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PostPosted: Thu Feb 22, 2018 11:23 pm 
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Joined: Mon May 02, 2016 5:11 am
Posts: 19
Hello, I am trying to test out some IB order attributes, such as hidden, display_size, etc. But it seems it is not supported in OpenQuant 2014. Is there a way we can support these? Thanks a lot!


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PostPosted: Tue Feb 27, 2018 11:31 am 
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Joined: Wed May 05, 2010 9:49 pm
Posts: 438
yan_ming wrote:
Hello, I am trying to test out some IB order attributes, such as hidden, display_size, etc. But it seems it is not supported in OpenQuant 2014. Is there a way we can support these? Thanks a lot!

Hello, this is the list of used attributes for IB:
Code:
//Hidden
order[EFIXField.Hidden] = true


Code:
//AllOrNone
order[EFIXField.AllOrNone] = true


Code:
//OpenClose
order[EFIXField.OpenClose] = ''" // string


Code:
//SweepToFill
order[EFIXField.SweepToFill] = true


Code:
//display size
order[EFIXField.DisplaySize] = true //will be available in next release


Code:
//Trigger Method
order[EFIXField.TriggerMethod] = 1 // int


Code:
//AlgoStrategy, WVAP
order[EFIXField.IBalgoStrategy] = "Vwap" 
            order[EFIXField.IBmaxPctVol] = 0.1;
            order[EFIXField.IBstartTime] = "09:00:00 CET";
            order[EFIXField.IBendTime] = "16:00:00 CET";
            order[EFIXField.IBallowPastEndTime] = true;
            order[EFIXField.IBnoTakeLiq] = true;


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