A Few More Order Types - Interactive Brokers

[jaredbroad]

New order type for IB - VWAP.

[jaredbroad]

All or None // Fill or Kill Option on Orders

[patrickstar1]

Also would be nice to have Immediate or Cancel (IOC):

https://www.interactivebrokers.com/en/index.php?f=594

[jaredbroad]

Adaptive Algo
https://interactivebrokers.github.io/tws-api/ibalgos.html#gsc.tab=0

[patrickstar1]

Any update on these features? can we at least have all-or-none for now? Thanks!

[jaredbroad]

Not yet sorry but we'll reply here when it is done so no need to ping thread.

Its an internal rule of QC -- bugs before features :) As long as there are red-flags we'll fix them first. If you'd like to push these features through we'd welcome a PR though!

[patrickstar1]

Bugs before Features is a very good policy. But I really need this feature because my algo goes crazy because of the partial fills - so much that I pulled the plug on it today.

I will see if I can contribute. Otherwise looks like I have to wait for you guys to pick it up.

[StefanoRaggi]

Related issues/pull requests:

Ability to accept GoodTillDate and DurationValue in QC orders for IB: QuantConnect/Lean#971
Support for GoodTillDate with Interactive Brokers: QuantConnect/Lean#1201
Addition of Interactive Brokers Algorithmic orders: QuantConnect/Lean#1203

[StefanoRaggi]

There are multiple features grouped together in this issue, so we are splitting this issue in the following tasks, to keep pull requests smaller and easier to review:

• Rename enum OrderDuration -> TimeInForce and rename Order.Duration to Order.TimeInForce

• Implement TimeInForce.Day (DAY)
  https://www.interactivebrokers.com/en/software/tws/usersguidebook/ordertypes/time_in_force_for_orders.htm

• Implement Guaranteed VWAP order type
  https://www.interactivebrokers.com/en/index.php?f=603

• Implement TimeInForce.GoodTilDate (GTD)
  https://www.interactivebrokers.com/en/index.php?f=589

• Implement TimeInForce.FillOrKill (FOK)
  https://www.interactivebrokers.com/en/index.php?f=586

• Implement TimeInForce.ImmediateOrCancel (IOC)
  https://www.interactivebrokers.com/en/index.php?f=594

• Implement Order.AllOrNone (AON)
  https://www.interactivebrokers.com/en/index.php?f=577

• Implement IB Algorithms with InteractiveBrokersOrderProperties
  https://interactivebrokers.github.io/tws-api/algos.html

[mchandschuh]

@StefanoRaggi -- a reminder that for each step we're only implementing them for backtesting and interactive brokers live, which means for all other brokerage models, we'll need to update the CanSubmit method to flag orders with these options as invalid.

[linkliang]

Based on many user requests, it would be nice to implement OCA - One Cancels All grouped orders. https://www.interactivebrokers.com/en/index.php?f=617
IB API is OcaGroup

[simonsonjack]

Combination orders

[AlexCatarino]

Relative Order type:
https://www.interactivebrokers.com/en/general/education/videos/tws-python-api-pair-trades.php