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PostPosted: Sat May 09, 2009 1:46 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6816
If you want to set up two FOREX instruments in OpenQuant, for example EUR/USD and EUR/GBP currency pairs, IB TWS would require to set both instrument names to EUR and set instrument currency to USD for the first instrument and to GBP for the second one.

Since Instrument.Symbol serves as unique instrument identifier in OpenQuant, it's not possible to have two instruments with Symbol = EUR. Thus we should use AltSymbol technique.

For the EUR/USD pair we create an instrument with Symbol = EUR USD and set AltSource = IB and AltSymbol = EUR. We set Currency = USD and Exchange = IDEALPRO.

For the EUR/GBP pair Symbol = EUR GBP, AltSource = IB, AltSymbol = EUR, Currency = USD and Exchange = IDEALPRO.


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