Question about algos

[oldlore]

So I thought I changed my trading algo to adaptive a while back but I noticed my trades are still using Rob's "best" algo or market algo sometimes. I've included the code (in private_config) I'm using below. What am I doing wrong?

execution_algos:
  # default_algo: sysexecution.algos.algo_original_best.algoOriginalBest
  default_algo: sysexecution.algos.algo_adaptive.algoAdaptiveMkt
  market_algo: sysexecution.algos.algo_market.algoMarket
  limit_order_algo: sysexecution.algos.algo_limit_orders.algoLimit
  best_algo: sysexecution.algos.algo_original_best.algoOriginalBest
  algo_overrides:
    some_market_name_eg_IRON: sysexecution.algos.algo_market.algoMarket

Thanks!

[bug-or-feature]

The algo that gets selected goes by the order type. So check the point at which orders are created. Likely sysexecution.strategies.dynamic_optimised_positions.py if you're running DO, or sysexecution.strategies.classic_buffered_positions.py for static

[oldlore]

Thanks! I use DO, so in the file you indicated it says:

    # No limit orders, just best execution
    order_required = instrumentOrder(
        strategy_name,
        instrument_code,
        trade_required,
        order_type=best_order_type,
        reference_price=reference_price,
        reference_contract=reference_contract,
        reference_datetime=reference_date,

So is every order then "best_order_type"? If so, what is the purpose of the "execution_algos" in the config? I considered using the algo overrides but it looks like those are checked only if the order doesn't already have an algo, which they all have by default?

    if already_has_algo_allocated(contract_order):
        # Already done
        return contract_order

    instrument_order_type = instrument_order.order_type

    # not used yet, but maybe in the future
    is_roll_order = instrument_order.roll_order

    if algo_allocation_is_overriden_for_instrument(
        contract_order=contract_order, config=config

[bug-or-feature]

Yes, orders created have type best_order_type. Have a look at check_and_if_required_allocate_algo_to_single_contract_order() in sysexecution.algos.allocate_algo_to_order.py. It looks to me like this function, plus the execution_algos config maps order types to algos. So I would change your config to:

execution_algos:
  default_algo: sysexecution.algos.algo_adaptive.algoAdaptiveMkt
  ...
  best_algo: sysexecution.algos.algo_adaptive.algoAdaptiveMkt

(To find this logic, I just searched for execution_algos in the code, and followed where that code was called)

[oldlore]

Thanks! I'm going to try the change above and see what happens. Looks like it should work.

I'll preface this by saying I'm a novice at programming...

Would the instrument override in config ever work since the "already_has_algo_allocated" would always be true if every order is best_type by default. Seems like the check "algo_allocation_is_overriden_for_instrument" should happen first, shouldn't it?

Thanks again.

[tgibson11]

I haven't tried to trace through the code, but it seems like you are conflating 2 different concepts: order types and execution algos. I will admit this can be confusing because the names of algos tend to be similar to the order types that use them, but these are actually separate things.

Just because an order has a type (I believe all orders have a type, from the moment they are created), this does not mean they have also been assigned to an execution algo.

The config is there to do this mapping of order types to algos.

[oldlore]

This is a related follow up question. I changed to use Adaptive algo for all orders. However, an order for IBEX_mini (first time buying this) failed today. Here is the log:

2024-09-30 04:52:48 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'IBEX_mini', 'contract_order_id': 623, 'instrume
nt_order_id': 629} Sending order (Order ID:623) Type best for dynamic_system/IBEX_mini/20241000, qty [1], fill [0]@ price, None Parent:629 Chil
dren:[699, 700, 701, 702, 703, 704, 705, 706, 707, 708, 709, 710, 711, 712, 713, 714, 715, 716, 717, 718, 719, 720, 721, 722, 723, 724, 725, 72
6, 727, 728, 729, 730, 731, 732, 733, 734, 735, 736, 737, 738, 739, 740, 741, 742, 743, 744, 745, 746, 747, 748, 749, 750, 751, 752, 753, 754, 
755, 756, 757, 758, 759, 760, 761, 762, 763, 764, 765, 766, 767, 768, 769, 770, 771, 772, 773, 774, 775, 776, 777, 778, 779, 780, 781, 782, 783
, 784, 785, 786, 787, 788, 789, 790, 791, 792, 793, 794, 795, 796, 797, 798, 799, 800, 801, 802, 803, 804, 805, 806, 807, 808, 809, 810, 811, 8
12, 813, 814, 815, 816, 817, 818, 819, 820, 821, 822, 823, 824, 825, 826, 827, 828, 829, 830, 831, 832, 833, 834, 835, 836, 837, 838, 839, 840,
 841, 842, 843, 844, 845, 846, 847, 848, 849, 850, 851, 852, 853, 854, 855, 856, 857, 858, 859, 860, 861, 862, 863, 864, 865, 866, 867, 868, 87
0, 871, 872, 873, 874, 875, 876, 877, 878, 879] to algo sysexecution.algos.algo_adaptive.algoAdaptiveMkt
2024-09-30 04:52:48 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'IBEX_mini', 'contract_order_id': 623, 'instrume
nt_order_id': 629} Created a broker order (Order ID:no order ID) Type adaptive_mkt for dynamic_system/IBEX_mini/20241000, qty [1], fill [0]@ pr
ice, None Parent:623 Children:no_children (not yet submitted or written to local DB)
2024-09-30 04:52:48 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'IBEX_mini', 'contract_order_id': 623, 'broker_o
rder_id': ''} Going to submit order (Order ID:no order ID) Type adaptive_mkt for dynamic_system/IBEX_mini/20241000, qty [1], fill [0]@ price, N
one Parent:623 Children:no_children to IB
2024-09-30 04:52:48 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'IBEX_mini', 'contract_order_id': 623, 'broker_o
rder_id': ''} Order submitted to IB
2024-09-30 04:52:48 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'IBEX_mini', 'contract_order_id': 623, 'broker_o
rder_id': ''} Submitted order to IB (Order ID:no order ID) Type adaptive_mkt for dynamic_system/IBEX_mini/20241000, qty [1], fill [0]@ price, N
one Parent:623 Children:no_children
2024-09-30 04:52:48 DEBUG stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'IBEX_mini', 'contract_order_id': 623, 'broker_o
rder_id': 880} Managing trade (Order ID:880) Type adaptive_mkt for dynamic_system/IBEX_mini/20241000, qty [1], fill [0]@ price, None Parent:623
 Children:no_children with market order
2024-09-30 04:52:48 ERROR ib_insync.wrapper Error 442, reqId 119691: Specified algorithm is not allowed for this order.
2024-09-30 04:52:48 WARNING ib_insync.wrapper Canceled order: Trade(contract=Contract(secType='FUT', conId=717812468, symbol='IBEX', lastTradeD
ateOrContractMonth='20241018', multiplier='1', exchange='MEFFRV', currency='EUR', localSymbol='M3FMIXV4', tradingClass='MIX'), order=MarketOrde
r(orderId=119691, clientId=3749, action='BUY', totalQuantity=1, account='U6227427', algoStrategy='Adaptive', algoParams=[TagValue(tag='adaptive
Priority', value='Normal')]), orderStatus=OrderStatus(orderId=119691, status='Cancelled', filled=0.0, remaining=0.0, avgFillPrice=0.0, permId=0
, parentId=0, lastFillPrice=0.0, clientId=0, whyHeld='', mktCapPrice=0.0), fills=[], log=[TradeLogEntry(time=datetime.datetime(2024, 9, 30, 8, 
52, 48, 650128, tzinfo=datetime.timezone.utc), status='PendingSubmit', message='', errorCode=0), TradeLogEntry(time=datetime.datetime(2024, 9, 
30, 8, 52, 48, 693116, tzinfo=datetime.timezone.utc), status='Cancelled', message='Error 442, reqId 119691: Specified algorithm is not allowed 
for this order.', errorCode=442)])
2024-09-30 04:52:48 DEBUG stack_handler {'component': 'ibContractPositionData'} Reqid 119691: 442 Specified algorithm is not allowed for this o
rder. for None
2024-09-30 04:52:48 DEBUG stack_handler {'component': 'ibFuturesInstrumentData'} Reqid 119691: 442 Specified algorithm is not allowed for this 
order. for None
2024-09-30 04:52:48 DEBUG stack_handler {'component': 'ibFuturesContractData'} Reqid 119691: 442 Specified algorithm is not allowed for this or
der. for None
2024-09-30 04:52:48 DEBUG stack_handler {'component': 'ibFuturesContractPriceData'} Reqid 119691: 442 Specified algorithm is not allowed for th
is order. for None
2024-09-30 04:52:48 DEBUG stack_handler {'component': 'ibStaticData'} Reqid 119691: 442 Specified algorithm is not allowed for this order. for 
None
2024-09-30 04:52:48 DEBUG stack_handler {'component': 'ibExecutionStackData'} Reqid 119691: 442 Specified algorithm is not allowed for this ord
er. for None
2024-09-30 04:52:48 WARNING stack_handler {'strategy_name': 'dynamic_system', 'instrument_code': 'IBEX_mini', 'contract_order_id': 623, 'broker
_order_id': 880} Order has been cancelled apparently by broker: not by algo!
2024-09-30 04:52:48 DEBUG stack_handler {'type': 'run_stack_handler'} Released contract order 623 from algo control

Does adaptive not work for some futures markets? If so, is there a way to tell which? Or is this something else?

Thanks!

[tgibson11]

Does adaptive not work for some futures markets?

Apparently not

If so, is there a way to tell which?

In theory, there is https://www.interactivebrokers.com/en/trading/products-exchanges.php/ (be sure to click on the "Exchange" tab first, it's easy to miss)

However, even when I look up exchanges where I use adaptive market orders, I don't see it listed as a supported order type.

So in practice, I think you might have to just make a note of these issues and adjust your config accordingly. I only trade on US exchanges (all of which seem to support adaptive market orders), so I can't tell you more than that.

[oldlore]

Thanks for your help. I wasn't able to find any details about figuring out which futures markets allow which algos. I emailed IB support so hopefully they'll be able to help. I assume I could check by logging in online and trying to place a manual trade for each exchange and see what algo types it permits me to use.