Liquidate Last Symbol and description. Commodities Account Number of long/short shares or contracts. Currency of the contract. Real-time mark-to-market value of stock. Position x market price. Average cost of stock and securities options opening positions, including commissions. Market value of stock and securities options - average cost Market value of stock and securities options positions closed since 16:00 ET - average cost for these positions. Last liquidation "Yes" or "No" tag. To set, use the right-click menu on the desired position. Portfolio - Right-click menu Trade Create Ticker Transfer Set Liquidate Last Unset Liquidate Last Create All Tickers Creates an order line on the trading page for the selected contract. Creates a market data line for the contract on the main trading screen. For DVP capable accounts - initiates a DVP transfer Instructs the system to liquidate this contract last. Changes the "Set Liquidate Last" instruction to Creates a trading page called Portfolio that includes market data lines for all tickers in the Portfolio section. Copyrights and Trademarks 346 Real-time Activity Monitoring Executions Window The Executions window displays reports for daily executions including those completed during after-hours trading. To access the Executions window 1. On the main Trading toolbar, click the Trades icon, or select Executions from the View menu. Column Name Description Executions Columns Action Quantity Underlying Description Comb. Price Currency Exch. VWAP Time Time ID Order Ref. Comment Account Confirm Submitter Yield Identifies whether the contract was bought or sold. The size of the order. The underlying symbol. The contract description. Identifies whether the order was a combination order. The current market price per unit of the order. The currency in which the position is held. The exchange through which the order was routed. For VWAP orders, the time at which the order executed. The execution time. The order ID. The order reference number. For basket orders, this field contains the name of the basket to which the order belongs. For other orders, users may enter an order reference number from the Order Ticket window. Displays comments relative to the order. Identifies the beneficial account number. Valid only for Linkage customers. Identifies the order submitter. The yield-to-worst. This is the lower of yield to maturity and yields to all calls. The yield is only shown if it is offered on the exchange. Summary columns Contract Comb. Buys The contract description including the underlying symbol and instrument type, and the exchange name for the contract. Identifies whether the order was a combination order. Displays the total number of units bought of this contract for all trades. 347 TWS Users' Guide Column Name Sells Net Avg(BOT) Avg(SLD) Exchange List Description Displays the total number of units sold of this contract for all trades. Number of units bought - number of units sold = net number of units in your portfolio. The average price paid per unit, based on the total number of units bought for this contract. The average price rec'd per unit, based on the total number of units sold for this contract. Lists the exchange(s) through which the contract was routed. The text along the bottom of the window shows the sort order of fields on the Executions tab. Menu Name File menu Description • • Print - prints the current page. Sort - opens the Sort dialog box where you can elect to sort reports by field. Show Avg Price - select two or more execution reports.The average price and total number of shares for the selected reports is calculated. Expand/Collapse - if applicable, the selected rows are expanded/truncated. Layout - opens the Table Column Settings window where you can choose to display or hide columns (by checking/un-checking the column titles), and change their position relative to other columns. Avg. Price Precision - lets you determine the decimal point precision for the average price calculation by entering the decimal point placement. Font Size - Change the font style and font size for the Executions window data. Opens the Highlight Executions dialog box. Enter the number of seconds for new execution reports to remain highlighted (for easy viewing). Check Auto expand after partial fill to have execution reports for partially filled orders automatically expand to display other portions of the order as it is filled. Show Leg Executions Only - if checked, spreads and combination executions will be shown in individual legs. If unchecked, the entire combination will be displayed, and you can click to expand the line and show the individual leg executions. Trades menu • • • • Settings menu • • • 348 Real-time Activity Monitoring Copyrights and Trademarks 349 TWS Users' Guide View Pending Orders You can view working orders on the Pending page, as well as on any trading page that displays the instrument. Once an order has been executed, it is removed from the Pending page and the execution report is displayed in the Executions window. If you have orders pending when you log in, the Pending page is automatically displayed for your review. You can view positions on the Pending page by displaying the Positions column using the Page Layout. To view pending orders • On the Trading screen, click the Pending tab. When orders are working, the Pending tab title, along with the title of the page on which the asset is displayed, is red. You can also elect to display GTC orders on a separate Pending page from other orders. To separate Pending order pages for GTCs 1. 2. 3. On the Configure menu select Global Configuration. In the left pane, select Orders, then select General. In the right panel, check Display pending day and GTC orders on separate pages. NOTE: You can manage working orders from the Pending page, but you cannot create an order or add a new market data line. You can also modify conditions for a conditional order from the Pending page. Copyrights and Trademarks 350 Real-time Activity Monitoring Trader Dashboard The real-time Trader Dashboard is an optional tool that is displayed at the top of the pages tabset. This customizable panel allows you to monitor select data fields from your Account Information window. You can also keep abreast of the most recent activity for specific contracts. To configure the Trader Dashboard 1. 2. 3. On the Configure menu, select Global Configuration. In the left pane, click Trader Dashboard. In the right pane, check Display Trader Dashboard. When you add a ticker, the dashboard displays both the last price and the price change. To view the change as a percent, check Show price change in percentage. 4. Click the Add Account Data button, and scroll down the list. Double-click each Account field that you want to add to the dashboard. Each field you double-click is added to the Display Item list on the configuration pane. Click OK to close the Add box.\ The field descriptions for Account Information fields is in the Account Information topic. 5. To add a last price/price change field for a contract, enter the underlying in the Symbol field and click Add Ticker, then define the contract parameters just as you do when you add market data to the trading page. The last price/price change displays in red to indicate downward movement and blue to indicate upward movement. 6. Click OK. The Trader Dashboard is displayed at the top of your trading window, just above the pages tabset. Copyrights and Trademarks 351 TWS Users' Guide View Bulletins and System Status Notices concerning exchange issues, system problems and other trading information are announced through bulletins and system status reports. Bulletins are announced by a flashing red "Bulletin" notification along the top of the Menu bar. To read the current bulletin • Click the flashing red "Bulletin" notification. To review bulletins • • Click the Bulletin icon on the toolbar, or From the View menu, select Bulletins. NOTE: You can move and resize the Bulletins window (which opens when you perform any of the above actions) so that it doesn't block out the critical information on your trading screen. The system saves your settings and will always open the window to the size and location you specify. To see all of today's bulletins and the system status from the website • On the Help menu, select System Status. Copyrights and Trademarks 352 Real-time Activity Monitoring View an Audit Trail This feature creates a file of daily trading activity that you can view from your browser. An Audit file is created each day, and is named using the day of the week. Each week, the existing daily files are overwritten by the new files using the same name. You can rename these daily files if you want to save them. To view an Audit Trail 1. 2. Enable the Audit Trail feature. On the View menu, select Audit Trail, (Expanded or Condensed). Copyrights and Trademarks 353 TWS Users' Guide Profit and Loss You can see P&L on the trading screen and in the Account window. The trading screen includes the following P&L columns: NOTE: Click the P&L column heading to toggle between absolute values and percents. • P&L - the original P&L display that shows your profit and loss for the current day. To display P&L as Daily or New Position P&L, on the Page menu select Layout. In the Market Data column, select P&L and click Customize. In the P&L Calculation section select New Position or Daily P&L. Unr P&L - displays unrealized P&L, which is the difference between the current market value of your open positions and the average cost. Avg Cost - the average cost is calculated by dividing your cost (execution price + commission) by the quantity of your position. This value is then used to determine your unrealized P&L. • • The Account window displays the following P&L columns: • • • • Value - the market price (bid price + ask price/2) x the quantity of your position. Average Cost - the average cost is calculated by dividing your cost (execution price + commission) by the quantity of your position. Unrealized PNL - the difference between the current market value of your open positions and the average cost, or Value - Average Cost. Realized PNL - shows your profit on closed positions, which is the difference between your entry execution cost (execution price + commissions to open the position) and exit execution cost (execution price + commissions to close the position). Copyrights and Trademarks 354 Real-time Activity Monitoring Order Status Monitor the status of your orders by understanding the significance of colors in the status field. We also display a Trigger Clock icon in the status field for orders that require triggering, such as stop orders, conditional orders and alerts. The icon indicates that the order will not trigger outside regular trading hours. To modify this setting, double-click the icon. If the order allows triggering outside RTH, the Trigger Method dialog box will open. Check the Time Restriction box to allow triggering outside regular trading hours. If double-clicking the icon does not open the Trigger Method dialog box, the order is not eligible to trigger outside RTH. LIGHT GRAY indicates that you are in the process of creating an order and you have not yet transmitted it. LIGHT BLUE indicates that you have transmitted your order, but have not yet received confirmation that it has been accepted by the order destination. PALE PURPLE indicates that an order has been accepted by the system (simulated orders) or an exchange (native orders) but that currently the order is not working, due to system, exchange or other issues. When the order becomes active, the order status color will change appropriately. DARK BLUE indicates that an order has been accepted by the system (simulated orders) or an exchange (native orders) and that this order has yet to be elected. The order status remains DARK BLUE until the election criteria are met. At that time the order is triggered, the order status color will change appropriately. GREEN indicates that your order has been accepted and is working at the order destination. MAGENTA indicates that you have sent a request to cancel the order but have not yet received cancel confirmation from the order destination. At this point, your order is not confirmed canceled. You may still receive an execution while your cancellation request is pending. BURNT ORANGE indicates that a cancellation request has been accepted by the system but that currently the request is not being recognized, due to system, exchange or other issues. At this point, your order is not confirmed canceled. You may still receive an execution while your cancellation request is pending. RED indicates that the balance of your order has been confirmed canceled by the system. This could occur unexpectedly when the destination has rejected your order. Once the order is confirmed canceled, the Order Management line will disappear from your trading screen after 30 seconds. Please see the Customer Agreement for further information on order confirmation and order cancellation. 355 TWS Users' Guide MAROON indicates that an attached simulated order type has been accepted by the system and has yet to be elected. The order is held in the IB system (and the status remains MAROON) until the election criteria are met. At that time the order is transmitted to the order destination specified and the order status color will change appropriately. Copyrights and Trademarks 356 Real-time Activity Monitoring Guide to System Colors The application uses colored text and backgrounds to convey information about market movement, order destination, and order status. Colors are used on all screens that send and receive data, including the Trading screen, the Market Depth window and the Arbitrage Meter. The meaning of the text colors is consistent throughout the screens. Information on system colors is sorted into the following sections: Text Colors Background colors on a Market Data line Background colors on an Order Management line Order Status colors Screen Sample Text Colors Colored text on the screen's black background is used to represent up and down movement of price and quantity, and order destination information. YELLOW indicates no change in size or price. GREEN indicates an upward movement in size or price. ORANGE (or red) indicates a downward movement in size or price. For options, the price displayed in PURPLE indicates that the best price is not executing automatically at one or more of the exchanges displayed. For inter-market spread orders, this indicates the implied price of the order. LIGHT BLUE indicates that this was the last price at which the contract traded. The page tab text changes color from black to RED to indicate that the page displays an asset for which an order has been transmitted. Background colors on a Market Data line DARK GRAY across the entire Market Data line indicates that the line is selected. 357 TWS Users' Guide The Change field line uses a background color to represent up and down market movement. The Change column identifies the degree and direction of change in the asset's current price from the prior day's closing price. A RED background in the Change field indicates that the change for the day is negative. A BLUE background in the Change field indicates that the change for the day is positive. NOTE: Change for the day figures are based on 4 P.M. Eastern Time (ET) prior day closing prices. Background colors on an Order Management line A BLUE background in the Action field indicates a BUY action. A RED background in the Action field indicates a SELL action. LIGHT BROWN across the entire Order Management line indicates that you have modified a working order but have not yet re-transmitted the order. Order Status Colors The color in the Status field of an order management line indicates the status of your order. LIGHT GRAY indicates that you are in the process of creating an order and you have not yet transmitted it. LIGHT BLUE indicates that you have transmitted your order, but have not yet received confirmation that it has been accepted by the order destination. PALE PURPLE indicates that an order has been accepted by the system (simulated orders) or an exchange (native orders) but that currently the order is not working, due to system, exchange or other issues. When the order becomes active, the order status color will change appropriately. DARK BLUE indicates that an order has been accepted by the system (simulated orders) or an exchange (native orders) and that this order has yet to be elected. The order status remains DARK BLUE until the election criteria are met. At that time the order is triggered, the order status color will change appropriately. 358 Real-time Activity Monitoring GREEN indicates that your order has been accepted and is working at the order destination. MAGENTA indicates that you have sent a request to cancel the order but have not yet received cancel confirmation from the order destination. At this point, your order is not confirmed canceled. You may still receive an execution while your cancellation request is pending. BURNT ORANGE indicates that a cancellation request has been accepted by the system but that currently the request is not being recognized, due to system, exchange or other issues. At this point, your order is not confirmed canceled. You may still receive an execution while your cancellation request is pending. RED indicates that the balance of your order has been confirmed canceled by the system. This could occur unexpectedly when the destination has rejected your order. Once the order is confirmed canceled, the Order Management line will disappear from your trading screen after 30 seconds. Please see the Customer Agreement for further information on order confirmation and order cancellation. MAROON indicates that an attached simulated order type has been accepted by the system and has yet to be elected. The order is held in the IB system (and the status remains MAROON) until the election criteria are met. At that time the order is transmitted to the order destination specified and the order status color will change appropriately. Copyrights and Trademarks 359 TWS Users' Guide Best Price for Options using SmartRoutingSM Option traders who use SmartRouting can see which exchange(s) are offering the best bid and ask price. This information is displayed in the Bid Exch and Ask Exch fields on the Market Data line. Each exchange is represented by a single alpha character as defined in the table below. If multiple exchanges show an identical "Best" price offering, then multiple alpha characters are displayed. For example, if "ACP" is displayed in the Bid Exch column of a market data line, it means that AMEX, CBOE, and PSE are all offering the identical highest bid price (shown in the Bid Price column) for the option. Valid exchange abbreviations are: Abbreviation Exchange A B AMEX BOX CBOE C I P X ISE PSE PHLX Exchange abbreviations are always displayed in yellow. The Bid Price and Ask Price, Bid Size and Ask Size colors convey the following information: YELLOW indicates no change in price or size. GREEN indicates an upward movement in price or size. ORANGE (or red) indicates a downward movement in price or size. PURPLE indicates that the best price is not executing automatically at any of the exchanges displayed. SmartRouting does not guarantee that your order will execute at the best displayed price. We display prices in purple to illustrate that some exchanges are not automatically executing at the best price, and that your order might execute at a different price. However, the availability of automatic execution updates with every tick. Note that ISE always executes automatically, but may not always be offering the best price and may slow down their execution times in a fast market. For more details on order routing and Smart Order routing, see the Customer Agreement. Copyrights and Trademarks 360 Real-time Activity Monitoring Alerts and Notifications ALERTS & NOTIFICATIONS Copyrights and Trademarks 361 TWS Users' Guide Set Time Alerts The Alerts window is composed of two sections. The first is the Conditions area, where you define the conditions which must be met to activate the alert. The second is the Actions area, where you define the action that will occur when the conditions are met. Create alerts based on price movement, time and date, trading volume or the state of your margin cushion. Alert actions include sending a notification such as a pop-up message on your trading screen, an email or a text message, or initiating an order, specifically a buy or sell order. To set a time alert 1. 2. 3. 4. 5. 6. On the View menu select Alerts. Enter a descriptive title in the Name box. Click the pushpin in the upper right corner to keep the Alerts window on top. In the Variables dropdown box, select Time. In the Operator field, select "less then or equal to" or "greater than or equal to." In the Value field, set the time and date. Use the calendar date/time chooser for easy selection and to ensure the format is correct. To define multiple conditions, select And or Or from the Logic drop-down list, and use the Add button to add another condition on the next line. Your alert conditions are described in the Preview box at the bottom right of the window. Now specify the action(s) that the alert will trigger. You can select from email, SMS, pop-up message and audio alerts, and elect to have an order triggered. Alerts Duration By default, the alert will remain active until you cancel it. You can elect to have the alert remain active through a specific date and time by selecting Alert active until... and setting a date in the format YYYYMMDD hh:mm:ss. 362 Real-time Activity Monitoring If you want the condition(s) to be able to trigger outside regular trading hours, check the "Allow condition to be satisfied..." box. Copyrights and Trademarks 363 TWS Users' Guide Set Price Alerts The Alerts window is composed of two sections. The first is the Conditions area, where you define the conditions which must be met to activate the alert. The second is the Actions area, where you define the action that will occur when the conditions are met. Create alerts based on price movement, time and date, trading volume or the state of your margin cushion. Alert actions include sending a notification such as a pop-up message on your trading screen, an email or a text message, or initiating an order, specifically a buy or sell order. To set a price alert 1. 2. 3. On the View menu select Alerts. Enter a descriptive title in the Name box. Click the pushpin in the upper right corner to keep the Alerts window on top. Define an asset in the Conditions area by dragging and dropping one from your trading screen, or entering the underlying symbol in the Underlying field and selecting a contract. Begin to set the alert conditions by selecting Price in the Variable drop-down list. In the Operator field, choose from "greater than or equal to" or "less than or equal to." Continue to define your alert condition by entering a price in the Value field. If necessary, modify the values in the Unit and Method fields. To define multiple conditions, select And or Or from the Logic drop-down list, and add another contract on the next line following the above steps 3 - 7. 4. 5. 6. 7. 8. Your alert conditions are described in the Preview box at the bottom right of the window. Now specify the action(s) that the alert will trigger. You can select from email, SMS, pop-up message and audio alerts, and elect to have an order triggered. 364 Real-time Activity Monitoring Alerts Duration By default, the alert will remain active until you cancel it. You can elect to have the alert remain active through a specific date and time by selecting Alert active until... and setting a date in the format YYYYMMDD hh:mm:ss. If you want the condition(s) to be able to trigger outside regular trading hours, check the "Allow condition to be satisfied..." box. Copyrights and Trademarks 365 TWS Users' Guide Set Margin Alerts The Alerts window is composed of two sections. The first is the Conditions area, where you define the conditions which must be met to activate the alert. The second is the Actions area, where you define the action that will occur when the conditions are met. Create alerts based on price movement, time and date, trading volume or the state of your margin cushion. Alert actions include sending a notification such as a pop-up message on your trading screen, an email or a text message, or initiating an order, specifically a buy or sell order. Margin Alerts Margin alerts are based on the status of an IB-calculated "margin cushion" derived using current values from your account. You can find these values on the Account screen. The margin cushion is calculated as follows: (Equity with Loan Value - Maintenance Margin)/Net Liquidation Value To create a margin cushion alert 1. 2. 3. 4. On the View menu select Alerts. Enter a descriptive title in the Name box. In the Conditions section, select Cushion from the Variable field. Select an operator ("less than or equal to" or "greater than or equal to") from the Operator field. Enter a percent value in the Value field. You can now assign an action to an alert in the form of a message, order action, or audio notification. 366 Real-time Activity Monitoring Alerts Duration By default, the alert will remain active until you cancel it. You can elect to have the alert remain active through a specific date and time by selecting Alert active until... and setting a date in the format YYYYMMDD hh:mm:ss. If you want the condition(s) to be able to trigger outside regular trading hours, check the "Allow condition to be satisfied..." box. Copyrights and Trademarks 367 TWS Users' Guide Set Volume Alerts The Alerts window is composed of two sections. The first is the Conditions area, where you define the conditions which must be met to activate the alert. The second is the Actions area, where you define the action that will occur when the conditions are met. Create alerts based on price movement, time and date, trading volume or the state of your margin cushion. Alert actions include sending a notification such as a pop-up message on your trading screen, an email or a text message, or initiating an order, specifically a buy or sell order. To set a volume alert 1. 2. 3. 4. On the View menu select Alerts. Enter a descriptive title in the Name box. Click the pushpin in the upper right corner to keep the Alerts window on top. Select Volume in the Variable drop-down list. Define an asset in the Conditions area by dragging and dropping one from your trading screen, or entering the underlying symbol in the Underlying field and selecting a contract. In the Operator field, choose from "greater than or equal to" or "less than or equal to." Continue to define your alert condition by entering a volume in the Value field. To define multiple conditions, select And or Or from the Logic drop-down list, and add another contract on the next line following the above steps 3 - 7. 5. 6. 7. Your alert conditions are described in the Preview box at the bottom right of the window. Now specify the action(s) that the alert will trigger. You can select from email, SMS, pop-up message and audio alerts, and elect to have an order triggered. 368 Real-time Activity Monitoring Alerts Duration By default, the alert will remain active until you cancel it. You can elect to have the alert remain active through a specific date and time by selecting Alert active until... and setting a date in the format YYYYMMDD hh:mm:ss. If you want the condition(s) to be able to trigger outside regular trading hours, check the "Allow condition to be satisfied..." box. Copyrights and Trademarks 369 TWS Users' Guide Assign Message Action to Alerts Use the Actions to define what should happen when your alert triggers. The Messages tab allows you to create email and SMS messages, display a pop-up message (that you compose!) on your trading window, and instruct market data rows to flash. To assign an email action to an alert 1. In the Actions section click the Messages tab and check Send message as e-mail. Type your note title in the Subject field and your email in the Message box. TWS uses the email address you entered when you set up your account. 2. Review your alert in the Preview box, then click Activate to load the alert. To assign a text message (SMS) action to an alert 1. a. b. c. Register your SMS address through Account Management on the IB Website. Use the Login menu to access Account Management. Log in to Account Management using your IB username and password. Under Account Administration, select Alert Notification d. In Alert Preferences, select SMS Address to instruct the alerts email function to send your alert via text message to your mobile phone or PDA. 2. 3. In the Actions section click the Messages tab and check Send message as e-mail. Type your note in the Subject and Message boxes. Review your alert in the Preview box, then click Activate to load the alert. To assign a pop-up message action to an alert 1. 370 In the Actions section, click the Messages tab and check Display message as pop up. Real-time Activity Monitoring 2. 3. Type your note in the Message box. Review your alert in the Preview box, then click Activate to load the alert. When the alert triggers, a pop-up box with your message will open on top of the trading window. To flash rows as an alert action 1. 2. In the Actions section, click the Messages tab and check Flash Rows. Review your alert in the Preview box, then click Activate to load the alert. When the alert triggers, the relevant rows of market data on the trading window will flash to notify you. You can also instruct your alerts to submit an order, or play a sound. Copyrights and Trademarks 371 TWS Users' Guide Assign Order Action to Alerts Use the Actions to define what should happen when your alert triggers. The Orders tab allows you to drag orders in from your trading screen, which will be submitted when the associated Alert triggers. To assign an order action to an alert 1. 2. In the Actions section, click the Orders tab. Drag an order into the Orders panel from the trading screen. You can also create an order by typing the symbol in the Underlying field and identifying the contract using the Contract Selection box. A Buy order is automatically created for the contract. Use the Action dropdown field to change to a sell order. 3. met. Modify an order parameters. The order will be transmitted when the Alert criteria are You can also instruct your alerts to send a message or play a sound. Copyrights and Trademarks 372 Real-time Activity Monitoring Assign Audio Action to Alerts Use the Actions to define what should happen when your alert triggers. The Audio tab allows you to assign a sound to an alert. To assign a sound to an alert 1. 2. a. b. c. In the Actions section, click the Audio tab. Select a radio button: Select Standard and use the dropdown list to assign a system sound. Select Custom to assign your own .wav file sound. Select None to turn off any audio alerts. Alerts Duration By default, the alert will remain active until you cancel it. You can elect to have the alert remain active through a specific date and time by selecting Alert active until... and setting a date in the format YYYYMMDD hh:mm:ss. If you want the condition(s) to be able to trigger outside regular trading hours, check the "Allow condition to be satisfied..." box. You can also set alert actions to submit an order or send a message. Copyrights and Trademarks 373 TWS Users' Guide Set Price Movement Alarm For any asset, you can set a price-triggered alarm that goes off when the selected price hits the trigger value. You can use values in the Bid, Ask and/or Last price fields as the triggers. The price field and page title turn red and start to blink when your price has been reached. You can also set an audio alarm that notifies you by beeping. NOTE: Each line of market data with an attached price-activated alarm will always take up one live market data line whether the page is open (active) or closed. TWS will only allow you to receive market data for a limited number of live market data lines (usually 40). When you log off TWS, any alarms you have set will be shut off unless you choose to preserve them between TWS sessions. To do this, select Preserve the alarm between sessions when you set the alarm. To set a price movement alarm 1. 2. 3. 4. 5. Select the asset for which you want to set an alarm. Right click and select Tools, then select Set Alarm (or use the Ticker menu and select Set Alarm). In the Alarm Settings window, enter a "less than" and/or "greater than" price in any or all of the bid, ask and last price entry fields. To set a volume activated alarm, enter a trigger amount in the Alarm if volume is greater than field. To add a beeping sound to the visual alarm, select Play warning sound. Example: If you enter a price of $40.15 in the second field on the top row, Alarm if bid is greater than, your alarm will trigger when the bid price for the selected asset is greater than or equal to $40.15. Put a price of $40.00 in the first field (Alarm is bid is less than) and the alarm will trigger is the bid is equal to or falls below that price. The default background color for all fields that have an alarm set is murky green. You can modify the background color by using the Layout editor. To shut off an activated price movement alarm • Click in the market data line of the asset that has the alarm. Copyrights and Trademarks 374 Real-time Activity Monitoring Assign Sounds to Events Use the Sound Manager to modify sounds assigned to trading events. NOTE: To hear sounds other than a beep on your computer, you must have a sound card installed. To configure the Sound Manager 1. On the Configure menu select Global Configuration. 2. 3. 4. Click Sound Manager in the left pane. In the Event drop-down list, select the event for which you want to change a sound. De-select Use Default Sound. 5. In the Sound Samples Path field, enter a path to a .wav sound file, or use the browse button to define a path to a .wav sound file. 6. Select the number of times you want the sound to repeat when it is invoked. Copyrights and Trademarks 375 TWS Users' Guide Set Volume Change-activated Alarm For any asset, you can set a volume change-triggered alarm that goes off when the volume for the selected asset rises by the amount you define. The Volume field and page title turn red and start to blink when the volume has increased by your set amount. You can also set an audio alarm that notifies you by beeping. NOTE: Each line of market data with an attached alarm will always take up one live market data line whether the page is open (active) or closed. You can only receive market data for a limited number of live market data lines (usually 40). When you log off,. any alarms you have set will be shut off unless you choose to preserve them between sessions. To do this, select Preserve the alarm between sessions when you set the alarm. To set a volume change alarm 1. 2. 3. 4. Select the asset for which you want to set an alarm. Right-click and select Tools, then select Set Alarm (or use the Ticker menu and select Set Alarm). In the Alarm Settings window, enter a trigger amount in the Alarm if volume is greater than field. To add a beeping sound to the visual alarm, check Play warning sound. If you have the Volume field displayed on your trading screen, you will see the default background color on market data lines that have alarms set is murky green. You can modify the background color by using the Layout editor. To shut off an activated volume increase alarm • Click in the market data line of the asset that has the alarm. Copyrights and Trademarks 376 Real-time Activity Monitoring Change Notification Sound for Order Events You can use the Sound Manager to select a new sound file and change the default beep used for specific order events, including price change alarms and "fill" notifications. To change the default sound for events 1. On the Configure menu select Global Configuration. 2. 3. 4. Click Sound Manager in the left pane. In the Event drop-down, select the event whose default sound you want to change. De-select Use Default Sound. 5. In the Sound Samples Path field, enter a path to the .wav sound file you want to use, or click the browse button to define the path to the .wav sound file you want to use. NOTE: To hear sounds other than a beep on your computer, you must have a sound card installed. Copyrights and Trademarks 377 Application Program Interface USING THE API Copyrights and Trademarks 379 TWS Users' Guide Configure the Application to Support API Components You must have your system running to use any of the API components. To configure the application to support accessing its functionality via the API 1. 2. 3. Run the application. On the Configure menu, select Global Configuration and click API in the left pane. Use the right panel to set API parameters. Note that more than one API application can simultaneously access a single instance. Except for DDE, the API application does not need to be running on the same computer on which the application is running. Copyrights and Trademarks 380 Application Program Interface About the APIs (Application Programming Interfaces) We provides several APIs via which you can write custom applications that link to our system. Using an API connection you can: • • • • • Connect to one or multiple workstations View market data Submit, modify, and cancel orders Download open orders when you start up your application, and View updated account and portfolio statuses. To view syntax for specific functionality, see the ActiveX, C++ or Java topics in the API section of the User's Guide. You can connect using: • • • • The DDE component to link through Excel (for Windows platforms) The ActiveX control to link through a Visual Basic application (for Windows platforms) The Windows C++ socket client component to link through a C++ application (for Windows platforms) The Java API to link from a Java application (for all platforms) NOTE: API topics are written for experienced programmers and provide little guidance for nontechnical users. To use the API components and view sample source code and spreadsheets 1. Install or Upgrade the latest API and sample files (InstallAX.exe) on the website. On the Software menu select API/Connections and then select API Software. Click Download latest version under the appropriate OS column and install the program on your computer. Configure the application to support the API. Use the sample application to learn how to request market data, submit orders, etc. Customize the sample applications to meet your needs, or create your own application using described syntax and functionality. 2. 3. 4. Copyrights and Trademarks 381 TWS Users' Guide API Message Codes The tables below document API Error, System and Warning message codes and their descriptions. Error Message Codes Code 100 101 102 103 104 105 106 107 109 Description Max rate of messages per second has been exceeded. Max number of tickers has been reached. Duplicate ticker ID. Duplicate order ID. Can't modify a filled order. Order being modified does not match original order. Can't transmit order ID. Can't transmit incomplete order. Price is out of the range defined by the Percent Setting in TWS. The order will not be transmitted. The price does not conform to the minimum price variation for this contract. The tif type and the order type are incompatible. Unsupported order type (order type) has been selected for the exchange (exch name). The Tif option should be set to DAY for MOC and LOC orders. Relative orders are only valid for stock orders. Relative orders for US stocks must be submitted to SMART, INSTINET, or PRIMEX. The order cannot be transmitted to a dead exchange. The block order size must be at least 50. VWAP orders must be routed through the VWAP exchange. Only VWAP orders may be placed on the VWAP exchange. It is too late to place a VWAP order for today. 110 111 112 113 114 115 116 117 118 119 120 382 Application Program Interface Code 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 Description Invalid BD flag for the order. Check destination and BD flag at TWS. No request tag has been found for order. No record is available for conid. No market rule is available for conid. Buy price must be the same as the best asking price. Sell price must be the same as the best bidding price. Linkage orders are not supported on this exchange. Linkage customers cannot submit non-linkage orders foroptions. VWAP orders must be submitted at least three minutes before the start time. The display size is not supported for this order and will be ignored. The sweep-to-fill flag and display size are only valid for US stocks routed through SMART, and will be ignored otherwise. This order cannot be transmitted without an account number. Submit new order failed. Modify order failed. Can't find order with ID equal to This order cannot be cancelled. VWAP orders can only be cancelled up to three minutes before the start time. Could not parse ticker request. Parsing error: The size value should be an integer: The price value should be a double: Institutional customer account does not have account info Requested ID is not an integer number. Order size does not match total share allocation. 383 TWS Users' Guide Code 145 200 201 202 203 300 301 302 303 304 305 306 307 Description Error in validating entry fields. No security definition has been found for the request Order rejected - reason: Order Cancelled - reason: The security (security) is not available or allowed for this account. Can't find EId with ticker Id: Invalid ticker action: Error parsing stop ticker string Invalid action: Invalid acct. value action: Request parsing error, the request has been ignored. Error processing DDE request. Invalid request topic. 308 Unable to create the 'API' page in TWS as the maximum number of pages already exists. Max number (3) of market depth requests has been reached 309 Note: TWS currently limits users to a maximum of 3 distinct market depth requests. This same restriction applies to API clients, however API clients may make multiple market depth requests for the same security. Can't find the subscribed market depth with tickerId: The origin is invalid. The combo details are invalid. The combo details for leg '' are invalid. Security type 'BAG' requires combo leg details. Stock combo legs are restricted to SMART order routing. Market depth data has been HALTED. Please re-subscribe. Market depth data has been RESET. Please empty deep book 310 311 312 313 314 315 316 317 384 Application Program Interface Code Description contents before applying any new entries. 318 319 320 321 322 324 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 Advisors cannot modify partially filled orders. Attempt to set the server log level failed as the log level was invalid. Server error when reading an API client request. Server error when validating an API client request. Server error when processing an API client request. Server error when reading a DDE client request - missing data. Unable connect as the client id is already in use. Retry with a unique client id. Only API connections with clientId set to 0 can set the auto bind TWS orders property. Only support trailing stop order on limit or stop limit order. Order modify failed. Cannot change to the new order type. Only FA customers can request managed accounts list. Internal error. FA does not have any managed accounts. The account codes for the order profile are invalid. Invalid share allocation syntax. Invalid Good Till Date order Invalid delta: The delta must be between 0 and 100. Invalid Expiration Time Invalid Good After Time Good After Time Disabled Futures Spread Not Supported Any More Invalid Improvement Amount Invalid delta Invalid Peg Invalid Good Till Date 385 TWS Users' Guide Code 344 Description The account is not a financial advisor account System Message Codes Code 1100 1101 1102 1300 Description Connectivity between IB and TWS has been lost. Connectivity between IB and TWS has been lost - data lost. Connectivity between IB and TWS has been lost - data maintained. TWS socket port has been reset and this connection is being dropped. Please reconnect on the new port - Warning Message Codes Code 2100 2101 2102 2103 2104 2105 2106 2107 2108 Description New account data requested from TWS. API client has been unsubscribed from account data. Unable to subscribe to account as the following clients are subscribed to a different account. Unable to modify this order as it is still being processed. A market data farm is disconnected. A market data farm is connected. A historical data farm is disconnected. A historical data farm is connected. A historical data farm connection has become inactive but should be available upon demand. A market data farm connection has become inactive but should be available upon demand. Copyrights and Trademarks 386 Application Program Interface Extended Order Attributes The extended order attributes below can be used in all placeOrder functions and Open_Order events. Possible Values Attribute string m_tif Day, GTC, IOC, GTD string m_ocaGroup Identifies a member of a one-cancels-all group. Institutional only. string m_account string m_openClose Institutional only. int m_origin Institutional only. string m_orderRef Customer defined order ID tag. boolean m_transmit Specifies whether the order will be transmitted by TWS. If set to false, order is created by not transmitted. int m_parentId The order ID of the parent, used for bracket, auto stop and trailing stop orders. boolean m_blockOrder If set to true, specifies that the order is a block order. boolean m_sweepToFill If set to true, specifies that the order is a Sweep-tofill order. int m_displaySize The publicly disclosed order size to be used when placing iceberg orders. 387 TWS Users' Guide Specifies how Simulated Stop, Stop-Limit and Trailing Stop orders are triggered. Valid values are: O - the default value. The "double bid/ask" method will be used for orders for OTC stocks and US options. All other orders will used the "last" method. 1 - use "double bid/ask" method, where stop orders are triggered based on two consecutive bid or ask prices. int m_triggerMethod 2 - "last" method, where stop orders are triggered based on the last price. 3 - "double-last" method, where stop orders are triggered based on last two prices. boolean m_ignoreRth If set to true, allows triggering of orders outside of regular trading hours. boolean m_hidden If set to true, the order will not be visible when viewing the market depth. The only applies to orders routed to INet. string m_goodAfterTime Indicates that the trade should be submitted after the time and date set, with format YYYYMMDD HH:MM:SS (seconds are optional). Use an empty string if not applicable. string m_goodTillDate Indicates that the trade should remain working until the time and date set, with format YYYYMMDD HH:MM:SS (seconds are optional). You must set the tif to GTD when using this string. Use an empty string if not applicable. 388 Application Program Interface string m_faGroup The advisor group to which the trade will be allocated. Use an empty string if not applicable. string m_faProfile The advisor allocation profile to which the trade will be allocated. Use an empty string if not applicable. string m_faMethod The advisor allocation method with which the trade will be allocated. Use an empty string if not applicable. string m_faPercentage the advisor percentage concerning the trade's allocation. Use an empty string if not applicable. string m_primaryExch Identifies the asset's primary exchange. int m_shortSaleSlot Valid values include 1, 2 Only valid when shortSaleSlot value = 2. string m_designatedLocation Cancel on Fill with Block = 1 long ocaType Reduce on Fill with Block = 2 Reduce on Fill without Block = 3 Regular trading hours only. int rthOnly yes=1, no=0 389 TWS Users' Guide Individual = 'I' Agency = 'A', AgentOtherMember = 'W' IndividualPTIA = 'J' AgencyPTIA = 'U' String rule80A AgentOtherMemberPTIA = 'M' IndividualPT = 'K' AgencyPT = 'Y' AgentOtherMemberPT = 'N' String settlingFirm (pertains to institutional only) int allOrNone yes=1, no=0 long minQty Identifies a minimum quantity order type. double percentOffset The percent offset for relative orders. Trade with electronic quotes. int eTradeOnly yes=1, no=0 Trade with firm quotes. int firmQuoteOnly yes=1, no=0 double nbboPriceCap Maximum SMART order distance from the NBBO. match = 1 improvement = 2 long auctionStrategy transparent = 3 For BOX exchange only. double startingPrice Starting price. For BOX exchange only. 390 Application Program Interface double stockRefPrice The stock reference price. For BOX exchange only. double delta For BOX exchange only. double stockRangeLower The lower value of the acceptable stock range. For BOX exchange only. double stockRangeUpper The upper value of the acceptable stock range. For BOX exchange only. Copyrights and Trademarks 391 TWS Users' Guide API Logging As client requests are processed (both system and API clients) it logs certain information to its 'log.txt' log file, which is located in the installation directory. The purpose of this file is to help resolve problems by providing some insight into the state of the program before the problem occurred. API clients can specify how detailed they want these log entries to be by setting the log level. Log levels are: 1 = SYSTEM (least detailed) 2 = ERROR (default, if no level is specified) 3 = WARNING 4 = INFORMATION 5 = DETAIL (most detailed) NOTE: Setting the log level to 5 will have a performance overhead, and should only be used when trying to resolve an issue. The log entries for API requests have the format: [ClientID:ClientVersion:ServerVersion:ClientType:Request:Response:Versi on:LogEntryType] where ClientID - the clientId used when connecting. ClientVersion - identifies the client's request stream (for internal use). ServerVersion - identifies the server's response stream (for internal use). ClientType - the type of API connection: DDE = 0, Socket = 1. Request - If greater than 0, indicates that the log entry is the result of an API client request. The number shown is the request identifier as listed in the "Outgoing Request Identifiers" section below. Response - If greater than 0, indicates that the log entry is the result of a server response to the API. The number shown is the response identifier as listed in the "Incoming Response Identifiers" section below. Version - identifies the version of the request or response message. The version changes when the message format changes. 392 Application Program Interface LogEntryLevel - identifies the type of log entry (i.e. the log level as listed above) Example Log Entry: [0:9:9:1:1:0:3:DET]Socket request [3;52;IBM;STK;null;0.0;2;SMART;null;null] From this example, we can tell that a socket client with clientId=0 connected and made a request for market data. The version of the market data request, which was 3,implies what data should have been sent. API Request/Server Response Message Identifiers Outgoing Request Identifiers 1 = Request Market Data 2 = Cancel Market Data 3 = Place Order 4 = Cancel Order 5 = Request Open Orders 6 = Request Account Data 7 = Request Execution Reports 8 = Request Next Order Id 9 = Request Contract Details 10 = Request Market Depth 11 = Cancel Market Depth 12 = Request News Bulletins 13 = Cancel News Bulletins 14 = Set Server Log Level Incoming Response Identifiers 1 = Ticker Price 2 = Ticker Size 3 = Order Status 4 = Error Message 5 = Open Order 6 = Account Value 7 = Portfolio Value 8 = Account Update Time 9 = Next Valid Order Id 10 = Contract Details 11 = Execution Report Details 12 = NYSE Open Book Row Entry 13 = Level II Quotes Row Entry 14 = News Bulletin NOTE: this information, along with the various request/response message versions, can be found in the EClientSocket implementation file supplied with the API installation. Copyrights and Trademarks 393 TWS Users' Guide ActiveX ACTIVE X API Copyrights and Trademarks 394 Application Program Interface Link to the application using ActiveX Before you can use third-party ActiveX controls, you must register them with Visual Basic. To link using the ActiveX control and VB, VBA or C++ 1. 2. Drop the application control onto a form or dialog box. Call the following methods: • • Call the connect() method to connect to the running aplication. Call the methods you need to perform whatever operations you require, such as the reqMktData() method to request market data. 3. Call the placeOrder() method to place an order. Orders using extended attributes require that ActiveX properties representing them be set first. 4. Handle the following events: • • • • • Handle the nextValidId() event to receive the next available valid order ID. Increment the ID by one for successive orders. Handle the tickPrice() and tickSize() events to receive the market data. Handle the orderStatus() event to receive status information about orders. Handle the error() event to receive error information. Handle the connectionClosed() event to be notified in case the application stops communicating with the ActiveX control. Copyrights and Trademarks 395 TWS Users' Guide Registering Third Party ActiveX Controls To use a third-party ActiveX control in Visual Basic it must be registered first. To register the ActiveX control with Visual Basic, follow these instructions: 1. 2. 3. From the Components menu in your VB project, select the TWS ActiveX control. Press Apply. Verify that the TWS control appears in the toolbar with all standard controls. Copyrights and Trademarks 396 Application Program Interface ActiveX Events ActiveX events receive information from the system and make it available to an application. The tables below define ActiveX events you can receive. The list of events includes: • • • • • • • • • • • • • • • • • • • • • tickPrice() tickSize() orderStatus() errMsg() connectionClosed() openOrder1() openOrder2() updateAccountValue() updatePortfolio() updateAccountTime() nextValidId() permId() contractDetails() execDetails() updateMktDepth() updateMktDepthL2() updateNewsBulletin() managedAccounts() openOrder3() openOrder4() receiveFA() Event Parameters void tickPrice(long id, long tickType, double price, long canAutoExecute) id - the ticker ID that was specified previously in the call to reqMktData() tickType - specifies the type of price. Possible values are: • • • 1 = bid 2 = ask 4 = last 397 TWS Users' Guide • • • 6 = high 7 = low 9 = close price - could be the bid, ask or last price, the daily high, daily low or last day close, depending on tickType value. canAutoExecute - specifies whether the price tick is available for automatic execution. Possible values are: • • Notes 0 = not eligible for automatic execution 1 = eligible for automatic execution This function is called when the market data changes. Prices are updated immediately with no delay. Event Parameters void tickSize(long id, long tickType, float long size) id - the ticker ID that was specified previously in the call to reqMktData() tickType - specifies the type of price. Possible values are: • • • • 0 = bid size 3 = ask size 5 = last size 8 = volume size - could be the bid size, ask size, last size or trading volume, depending on the tickType value. Notes This function is called when the market data changes. Sizes are updated immediately with no delay. Event void orderStatus(long id, String status, long filled, long remaining, double avgFillPrice, long permId, long parentId, double lastFillPrice, long clientId) id - the order ID that was specified previously in the call to placeOrder() status - the order status. Possible values include: Parameters • PendingSubmit - indicates that you have transmitted the order, but have not yet received confirmation that it has been accepted by the order destination. NOTE: This order status is not sent by the application, and should be explicitly set by the API developer when an order is submitted. • PendingCancel - indicates that you have sent a request to cancel the order but have not yet received cancel confirmation from the order destination. At this point, 398 Application Program Interface your order is not confirmed canceled. You may still receive an execution while your cancellation request is pending. NOTE: This order status is not sent by the system and should be explicitly set by the API developer when an order is canceled. • PreSubmitted - indicates that a simulated order type has been accepted by the system and that this order has yet to be elected. The order is held in the system (and the status remains DARK BLUE) until the election criteria are met. At that time the order is transmitted to the order destination as specified (and the order status color will change). Submitted - indicates that your order has been accepted • • at the order destination and is working. Cancelled - indicates that the balance of your order has been confirmed canceled by the system. This could occur unexpectedly when the destination has rejected your order. Filled - the order has been completely filled. • filled - specifies the number of shares that have been executed. remaining - specifies the number of shares still outstanding. avgFillPrice - the average price of the shares that have been executed. This parameter is valid only if the filled parameter value is greater than zero. Otherwise, the price parameter will be zero. permId - the id used to identify orders. Remains the same over sessions. parentId - The order ID of the parent order, used for bracket and auto trailing stop orders. lastFilledPrice the last price of the shares that have been executed. This parameter is valid only if the filled parameter value is greater than zero. Otherwise, the price parameter will be zero. clientId - The ID of the client who placed the order. Note that application orders have a fixed clientId and orderId of 0 that distinguishes them from API orders. Notes This event is called whenever the status of an order changes. It is also fired after reconnecting if the client has any open orders. Event Parameters void errMsg(long id, long errorCode, String errorString) id- this is the orderId or tickerId of the request that generated the error errorCode - error codes are documented in the Error Codes topic. errorString - this is the textual description of the error, also documented in the Error Codes topic. Notes This event is called when there is an error with the communication or when TWS wants to send a message to the client. 399 TWS Users' Guide Event Parameters Notes void connectionClosed() This event is triggered when TWS closes the sockets connection with the ActiveX control, or when TWS is shut down. Event void openOrder1(long id, string symbol, string secType, string expiry, double strike, string right, string exchange, string currency, string local symbol)See Extended Order Attributes. id - The assigned order id. Use this id to cancel or modify the order. symbol - The underlying symbol. secType - The security type. Valid values are: Parameters • • • • • • STK OPT FUT IND FOP CASH expiry - The expiration date. Use the format YYYYMM. strike - The strike price. right - Specifies a Put or Call. Valid values are: P, PUT, C, CALL. exchange - The order destination, such as Smart. currency - Specifies the currency. This field is only required when the secType = CASH. Otherwise it is ignored. local symbol - the local exchange symbol for the underlying asset. Notes This event sends the contract description of the open order. Event void openOrder2(long id, string action, long quantity, string orderType, double lmtPrice, double auxPrice, string tif, string ocaGroup, string account, string openClose, long origin, string orderRef, long clientId) id - The order id. This is the same value that was passed in openOrder1. action - Identifies the side. Valid values are: BUY, SELL, SSHORT quantity - The order quantity. Parameters 400 Application Program Interface orderType -Identifies the order type. Valid values are: • • • • • • • • • • MKT MKTCLS LMT LMTCLS PEGMKT STP STPLMT TRAIL REL VWAP lmtPrice -This is the limit price, used for Limit, Stop Limit and Relative orders. In all other cases specify zero. For relative orders with no limit price, also specify zero. auxPrice -This is the STOP price for stop limit orders, and the offset amount for relative orders. In all other cases, specify zero. tif -The time in force. Valid values are DAY, GTC, IOC ocaGroup -Identifies a one-cancels-all group. account -The account. For institutional customers only. openClose -Specifies whether the order is an open or close order. For institutional customers only. origin -The order origin. For institutional customers only. Valid values are: 0 = Customer, 1 = Firm. orderRef -The order reference. For institutional customers only. clientId - The ID of the requesting client (or TWS) that placed the order. Note that TWS orders have a fixed clientId and orderId of 0 that distinguishes them from API orders. Notes This event sends the order description of the open order. Event Parameters void updateAccountValue (string key, string value, string currency, string accountName) key- A string that indicates one type of account value. Below are some of the keys sent by TWS. • • • • • • • • Account Type Account Code Available Funds Buying Power CashBalance - Account cash balance Currency - Currency string DayTradesRemaining - Number of day trades left EquityWithLoanValue - Equity with Loan Value 401 TWS Users' Guide • • • • • • • • • • • • • • • • • • • • • • • • • • • • Excess Liquidity Full Available Funds Full Excess Liquidity Full Init Margin Req Full Maint Margin Req Future Option Value Futures PNL Gross Position Value InitMarginReq - Current initial margin requirement Leverage Look Ahead Available Funds Look Ahead Next Change Look Ahead Excess Liquidity Look Ahead Margin Req Look Ahead Maint Margin Req LongOptionValue - Long option value MaintMarginReq - Current maintenance margin NetLiquidation - Net liquidation value OptionMarketValue - Option market value Realized PNL Settled Cash ShortOptionValue - Short option value StockMarketValue - Stock market value Total Cash Balance Total Cash Value UnalteredInitMarginReq - Overnight initial margin requirement UnalteredMaintMarginReq - Overnight maintenance margin requirement Unrealized PNL value- The value associated with the key. currency- Defines the currency of the value, if the value is a monetary amount. account- states the account the message applies to. Useful for Financial Advisor sub-account messages. Notes This event updates a single account value. Event void updatePortfolio (string symbol, string secType, string expiry, double strike, string right, string currency, string localSymbol, long position, double marketPrice, double marketValue, double averageCost, double unrealizedPNL, double realizedPNL, String account) symbol - The symbol of the underlying asset. secType - The security type. Valid values are: Parameters • • STK OPT 402 Application Program Interface • • • • • FUT IND FOP CASH BAG expiry - The expiration date. Use the format YYYYMM. strike - The strike price. right - Specifies a put or call. Valid values are: P, PUT, C, CALL currency - Specifies the currency. This field is only required when the secType = CASH. Otherwise it is ignored. localSymbol - the local exchange symbol of the asset. position - Indicates the position on the contract. If the value is 0, it means the position has just cleared. marketPrice - The unit price of the instrument. marketValue - The total market value of the instrument. averageCost - The average cost per share is calculated by dividing your cost (execution price + commission) by the quantity of your position. unrealizedPNL - The difference between the current market value of your open positions and the average cost, or (Value - Average Cost). realizedPNL- shows your profit on closed positions, which is the difference between your entry execution cost (execution price + commissions to open the position) and exit execution costs (execution price + commissions to close the position). account- states the account the message applies to. Useful for Financial Advisor sub-account messages. Notes This event updates a single holding in your portfolio. Event Parameters Notes void updateAccountTime (string timeStamp) timeStamp -This indicates the last update time of the account information. This event sends the time at which the account values and portfolio market prices were calculated. Event Parameters void nextValidId(long id) id - The next available order ID received from TWS upon connection. Increment all successive orders by one based on this ID. This event is called after a successful connection to TWS. Notes 403 TWS Users' Guide Event Parameters void permId(long id, long permId) id - The next available order ID received from TWS upon connection. Increment all successive orders by one based on this ID. permId - this id will remain the same from session to session This event is always received after an order Status event. It gives the permId for the spsecified order id. The permId will remain the same from session to session. Notes Event void contractDetails(String symbol, String secType, String expiry, double strike, String right, String exchange, String currency, String localsymbol, String marketName, String tradingClass, long conId, double minTick, String multiplier, String orderTypes, String validExchanges) symbol - The underlying symbol. secType - The security type. Valid values are: Parameters • • • • • • STK OPT FUT IND FOP CASH expiry - The expiration date. Use the format YYYYMM. strike - The strike price. right - Specifies a put or call. Valid values are: P, PUT, C, CALL exchange - The order destination, such as Smart. currency - Specifies the currency. This field is only required when the secType = CASH. Otherwise it is ignored. localSymbol - the local exchange symbol of the asset. marketName - the market name for this contract. tradingClass - the trading class name for this contract. condId - the unique contract identifier. 404 Application Program Interface minTick - the minimum price tick. multiplier - the order size multiplier. orderTypes - the list of valid order types for this contract. validExchanges - the list of exchanges on which this contract is traded. Notes This event is fired when the reqContractDetails() or reqContractDetails2() methods are invoked. Event void execDetails (long id, String symbol, String secType, String expiry, double strike, String right, String cExchange, String curency, String localSymbol, String execId, String time, String acctNumber, String side, long shares, double price, long permId, long clientId, int liquidation) id - the order id. This is the same value that was passed in openOrder1. Note: TWS orders have a fixed orderId of 0, which distinguishes them from API client orders. symbol - The underlying symbol. secType - The security type. Valid values are: Parameters • • • • • • STK OPT FUT IND FOP CASH expiry - The expiration date. Use the format YYYYMM. strike - The strike price. right - Specifies a put or call. Valid values are: P, PUT, C, CALL cExchange - The order destination, such as Smart. currency - Specifies the currency. This field is only required when the secType = CASH. Otherwise it is ignored. localSymbol - the local exchange symbol for the underlying asset. execId - the order execution id. time - time of order execution. acctNumber - the customer account number. side - Specifies if the transaction was a purchase or a sale. Valid values are: • • BOT SLD shares - the number of shares filled. price - the order execution price. 405 TWS Users' Guide permId - the TWS id used to identify orders, remains the same over TWS sessions. clientId - The ID of the client that placed the order. Note that TWS orders have a fixed ID of 0. liquidation - specifies whether an execution is the result of a liquidation. Possible values are: • • Notes 0 = execution is not the result of liquidation 1 = execution is the result of a liquidation This event is fired when the reqExecutions() methods is invoked, or when an API order is filled or partially filled. Event Parameters void updateMktDepth(long id, long position, long operation, long side, double price, long size) id - the ticker ID that was specified previously in the call to reqMktDepth() position - specifies the row id of this market depth entry. operation - identifies the how this order should be applied to the market depth. Valid values are:· • • • 0 = insert (insert this new order into the row identified by 'position')· 1 = update (update the existing order in the row identified by 'position')· 2 = delete (delete the existing order at the row identified by 'position') side - identifies the side of the book that this order belongs to. Valid values are: • • 0 = ask 1 = bid price - the order price. size - the order size. Notes This function is called when the market depth changes. Event void updateMktDepthL2(long id, long position, String marketMaker, long operation, long side, double price, long size) id - the ticker ID that was specified previously in the call to reqMktDepth() position - specifies the row id of this market depth entry. marketMaker - specifies the exchange hosting this order. Parameters 406 Application Program Interface operation - identifies the how this order should be applied to the market depth. Valid values are: • • • 0 = insert (insert this new order into the row identified by 'position')· 1 = update (update the existing order in the row identified by 'position')· 2 = delete (delete the existing order at the row identified by 'position') side - identifies the side of the book that this order belongs to. Valid values are: • • 0 = ask 1 = bid price - the order price. size - the order size. Notes This function is called when the Level II market depth changes. Event void updateNewsBulletin(short msgId, short msgType, String message, String origExchange) msgId - the bulletin ID, increments for each new bulletin. msgType - specifies the type of bulletin. Valid values include: 1 = Regular IB news bulletin 2 = Exchange no longer available for trading. 3 = Exchange is available for trading. Parameters message - the bulletins message text. origExchange - the exchange from which this message originated. Notes This event is triggered for each new bulletin if the client has subscribed (i.e. by calling the reqNewsBulletins() method). 407 TWS Users' Guide Event Parameters Notes void managedAccounts(string accountsList) accountsList - the comma delimited list of FA-managed accounts. This event id is fired when a successful connection is made to a Financial Advisor account. It is also fired when the reqManagedAccts() method is invoked. Event void openOrder3(long id, string symbol, string secType, string expiry, double strike, string right, string exchange, string currency, string local symbol, string action, long quantity, string orderType, double lmtPrice, doubleAuxPrice, str tif, str ocaGroup, str account, str openclose, long origin, string orderRef, long clientId, long permId, string sharesAllocation, string faGroup, string faMethod, string faPercentage, string faProfile, string goodAfterTime, string goodTillDate)See Extended Order Attributes. id - The assigned order id. Use this id to cancel or modify the order. symbol - The underlying symbol. secType - The security type. Valid values are: Parameters • • • • • • STK OPT FUT IND FOP CASH expiry - The expiration date. Use the format YYYYMM. strike - The strike price. right - Specifies a Put or Call. Valid values are: P, PUT, C, CALL. exchange - The order destination, such as Smart. currency - Specifies the currency. This field is only required when the secType = CASH. Otherwise it is ignored. local symbol - the local exchange symbol for the underlying asset. action - Identifies the side. Valid values are: BUY, SELL, SSHORT quantity - The size of the order. orderType - Identifies the order type. Valid values are: • • MKT MKTCLS 408 Application Program Interface • • • • • • • • LMT LMTCLS PEGMKT STP STPLMT TRAIL REL VWAP lmtPrice - This is the limit price, used for Limit, Stop Limit and Relative orders. In all other cases specify zero. For relative orders with no limit price, also specify zero. AuxPrice - This is the STOP price for stop limit orders, and the offset amount for relative orders. In all other cases, specify zero. Notes This event sends the contract description of the open order. Event void openOrder4(long id, string symbol, string secType, string expiry, double strike, string right, string exchange, string currency, string local symbol, string action, long quantity, string orderType, double lmtPrice, doubleAuxPrice, str tif, str ocaGroup, str account, str openclose, long origin, string orderRef, long clientId, long permId, string sharesAllocation, string faGroup, string faMethod, string faPercentage, string faProfile, string goodAfterTime, string goodTillDate, long ocaType, int rthOnly, string rule80A, string settlingFirm, int allOrNone, long minQty, double percentOffset, int eTradeOnly, int firmQuoteOnly, double nbboPriceCap, long auctionStragegy, double startingPrice, doublestockRefPrice, double delta, double stockRangeLower, double stockRangeUpper, int blockOrder, int sweepToFill, int ignoreRth, int hidden, double discretionaryAmt, long displaySize, long parentId, long triggerMethod, long shortSaleSlot, string designatedLocation)See Extended Order Attributes. id - The assigned order id. Use this id to cancel or modify the order. symbol - The underlying symbol. secType - The security type. Valid values are: Parameters • • • • • STK OPT FUT IND FOP 409 TWS Users' Guide • CASH expiry - The expiration date. Use the format YYYYMM. strike - The strike price. right - Specifies a Put or Call. Valid values are: P, PUT, C, CALL. exchange - The order destination, such as Smart. currency - Specifies the currency. This field is only required when the secType = CASH. Otherwise it is ignored. local symbol - the local exchange symbol for the underlying asset. action - Identifies the side. Valid values are: BUY, SELL, SSHORT quantity - The size of the order. orderType - Identifies the order type. Valid values are: • • • • • • • • • • MKT MKTCLS LMT LMTCLS PEGMKT STP STPLMT TRAIL REL VWAP lmtPrice - This is the limit price, used for Limit, Stop Limit and Relative orders. In all other cases specify zero. For relative orders with no limit price, also specify zero. AuxPrice - This is the STOP price for stop limit orders, and the offset amount for relative orders. In all other cases, specify zero. Notes This event sends the contract description of the open order. Event receiveFA(long faDataType, string XML) 410 Application Program Interface Parameters faDataType - specifies the type of Financial Advisor configuration data being received from TWS. Valid values include: 1 = GROUPS 2 = PROFILE 3 =ACCOUNT ALIASES XML- the XML string containing the previously requested FA configuration information. Notes This event receives previously requested FA configuration information from TWS. Copyrights and Trademarks 411 TWS Users' Guide ActiveX Methods ActiveX methods allow an application to call functions in another application. The tables below define the ActiveX methods you can call when connected. The list of methods includes: • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • connect() disconnect() reqMktData() reqMktData2() cancelMktData() placeOrder() placeOrder2() cancelOrder() reqOpenOrders() reqAccountUpdates() reqExecutions() reqIds() reqContractDetails() reqContractDetails2() reqMktDepth() reqMktDepth2() cancelMktDepth() addComboLeg() clearComboLegs() reqNewsBulletins() cancelNewsBulletins() setLogLevel() reqAllOpenOrders() reqAutoOpenOrders() reqManagedAccts() reqAccountUpdates() requestFA() replaceFA() requestHistoricalData() OpenOrder4() 412 Application Program Interface Method Parameters void connect(String host, long port, long clientId) host - host name or IP address of the machine where the application is running. Leave blank to connect to the local host. port - must match the port specified on the Configure>API>Socket Port field. clientId - A number used to identify this client connection. All orders placed/modified from this client will be associated with this client identifier. Note: Each client MUST connect with a unique clientId. Notes This method must be called before any other method. There is no feedback for a successful connection, but a subsequent attempt to connect will return the message "Already connected." Method Parameters Notes void disconnect() Call this method to terminate the connections the host application. Calling this method does not cancel orders that have already been sent. Method void reqMktData(long id, String symbol, String secType, String expiry, double strike, String right, String multiplier String exchange, String currency) Parameters id - the ticker id. Must be a unique value. When the market data returns, it will be identified by this tag. This is also used when canceling the market data. symbol - the symbol of the underlying for which you are requesting market data. secType - the security type. Valid values are: • • • • • • STK OPT FUT IND FOP CASH expiry - the expiration data. Use the format YYYYMM. 413 TWS Users' Guide strike - the strike price. right - specifies a Put or Call. Valid values are: P, PUT, C, CALL. multiplier - allows you to specify a futures or options multiplier in cases where multiple possibilities exist. exchange - the order destination, such as Smart. currency - specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. Notes Call this method to request market data. The market data will be returned by the tickPrice and tickSize events. Method void reqMktData2(long id, String localSymbol, String secType, String exchange, String currency) Parameters id - the ticker id. Must be a unique value. When the market data returns, it will be identified by this tag. This is also used when canceling the market data. localSymbol - the local exchange symbol of the underlying for which you are requesting market data. secType - the security type. Valid values are: • • • • • • STK OPT FUT IND FOP CASH exchange - the order destination, such as SMART. currency - specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. Notes Call this method to request market data using the exchange symbol. The market data will be returned by the tickPrice and tickSize events. 414 Application Program Interface Method Parameters Notes void cancelMktData(long id) id- the ID that was specified in the call to reqMktData(). After calling this method, market data for the specified id will stop flowing. Method void placeOrder(long id, String action, long quantity, String symbol, String secType, String expiry, double strike, String right,String multiplier, String exchange, String currency, String orderType, double lmtprice, double auxPrice, String goodAfterTime, String faGroup, String faMethod, String faPercentage, String faProfile, String goodTillDate) See Extended Order Attributes. id - the order id. You must specify a unique value. When the order status returns, it will be identified by this tag. This tag is also used when canceling the order. action - identifies the side. Valid values are: Parameters • • • BUY SELL SSHORT quantity - The order quantity. symbol - the symbol of the underlying asset. secType - the security type. Valid values are: • • • • • STK OPT FUT FOP CASH expiry - the expiration date. Use the format YYYYMM. strike - the strike price right - specifies a Put or Call. Valid values are: P, PUT, C, CALL. multiplier - allows you to specify a futures or options multiplier in cases where multiple possibilities exist. exchange - the order destination, such as Smart. currency - specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. 415 TWS Users' Guide orderType - identifies the order type. Valid values are: • • • • • • • • • • MKT MKTCLS LMT LMTCLS PEGMKT STP STPLMT TRAIL REL VWAP lmtPrice - the LIMIT price, used for limit, stop-limit and relative orders. In all other cases specify zero. For relative orders with no limit price, also specify zero. auxPrice - identifies the STOP price for stop-limit orders, and the offset amount for relative orders. In all other cases, specify zero. goodAfterTime - specifies that the order becomes active after the time set. Send an empty string if not applicable. faGroup - specifies the order's "Financial Advisor Group." Send an empty string if not an FA. faMethod - specifies the order's "Financial Advisor Allocation Method." Send an empty string if not an FA. faPercentage - specifies the order's "Financial Advisor Percentage." Send an empty string if not an FA. faProfile - specifies the order's "Financial Advisor Profile." Send an empty string if not an FA. goodTillDate - specifies the order's "Good Till Date." Send an empty string if not applicable. Notes Call this method to place an order. The order status will be returned by the orderStatus event. For more details see Active X Properties. Method void placeOrder2(long id, String action, long quantity, String localSymbol, String secType, String exchange, String currency, String orderType, double lmtprice, double auxPrice, String goodAfterTime, String faGroup, String faMethod, String faPercentage, String faProfile, String goodTillDate) id - the order id. You must specify a unique value. When the order status returns, it will be identified by this tag. This tag is also used when canceling the order. Parameters 416 Application Program Interface action - identifies the side. Valid values are: • • • BUY SELL SSHORT quantity - The order quantity. localSymbol - the local exchange symbol of the underlying asset. secType - the security type. Valid values are: • • • • • STK OPT FUT FOP CASH exchange - the order destination, such as Smart. currency - specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. 417 TWS Users' Guide orderType - identifies the order type. Valid values are: • • • • • • • • • • MKT MKTCLS LMT LMTCLS PEGMKT STP STPLMT TRAIL REL VWAP lmtPrice - the LIMIT price, used for limit, stop-limit and relative orders. In all other cases specify zero. For relative orders with no limit price, also specify zero. auxPrice - identifies the STOP price for stop-limit orders, and the offset amount for relative orders. In all other cases, specify zero. goodAfterTime - specifies that the order becomes active after the time set. Send an empty string if not applicable. faGroup - specifies the order's "Financial Advisor Group." Send an empty string if not an FA. faMethod - specifies the order's "Financial Advisor Allocation Method." Send an empty string if not an FA. faPercentage - specifies the order's "Financial Advisor Percentage." Send an empty string if not an FA. faProfile - specifies the order's "Financial Advisor Profile." Send an empty string if not an FA. goodTillDate - specifies the order's "Good Till Date." Send an empty string if not applicable. Notes Call this method to place an order using the exchange symbol. The order status will be returned by the orderStatus event. Method void cancelOrder(long id) 418 Application Program Interface Parameters Notes id- the order ID that was specified previously in the call to placeOrder() Call this method to cancel an order. Method Parameters Notes reqOpenOrders() Call this method to request the open orders that were p, laced from this client. Each open order will be fed back through the openOrder1(), openOrder2(), openOrder3(), and orderStatus() events. NOTE: The client with a clientId of 0 will also receive the application-owned open orders. These orders will be associated with the client and a new orderId will be generated. This association will persist over multiple API and application sessions. Method Parameters Notes reqAllOpenOrders() Call this method to request the open orders that were placed from all clients and also from the application. Each open order will be fed back through the openOrder1(), openOrder2(), openOrder3(), and orderStatus() events. NOTE: No association is made between the returned orders and the requesting client. Method Parameters reqAutoOpenOrders(boolean bAutoBind) bAutoBind - If set to TRUE, newly created application orders will be implicitly associated with the client. If set to FALSE, no association will be made. Call this method to request that newly created application orders be implicitly associated with the client. When a new application order is created, the order will be associated with the client, and fed back through the openOrder1(), openOrder2(), and orderStatus() events. NOTE: This request can only be made from a client with a clientId of 0. Notes 419 TWS Users' Guide Method Parameters Notes reqExecutions() When this method is called, all execution reports are downloaded to the client via the the execDetails event. Method Parameters Notes void reqIds(int numIds) numIds - the number of ids you want to reserve. Call this function to request the next valid ID that can be used when placing an order. After calling this method, the nextValidId() event will be triggered, and the id returned is that next valid ID. That ID will reflect any autobinding that has occurred (which generates new IDs and increments the next valid ID therein). Method void reqContractDetails(String symbol, String secType, String expiry, double strike, String right, String multiplier, String exchange, String currency) Parameters symbol - the symbol of the underlying for which you are requesting market data. secType - the security type. Valid values are: • • • • • • STK OPT FUT IND FOP CASH expiry - the expiration data. Use the format YYYYMM. strike - the strike price. right - specifies a Put or Call. Valid values are: P, PUT, C, CALL. 420 Application Program Interface multiplier - allows you to specify a futures or options multiplier in cases where multiple possibilities exist. exchange - the order destination, such as SMART. currency - specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. Notes Call this method to request details for a particular underlying or security. The contract details data will be returned by the contractDetails event. Method void reqContractDetails2(String localSymbol, String secType,String exchange, String currency) localSymbol - the local exchange symbol of the underlying for which you are requesting market data. secType - the security type. Valid values are: Parameters • • • • • • STK OPT FUT IND FOP CASH exchange - the order destination, such as SMART. currency - specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. Notes Call this method to request details for a particular security using the exchange symbol. The contract details data will be returned by the contractDetails event. 421 TWS Users' Guide Method void reqMktDepth(long id, String symbol, String secType, String expiry, double strike, String right, String multiplier, String exchange, String curency, String number of Rows Subscribed to) id - the ticker id. Must be a unique value. When the market data returns, it will be identified by this tag. This is also used when canceling the market data. symbol - the symbol of the underlying for which you are requesting market data. secType - the security type. Valid values are: Parameters • • • • • • STK OPT FUT IND FOP CASH expiry - the expiration data. Use the format YYYYMM. strike - the strike price. right - specifies a Put or Call. Valid values are: P, PUT, C, CALL. multiplier - allows you to specify a futures or options multiplier in cases where multiple possibilities exist. exchange - the order destination, such as SMART. curency - specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. number or rows subscribed to - specifies the number of market depth rows you want to display. Notes Call this method to request market depth details for a particular underlying or security. The market depth data will be returned by the updateMktDepth and updateMktDepthL2 events. 422 Application Program Interface Method void reqMktDepth2(long id, String localSymbol, String secType, String exchange, String curency) id - the ticker id. Must be a unique value. When the market data returns, it will be identified by this tag. This is also used when canceling the market data. localSymbol - the local exchange symbol of the underlying for which you are requesting market data. secType - the security type. Valid values are: Parameters • • • • • • STK OPT FUT IND FOP CASH exchange - the order destination, such as SMART. curency - specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. Notes Call this method to request market depth details for a particular underlying or security. The market depth data will be returned by the updateMktDepth and updateMktDepthL2 events. Method Parameters Notes void cancelMktDepth (long id) id - the ID that was specified in the call to reqMktDepth() or reqMktDepth2(). After calling this method, market depth for the specified id will stop flowing. 423 TWS Users' Guide Method void addComboLeg(long conid, String action, long ratio, String exchange, long openClose)) conid - the unique contract identifier specifying the security. action- Select the side (buy or sell) for the leg you are constructing. ratio- Select the relative number of contracts for the leg you are constructing. To help determine the ratio for a specific combination order, use Interactive Analytics (see Interactive Analytics in the User's Guide). exchange- The exchange to which the complete combination order will be routed. openClose- Specifies whether the order is an open or close order. Valid values are: Parameters • • • Same - (0) same as the parent security. This is the only option for retail customers. Open - (1) This option is for Institutional Customers only. Close - (2) This option is for Institutional Customers only. Notes This method adds a leg definition to an order and must be called for each leg before the combination order can be placed. NOTE: Combination orders must have a secType of 'BAG." Method Parameters Notes void clearComboLegs() This method must be called to remove all leg definitions from a combination order before constructing a new combination order. Method Parameters void reqNewsBulletins(boolean AllMsgs) allMsgs - if set to TRUE, returns all the existing bulletins for the current day and any new ones. If set to FALSE, will only return new bulletins. 424 Application Program Interface Notes Call this method to start receiving news bulletins. Each bulletin will be returned by the updateNewsBulletin() event. Method Parameters Notes void cancelNewsBulletins()) Call this method to stop receiving news bulletins. Method Parameters void setLogLevel(long logLevel) logLevel - specifies the level of log entry detail used by the server when processing API requests. Valid values include: 1 = SYSTEM 2 = ERROR 3 = WARNING 4 = INFORMATION 5 = DETAIL Notes The default level is ERROR. Refer to the API logging page for more details. Method Parameters Notes reqManagedAccts() Call this method to request the list of managed accounts. The list will be returned by the managedAccounts() event. Note: This request can only be made when connected to a Financial Advisor account. 425 TWS Users' Guide Method Parameters reqAccountUpdates(boolean subscribe, string acctCode) subscribe - If set to TRUE, the client will start receiving account and portfolio updates. If set to FALSE, the client will stop receiving this information. acctCode- the account code for which to receive account and portfolio updates. Notes Call this method to request account updates. The account data will be fed back through the updateAccountTime, updateAccountValue and update Portfolio events. Method Parameters requestFA(long faDataType) faDataType - specifies the type of Financial Advisor configuration data being requested. Valid values include: 1 = GROUPS 2 = PROFILE 3 =ACCOUNT ALIASES Notes Call this method to request FA configuration information from the server. The data returns in an XML string via a "receiveFA" ActiveX event. Method Parameters replaceFA(long faDataType, string XML) faDataType - specifies the type of Financial Advisor configuration data being modified via the API. Valid values include: 1 = GROUPS 2 = PROFILE 3 =ACCOUNT ALIASES XML- the XML string containing the new FA configuration information. Notes Call this method to modify FA configuration information from the API. Note that this can also be done manually. 426 Application Program Interface Method void reqHistoricalData(long id, String symbol, String secType, String expiry, double strike, String right, String multiplier, String exchange, String curency, String endDateTime, String durationStr, long barSizeSetting, String whatToShow, long useRTH, long formatDate) id - the ticker id. Must be a unique value. When the market data returns, it will be identified by this tag. This is also used when canceling the market data. symbol - the symbol of the underlying for which you are requesting market data. secType - the security type. Valid values are: Parameters • • • • • • STK OPT FUT IND FOP CASH expiry - the expiration data. Use the format YYYYMM. strike - the strike price. right - specifies a Put or Call. Valid values are: P, PUT, C, CALL. multiplier - allows you to specify a futures or options multiplier in cases where multiple possibilities exist. exchange - the order destination, such as Smart. curency - specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. endDateTime - defines a query end date and time at any point during the past 6 mos. Valid values include any date/time within the past six months in the format: yyyymmdd HH:mm:ss zzz where "zzz" is the optional time zone. durationStr - set the query duration up to one week, using a time unit of seconds, days or weeks. Valid values include any integer followed by a space and then S(seconds), D (days) or W (week). If no unit is specified, seconds is used. barSizeSetting - specifies the size of the bars that will be returned (within IB/TWS limits). Valid values include: 427 TWS Users' Guide 1 sec 5 sec 15 sec 30 sec 1 minute 2 minutes 5 minutes 15 minutes 30 minutes 1 hour 1 2 3 4 5 6 7 8 9 10 whatToShow - determines the nature of data being extracted. Valid values include: • • • • • TRADES MIDPOINT BID ASK BID/ASK useRTH - determines whether to return all data available during the requested time span, or only data that falls within regular trading hours. Valid values include: • • 0 - all data is returned even where the market in question was outside of its regular trading hours. 1 - only data within the regular trading hours is returned, even if the requested time span falls partially or completely outside of the RTH. formatDate - determines the date format applied to returned bars. Valid values include: • • 1 - dates applying to bars returned in the format: yyyymmdd{space}{space}hh:mm:dd 2 - dates are returned as a long integer specifying the number of seconds since 1/1/1970 GMT. Notes 428 Application Program Interface Method void openOrder4 (long id, BSTR symbol, BSTR secType, BSTR expiry, double strike, BSTR right, BSTR exchange, BSTR curency, BSTR localSymbol, BSTR action, long quantity, BSTR orderType, double lmtPrice, double auxPrice, BSTR tif, BSTR ocaGroup, BSTR account, BSTR openClose, long origin, BSTR orderRef, long clientId, long permId, BSTR sharesAllocation, BSTR faGroup, BSTR faMethod, BSTR faPercentage, BSTR faProfile, BSTR goodAfterTime, BSTR goodTillDate, long ocaType, int rthOnly, BSTR rule80A, BSTR settlingFirm, int allOrNone, long minQty, double percentOffset, int eTradeOnly, int firmQuoteOnly, double nbboPriceCap, long auctionStrategy, double startingPrice, double stockRefPrice, double delta, double stockRangeLower, double stockRangeUpper, int blockOrder, int sweepToFill, int ignoreRth, int hidden, double discretionaryAmt, long displaySize, long parentId, long triggerMethod, long shortSaleSlot, BSTR designatedLocation)) Parameters 429 TWS Users' Guide Notes Copyrights and Trademarks 430 Application Program Interface Place a Combination Order A combination order is a special type of order that is constructed of many separate legs but executed as a single transaction. To buy a calendar spread you would: • • Buy 1 OPT JUL03 17.5 CALL (100) Sell 1 OPT AUG03 17.5 CALL (100) The following example walks you through the steps to place a hypothetical calendar spread order for XYZ on ISE: 1. Get the contract IDs for both leg definitions. • • 2. Call the reqContractDetails("XYZ", "OPT", 200305, 17.5, "C", "ISE", "") ActiveX method to get the contract id. The conid returned is 12345678. Call the reqContractDetails("XYZ", "OPT", 200304, 17.5, "C", "ISE", "") ActiveX method to get the contract id. The conid returned is 12345679. Add the first leg. • 3. Call the 'addComboLeg(12345678, 1, "BUY", "ISE", 0) ActiveX method to add the leg definition to the order. Add the second leg. • 4. Call the 'addComboLeg(12345679, 1, "SELL", "ISE", 0) ActiveX method to add the leg definition to the order. Set and send the combination order details. • Call the 'placeOrder(10, "BUY", 1, "XYZ", "BAG", "", 0, "", "ISE", "", "LMT", 1, 0, "", "", "", "", "", "")' ActiveX method to place the order. NOTE: For combination orders, the secType must always be set to 'BAG'. If the order legs do not constitute a valid combination, one of the following errors will be returned: 312 = The combo details are invalid. 313 = The combo details for '' are invalid. 314 = Security type 'BAG' requires combo leg details. 315 = Stock combo legs are restricted to SMART exchange. NOTES: (1) The exchange for the leg definition must match that of the combination order. The exception is for a STK leg definition, which must specify the SMART exchange. (2) The openClose leg definition value is always 'SAME' (i.e.0) for retail accounts. For institutional accounts, the value may be any of the following: (SAME, OPEN, CLOSE). 431 TWS Users' Guide For more information on Combination orders, see the user guide topics Combination Orders and Notes on Combination Orders. Copyrights and Trademarks 432 Application Program Interface ActiveX Properties The table below defines properties you can use when connecting to a server using ActiveX. Property String tif boolean transmit String oca String account String orderRef long origin String openClose long parentId boolean blockOrder boolean sweepToFill long displaySize Description The time in force. Valid values are: DAY, GTC, IOC, GTD Specifies whether the order will be transmitted by the server. If set to false, the order will be created but will not be sent. Identifies an OCA (one cancels all) group. Identifies the account. For institutional customers only. Customer-defined order identification field. Enter a reference string to help identify orders. Identifies the order origin. For institutional customers only. Valid values are: 0 = customer, 1 = firm Specifies whether the order is an open or close. For institutional customers only. Valid values are O, C. The order ID of the parent order, used for bracket and auto trailing stop orders. If set to true, specifies that the order is an ISE Block order. If set to true, specifies that the order is a Sweep-to-Fill order. The publicly disclosed order size, used when placing Iceberg orders. Specifies how Simulated Stop, Stop-Limit and Trailing Stop orders are triggered. Valid values are: O - the default value. The "double bid/ask" method will be used for orders for OTC stocks and US options. All other orders will used the "last" method. 1 - use "double bid/ask" method, where stop orders are triggered based on two consecutive bid or ask prices. 2 - "last" method, where stop orders are triggered based on the last price. boolean ignoreRth boolean hidden String sharesAllocation long clientIdFilter String acctCodeFilter If set to true, allows triggering of orders outside of regular trading hours. If set to true, the order will not be visible when viewing the market depth. this option only works with orders routed to the ISLAND exchange. Deprecated. Upgrade to new FA functionality must be done. Filter the results of the reqExecutions() method based on the clientId. Filter the results of the reqExecutions() method based on an account code. long triggerMethod 433 TWS Users' Guide Property String timeFilter String symbolFilter Description Note: this is only relevant for FA managed accounts. Filter the results of the reqExecutions() method based on execution reports received after the specified time. Filter the results of the reqExecutions() method based on the order symbol. Filter the results of the reqExecutions() method based on the order security type. String secTypeFilter Note: Refer to the ActiveX methods section for the list of valid security types. String exchangeFilter Filter the results of the reqExecutions() method based on the order exchange. Filter the results of the reqExecutions() method based on the order action. String sideFilter Note: Refer to the ActiveX methods sections for the list of valid order actions. double discretionaryAmt long shortSaleSlot String designatedLocation String goodAfterTime Set an order's discretionary amount. Valid values include 1 or 2. Only valid when shortSaleSlot value = 2. The trade's "Good After Time," format "YYYYMMDD hh:mm:ss (optional time zone)" Use an empty String if not applicable. You must enter a tif value of GTD. The trade's "Good Till Date," format "YYYYMMDD hh:mm:ss (optional time zone)" Use an empty String if not applicable. long ocaType boolean rthOnly Cancel on Fill with Block = 1 Reduce on Fill with Block = 2 Reduce on Fill without Block = 3 Regular trading hours only. 0 = no 1 = yes. Individual = 'I' Agency = 'A', AgentOtherMember = 'W' IndividualPTIA = 'J' String rule80A AgencyPTIA = 'U' AgentOtherMemberPTIA = 'M' IndividualPT = 'K' AgencyPT = 'Y' AgentOtherMemberPT = 'N' String settlingFirm boolean allOrNone long minQty double percentOffset boolean eTradeOnly Institutional only. 0 = no, 1 = yes Identifies a minimum quantity order type. The percent offset for relative orders. Trade with electronic quotes. yes = 1, no = 0 String goodTillDate 434 Application Program Interface Property boolean firmquoteOnly double nbboPriceCap Description Trade with firm quotes. yes = 1, no = 0 Maximum Smart order distance from the NBBO. match = 1 improvement = 2 transparent = 3 For orders on BOX only. Starting price. For BOX orders only. The stock reference price. For BOX orders only. The stock delta. For BOX orders only. The lower value of the acceptable stock range. For BOX orders only. The upper value of the acceptable stock range. For BOX orders only. Server Version. long auctionStrategy double startingPrice double stockRefPrice double delta double stockRangeLower double stockRangeUpper long serverVersion String TwsConnectionTime Connection time. NOTE: The filter properties may be combined in any combination to further reduce the results of the reqExecutions() method. Copyrights and Trademarks 435 TWS Users' Guide Use the Visual Basic VBClient Sample Program You can access the server through the ActiveX interface using the Visual Basic sample application. To run the sample you must: • • • Install the API sample programs Configure the application to support the API components Have MS Visual Studio (Visual Basic 6.0 or higher) installed on your PC. The VBClient program is a sample program that shows you how to use the TWS ActiveX control to connect to the server from a Visual Basic application. To use the VBClient program 1. 2. 3. 4. From MS Visual Basic, open the project file VB_API_sample.vbp. On the Projects menu, select Components. In the Components dialog box, select TWS ActiveXControl module and click OK. Press Ctrl + F5 to compile and run the project. Copyrights and Trademarks 436 Application Program Interface C++ C++ API Copyrights and Trademarks 437 TWS Users' Guide Link to TWS using the TwsSocketClient dll To link to TWS using the TwsSocketClient.dll 1. 2. 3. Create a Windows application using MS Visual Studio (version 5.0 or higher). Add C :\jts\SocketClient\include to your project's include path. This should be done for any individual project that accesses the TwsSocketClient library's header files. Add the C :\jts\SocketClient\lib\TwsSocketclient.lib file to your project's libraries path. This should be done for any individual project that accesses the TwsSocketClient library. Include EWrapper.h and EClientSocket.h in any Visual C++ source code that accesses their functionality and data structures. Subclass the EWrapper class. Override the following functions: 4. 5. 6. • • • • 7. 8. Override tickPrice() and tickSize() functions to handle the market data. Override the orderStatus() function to receive order status. Override the error() and winError() functions to receive error information. Override the connectionsClosed() function to be notified when TWS terminates the connection. Instantiate the EClientSocket class. Call the following functions: • • • • • • Call the connect() function to connect to TWS. Call the reqMktData() function to request market data. Call the placeOrder() function to place an order. Call the checkMessages() function frequently (every 1 second) to process data received from TWS. Call the reqOpenOrders() function to request open orders. Call the reqAccountUpdates() function to request account data. To run the program, ensure that the TwsSocketClient.dll is in the same directory as your executable, or in your path. By default, the TwsSocketClient.dll file installs into your C:\Windows\system or C:\WINNT\system32 directory. Copyrights and Trademarks 438 Application Program Interface Use the C++ TestSocketClient Sample Program You can access TWS through a Microsoft Windows-based C++ application using the TWSSocketClient.dll component. Before you can connect to TWS using the SocketClient component, you must: • • • Install the socketclient component and sample programs Configure TWS to support the API components Have Microsoft Visual Studio (Visual C++ 5.0 or higher) installed on your PC. The TestSocketClient program is a sample program that shows you how to use sockets to connect to TWS from a Microsoft Windows-based C++ application. To use the TestSocketClient program • • From Microsoft Visual C++, open the project file client2.dsp from the c:/jts/TestSocketClient directory. Build that project, and run it. Copyrights and Trademarks 439 TWS Users' Guide Class EClientSocket Functions The tables below define the class EClientSocket functions you can use when connecting to TWS. The list of functions includes: • • • • • • • • • • • • • • • • • • • • • • • • • • EClientSocket() eConnect() eDisconnect() reqMktData() cancelMktData() placeOrder() cancelOrder() checkMessages() reqOpenOrders() reqAccountUpdates() reqExecutions() reqIds () reqContractDetails() reqMktDepth() cancelMktDepth() reqNewsBulletins() cancelNewsBulletins() setLogLevel() reqAllOpenOrders() reqAutoOpenOrders() reqManagedAccts() requestFA() replaceFA() reqHistoricalData() serverVersion() TwsConnectionTime() Function Parameters EClientSocket( EWrapper *ptr) ptr- the pointer to an object that was derived from the EWrapper base class. 440 Application Program Interface Notes This is the constructor. Function Parameters bool eConnect( const char *host, UINT port, int clientId=0) host - host name or IP address of the machine where TWS is running. Leave blank to connect to the local host. port - must match the port specified in TWS on the Configure>API>Socket Port field. clientId - A number used to identify this client connection. All orders placed/modified from this client will be associated with this client identifier. Note: Each client MUST connect with a unique clientId. Notes This function must be called before any other. There is no feedback for a successful connection, but a subsequent attempt to connect will return the message "Already connected." Function Parameters Notes void eDisconnect() ptr- the pointer to an object that was derived from the EWrapper base class. Call this method to terminate the connections with TWS. Calling this method does not cancel orders that have already been sent. Function Parameters void reqMktData(TickerID id, const Contract &contract) id - the ticker id. Must be a unique value. When the market data returns, it will be identified by this tag. This is also used when canceling the market data. contract- this structure contains a description of the contract for which market data is being requested. Notes Call this method to request market data. The market data will be returned by the tickPrice and tickSize events. 441 TWS Users' Guide Function Parameters Notes void cancelMktData(TickerID id) id- the ID that was specified in the call to reqMktData(). After calling this method, market data for the specified id will stop flowing. Function Parameters void placeOrder( OrderID id, const Contract &contract, const Order &order)See Extended Order Attributes. id - the order id. You must specify a unique value. When the order status returns, it will be identified by this tag. This tag is also used when canceling the order. contract - this structure contains a description of the contract which is being traded. order - this structure contains the details of the order.Note: Each client MUST connect with a unique clientId. Notes Call this method to place an order. The order status will be returned by the orderStatus event. Function Parameters Notes void cancelOrder(OrderID id) id- the order ID that was specified previously in the call to placeOrder() Call this method to cancel an order. Function void checkMessages() 442 Application Program Interface Parameters Notes This method should be called frequently (every 1 second) to check for messages received from TWS. Function Parameters Notes void reqOpenOrders() Call this method to request the open orders that were placed from this client. Each open order will be fed back through the openOrder() and orderStatus() functions on the EWrapper. Note: The client with a clientId of 0 will also receive the TWS-owned open orders. These orders will be associated with the client and a new orderId will be generated. This association will persist over multiple API and TWS sessions. Function Parameters void reqAccountUpdates(bool subscribe, const CString& acctCode) subscribe - If set to TRUE, the client will start receiving account and portfolio updates. If set to FALSE, the client will stop receiving this information. acctCode - the account code for which to receive account and portfolio updates. Notes Call this function to start getting account values, portfolio, and last update time information. Function Parameters void reqExecutions(const ExecutionFilter& filter) filter - the filter criteria used to determine which execution reports are returned. 443 TWS Users' Guide Notes When this method is called, the execution reports that meet the filter criteria are downloaded to the client via the execDetails() method. Function Parameters Notes void reqIds(int numIds) numIds - the number of ids you want to reserve. Call this function to request from TWS the next valid ID that can be used when placing an order. After calling this method, the nextValidId() event will be triggered, and the id returned is that next valid ID. That ID will reflect any autobinding that has occurred (which generates new IDs and increments the next valid ID therein). Function Parameters Notes void reqContractDetails (const Contract &contract) Contract- summary description of the contract being looked up. Call this function to download all details for a particular underlying. The contract details will be received via the contractDetails() function on the EWrapper. Function Parameters void reqMktDepth (TickerID id, const Contract &contract, number or rows subscribed to) id - the ticker id. Must be a unique value. When the market depth data returns, it will be identified by this tag. This is also used when canceling the market depth contract- this structure contains a description of the contract for which market depth data is being requested. number of rows subscribed to - specified the number of market depth rows to display. 444 Application Program Interface Notes Call this method to request market depth for a specific contract. The market depth will be returned by the updateMktDepth() and updateMktDepthL2() events. Function Parameters Notes void cancelMktDepth (TickerID id) id - the ID that was specified in the call to reqMktDepth(). After calling this method, market depth data for the specified id will stop flowing. Function Parameters void reqNewsBulletins(bool allMsgs) allMsgs- if set to TRUE, returns all the existing bulletins for the current day and any new ones. If set to FALSE, will only return new bulletins. Call this method to start receiving news bulletins. Each bulletin will be returned by the updatedNewsBulletin() event. Notes Function Parameters Notes void cancelNewsBulletins() Call this method to stop receiving news bulletins. Function void setLogLevel(int logLevel) 445 TWS Users' Guide Parameters logLevel - specifies the level of log entry detail used by the server (TWS) when processing API requests. Valid values include: 1 = SYSTEM 2 = ERROR 3 = WARNING 4 = INFORMATION 5 = DETAIL Notes The default detail level is ERROR. Refer to the API Logging page for more details. Function Parameters Notes void reqAllOpenOrders() Call this method to request the open orders placed from all clients and also from TWS. Each open order will be fed back through the openOrder() and orderStatus() functions on the EWrapper. Note: No association is made between the returned orders and the requesting client. Function Parameters reqAutoOpenOrders (bool bAutoBind) bAutoBind - If set to TRUE, newly created TWS orders will be implicitly associated with the client. If set to FALSE, no association will be made. Call this method to request that newly created TWS orders be implicitly associated with the client. When a new TWS order is created, the order will be associated with the client, and fed back through the openOrder() and orderStatus() functions on the EWrapper. Note: This request can only be made from a client with clientId of 0. Notes 446 Application Program Interface Function Parameters Notes void reqManagedAccts() Call this method to request the list of managed accounts. The list will be returned by the managedAccounts() function on the EWrapper. Note: This request can only be made when connected to a FA managed account. Function Parameters requestFA(long faDataType) faDataType - specifies the type of Financial Advisor configuration data being requested. Valid values include: 1 = GROUPS 2 = PROFILE 3 = ACCOUNT ALIASES Notes Call this method to request FA configuration information from TWS. The data returns in an XML string via a "receiveFA" ActiveX event. Function Parameters replaceFA(long faDataType, string XML) faDataType - specifies the type of Financial Advisor configuration data being modified via the API. Valid values include: 1 = GROUPS 2 = PROFILE 3 =ACCOUNT ALIASES XML- the XML string containing the new FA configuration information. Notes Call this method to modify FA configuration information from the API. Note that this can also be done manually in TWS itself. 447 TWS Users' Guide Function void reqHistoricalData (TickerID id, const Contract &contract, String endDateTime, String durationStr, long barSizeSetting String whatToShow, int useRTH, int formatDate) Parameters id - the ticker id. Must be a unique value. When the market data returns, it will be identified by this tag. This is also used when canceling the market data. contract- this structure contains a description of the contract for which market data is being requested. endDataTime - defines a query end date and time at any point during the past 6 mos. Valid values include any date/time within the past six months in the format: yyyymmdd HH:mm:ss ttt where "ttt" is the optional time zone. durationStr - set the query duration up to one week, using a time unit of seconds, days or weeks. Valid values include any integer followed by a space and then S(seconds), D (days) or W (week). If no unit is specified, seconds is used. barSizeSetting - specifies the size of the bars that will be returned (within IB/TWS limits). Valid values include: Bar Size 1 sec Parametric Value 1 2 3 4 5 6 7 8 9 10 11 5 secs 15 secs 30 secs 1 min. 2 mins 5 mins. 15 mins 30 mins 1 hour 1 day whatToShow - determines the nature of data being extracted. Valid values include: • • • • 448 TRADES MIDPOINT BID ASK Application Program Interface • BID/ASK useRTH - determines whether to return all data available during the requested time span, or only data that falls within regular trading hours. Valid values include: • • 0 - all data is returned even where the market in question was outside of its regular trading hours. 1 - only data within the regular trading hours is returned, even if the requested time span falls partially or completely outside of the RTH. formatDate - determines the date format applied to returned bars. Valid values include: • • 1 - dates applying to bars returned in the format: yyyymmdd{space}{space}hh:mm:dd 2 - dates are returned as a long integer specifying the number of seconds since 1/1/1970 GMT. Notes Function Parameters Notes serverVersion() Function Parameters Notes TwsConnectionTime() Copyrights and Trademarks 449 TWS Users' Guide SocketClient Properties The tables below define properties for the Execution, Contract and Order classes, and classes that are closely related to them. Execution properties Property CString execId CString time CString acctNumber CString exchange Description Unique order execution id. The order execution time. The customer account number. Exchange that executed the order. Specifies if the transaction was a sale or a purchase. Valid values are: CString side • • BOT SLD int shares double price int permId long clientId The number of shares filled. The order execution price. The TWS id used to identify orders, remains the same over TWS sessions The id of the client that placed the order. Note: TWS orders have a fixed client id of 0. The order id. long orderId Note: TWS orders have a fixed order id of 0. ExecutionFilter properties Property long m_clientId CString m_acctCode Description Filter the results of the reqExecutions() method based on the clientId. Filter the results of the reqExecutions() method based on an account code. Note: this is only relevant for FA managed accounts. Filter the results of the reqExecutions() method based on execution reports received after the specified time. The format for timeFilter is "yyyymmdd-hh:mm:ss" Filter the results of the reqExecutions() method based on the order symbol. Filter the results of the reqExecutions() method based on the order security type. Note: Refer to the Contract struct for the list of valid security types. Filter the results of the reqExecutions() method based on the order exchange. Filter the results of the reqExecutions() method based on the order CString m_time CString m_symbol CString m_secType CString m_exchange CString m_side 450 Application Program Interface action. Note: Refer to the Order struct for the list of valid order actions. Contract properties Property CString symbol Description This is the symbol of the underlying asset. This is the security type. Valid values are • • CString secType STK OPT FUT IND FOP CASH BAG • • • • • CString expiry double strike The expiration date. Use the format YYYYMM. The strike price. Specifies a Put or Call. Valid values are: P, PUT, CString right C, CALL. Allows you to specify a futures or options CString multiplier multiplier. This is only necessary when multiple possibilities exist.; CString exchange The order destination, such as Smart. specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being CString currency requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. This is the local exchange symbol of the CString localSymbol underlying asset. Dynamic memory structure used to store the vector* comboLegs; leg definitions for this contract. ContractDetails properties Property Contract summary CString marketName CString tradingClass int conId double minTick CString multiplier CString orderTypes CString validExchanges Description A contract structure. The market name for this contract. The trading class name for this contract. The unique contract identifier. The minimum price tick. The order size multiplier. The list of valid order type for this contract The list of exchanges on which this contract is traded. 451 TWS Users' Guide Order properties Property long orderId long clientId CString action long quantity Description The id for this order. The id of the client that placed this order. Identifies the side. Valid values are: BUY, SELL, SSHORT The order quantity. Identifies the order type. Valid values are: • • • • CString orderType MKT MKTCLS LMT LMTCLS PEGMKT STP STPLMT TRAIL REL VWAP • • • • • • double lmtPrice double auxPrice CString sharesAllocation CString tif CString ocaGroup CString account CString openClose Order origin CString orderRef bool transmit long parentId bool blockOrder bool sweepToFill int displaySize This is the LIMIT price, used for limit, stop-limit and relative orders. In all other cases specify zero. For relative orders with no limit price, also specify zero. This is the STOP price for stop-limit orders, and the offset amount for relative orders. In all other cases, specify zero. Deprecated. Upgrade to new FA functionality must be done. The time in force. Valid values are: DAY, GTC, IOC, GTD. Identifies an OCA (one cancels all) group. The account. For institutional customers only. Specifies whether the order iepricated. Upgrade to new FA functionality must be done. s an open or close order. For institutional customers only. Valid values are O, C. The order origin. For institutional customers only. Valid values are 0 = customer, 1 = firm The order reference. For institutional customers only. Specifies whether the order will be transmitted by TWS. If set to false, the order will be created at TWS but will not be sent. The order ID of the parent order, used for bracket and auto trailing stop orders. If set to true, specifies that the order is an ISE Block order. If set to true, specifies that the order is a Sweep-to-Fill order. The publicly disclosed order size, used when placing Iceberg orders. Specifies how Simulated Stop, Stop-Limit and Trailing Stop orders are triggered. Valid values are: O - the default value. The "double bid/ask" method will be used for orders for OTC stocks and US options. All other int triggerMethod 452 Application Program Interface Property Description orders will used the "last" method. 1 - use "double bid/ask" method, where stop orders are triggered based on two consecutive bid or ask prices. 2 - "last" method, where stop orders are triggered based on the last price. If set to true, allows triggering of orders outside of regular trading hours. If set to true, the order will not be visible when viewing the market depth. This option only applies to orders routed to the ISLAND exchange. The amount off the limit price allowed for discretionary orders. Valid values are 1 or 2. Used only when shortSaleSlot = 2. The trade's "Good After Time," format "YYYYMMDD hh:mm:ss (optional time zone)" Use an empty String if not applicable. You must enter GTD as the time in force to use this string. The trade's "Good Till Date," format "YYYYMMDD hh:mm:ss (optional time zone)" Use an empty String if not applicable. Cancel on Fill with Block = 1 Reduce on Fill with Block = 2 Reduce on Fill without Block = 3 1 = yes, 2 = no Individual = 'I' Agency = 'A', AgentOtherMember = 'W' IndividualPTIA = 'J' bool ignoreRth boolean hidden double discretionaryAmt int shortSaleSlot CString designatedLocation CString m_goodAfterTime CString m_goodTillDate int ocaType bool rthOnly CString rule80A AgencyPTIA = 'U' AgentOtherMemberPTIA = 'M' IndividualPT = 'K' AgencyPT = 'Y' AgentOtherMemberPT = 'N' CString settlingFirm bool allOrNone int minQty double percentOffset Institutional only. 0 = no, 1 = yes Identifies a minimum quantity order type. The percent offset amount for relative orders. Trade with electronic quotes. bool eTradeOnly 0 = no, 1 = yes Trade with firm quotes. bool firmQuoteOnly 0 = no, 1 = yes double nbboPriceCap Maximum smart order distance from the NBBO. int auctionStrategy match = 1 improvement = 2 453 TWS Users' Guide Property Description transparent = 3 For orders on BOX only. double startingPrice double stockRefPrice double delta double stockRangeLower double stockRangeUpper CString CString CString CString The auction starting price. For orders on BOX only. The stock reference price. For orders on BOX only. The stock delta. For orders on BOX only. The lower value for the acceptable stock range. For orders on BOX only. The upper value for the acceptable stock range. For orders on BOX only. The Financial Advisor group the trade will be allocated to -faGroup use an empty String if not applicable. The Financial Advisor allocation profile the trade will be faProfile allocated to -- use an empty String if not applicable. The Financial Advisor allocation method the trade will be faMethod allocated with -- use an empty String if not applicable. The Financial Advisor percentage concerning the trade's faPercentage allocation -- use an empty String if not applicable. ComboLeg properties Property long conId long ratio Description The unique contract identifier specifying the security. Select the relative number of contracts for the leg you are constructing. To help determine the ratio for a specific combination order, refer to the Interactive Analytics section of the User's Guide. The side (buy or sell) for the leg you are constructing. The exchange to which the complete combination order will be routed. openClose - Specifies whether the order is an open or close order. Valid values are: CString action CString exchange • long openClose Same - (0) same as the parent security. This is the only option for retail customers. Open - (1) this option is only valid for institutional customers. Close - (2) this option is only valid for institutional customers. • • Copyrights and Trademarks 454 Application Program Interface Place a Combination Order A combination order is a special type of order that is constructed of many separate legs but executed as a single transaction. To buy a calendar spread you would: • • Buy 1 OPT JUL03 17.5 CALL (100) Sell 1 OPT AUG03 17.5 CALL (100) The following example walks you through the hypothetical steps to place a calendar spread order for XYZ on ISE: 1. Using the reqContractDetails() method, get the contract id for both leg definitions. • • 2. The conid for XYZ option JUL03 17.5 CALL on ISE is "12345678". The conid for XYZ option AUG03 17.5 CALL on ISE is "12345679". Create and add the first leg. • Create a new ComboLeg structure containing the following data: conid=112345678, ratio=1, action="BUY", exchange="ISE", openClose=0 3. Create and add the second leg. • Create a new ComboLeg structure containing the following data: conid=12345679, ratio=1, action="SELL", exchange="ISE", openClose=0 4. Add each leg to the list of definitions maintained by the contract. Refer to the C++ socket sample to see how this is done. 5. Set and send the combination order details. • Call the 'placeOrder' method with the following contract details: symbol = "XYZ" secType = "BAG" exchange = "ISE" NOTE: For combination orders, the secType must always be set to 'BAG'. If the order legs do not constitute a valid combination, one of the following errors will be returned: 312 = The combo details are invalid. 313 = The combo details for '' are invalid. 314 = Security type 'BAG' requires combo leg details. 455 TWS Users' Guide 315 = Stock combo legs are restricted to SMART exchange. NOTES: (1) The exchange for the leg definition must match that of the combination order. The exception is for a STK leg definition, which must specify the SMART exchange. (2) The openClose leg definition value is always 'SAME' (i.e.0) for retail accounts. For institutional accounts, the value may be any of the following: (SAME, OPEN, CLOSE). For more information on Combination orders, see the user guide topics Combination Orders and Notes on Combination Orders. Copyrights and Trademarks 456 Application Program Interface Class EWrapper Functions The tables below define the class EWrapper functions you can use when connecting to TWS. These functions receive events from TWS. The list of functions includes: • • • • • • • • • • • • • • • • • • tickPrice() tickSize() orderStatus() error() winError() connectionClosed() openOrder() updateAccountValue() updatePortfolio() updateAccountTime() nextValidId() contractDetails execDetails() updateMktDepth() updateMktDepthL2() updateNewsBulletin() managedAccounts() receiveFA() Function Parameters virtual void tickPrice(TickerID id, TickType field, double price, int canAutoExecute) id - the ticker ID that was specified previously in the call to reqMktData() tickType - specifies the type of price. Possible values are: • • • • • • 1 = bid 2 = ask 4 = last 6 = high 7 = low 9 = close price - could be the bid, ask, last price, daily high, daily low or last day close, depending on tickType value. 457 TWS Users' Guide canAutoExecute - specifies whether the price tick is available for automatic execution. Possible values are: • • Notes 0 = not eligible for automatic execution 1 = eligible for automatic execution This function is called when the market data changes. Prices are updated immediately with no delay. Function Parameters virtual void tickSize(TickerID id, TickType field, int size) id - the ticker ID that was specified previously in the call to reqMktData() tickType - specifies the type of size. Possible values are: • • • • 0 = bid size 3 = ask size 5 = last size 8 = volume size - could be the bid size, ask size, last size or trading volume, depending on the tickType value. Notes This function is called when the market data changes. Sizes are updated immediately with no delay. Function virtual void orderStatus(OrderId id, const CString &status, int filled, int remaining, double avgFillPrice, int permId, int parentId, double lastFillPrice, int clientId) id - the order ID that was specified previously in the call to placeOrder() status - the order status. Possible values include: Parameters • PendingSubmit - indicates that you have transmitted the order, but have not yet received confirmation that it has been accepted by the order destination. NOTE: This order 458 Application Program Interface status is not sent by TWS and should be explicitly set by the API developer when an order is submitted. • PendingCancel - indicates that you have sent a request to cancel the order but have not yet received cancel confirmation from the order destination. At this point, your order is not confirmed canceled. You may still receive an execution while your cancellation request is pending. NOTE: This order status is not sent by TWS and should be explicitly set by the API developer when an order is canceled. • PreSubmitted - indicates that a simulated order type has been accepted by the IB system and that this order has yet to be elected. The order is held in the IB system (and the status remains DARK BLUE) until the election criteria are met. At that time the order is transmitted to the order destination as specified (and the order status color will change). Submitted - indicates that your order has been accepted • • at the order destination and is working. Cancelled - indicates that the balance of your order has been confirmed canceled by the IB system. This could occur unexpectedly when IB or the destination has rejected your order. Filled - the order has been completely filled. • filled - specifies the number of shares that have been executed. remaining - specifies the number of shares still outstanding. avgFillPrice - the average price of the shares that have been executed. This parameter is valid only if the filled parameter value is greater than zero. Otherwise, the price parameter will be zero. permId - the TWS id used to identify orders. Remains the same over TWS sessions. parentId - The order ID of the parent order, used for bracket and auto trailing stop orders. lastFilledPrice the last price of the shares that have been executed. This parameter is valid only if the filled parameter value is greater than zero. Otherwise, the price parameter will be zero. clientId - The ID of the client (or TWS) that placed the order. Note that TWS orders have a fixed clientId and orderId of 0 that distinguishes them from API orders. Notes This event is called whenever the status of an order changes. It is also fired after reconnecting to TWS if the client has any open orders. Function Parameters virtual void error(const int id, const int errorCode, const CString errorString) = 0; id- this is the orderId or tickerId of the request that generated the 459 TWS Users' Guide error errorCode - error codes are documented in the Error Codes topic. errorString - this is the textual description of the error, also documented in the Error Codes topic. Notes This event is called when there is an error with the communication or when TWS wants to send a message to the client. Function Parameters Notes virtual void Winerror(const CString &str, int lastError) str - this is the error message text lastError - the error code returned by GetLastError() This event is called when there is an error on the client side. Function Parameters Notes virtual void connectionClosed() This function is called when TWS closes the sockets connection with the ActiveX control, or when TWS is shut down. Function Parameters Notes virtual void managedAccounts(const CString& accountsList) accountsList - the comma delimited list of FA managed accounts. This function is called when a successful connection is made to a Financial Advisor account. It is also called when the reqManagedAccts() method is invoked. 460 Application Program Interface Function virtual void openOrder(OrderId orderId, const Contract &contract, const Order &order)See Extended Order Attributes. orderID - The order ID assigned by TWS. Use to cancel or update the order. contract - Describe the contract for the open order. order - Gives the details of the open order. Parameters Notes This function is called to feed in open orders. Function virtual void updateAccountValue(const CString& key, const CString& value, const CString& currency, const CString& accountName) key- A string that indicates one type of account value. Below is a set of keys sent by TWS. Parameters • • • • • • • • • • • • • CashBalance - Account cash balance Currency - Currency string DayTradesRemaining - Number of day trades left EquityWithLoanValue - Equity with Loan Value InitMarginReq - Current initial margin requirement LongOptionValue - Long option value MaintMarginReq - Current maintenance margin NetLiquidation - Net liquidation value OptionMarketValue - Option market value ShortOptionValue - Short option value StockMarketValue - Stock market value UnalteredInitMarginReq - Overnight initial margin requirement UnalteredMaintMarginReq - Overnight maintenance margin requirement value- The value associated with the key. currency- Defines the currency type, in case the value is a currency type. account- states the account the message applies to. Useful for Financial Advisor sub-account messages. Notes This function is called only when ReqAccountUpdates on EClientSocket object has been called. 461 TWS Users' Guide Event virtual void updatePortfolio(const Contract& contract, int position, double marketPrice, double marketValue, double averageCost, double unrealizedPNL, double realizedPNL, const CString& accountName) contract - This structure contains a description of the contract which is being traded. The exchange field in a contract is not set for portfolio update. position - This integer indicates the position on the contract. If the position is 0, it means the position has just cleared. marketPrice - Unit price of the instrument. marketValue - The total market value of the instrument. averageCost- The average cost per share is calculated by dividing your cost (execution price + commission) by the quantity of your position. unrealizedPNL - The difference between the current market value of your open positions and the average cost, or Value - Average Cost. realizedPNL- Shows your profit on closed positions, which is the difference between your entry execution cost (execution price + commissions to open the position) and exit execution cost ((execution price + commissions to close the position) account- states the account the message applies to. Useful for Financial Advisor sub-account messages. Parameters Notes This function is called only when reqAccountUpdates on EClientSocket object has been called. Function Parameters Notes virtual void updateAccountTime(const CString& timeStamp) timeStamp - This indicates the last update time of the account information This function is called only when reqAccountUpdates on EClientSocket object has been called. Function Parameters 462 virtual void nextValidId(OrderID id) id - The next available order ID received from TWS upon Application Program Interface connection. Increment all successive orders by one based on this ID. Notes This function is called after a successful connection to TWS. Function Parameters Notes virtual void contractDetails(const ContractDetails &contractDetails) contractDetails- This structure contains a full description of the contract being looked up. This function is called only when reqContractDetails method on the EClientSocket object has been called. Function virtual void execDetails( OrderId orderId, const Contract& contract, const Execution& execution, long liquidation) id - the order ID that was specified previously in the call to placeOrder(). contract - This structure contains a full description of the contract that was executed. NOTE: Refer to the SocketClient Properties page for more information. execution - This structure contains addition order execution details. NOTE: Refer to the SocketClient Properties page for more information. liquidation - specifies whether an execution is the result of a liquidation. Possible values are: Parameters • • Notes 0 = execution is not the result of liquidation 1 = execution is the result of a liquidation This event is fired when the reqExecutions() methods is invoked, or when an order is filled. 463 TWS Users' Guide Event Parameters virtual void updateMktDepth(TickerId id, int position, int operation, int side, double price, int size) id - the ticker ID that was specified previously in the call to reqMktDepth() position - specifies the row id of this market depth entry. operation - identifies the how this order should be applied to the market depth. Valid values are:· • • • 0 = insert (insert this new order into the row identified by 'position')· 1 = update (update the existing order in the row identified by 'position')· 2 = delete (delete the existing order at the row identified by 'position') side - identifies the side of the book that this order belongs to. Valid values are: • • 0 = ask 1 = bid price - the order price. size - the order size. Notes This function is called when the market depth changes. Event virtual void updateMktDepthL2(TickerId id, int position, CString marketMaker, int operation, int side, double price, int size) id - the ticker ID that was specified previously in the call to reqMktDepth() position - specifies the row id of this market depth entry. marketMaker - specifies the exchange hosting this order. operation - identifies the how this order should be applied to the market depth. Valid values are:· Parameters • • • 0 = insert (insert this new order into the row identified by 'position')· 1 = update (update the existing order in the row identified by 'position')· 2 = delete (delete the existing order at the row identified by 'position') side - identifies the side of the book that this order belongs to. Valid 464 Application Program Interface values are: • • 0 = ask 1 = bid price - the order price. size - the order size. Notes This function is called when the Level II market depth changes. Function virtual void updateNewsBulletin(int msgId, int msgType, const CString& message, const CString& origExchange msgId - the bulletin ID, incrementing for each new bulletin. msgType - specifies the type of bulletin. Valid values include: 1 = Reqular news bulletin 2 = Exchange no longer available for trading 3 = Exchange is available for trading message - the bulletin's message text. origExchange - the exchange from which this message originated. Parameters Notes This event is triggered for each new bulletin if the client has subscribed (i.e. by calling the reqNewsBulletins() method. Function Parameters receiveFA(long faDataType, string XML) faDataType - specifies the type of Financial Advisor configuration data being received from TWS. Valid values include: 1 = GROUPS 2 = PROFILE 3 =ACCOUNT ALIASES XML- the XML string containing the previously requested FA configuration information. Notes This event receives previously requested FA configuration information 465 TWS Users' Guide from TWS. Copyrights and Trademarks 466 Application Program Interface DDE DDE API Copyrights and Trademarks 467 TWS Users' Guide Using the DDE API with Excel® The DDE API allows you to link to the application using an Excel spreadsheet. To connect using the DDE, you must first: • • Download the API components and sample Excel spreadsheet. Ensure that the application server is running and that it is configured to support DDE. To open the sample spreadsheet After you have downloaded the sample spreadsheet and configured the application, open the spreadsheet and save it as your personal file. 1. 2. Go to C:\Jts\Excel and double-click TwsDde.xls. In the macro warning message box, click Enable Macros. Note: To use the spreadsheet macros, your Excel® macro security must be set to Medium or Low. If you cannot open the spreadsheet or if the macros described in Use the Sample DDE Spreadsheet don't work, you need to modify your macro security level. On the Excel® Tools menu select Macro, and then select Security. Set security to Medium or Low. Keep in mind that different version of Microsoft Excel have different ways of enabling macros and setting macro security. 3. If you receive a message asking if you want to link to information in another worksheet, click Yes. 4. In the User Name field in the Which Trader Workstation? area, enter your account user name. Note that you must enter your User Name on each page of the worksheet to properly connect. 5. If you want to use this spreadsheet as a starting point for your permanent API, on the Excel File menu select Save As and rename the file. Copyrights and Trademarks 468 Application Program Interface Using the Sample Spreadsheet The sample DDE/Excel spreadsheet (TwsDde.xls) contains seven pages. The Tickers page holds pre-defined tickers, and allows you to request market data. The Orders page includes sample orders to illustrate the DDE functionality, and allows you to request orders that are still open since your last TWS session, request Executions, and set Extended Order Attributes. The Conditional Orders page lets you create an order whose submission is contingent on other conditions being met, for example a trailing stop or an order based on a prior fill. You can also use the Account, Contract Details, Executions and Market Depth pages. NOTE: The procedures below describe using macros through the Tools menu. You can also run these macros using the buttons at the top of each spreadsheet, or by creating a custom toolbar and assigning macros to the toolbar buttons. Copyrights and Trademarks 469 TWS Users' Guide Create Your Own DDE-Linked Spreadsheet This topic supplies the syntax you will need to link a spreadsheet via DDE. It does not address Excel® or Visual Basic® issues. DDE Syntax for Excel The table below defines possible field values for DDE-supported functionality. The basic syntax is: =server|topic!id?reqType?field2 or =server|error!error (for an optional tag that will display errors) Description Place an order Modify an order Cancel an order Check order status Request open orders Request executions Check shares filled in order Check shares remaining in order Execution (average) price Underlying Security type Expiry Strike Server server server server server server server server Topic ord ord ord ord ord ord ord idn idn idn idn idn idn idn id reqType place modify cancel status open executed sharesFilled field2 orderDescription orderModification server ord idn sharesRemaining server ord idn price server server server server ord ord ord ord idn idn idn idn symbol secType expiry strike 470 Application Program Interface Description Right Specify contract multiplier for options and futures Server server server Topic ord ord idn idn id reqType right multiplier field2 Order destination Currency Order side Order quantity Order type Limit price Auxiliary price Local symbol Last fill price Create ticker Request bid price Request ask price Request last price Request bid size Request ask size Request last size Request today's high price Request today's low server server server server server ord server server server server server server server server server server server ord ord ord ord ord idn idn idn idn idn idn exchange currency side size orderType limitPrice auxPrice localSymbol lastFillPrice req bid ask last bidSize askSize lastSize high ord ord ord tik tik tik tik tik tik tik tik idn idn idn idn idn idn idn idn idn idn idn server tik idn low 471 TWS Users' Guide Description price Request today's volume size Request last close price Description Account statement control key Server Topic id reqType field2 server tik idn volume server Server server tik Topic acct idn id idn close reqType acctv field2 Account code (for Advisor-managed accounts only) Request one account value string Account value Account currency Account portfolio control key server acct idn key server server server acct acct acct idn idn idn value keyCurrency acctp Account code (for Advisor-managed accounts only) Account portfolio underlying symbol Account portfolio security type Account portfolio expiry Account portfolio strike price Account portfolio right Account portfolio currency server acct idn symbol server acct idn secType server acct idn expiry server acct idn strike server acct idn right server acct idn currency 472 Application Program Interface Description Account portfolio position Account portfolio market price Account portfolio market value Account portfolio average cost Account portfolio realized PNL Description Request contract details Market name Trading class Contract identifier Minimum tick Order multiplier Valid order types Valid exchanges Description Execution order id Underlying Security type Expiry Server server Topic acct idn id reqType position field2 server acct idn marketPrice server acct idn marketValue server acct idn avgCost server acct idn realizedPNL Server server Topic contract idn id req reqType field2 contractDescription server server server server server server server Server server server server server contract contract contract contract contract contract contract Topic exec exec exec exec idn idn idn idn idn idn idn id idn idn idn idn marketName tradingClass conid minTick multiplier orderTypes validExchanges reqType orderId symbol secType expiry field2 473 TWS Users' Guide Description Strike Right Order destination Currency Local symbol Execution id Execution time Account number Exchange where executed Side Shares filled in order Execution (average) price Order ID Request execution details Description Request list of Advisormanaged accounts List of Advisormanaged accounts Description Server server server server server server server server server server Topic exec exec exec exec exec exec exec exec exec idn idn idn idn idn idn idn idn idn id reqType strike right exchange currency localSymbol execId time acctnNumber eExchange field2 server server server exec exec exec idn idn idn side shares price server server exec exec idn idn permId Req executionFilter Server server Topic FAaccts idn id Req reqType field2 server FAaccts idn Value Server Topic id reqType field2 474 Application Program Interface Description Request market depth Server server Topic mktDepth idn id req reqType field2 contractDescripton? num_display_rows Refer to note (1) below. Market maker server mktDepth idn mktMaker rowId_side Refer to note (2) below. Order price server mktDepth idn price rowId_side Refer to note (2) below. Order size server mktDepth idn size rowId_side Refer to note (2) below. Market data refresh rate Subscribe to news bulletins News bulletin message ID News bulletin message type News bulletin message text Exchange from which news bulletins originated Set the server log level server server refreshRate news idn sub millisec 0 Number of milliseconds Refer to note 3 below server news newsID server news newsType Refer to note 4 below server news msg server news exchange server logLevel Refer to note 5 below. 475 TWS Users' Guide server = the username ExecutionFilter = clientId_accountCode_date_time_symbol_secType_exchange_side id = idn, where 'n' is some integer number. For orders, 'n' must always increase, even from session to session. orderDescription = side_quantity_symbol_secType_exp_strike_right_exchange_orderType_lmtPrice_auxPrice _timeInForce_ocaGroup_account_open/close_origin_orderRef_transmit_parentId_blockOrder _sweepToFill_displaySize_triggerMethod_ignoreRth_hidden_ orderModification = quantity_orderType_lmtPrice_auxPrice_timeInForce_ocaGroup_account_open/close _origin_orderRef_transmit_parentId_blockOrder_sweepToFill_displaySize_triggerMethod_ignor eRth contractDescription - symbol_secType_exp_strike_right_exchange NOTE: The highlighted attributes in both orderDescription and orderModification (shown above) comprise the Extended Order Attributes. These values optional. When appended to orderDescription or orderModification, the number and order of attributes cannot be changed. For any attribute that is not defined, use the value 'EMPTY." tickerDescription = symbol_secType_exp_strike_right_exchange Note (1) : When requesting market depth you can specify the number of rows to display. If not supplied, the default number of rows is five (5) rows. This parameter can be used to optimize performance, as a low number of display rows requires less CPU overhead. For example. =edemo|mktDepth!id0?req?MSFT_STK_SMART?10 will request 10 rows of market depth orders. Note (2) : Field 2 of the market depth 'price' and 'size' reqTypes contain additional information to specify the order row and side that the data applies to. Market depth orders are divided into two sides, BID and ASK, and order entries start from the offset 0. E.g. =edemo|mktDepth!id0?price?0_ASK will request the ASK price for the order entry 0 =edemo|mktDepth!id0?size?2_BID will request the BID size for the order entry 2 Note (3): When subscribing to news bulletins, the request should look as follows: =edemo|news!sub?0 where the request type is a zero. To unsubscribe simply clear the subscription cell. Note (4): The valid news bulletin types are: 1 = Reqular news bulletin 476 Application Program Interface 2 = Exchange no longer available for trading 3 = Exchange available for trading. Note (5): The valid log levels are: 1 = SYSTEM (least detailed) 2 = ERROR (default, if no level is specified) 3 = WARNING 4 = INFORMATION 5 = DETAIL (most detailed) Order Attributes Field side Valid Values • • Buy Sell quantity symbol secType number value (1, 2, 3, etc) any valid underlying symbol • • • STK OPT FUT exp strike right use the format: YYYYMM number value (120, 65, etc.) • • P C for put or call exchange • Smart any valid exchange/ECN symbol 477 TWS Users' Guide Field orderType Valid Values • • • • • • • • • • LMT LMTCLS MKT MKTCLS PEGMKT STP STPLMT TRAIL VWAP REL lmtPrice auxPrice timeInForce number value number value • • • • DAY GTC OPG IOC ocaGroup account open/close origin orderRef transmit String String (for institutions) O, C (for institutions) 0, 1 (for institutions) String • • 0 (don't transmit) 1 (transmit) parentId String (the order ID used for the parent order, use for bracket and auto trailing stop orders) 478 Application Program Interface Field blockOrder Valid Values • • 0 (not a block order) 1 (this is a block order) sweepToFill • • 0 (not a sweep-to-fill order) 1 (this is a sweep-to-fill order) displaySize String (publicly disclosed order size) Extended Order Attributes Field triggerMethod Valid Values Specifies how simulated Stop, Stop-Limit, and Trailing Stop orders are triggered. O - the default value. The "double bid/ask" method will be used for orders for OTC stocks and US options. All other orders will used the "last" method. 1 - use "double bid/ask" method, where stop orders are triggered based on two consecutive bid or ask prices. 2 - "last" method, where stop orders are triggered based on the last price. 3 - "double-last" method, where stop orders are triggered based on last two prices. ignoreRth • • 0 (do not ignore regular trading hours when triggering stop orders) 1 (trigger stop orders outside of regular trading hours) 479 TWS Users' Guide Field hidden Valid Values For order routed to Island. • • 0 1 (order not visible when viewing market depth) clientId The ID of the client who placed the order. NOTE: The DDE client ID is always "0." accountCode The account code for an advisor-managed account. Enter the date and time after which the order will become active. Use the format YYYYMMDD hh:mm:ss The order continues working until the close of market on the date you enter. Use the format YYYYMMDD. To specify a time of day to close the order, enter the time using the format HH:MM:SS. Specify the time zone using a valid three-letter acronym. The name of the Account Group. Good After Time Good 'Till Date FA Group FA Method • • • • EqualQuantity NetLiq AvailableEquity PctChange FA Percentage FA Profile Short Sales Slot The name of the Allocation Profile. • • 1 2 Execution Filter Criteria Field date time Valid Values The date with the format yyyy\mm\dd The time with the format hh.mm.ss 480 Application Program Interface Field symbol secType Valid Values The valid underlying symbol. • • • STK OPT FUT exchange • Smart Any valid exchange/ECN symbol. side • • • • • • • • • • LMT LMTCLS MKT MKTCLS PEGMKT STP STPLMT TRAIL VWAP REL Copyrights and Trademarks 481 TWS Users' Guide Download API Components and Spreadsheet Browser-based users need to save the latest DDE dynamic link library file (ddedll.dll) to their Windows® directory to ensure that all DDE functionality is supported. To install the ddedll.dll file to your Windows directory 1. 2. 3. 4. 5. 6. From the homepage, hold your mouse over the Software menu, select TWS API, then select Software. In the appropriate column for your operating system, click Download latest version. Elect to Save the file to your computer and select a directory in which to save the InstallAX.exe program, and click Save. Close any versions of the application and Excel you have running. Double-click the InstallAX.exe program to install the application. Follow the instructions to move through the installation wizard. The dde file will be saved to C:/Jts/Excel/TwsDde.xls. Note: If a new version of the dll file has been released, you will be notified when you log in that the latest version of the file must be downloaded from the website. To upgrade, doubleclick Upgrade ActiveX control and DDE dll. Copyrights and Trademarks 482 Application Program Interface Using the Conditional Orders Tab Use the Conditional Orders tab to create an order whose submission is contingent on other conditions being met, for example, a trailing stop or an order based on a prior fill. Complete the necessary fields on the Conditional Orders page according to the syntax below. Field Statement Comments An Excel function which returns a true or false. When true, the order will be submitted, when false, nothing happens. Use ADD for a one-time order. Use MOD to continue checking and modifying the order until it is completely filled. This is the field that activates a conditional order, and orders will only be activated with the "ADD" or "MOD" tags. Action BUY SELL Quantity Order Type Enter the quantity of the order MKT MKTCLS LMT LMTCLS PEGMKT STP STPLMT REL TRAIL VWAP Lmt Price Aux. Price The limit price for Limit and Stop Limit order types. The stop-election price for Stop and Stop Limit order types. ADD/MOD All of the fields described above may be variables that depend on other cells, and so any type of conditional order may be created. 483 TWS Users' Guide Examples Trailing Stop Order A trailing stop is a stop order which continues to modify its stop price as the market moves away from the current stop price. No modification to the stop price is made when the market moves toward the stop price. To create a 1 point trailing stop sell order for 100 shares, first create an initial stop order, then enter the following in the Conditional Statements cells: Field Statement ADD/MOD Action Quantity Order Type Lmt Price Aux. Price Value (Bid price cell) - (current stop price cell)>1 MOD SELL 100 - Remaining STP empty (bid price cell) - 1 "If-Filled" order An "if-filled" order is an order that executes if a prior order executes. To create an "if-filled" order with the condition "If a Buy order fully executes, enter a sell limit order at a price of $50.00": Field Statement ADD/MOD Action Quantity Order Type Lmt Price Aux. Price Value Filled cell = 100 ADD SELL 100 LMT 50 empty 484 Application Program Interface Copyrights and Trademarks 485 TWS Users' Guide Place a Combination Order A combination order is a special type of order that is constructed of many separate legs but executed as a single transaction. To buy a calendar spread you would: • • Buy 1 OPT JUL03 17.5 CALL (100) Sell 1 OPT AUG03 17.5 CALL (100) The following example walks you through the steps to place a hypothetical calendar spread order for XYZ on ISE: 1. Use the Contract Details tab to get the contract id for both of the leg definitions. • • 2. The conid for XYZ option JUL03 17.5 CALL on ISE is "12345678". The conid for XYZ option AUG03 17.5 CALL on ISE is "12345679". Build the combo leg definitions request substring. You can use the Combo Legs button on the Tickers or Orders toolbar. The format of the combolegs definition string is: [CMBLGS]_[NumOfLegs]_[Combo Leg Definitions]_[CMBLGS] where [CMBLGS] is the delimiter used to identify the start and end of the leg definitions [NumOfLegs] is the number of leg definitions [Combo Leg Definitions] defines N leg definitions, and each leg definition consists of [conid]_[ratio]_[action]_[exchange]_[openClose], so the resulting combo substring looks as follows: CMBLGS_2_17496957_1_BUY_EMPTY_0_15910089_1_SELL_EMPTY_0_CM BLGS 3. The combination leg definitions must occur before the extended order attributes. The full place order DDE request string will look as follows: =acctName|ord!id12345?place?BUY_1_XYZ_BAG_ISE_LMT_1_CMBLGS_2_12345678 _1_BUY_EMPTY_0_12345679_1_SELL_EMPTY_0_CMBLGS_DAY_EMPTY_0_O_0_EMP TY _0_EMPTY_0_0_0EMPTY_0_0 If the order legs do not constitute a valid combination, one of the following errors will be returned: 312 = The combo details are invalid. 313 = The combo details for '' are invalid. 486 Application Program Interface 314 = Security type 'BAG' requires combo leg details. 315 = Stock combo legs are restricted to SMART exchange. NOTES: (1) The exchange for the leg definition must match that of the combination order. The exception is for a STK leg definition, which must specify the SMART exchange. (2) The openClose leg definition value is always 'SAME' (i.e.0) for retail accounts. For institutional accounts, the value may be any of the following: (SAME, OPEN, CLOSE). For more information on Combination orders, see the user guide topics Combination Orders and Notes on Combination Orders. Copyrights and Trademarks 487 TWS Users' Guide Java JAVA API Copyrights and Trademarks 488 Application Program Interface Java API To link to TWS using the Java API 1. 2. 3. Import com.ib.client.* into your source code file. Subclass the EWrapper class. This subclass will receive messages from the socket. Override the following functions: • • • • • • • • • • • 4. 5. Override tickPrice() and tickSize() functions to handle the market data. Override the orderStatus() function to receive order status. Override the error() function to receive error information. Override the connectionClosed() function to be notified when TWS terminates the connection. Override the updateAccountValue() function to receive current account value information. Override the updateAccountTime() function to receive the last update time of account information. Override the updatePortfolio() function to receive current portfolio information. Override the contractDetails() function to receive contract information. Override the execDetails() function to receive execution report information. Override the updateNewsBulletin() function to receive news bulletins. Override the managedAccounts() function to see a list of the Financial Advisor (FA) managed accounts. Instantiate the EClientSocket class. This object will be used to send messages to TWS. Call the following functions: • • • • • • • • Call the eConnect() function to connect to TWS and eDisconnect() to disconnect from TWS. Call the reqMktData() function to request market data and the cancelMktData() function to stop receiving market data. Call the reqMktDepth() function to request deep book or Level II quotes and the cancelMktDepth() function to stop receiving market data. Call the reqContractDetails() function to request contract details. Call the placeOrder() function to place an order and the cancelOrder() function to cancel an order. Call the reqAccountUpdates() function to start receiving account values, portfolio, and account update time information. Call the reqExecutions() function to receive a list of the day's execution reports. Call the reqOpenOrders() function to receive a list of current open orders for the requesting client and associate TWS open orders with the client. Note: The association only occurs if the requesting client has client id of 0. Call the reqAllOpenOrders() function to receive a list of all the current open orders. • 489 TWS Users' Guide • Call the reqAutoOpenOrders() function to automatically associate a new TWS with the client. Note: The association only occurs if the requesting client has client id of 0. Call the reqNewsBulletin() function to start receiving news bulletins and the cancelNewsBulletins() function to stop receiving news bulletins. Call the setServerLogLevel() function to set the degree of API request/processing logging. Call the reqManagedAccts() function to get the list of Financial Advisor (FA) managed account codes. • • • Copyrights and Trademarks 490 Application Program Interface Java Class EClientSocket Functions The tables below define the class EWrapper functions you can use when connecting to TWS. The list of functions includes: • • • • • • • • • • • • • • • • • • • • • • • • • EClientSocket() eConnect() eDisconnect() reqMktData() cancelMktData() placeOrder() cancelOrder() checkMessages() reqOpenOrders() reqAccountUpdates() reqExecutions() reqContractDetails() reqMktDepth() cancelMktDepth() reqNewsBulletins() cancelNewsBulletins() setLogLevel() reqAllOpenOrders() reqAutoOpenOrders() reqManagedAccts() requestFA() replaceFA() requestHistoricalData() serverVersion() TwsConnectionTime() Function Parameters EClientSocket( EWrapper eWrapper) eWrapper- the reference to an object that was derived from the EWrapper base class 491 TWS Users' Guide Notes This is the constructor. Function Parameters void eConnect( String host, int port, int clientId) host - host name or IP address of the machine where TWS is running. Leave blank to connect to the local host. port - must match the port specified in TWS on the Configure>API>Socket Port field. clientId - A number used to identify this client connection. All orders placed/modified from this client will be associated with this client identifier. Note: Each client MUST connect with a unique clientId. Notes This function must be called before any other. There is no feedback for a successful connection, but a subsequent attempt to connect will return the message "Already connected." Function Parameters Notes void eDisconnect() Call this method to terminate the connections with TWS. Calling this method does not cancel orders that have already been sent. Function Parameters void reqMktData(int id, Contract contract) id - the ticker id. Must be a unique value. When the market data returns, it will be identified by this tag. This is also used when canceling the market data. contract- this structure contains a description of the contract for which market data is being requested. Notes Call this function to request market data. The market data will be returned by the tickPrice and tickSize events. 492 Application Program Interface Function Parameters Notes void cancelMktData(int id) id- the ID that was specified in the call to reqMktData(). After calling this method, market data for the specified id will stop flowing. Function Parameters void placeOrder( int id, Contract contract, Order order)See Extended Order Attributes. id - the order id. You must specify a unique value. When the order status returns, it will be identified by this tag. This tag is also used when canceling the order. contract - this structure contains a description of the contract which is being traded. order - this structure contains the details of the order.Note: Each client MUST connect with a unique clientId. Notes Call this method to place an order. The order status will be returned by the orderStatus event. Function Parameters Notes void cancelOrder(int id) id- the order ID that was specified previously in the call to placeOrder() Call this method to cancel an order. Function Parameters Notes void checkMessages() This method should be called frequently (every 1 second) to check for messages received from TWS. 493 TWS Users' Guide Function Parameters Notes void reqOpenOrders() Call this method to request the open orders that were placed from this client. Each open order will be fed back through the openOrder() and orderStatus() functions on the EWrapper. Note: The client with a clientId of "0" will also receive the TWSowned open orders. These orders will be associated with the client and a new orderId will be generated. This association will persist over multiple API and TWS sessions. Function Parameters Notes void reqAllOpenOrders() Call this method to request the open orders that were placed from all clients and also from TWS. Each open order will be fed back through the openOrder() and orderStatus() functions on the EWrapper. Note: No association is made between the returned orders and the requesting client. Function Parameters void reqAutoOpenOrders(boolean bAutoBind) bAutoBind - If set to TRUE, newly created TWS orders will be implicitly associated with the client. If set to FALSE, no association will be made. Call this method to request that newly created TWS orders be implicitly associated with the client. When a new TWS order is created, the order will be associated with the client and fed back through the openOrder() and orderStatus() functions on the EWrapper. Notes 494 Application Program Interface Function Parameters Notes void reqManagedAccts() Call this method to request the list of managed accounts. The list will be returned by the managedAccounts() function on the EWrapper. Note: This request can only be made when connected to a Financial Advisor (FA) account. Function Parameters void reqAccountUpdates(boolean subscribe, String acctCode) subscribe - If set to TRUE, the client will start receiving account and portfolio updates. If set to FALSE, the client will stop receiving this information. acctCode - the account code for which to receive account and portfolio updates. Notes Call this function to start getting account values, portfolio, and last update time information. Function Parameters Notes reqExecutions(ExecutionFilter filter) filter - the filter criteria used to determine which execution reports are returned. When this method is called, the execution reports that meet the filter criteria are downloaded to the client via the execDetails() method. Function Parameters Notes void reqContractDetails (Contract contract) Contract- summary description of the contract being looked up. Call this function to download all details for a particular underlying. the contract details will be received via the contractDetails() 495 TWS Users' Guide function on the EWrapper. Function void reqMktDepth(int id, Contract contract, number or rows subscribed to) id - the ticker id. Must be a unique value. When the market depth data returns, it will be identified by this tag. This is also used when canceling the market depth. Parameters contract- this structure contains a description of the contract for which market depth data is being requested. number of rows subscribed to - specifies the number of market depth rows to display. Notes Call this method to request market depth for a specific contract. The market depth will be returned by the updateMktDepth() and updateMktDepthL2() events. Function Parameters Notes void cancelMktDepth(int id) id -the ID that was specified in the call to reqMktDepth(). After calling this method, market depth data for the specified id will stop flowing. Function Parameters void reqNewsBulletins(boolean AllMsgs) allMsgs - if set to TRUE, returns all the existing bulletins for the current day and any new ones. IF set to FALSE, will only return new bulletins. Call this method to start receiving news bulletins. Each bulletin will be returned by the updateNewsBulletin() event. Notes 496 Application Program Interface Function Parameters Notes void cancelNewsBulletins() Call this method to stop receiving news bulletins. Function Parameters void setLogLevel(int logLevel) logLevel - specifies the level of log entry detail used by the server (TWS) when processing API requests. Valid values include: 1 = SYSTEM 2 = ERROR 3 = WARNING 4 = INFORMATION 5 = DETAIL Notes The default level is ERROR. Refer to the API logging page for more details. Function Parameters requestFA(long faDataType) faDataType - specifies the type of Financial Advisor configuration data being requested. Valid values include: 1 = GROUPS 2 = PROFILE 3 =ACCOUNT ALIASES Notes Call this method to request FA configuration information from TWS. The data returns in an XML string via a "receiveFA" ActiveX event. 497 TWS Users' Guide Function Parameters replaceFA(long faDataType, string XML) faDataType - specifies the type of Financial Advisor configuration data being requested. Valid values include: 1 = GROUPS 2 = PROFILE 3 =ACCOUNT ALIASES XML- the XML string containing the new FA configuration information. Notes Call this method to request FA configuration information from TWS. The data returns in an XML string via a "receiveFA" ActiveX event. Function void reqHistoricalData (int id, Contract contract, String endDateTime, String durationStr, long barSizeSetting, String whatToShow, int useRTH, int formatDate) Parameters id - the ticker id. Must be a unique value. When the market data returns, it will be identified by this tag. This is also used when canceling the market data. contract- this structure contains a description of the contract for which market data is being requested. endDataTime - defines a query end date and time at any point during the past 6 mos. Valid values include any date/time within the past six months in the format: yyyymmdd HH:mm:ss ttt where "ttt" is the optional time zone. durationStr - set the query duration up to one week, using a time unit of seconds, days or weeks. Valid values include any integer followed by a space and then S(seconds), D (days) or W (week). If no unit is specified, seconds is used. barSizeSetting - specifies the size of the bars that will be returned (within IB/TWS limits). Valid values include: Bar Size Parametric Value 498 Application Program Interface 1 sec 1 2 3 4 5 6 7 8 9 10 11 5 secs 15 secs 30 secs 1 min. 2 mins 5 mins. 15 mins 30 mins 1 hour 1 day whatToShow - determines the nature of data being extracted. Valid values include: • • • • • TRADES MIDPOINT BID ASK BID/ASK useRTH - determines whether to return all data available during the requested time span, or only data that falls within regular trading hours. Valid values include: • • 0 - all data is returned even where the market in question was outside of its regular trading hours. 1 - only data within the regular trading hours is returned, even if the requested time span falls partially or completely outside of the RTH. formatDate - determines the date format applied to returned bars. Valid values include: • • 1 - dates applying to bars returned in the format: yyyymmdd{space}{space}hh:mm:dd 2 - dates are returned as a long integer specifying the number of seconds since 1/1/1970 GMT. Notes 499 TWS Users' Guide Function Parameters Notes serverVersion() Function Parameters Notes TwsconnectionTime() Copyrights and Trademarks 500 Application Program Interface Java EWrapper Functions The tables below define the class EWrapper functions you can use when connecting to TWS. The list of functions includes: • • • • • • • • • • • • • • • • • tickPrice() tickSize() orderStatus() error() connectionClosed() managedAccounts() openOrder() updateAccountValue() updatePortfolio() updateAccountTime() nextValidId() contractDetails() execDetails() updateMktDepth() updateMktDepthL2() updateNewsBulletin() receiveFA() Function Parameters void tickPrice(int id, TickType field, double price, int canAutoExecute) id - the ticker ID that was specified previously in the call to reqMktData() tickType - specifies the type of price. Possible values are: • • • • • • 1 = bid 2 = ask 4 = last 6 = high 7 = low 9 = close 501 TWS Users' Guide price - could be the bid, ask, last price, daily high, daily low or last day close, depending on tickType value. canAutoExecute - specifies whether the price tick is available for automatic execution. Possible values are: • • Notes 0 = not eligible for automatic execution 1 = eligible for automatic execution This function is called when the market data changes. Prices are updated immediately with no delay. Function Parameters virtual void tickSize(int id, TickType field, int size) id - the ticker ID that was specified previously in the call to reqMktData() tickType - specifies the type of size. Possible values are: • • • • 0 = bid size 3 = ask size 5 = last size 8 = volume size - could be the bid size, ask size, last size or trading volume, depending on the tickType value. Notes This function is called when the market data changes. Sizes are updated immediately with no delay. Function void orderStatus(int id, String status, int filled, int remaining, double avgFillPrice, int permId, int parentId, double lastFillPrice, int clientId) id - the order ID that was specified previously in the call to placeOrder() status - the order status. Possible values include: Parameters • PendingSubmit - indicates that you have transmitted the order, but have not yet received confirmation that it has been accepted by the order destination. NOTE: This order status is not sent by TWS and should be explicitly set by the API developer when an order is submitted. • PendingCancel - indicates that you have sent a request to cancel the order but have not yet received cancel confirmation from the order destination. At this point, 502 Application Program Interface your order is not confirmed canceled. You may still receive an execution while your cancellation request is pending. NOTE: This order status is not sent by TWS and should be explicitly set by the API developer when an order is canceled. • PreSubmitted - indicates that a simulated order type has been accepted by the IB system and that this order has yet to be elected. The order is held in the IB system (and the status remains DARK BLUE) until the election criteria are met. At that time the order is transmitted to the order destination as specified (and the order status color will change). Submitted - indicates that your order has been accepted • • at the order destination and is working. Cancelled - indicates that the balance of your order has been confirmed canceled by the IB system. This could occur unexpectedly when IB or the destination has rejected your order. Filled - the order has been completely filled. • filled - specifies the number of shares that have been executed. remaining - specifies the number of shares still outstanding. avgFillPrice - the average price of the shares that have been executed. This parameter is valid only if the filled parameter value is greater than zero. Otherwise, the price parameter will be zero. permId - the TWS id used to identify orders. Remains the same over TWS sessions. parentId - The order ID of the parent order, used for bracket and auto trailing stop orders. lastFilledPrice the last price of the shares that have been executed. This parameter is valid only if the filled parameter value is greater than zero. Otherwise, the price parameter will be zero. clientId - The ID of the client (or TWS) that placed the order. Note that TWS orders have a fixed clientId and orderId of 0 that distinguishes them from API orders. Notes This event is called whenever the status of an order changes. It is also fired after reconnecting to TWS if the client has any open orders. Function Parameters void error(int id, int errorCode, String errorString) id- this is the orderId or tickerId of the request that generated the error errorCode - error codes are documented in the Error Codes topic. errorString - this is the textual description of the error, also documented in the Error Codes topic. Notes This event is called when there is an error with the communication or when TWS wants to send a message to the client. 503 TWS Users' Guide Function Parameters Notes void connectionClosed() This function is called when TWS closes the sockets connection, or when TWS is shut down. Function Parameters Notes void managedAccounts(String accountsList) accountsList - the comma delimited list of FA managed accounts. This function is called when a successful connection is made to a Financial Advisor account. It is also called when the reqManagedAccts() method is invoked. Function Parameters void openOrder(int orderId, Contract contract, Order order)See Extended Order Attributes. orderID - The order ID assigned by TWS. Use to cancel or update the order. contract - Describe the contract for the open order. order - Gives the details of the open order. Notes This function is called to feed in open orders. Function Parameters void updateAccountValue(String key, String value, String currency, String accountName) key- A string that indicates one type of account value. Below is a set of keys sent by TWS. • • • • • • CashBalance - Account cash balance Currency - Currency string DayTradesRemaining - Number of day trades left EquityWithLoanValue - Equity with Loan Value InitMarginReq - Current initial margin requirement LongOptionValue - Long option value 504 Application Program Interface • • • • • • • MaintMarginReq - Current maintenance margin NetLiquidation - Net liquidation value OptionMarketValue - Option market value ShortOptionValue - Short option value StockMarketValue - Stock market value UnalteredInitMarginReq - Overnight initial margin requirement UnalteredMaintMarginReq - Overnight maintenance margin requirement value- The value associated with the key. currency- Defines the currency type, in case the value is a currency type. account- states the account the message applies to. Useful for Financial Advisor sub-account messages. Notes This function is called only when ReqAccountUpdates on EClientSocket object has been called. Event void updatePortfolio(Contract contract, int position, double marketPrice, double marketValue, double averageCost, double unrealizedPNL, double realizedPNL, String accountName) contract - This structure contains a description of the contract which is being traded. The exchange field in a contract is not set for portfolio update. position - This integer indicates the position on the contract. If the position is 0, it means the position has just cleared. marketPrice - Unit price of the instrument. marketValue - The total market value of the instrument. averageCost- The average cost per share is calculated by dividing your cost (execution price + commission) by the quantity of your position. unrealizedPNL - The difference between the current market value of your open positions and the average cost, or Value - Average Cost. realizedPNL- Shows your profit on closed positions, which is the difference between your entry execution cost (execution price + commissions to open the position) and exit execution cost ((execution price + commissions to close the position) accountName - the name of the account the message applies to. Useful for Financial Advisor sub-account messages. Parameters Notes This function is called only when reqAccountUpdates on EClientSocket object has been called. 505 TWS Users' Guide Function Parameters Notes void updateAccountTime(String timeStamp) timeStamp - This indicates the last update time of the account information This function is called only when reqAccountUpdates on EClientSocket object has been called. Function Parameters void nextValidId(long id) id - The next available order ID received from TWS upon connection. Increment all successive orders by one based on this ID. This function is called after a successful connection to TWS. Notes Function Parameters Notes void contractDetails(ContractDetails contractDetails) contractDetails- This structure contains a full description of the contract being looked up. This function is called only when reqContractDetails method on the EClientSocket object has been called. Function Parameters void execDetails( int id, Contract contract, Execution execution, int liquidation) id - the order ID that was specified previously in the call to placeOrder(). contract - This structure contains a full description of the contract that was executed. NOTE: Refer to the Java Java SocketClient Properties page for more information. execution - This structure contains addition order execution details. NOTE: Refer to the Java SocketClient Properties page for more information. liquidation - specifies whether an execution is the result of a 506 Application Program Interface liquidation. Possible values are: • • Notes 0 = execution is not the result of liquidation 1 = execution is the result of a liquidation This event is fired when the reqExecutions() methods is invoked, or when an order is filled. Event Parameters void updateMktDepth(int id, int position, int operation, int side, double price, int size) id - the ticker ID that was specified previously in the call to reqMktDepth() position - specifies the row id of this market depth entry. operation - identifies the how this order should be applied to the market depth. Valid values are:· • • • 0 = insert (insert this new order into the row identified by 'position')· 1 = update (update the existing order in the row identified by 'position')· 2 = delete (delete the existing order at the row identified by 'position') side - identifies the side of the book that this order belongs to. Valid values are: • • 0 = ask 1 = bid price - the order price. size - the order size. Notes This function is called when the market depth changes. Event void updateMktDepthL2(int id, int position, String marketMaker, int operation, int side, double price, int size) id - the ticker ID that was specified previously in the call to reqMktDepth() position - specifies the row id of this market depth entry. marketMaker - specifies the exchange hosting this order. operation - identifies the how this order should be applied to the 507 Parameters TWS Users' Guide market depth. Valid values are:· • • • 0 = insert (insert this new order into the row identified by 'position')· 1 = update (update the existing order in the row identified by 'position')· 2 = delete (delete the existing order at the row identified by 'position') side - identifies the side of the book that this order belongs to. Valid values are: • • 0 = ask 1 = bid price - the order price. size - the order size. Notes This function is called when the Level II market depth changes. Function Parameters virtual void updateNewsBulletin(int msgId, int msgType, String message, String origExchange msgId - the bulletin ID, incrementing for each new bulletin. msgType - specifies the type of bulletin. Valid values include: 1 = Reqular news bulletin 2 = Exchange no longer available for trading 3 = Exchange is available for trading message - the bulletin's message text. origExchange - the exchange from which this message originated. Notes This event is triggered for each new bulletin if the client has subscribed (i.e. by calling the reqNewsBulletins() method. Function Parameters receiveFA(long faDataType, string XML) faDataType - specifies the type of Financial Advisor configuration data being received from TWS. Valid values include: 1 = GROUPS 508 Application Program Interface 2 = PROFILE 3 =ACCOUNT ALIASES XML- the XML string containing the previously requested FA configuration information. Notes This event receives previously requested FA configuration information from TWS. Copyrights and Trademarks 509 TWS Users' Guide Java SocketClient Properties The tables below define properties for the Execution, Contract and Order structures. Class Execution properties Property String m_execId String m_time String m_acctNumber String m_exchange Description Unique order execution id. The order execution time. The customer account number. Exchange that executed the order. Specifies if the transaction was a sale or a purchase. Valid values are: String m_side • • BOT SLD int m_shares Double m_price int m_permId int m_clientId The number of shares filled. The order execution price. The TWS id used to identify orders, remains the same over TWS sessions. The id of the client that placed the order. Note: TWS orders have a fixed client id of "0." The order id. int m_orderId Note: TWS orders have a fixed order id of "0." Class ExecutionFilter properties Property int m_clientId Description Filter the results of the reqExecutions() method based on the clientId. Filter the results of the reqExecutions() method based on an account code. Note: this is only relevant for Financial Advisor (FA) accounts. Filter the results of the reqExecutions() method based on xecution reports received after the specified time. The format for timeFilter is "yyyymmdd-hh:mm:ss" String m_symbol Filter the results of the reqExecutions() method based on the order symbol. Filter the results of the reqExecutions() method based on the order security type. Note: Refer to the Contract struct for the list of valid security types. Filter the results of the reqExecutions() method based on theorder exchange. String m_acctCode String m_time String m_secType String m_exchange 510 Application Program Interface Property Description Filter the results of the reqExecutions() method based on the order action. Note: Refer to the Order struct for the list of valid order actions. String m_side Class Contract properties Property String m_symbol Description This is the symbol of the underlying asset. This is the security type. Valid values are • • String m_secType STK OPT FUT IND FOP CASH BAG • • • • • String m_expiry double m_strike String m_right String m_multiplier String m_exchange String m_currency String m_localSymbol Vector m_comboLegs The expiration date. Use the format YYYYMM. The strike price. Specifies a Put or Call. Valid values are: P, PUT, C, CALL. Allows you to specify a future or option contract multiplier. This is only necessary when multiple possibilities exist. The order destination, such as Smart. Specifies the currency. Ambiguities may require that this field be specified, for example, when SMART is the exchange and IBM is being requested (IBM can trade in GBP or USD). Given the existence of this kind of ambiguity, it is a good idea to always specify the currency. This is the local exchange symbol of the underlying asset. Dynamic memory structure used to store the leg definitions for this contract. Class ComboLeg properties Property int m_conId String m_action int m_ratio Description The unique contract identifier specifying the security. The side (buy or sell) for the leg you are constructing. Select the relative number of contracts for the leg you are constructing. To help determine the ratio for a specific combination order, refer to the Interactive Analytics section of the User's Guide. The exchange to which the complete combination order will be routed. 511 String m_exchange TWS Users' Guide Property Description openClose - Specifies whether the order is an open or close order. Valid values are: • int m_openClose Same - (0) same as the parent security. This is the only option for retail customers. Open - (1) this option is only valid for institutional customers. Close - (2) this option is only valid for institutional customers. • • Class ContractDetails Property Contract m_summary String m_marketName String m_tradingClass int m_conId double m_minTick String m_multiplier String m_orderTypes String m_validExchanges Description A contract summary. The market name for this contract. The trading class name for this contract. The unique contract identifier. The minimum price tick. The order size multiplier. The list of valid order types for this contract. The list of exchanges this contract is traded on. Class Order properties Property int orderId int clientId String m_action long m_quantity Description The id for this order. The id of the client that placed this order. Identifies the side. Valid values are: BUY, SELL, SSHORT The order quantity. The order type. identifies the order type. Valid values are: • • • String m_orderType MKT MKTCLS LMT LMTCLS PEGMKT STP STPLMT TRAIL REL VWAP • • • • • • • double m_lmtPrice 512 This is the LIMIT price, used for limit, stop-limit Application Program Interface Property double m_auxPrice String m_sharesAllocation String m_tif String m_ocaGroup String m_account String m_openClose int m_origin String m_orderRef bool m_transmit int m_parentId boolean m_blockOrder boolean m_sweepToFill int m_displaySize Description and relative orders. In all other cases specify zero. For relative orders with no limit price, also specify zero. This is the STOP price for stop-limit orders, and the offset amount for relative orders. In all other cases, specify zero. Deprecated. Upgrade to new FA functionality must be done. The time in force. Valid values are: DAY, GTC, IOC, GTD. Identifies an OCA (one cancels all) group. The account. For institutional customers only. Specifies whether the order is an open or close order. For institutional customers only. Valid values are O, C. The order origin. For institutional customers only. Valid values are 0 = customer, 1 = firm The order reference. For institutional customers only. Specifies whether the order will be transmitted by TWS. If set to false, the order will be created at TWS but will not be sent. The order ID of the parent order, used for bracket and auto trailing stop orders. If set to true, specifies that the order is an ISE Block order. If set to true, specifies that the order is a Sweepto-Fill order. The publicly disclosed order size, used when placing Iceberg orders. Specifies how Simulated Stop, Stop-Limit and Trailing Stop orders are triggered. Valid values are: O - the default value. The "double bid/ask" method will be used for orders for OTC stocks and US options. All other orders will used the "last" method. 1 - use "double bid/ask" method, where stop orders are triggered based on two consecutive bid or ask prices. 2 - "last" method, where stop orders are triggered based on the last price. If set to true, allows triggering of orders outside of regular trading hours. If set to true, the order will not be visible when viewing the market depth. This option only applies to orders routed to the ISLAND exchange. The amount off the limit price allowed for discretionary orders. The trade's "Good After Time," format int m_triggerMethod boolean m_ignoreRth boolean m_hidden double m_discretionaryAmt String m_goodAfterTime 513 TWS Users' Guide Property Description "YYYYMMDD hh:mm:ss (optional time zone)" Use an empty String if not applicable. You must enter a tif value of GTD. The trade's "Good Till Date," format "YYYYMMDD hh:mm:ss (optional time zone)" Use an empty String if not applicable. The Financial Advisor group the trade will be allocated to -- use an empty String if not applicable. The Financial Advisor allocation profile the trade will be allocated to -- use an empty String if not applicable. The Financial Advisor allocation method the trade will be allocated with -- use an empty String if not applicable. The Financial Advisor percentage concerning the trade's allocation -- use an empty String if not applicable. Identifies the asset's primary exchange. Values are 1 or 2. Use only when shortSaleSlot value = 2. Cancel on Fill with Block = 1 Reduce on Fill with Block = 2 Reduce on Fill without Block = 3 Regular trading hours only. yes=1, no=0 Individual = 'I' Agency = 'A', AgentOtherMember = 'W' IndividualPTIA = 'J' String m_goodTillDate String m_faGroup String m_faProfile String m_faMethod String m_faPercentage String m_primaryExchange int m_shortSaleSlot String m_designatedLocation int m_ocaType string m_rule80A AgencyPTIA = 'U' AgentOtherMemberPTIA = 'M' IndividualPT = 'K' AgencyPT = 'Y' AgentOtherMemberPT = 'N' string m_settlingFirm boolean m_allOrNone int m_minQty double m_percentOffset boolean m_eTradeOnly Institutional only. yes=1, no=0 Identifies a minimum quantity order type. The percent offset amount for relative orders. Trade with electronic quotes. yes = 1, no = 0 Trade with firm quotes. boolean m_firmQuoteOnly double m_nbboPriceCap yes = 1, no = 0 The maximum Smart order distance from the NBBO. 514 Application Program Interface Property Description match = 1 improvement = 2 transparent = 3 For BOX exchange only. The starting price. Valid on BOX orders only. The stock reference price. Valid on BOX orders only. The stock delta. Valid on BOX orders only. The lower range of the acceptable stock range. Valid on BOX orders only. The upper range of the acceptable stock range. Valid on BOX orders only. int m_auctionStrategy double m_startingPrice double m_stockRefPrice double m_delta double m_stockRangeLower double m_stockRangeUpper Copyrights and Trademarks 515 TWS Users' Guide Use the TestJavaClient Sample Program You can access TWS through a Java application using the socketclient component. Before you can connect to TWS, you must: • • • Install the socketclient component and sample programs Configure TWS to support the API components Have Java 2 SDK v1.3.0 or higher installed on your PC. The TestJavaClient program is a sample program that shows you how to use sockets to connect to TWS from a Java application. To use the TestJavaClient program • Compile the sample java files: • • javac TestJavaClient/Main.java Run the program • java TestJavaClient/Main Copyrights and Trademarks 516 Application Program Interface Place a Combination Order A combination order is a special type of order that is constructed of many separate legs but executed as a single transaction. To buy a calendar spread you would: • • Buy 1 OPT JUL03 17.5 CALL (100) Sell 1 OPT AUG03 17.5 CALL (100) The following example walks you through the hypothetical steps to place a calendar spread order for XYZ on ISE: 1. Using the reqContractDetails() method, get the contract id for both leg definitions. • • 2. The conid for XYZ option JUL03 17.5 CALL on ISE is "12345678". The conid for XYZ option AUG03 17.5 CALL on ISE is "12345679". Create and add the first leg. • Create a new ComboLeg object containing the following data: conid=12345678, ratio=1, action="BUY", exchange="ISE", openClose=0 3. Create and add the second leg. • Create a new ComboLeg object containing the following data: conid=12345679, ratio=1, action="SELL", exchange="ISE", openClose=0 4. Add each leg to the list of definitions maintained by the contract. Refer to the C++ socket sample to see how this is done. 5. Set and send the combination order details. • Call the 'placeOrder' method with the following contract details: symbol = "XYZ secType = "BAG" exchange = "ISE" NOTE: For combination orders, the secType must always be set to 'BAG'. If the order legs do not constitute a valid combination, one of the following errors will be returned: 312 = The combo details are invalid. 313 = The combo details for '' are invalid. 314 = Security type 'BAG' requires combo leg details. 517 TWS Users' Guide 315 = Stock combo legs are restricted to SMART exchange. NOTES: (1) The exchange for the leg definition must match that of the combination order. The exception is for a STK leg definition, which must specify the SMART exchange. (2) The openClose leg definition value is always 'SAME' (i.e.0) for retail accounts. For institutional accounts, the value may be any of the following: (SAME, OPEN, CLOSE). For more information on Combination orders, see the user guide topics Combination Orders and Notes on Combination Orders. Copyrights and Trademarks 518 Application Program Interface Advisors ADVISOR API Copyrights and Trademarks 519 TWS Users' Guide Financial Advisor Orders and Account Configuration This section assumes familiarity on the part of the reader with TWS Financial Advisor account configuration and order placement. API FA functionality became significantly more powerful in TWS release 821 and higher, in that the now deprecated "allocation string" method was replaced by the much more powerful Financial Advisor order allocation methods. Prior to those new methods being used, TWS had to be configured to understand the desired FA order groups, profiles, and account aliases. This can be done manually in TWS, or via the API, or via both. Excel DDE Support Starting with TWS release 824, DDE orders now have six new Extended Attributes: Good After Time, Good Till Date, FA Group, FA Method, FA Percentage, and FA Profile. These can be left empty if they do not apply to an order. TWS Financial Advisor account configuration should be done manually for DDE access. Support by Other API Technologies For all ActiveX, Java, or C++ based API technologies, TWS Financial Advisor account configuration is done via two new methods and one new event. The methods are called replaceFA, and requestFA. The event is called receiveFA. These methods and that event pertain to the following three parts of TWS FA account configuration: creating groups, profiles, and account aliases. • • requestFA(int faDataType) is a method that is called by an API application to request one of those types of FA configuration data. receiveFA(int faDataType, string XML) receives the requested data from TWS, via an event that TWS sends that contains the data requested. The event includes an XML string containing the requested information. replaceFA(int faDataType, string XML) can be called from the API if the API application wishes to replace the previous FA configuration information with a new XML string. • In accordance with the existence of this new functionality, all placeOrder methods, whether ActiveX, Java, or C++ based, have four new parameters pertaining to Financial Advisor order placement: faGroup, faMethod, faPercentage, and faProfile. When one or more of these new values is not relevant to an order, simply pass in an empty string. Improved Financial Advisor Execution Reporting When using TWS version 823 or higher, the execution messages resulting from a new FA order will report both the initial execution of the order, as well as its being allocated to its various subaccounts. The following example will serve to explain the new reporting scheme: Assume that 100 shares of IBM is being bought on the NYSE by a Financial Advisor who has three sub-accounts, and who wants them allocated with Equal Quantity to each. The following seven execution messages will occur: -- FA Account: Order filled on NYSE to BUY 100 IBM 520 Application Program Interface -- FA Account: allocation of 34 shares out of FA account and into sub account 1. Message says "BUY -34 IBM." The negative quantity reflects the fact that the execution being reported is reducing the purchase. -- SUB1 Account: BUY 34 IBM. -- FA Account: allocation of 33 shares out of FA account and into sub account 2. Message says "BUY -33 IBM." -- SUB2 Account: BUY 33 IBM. -- FA Account: allocation of 33 shares out of FA account and into sub account 3. Message says "BUY -33 IBM." -- SUB3 Account: BUY 33 IBM." Copyrights and Trademarks 521 TWS Menus Reference MENU REFERENCE Copyrights and Trademarks 523 TWS Users' Guide File Menu Use the File menu commands to export reports to your PC, save settings and create a basket file. The File menu commands are described in the table below. Menu Command Description Exports the day's execution reports as a text file to the directory on your PC that you set. Export Today's Reports Export Previous Day's Reports Exports the execution report (as a text file) for the selected day to a directory on your PC that you set. Export Page in Excel Format Exports the active trading page as a text file to a selected file directory. You can open this text file within Excel and copy the data to a spreadsheet. Save Settings Saves any changes you made to your trading screen layout, defaults, and menu selections. Restore Settings Opens the Restore Settings box, where you can choose to restore a saved setting from a previous day. Manage Workspaces Opens the Manage Workspaces dialog box. Save Orders As Basket Saves all orders on the active Trading page in a basket file. Use a Basket to trade a saved set of orders with one action. Exit Closes Trader Workstation and saves your settings. 524 TWS Menus Reference Copyrights and Trademarks 525 TWS Users' Guide Page Menu Use the Page menu to create, edit and delete trading pages, and to modify the page layout. Menu commands are described in the table below. Menu Command New Create Portfolio Page Description Creates a new trading page. Creates a new trading page called Portfolio complete with market data lines for all assets in which you hold a position. These are displayed in the Portfolio section of the Account window. Creates a new trading page called Scanner where you can view the top 20 contracts based on many different parameters such as most active, top gainers, top losers, etc. Let's you rename a page and change page settings, including the assigned layout, whether the page is enabled for Rapid Stock Entry, and whether or not to show an order for an underlying on each page on which the symbol appears. Opens the Page Layout editor to the Default page layout. Use this window to determine which columns are visible on your trading screen, and the text, background and other characteristics of rows and columns. Alphabetically sorts market data lines on the open trading page. Removes all market data lines from the Portfolio page for contracts in which you no longer hold a position. This ensures that the Portfolio page only includes assets in which you hold a position. Let's you delete the selected page. Gives a warning message before deleting. Use the Rapid Order Entry submenus to Show or Hide the Rapid Order Entry panel, and to define the available instrument types. Use the Configure submenu to open Create Market Scanner Settings Layout Sort Tickers Clear Zero Position Delete Rapid Order Entry 526 TWS Menus Reference Menu Command Description the Rapid Order Entry configuration page in the Global Configuration box. Detach Page Undocks the active trading page and recreates the page as a separate window on your desktop. To re-dock, on the Page menu of the detached page select Attach Page. Detaches all trading pages from the toolbar into separate windows. Reattaches the trading page to the trading toolbar. Detach All Pages Attach Page Copyrights and Trademarks 527 TWS Users' Guide Ticker Menu Use the Ticker menu to add a market data line and invoke actions related to the selected market data line. Menu commands are described in the table below. Menu Command Add Symbol Edit Description Opens the Request Ticker box where you enter contract information. This creates a new market data line. Let's you cut, copy or paste a market data line between pages. If you select any field in the line, the entire line is cut/copied. If you try to paste a duplicate market data line on the same page, the Paste command is grayed out. Opens the Account Management login screen. From here you can perform all of your account management tasks, such as subscribing to market data services, transferring funds, and viewing account statements. You must subscribe to market data services to receive market data and view Level II, NYSE Deep Book quotes and Market Depth. Subscribe to Market Data RFQ - Request for Quote Lookup Symbol Set Alarm Use to request market data for instruments not showing data. Opens the Contracts and Securities search page on the IB website. Opens the Alarm Settings box where you can set a price movement or volume change activated alarm for the selected asset. To ensure you don't lose alarms when you log out of TWS, select Preserve the alarm between sessions when you set the alarm. Opens a Book Trader window for the selected asset. Opens a Option Trader window for the selected asset. If you have futures contracts that will be expiring, use this feature to roll them over prior to expiration. Book Trader Option Trader Future Rollover 528 TWS Menus Reference Menu Command Show Market Depth Description Displays the market depth window for a selected asset. Market depth shows the alternative bids and offers away from the inside quote to allow you to better gauge market liquidity. Show Level II Quotes Historical Charts Show Real-Time Charts News and Research Show Positions Show Description Show Details Insert Row Level II quotes for Nasdaq securities are available by subscription. To subscribe, click Subscribe on the Ticker menu. Create a chart for the selected underlying. Opens the New Chart window where you define parameters to create a custom chart. Industry-related news and commentary based on the selected underlying. Shows current positions for the selected asset. Displays the Ticker Description box which contains information about the selected underlying. Shows details for the selected underlying. Inserts a blank line above the selected line. Copyrights and Trademarks 529 TWS Users' Guide Order Menu Use the Order menu to create, transmit, cancel and restore orders. The menu commands are described in the table below. Menu Command Buy Sell Scale Orders Close Position Basket Auto Stop Auto Trailing Stop Trigger Method Description Creates a Buy order on the selected market data line, or opens the Order Ticket window if no asset is selected. Creates a Sell order on the selected market data line, or opens the Order Ticket window if no asset is selected. Create orders that specify the total amount to be bought/sold at incrementally decreasing/increasing price intervals. Creates an opposite-side order for a selected asset in which you hold a position. You must manually transmit the order. Import a basket file to submit. Use a Basket order to trade a saved set of orders with one action. Attach a stop order to the limit order. Attach a trailing stop to a limit order. Select a stop trigger method for simulated stop, simulated stop limit, and trailing stop order types. This setting applies only to the currently selected order. To change the trigger method default for all orders, use the Configure menu. To allow stop-limit and eligible simulated stop orders to trigger after hours, select the "Allow triggering outside of regular trading hours" checkbox. Bracket Orders Creates a pair of orders that bracket your original order. Bracket orders are designed to limit your loss and lock in a profit by "bracketing" an order with two opposite-side orders. A BUY order is bracketed by a high-side sell limit order and a low-side sell stop order. A SELL order is bracketed by a highside buy stop order and a low side buy limit order. Update Limit Prices Opens the Update Limit Price dialog box where you define parameters to automatically update limit prices for the 530 TWS Menus Reference Menu Command Description selected order(s) or all orders on a page. Cancel For non-working orders, cancels the order and deletes it from the order management line. For working orders, sends a cancellation request to the order destination. A working order is not confirmed cancelled until the Status field turns red. Transmit Transmit Page Transmits the selected order to the order destination. Transmits all orders on the active trading page to their order destinations. The value in parenthesis shows the value of all orders on the page. Used to undo changes to a working order on an order management line BEFORE YOU RE-TRANSMIT THE ORDER. Shows your margin requirements as a "what if" scenario for the selected non-submitted order. Cancels a transmitted order at the exchange, but leaves it on the trading page for later re-submission. Cancels all transmitted orders on the page, but leaves them on the trading page for later re-submission. Sends a cancellation request for each non-transmitted and working order on the active trading page. Working orders are not confirmed cancelled until the Status field turns red. Restore Check Margin Deactivate Deactivate Page Cancel Page Cancel All Sends a cancellation request for every non-transmitted and working order on all of your trading pages. Working orders are not confirmed cancelled until the Status field turns red. Remove Filled Orders Close All Positions If you de-select Auto-Remove Orders on the Settings menu, use this command to remove all executed and canceled orders from your trading and Pending pages. Creates and transmits an opposite side limit order at the market price for each open position. If no market data is available, creates an opposite side market order, and you must transmit it manually. Enter a percentage of open positions you want to close. Creates and transmits an opposite side limit order at the market price for this percentage of open positions. If no market data is available, creates an opposite side market order, and you must transmit it manually. Creates and transmits an opposite side limit order at the market price for each open position on the active trading page. If no market data is available, creates an opposite side market order, and you must transmit it manually. Selects all orders on the page. Close Portion of Positions Close Positions on Page Select All 531 TWS Users' Guide Menu Command Ticket Description Opens the Order Ticket window which you use to create and transmit an order. If you have selected a market data line, the Order Ticket window displays the selected asset and order destination. Copyrights and Trademarks 532 TWS Menus Reference Analytics Menu Interactive Analytics is IB's risk assessment suite. Menu Command Description Portfolio Analytics Opens the Portfolio Analytics window. Option Analytics Opens the Option Analytics window. Option Modeler Opens the Option Modeler window. Copyrights and Trademarks 533 TWS Users' Guide View Menu Use the View menu to see reports, pending orders, and bulletins and status. The menu commands are described in the table below. Menu Command Executions Bulletins Account Statements Option Exercise Description View execution reports for the current day. View bulletins and system status. View account information including positions and account balance. View your latest account statement. Use the Option Exercise window to exercise an option position prior to expiration date, or on expiration date if the option is less than $.25 in the money at expiration. Or, allow option to lapse without exercising for options that are in the money by more than $.25. Opens the Alerts window where you can modify or create time, price or margin-based alerts. Opens the Rebalance window where you can trade by redistributing percentages of positions in your portfolio that make up your current (signed) net liquidation value. View a log of your daily trading activity saved in an html file. Each week's audit trail reports overwrite those from the previous week. If grayed out, you are already in Underlying entry mode, which mean you enter a ticker symbol and choose the instrument type and exchange in the normal manner. Symbol entry mode is for advanced options traders. This mode requires that you enter the contract definition by the class or symbol defined by the exchange on which it's Alerts Rebalance Audit Trail (Expanded or Condensed views) Underlying Mode Symbol Mode 534 TWS Menus Reference Menu Command trading. Market Data and Historical Data Connections Description Displays the purpose and status of your market data connections. Copyrights and Trademarks 535 TWS Users' Guide Configure Menu Use the Configure menu to modify defaults, set display options and show or hide features. The menu commands are described in the table below. Menu Command Global Configuration Description Opens the Global Configuration box where you define configuration settings for all aspects of the workstation. Opens the Feature Selector, which lets you hide or display specific features based on your needs. Feature Selector Copyrights and Trademarks 536 TWS Menus Reference Help Menu The Help menu provides links to online customer service information including the User's Guide. Menu commands are described in the table below. Menu Command Online Help Contract Lookup Customer Service IB Home Page Quick Start Guide Release Notes System Status Training Tutorial Users' Guide About Trader Workstation Description Click to load the javahelp version of the TWS user's guide. Opens the Contract and Securities Search page on the IB website. Brings you to the IB Customer Service help page on the IB website. Opens the Interactive Brokers' home page. Opens the TWS Quickstart Reference guide, which Opens the index to the TWS production release notes. View the IB System Status and System Availability. Opens the TWS Basics tutorial. Opens the TWS Users' Guide. Shows the current TWS release number and Java version. Copyrights and Trademarks 537 TWS Users' Guide Right-click on a Market Data Line To see a right-click menu, select a market data line and then click the right mouse button. Select an item from a right-click menu using your mouse. The right-click menu on a Market Data line contains the following menu commands: Menu Command Trade Description • • • • • • Buy - create a Buy order Sell - create a Sell order Order Ticket - opens the Order Ticket from which you define order parameters. Submit RFQ - request market data for instruments that are not showing data. Modify RFQ - Invokes a dialog box in which you can change the price/quantity of the last quote request made. Cancel RFQ - Cancels the last quote request made. Request for Quote Insert Ticker Insert Row Delete Row Clear Row Edit Tools Adds a new market data line with the underlying symbol you request. Inserts blank row above the selected row. Deletes the selected row and its data. Deletes data from row and leaves a blank row. Elect to cut or copy the selected market data line. • • • Book Trader - Opens the Book Trader window. Option Trader - Opens the Option Trader window. Market Depth - Displays the market depth window for the selected security. Note that for selected Nasdaq and NYSE-listed securities, Level II and NYSE Open Book quotes are available in place of market depth. Set Alarm - Opens the Alarm Settings box where you can set a price movement-activated alarm for the selected asset. Real-time Charts - Opens the New Chart window where you define parameters to create a custom chart. Historical Charts - Create a chart for the selected underlying. Earnings Estimates - See earnings estimates including per share book value, prior year's earnings estimate and estimated earnings growth rate for the selected underlying. • Analysis • • • 538 TWS Menus Reference Menu Command Description • • • • • • Contract Info Analyst Information - Shows analyst recommendations for the selected contract. Company Profile - Profiles the selected underlying, including per share data, company at a glance, valuation ratios and profitability. Financials - Income statement and other financials for the selected underlying. Insider Trading - Shows the last ten insider trading actions for the selected underlying. News & Research - Industry-related news and commentary based on the selected underlying. SEC Filings - SEC filings associated with the selected underlying. Description - Displays the Ticker Description box which contains information about the selected underlying. Details - Shows details for the selected underlying. • • Copyrights and Trademarks 539 TWS Users' Guide Right-click on an Order Management Line To see a right-click menu, select an order management line and then click the right mouse button. Select an item from a right-click menu using your mouse. The right-click menu on an Order Management line contains the following menu commands: Menu Command Transmit Cancel Description Transmits the selected order to the order destination. For non-working orders, cancels the order and deletes it from the order management line. For working orders, sends a cancellation request to the order destination. A working order is not confirmed cancelled until the Status field turns red. Deactivate Check Margin Restore Cancels a transmitted order at the exchange, but leaves it on the trading page for later re-submission. Opens the What-if Scenario box which describes your margin requirements for the order. Lets you undo changes to a working order on an order management line BEFORE YOU RE-TRANSMIT THE ORDER. Attach • • • Auto Stop - Attach a stop order to the limit order. Auto Trailing Stop - Attach a trailing stop order to the limit order. Bracket Orders - Attach a set of opposite-side orders that "bracket" the current order in an attempt to limit loss. Duplicate - Creates another order management line with the same order parameters directly below the selected line. Scale Orders - Create a series of orders at incrementally decreasing/increasing price intervals. Order Ticket - Opens the Order Ticket window where you can modify parameters before you transmit the order. Trigger Method - Select a stop trigger method for simulated stop, simulated stop limit, and trailing stop order types. This option lets you reset the trigger method for a single order. To change the trigger method for all orders, on the Configure menu select Order. then select Stop Trigger Method. To allow stop-limit and eligible simulated stop orders to trigger after hours, select the "Allow Create • • Modify • • 540 TWS Menus Reference Menu Command Description triggering outside of regular trading hours" checkbox. Note that the trigger method for cash contracts must always be the default double bid/ask method. • Condition - Opens the Conditional tab on the Order Ticket where you can create or modify a conditional order, which is an order that will automatically be submitted or cancelled ONLY IF specified criteria for one or more defined contracts are met. Convert to price-based - Converts the market data display from Volatility to price-based display. The values in the Bid Price and Ask Price fields change from volatility to price. Convert to volatility-based - Converts the market data display from price-based to Volatility display. The values in the Bid Price and Ask Price fields change from price to volatility. Volatility • • Copyrights and Trademarks 541 TWS Users' Guide Right-click in a Blank Line To see a right-click menu, select a line and then click the right mouse button. Select an item from a right-click menu using your mouse. The Right-click menu on in a blank line contains the following menu commands: Menu Command Order Ticker Generic Combo Request Quote Insert Row Delete Row Description Opens the Order Ticket window which you use to create and transmit orders. Opens the Request Ticker box where you enter contract information. This creates a new market data line. Opens the Combo Composition box to the Underlying field. Begin defining legs for a spread order. Enter contract information to request a quote. Inserts a blank line above the selected line. Deletes the selected row or rows. This command deletes both blank lines and market data lines without a warning. Copyrights and Trademarks 542