[ts-gen] order states [Was: Experiments with Java API]

Ken Feng kfmfe04 at gmail.com
Wed Oct 7 14:52:40 EDT 2009


Hi Bill,

On Oct 8, 2009, at 2:43 AM, Bill Pippin wrote:
>
>> I don't know the design decision that went into filtering these
>> other states out ...
>
> You imply that the shim's design involves such a choice, and as I
> note above, such claim is false.

I apologize for assuming too much - I didn't mean to point fingers  
here...

>> ... I have definitely seen PreSubmitted and PendingSubmit.
>> In fact, I previously had to look for these in the ... logs to
>> capture them ...
>
> Interesting.  Of course PreSubmitted occurs frequently, but I did
> not expect that PendingSubmit would occur as part of order status
> messages, since according to IB's docs it does not, as noted above.
> Of course it isn't unheard of for the docs to conflict with reality;
> and when theory and observed fact disagree, the facts win out.
> For that matter, I believe I remember Nils noting that he'd seen
> PendingSubmit, so it's very possible that you're correct here.

It's not frequent, but here is one that I saw:

20090923_risk.log:17226|03619|  0.000039|3| 3| 6|1292|PendingSubmit| 
100000|350000|0.899400|1095302502|0|0.899400|8|

but didn't make it into the Journals - I think your fix will take care  
of this.

>    OrderStatus:        Ken Feng's list
>    ----------------    ----------------
>                      * Pending
>    PendingSubmit       PendingSubmit
>    PendingCancel       PendingCancel
>    PreSubmitted        PreSubmitted
>    Submitted           Submitted
>    Cancelled           Cancelled
>                      * Partial
>    Filled              Filled
>    Inactive            Inactive
>
> I claim that the list on the left is, at least according to the
> newest version I know of for IB's APIguide.pdf, the complete list of
> order states that IB has defined.  Do you have convincing evidence
> to the contrary, in particular for your inclusion of the two
> extra states?

When I grep'ed my risk log files, I couldn't find any Pending or  
Partials.  Now, I'm hammering IB/Shim pretty hard - on the order of  
hundreds of submits and cancels a day.  I am hoping to cover most  
states, but I have no idea if one day, Pending or Partial would show  
up or not.

...

> Presumably the m_status attribute above is the same as the order
> status state transition next value as reported via the order status
> message; since the shim is still at an earlier version of the
> open order message, I haven't yet checked this.  Note also that
> this newest version of the open order message includes commission
> information, which may be of interest to some users.

Yes!  I would be interested in that commission information, if the  
upstream has actually filled out the field.  For now, I have an GUI- 
automated kludge that pulls down trades (CSVs) from TWS.

- Ken


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