Manual Rebalancing is a mind numbing, error prone, waste of time.
Eventhough I import all trades with basket trader of IB TWS.
But if you have a lot of ports and holdings, then it really starts getting messy.
And filling the trade confirmation data back into P123 is the worst part.
Can you tell me more about basket trader? How it works, how you actually import, if you can specify the trading algo and parameters, what’s good about it and what’s bad ?
but this is what I usually use
Action,Quantity,Symbol,SecType,Exchange,Currency,TimeInForce,OrderType,LmtPrice
BUY,908,AET,STK,SMART,USD,DAY,LMT,81.92
BUY,1035,AFL,STK,SMART,USD,DAY,LMT,63.10
BUY,775,AGX,STK,SMART,USD,DAY,LMT,34.33
SELL,1059,AHGP,STK,SMART,USD,DAY,LMT,62.69
SELL,2048,AHS,STK,SMART,USD,DAY,LMT,11.62
Then you simply load the file into the basket trader.
It asks you a few questions, like do you want to round to the next lot etc.
Then you click on transmit and your trades have been transmitted to interactive brokers.
you will find all the different algos and parameters scattered all over this file. http://www.interactivebrokers.com/download/newMark/PDFs/APIprintable.pdf
Unfortunately I have not found a documentation explicitly for the basket csv file.
But I think you can use any trading algo and parameter you want in the basket csv file.
So on every rebalance, I copy my ports and R2Gs into excel and copy paste and format a bit to get the above csv file and to sort out if one stock is sold in one port and bought in another port. (Aggregate duplicates manually)
Then I transmit the orders and wait for fill, or adjust them with TWS to fill.
The anoying thing is entering the actual trade fill data manually back into P123.
Your TRADE implementation using the fix protocol is much better:
you do not need the IB password
you can automatically update the actual trade fill data back into P123
you do not need to have TWS installed, so you just go into an internet cafe or on your mobile and rebalance via P123 TRADE with a few clicks.
P.S.
I just noticed yesterday, that I still screwed up one of my R2Gs.
At the end it just had 10 stocks instead of 15 over the last few months.
Do not know how that happend, because I am just copy pasting all the way.
I use basket trader to submit trades daily, after running an Excel interface/macro to generate the transactions from the export of another of my signal generating platforms. The good thing about it is if you can define the IB field in the first line, it can be handled and allows you to “roll your own” file format. You just need to put the fields in the first line of the file. Once in a blue moon, there will be a symbol that TWS can’t handle on the basket trader import, but for the most part it works very well.
If TRADE could accept this format for a file import or batch submission, seems like the user could define whatever order type they wanted to, just by providing the right IB fields (even those trade types you haven’t defined yet). And those people who have already created IB interfaces, could port them right along to TRADE.
Another field that is very helpful in submitting basket trades is the IB OCAGroup. If you submit multiple orders using the same OCAGroup tag, when one fills, the rest get cancelled. Can be very powerful, when choosing between different stocks, or different forms of execution on the same stock.