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Interactive Brokers


Interactive Brokers is an online broker that allows you to trade stocks, options, futures, Forex, bonds and over 100 markets worldwide in a single IB Universal Account.

Markets Supported

Stocks, options, futures, Forex and bonds.
Over 100 markets: http://individuals.interactivebrokers.com/en/p.php?f=products


Requirements

- Interactive Brokers account with a username and password
- Traders Workstation (TWS)
http://individuals.interactivebrokers.com/en/software/installationInstructions.php?ib_entity=llc
- You may also need to install the last version of IB API
https://individuals.interactivebrokers.com/en/?f=%2Fen%2Fsoftware%2Fibapi.php


Connection Instructions

1. Start Interactive Brokers TWS
2. In the menu, select "Edit -> Global Configuration"

3. Enable the following options:
-> Enable ActiveX and Socket Clients
-> Download open orders on connection
-> Set the "Socket port" value to 7496
-> Include FX positions when sending portfolio

4. Start QuantShare
5. Select in the menu "Accounts -> Connect" then select "Interactive Brokers"
6. In Connection Settings and under "Provider Settings" tab, update the following fields:

TWS Host Name: Leave this field empty or set it to "localhost". If TWS is running in another network, type the IP address of the network.
TWS Socket Port: Set this field to 7496.
Regular Trading Hours Only: Check this field if you don't want to get trades outside of standard trading hours.
Client ID: Leave this field to a value of zero "0".

Click "Close" to save settings and starts the Interactive Broker connection

Click here for more information about connection settings


Common Problems Connecting to Interactive Brokers

I am getting a "Target machine actively refused…" message:
Make sure no other software or program is connecting to TWS.


IB Symbology

The format is:

SYMBOL-EXCHANGE-TYPE-CURRENCY@LOCAL NAME

Description:

SYMBOL: Symbol of the security (Same as symbol column in TWS - Under symbol mode)

EXCHANGE (optional): The exchange where the security is listed. .....

TYPE:

STK -> Stocks
FUT -> Futures
OPT -> Options
FOP -> Options on futures
IND -> Indexes
CASH -> Cash (Ideal FX)

Notes:

- You can also specify the security's type in the "Group" field. (Symbol -> Update Symbol)
- If EXCHANGE field is not specified then "SMART" will be used
- For stocks, the default exchange (if not specified) is ISLAND

CURRENCY: The currency of the symbols. Default value is "USD" (US Dollar).
LOCAL NAME: The exchange local name for the specified symbol. Use the local name to avoid typing options or futures expiration date, strike...

Stocks

Examples:
GOOG (Google Inc.)
AAPL (Apple Inc.)
VOD-LSE (Vodafone Group)
FTE-SBF (France Telecom)


Futures / Options

Futures symbol format is as follows:
[Symbol Name] [SPACE] [EXPIRY MONTH CODE] [EXPIRY YEAR LAST DIGIT]

Example:
E-Mini S&P June 2012 Futures Contract

IB Symbol: ES M2-GLOBEX-FUT

Month Codes:
January - February - March - April - May - June - July - August - September - October - November - December
F - G - H - J - K - M - N - Q - U - V - X - Z

Options symbol format is as follows:

[Symbol Name] [SPACE] [EXPIRY MONTH CODE] [EXPIRY YEAR LAST DIGIT] [C or P -> Put or Call] [STRIKE]

Example:
Google option, 610 Call, Expiration: May 2012

IB Symbol:
GOOG K2C610-AMEX-OPT
Or
GOOG K2C610-CBOE-OPT
for Google options listed on CBOE

You can also enter options using the OCC format: (Note that there are two white spaces between the symbol name and the option specification)
GOOG  140103C00850000

QuantShare automatically detects that such security is an option.

Indices

Examples:

SPX-CBOE-IND (S&P 500 Index)
INDU-NYSE-IND (Dow Jones Industrial Average)
TICK$NYSE-NYSE-IND (NYSE Tick)

Forex

Example:
EUR.USD

You must also set the Group field of the forex symbol to "Currencies" (Symbol -> Update Symbol)


The best way to add IB symbols to QuantShare is by selecting "Symbol -> Symbol Lookup -> Interactive Brokers" (Make sure IB is connected).


Additional Information:

- It is possible to specify type and currency data in symbol files (Symbol -> Update Symbol).

For example, instead of specifying the following symbol: SPX-CBOE-IND
You can add "SPX-CBOE" symbol and specify that this symbol is an index by associating "Indices" group with "SPX-CBOE" symbol.

- Another way to reference an asset is by specifying its local symbol name

Example:
Local symbol name for E-Mini S&P June 2012 Futures Contract is ESM2

To add a symbol for this futures contract, enter: ES-GLOBEX-FUT@ESM2
Instead of: ES M2-GLOBEX-FUT

(In IB, right click on a symbol then select Contract Info -> Description)


IB API Limitations

- The data from IB does not include a timestamp on the trades. The current system time and security exchange settings are used to timestamp each tick.








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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.