Author Topic: Trying to get started with a portfolio  (Read 5325 times)

Hessum Zangenehpour

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Trying to get started with a portfolio
« on: December 29, 2015, 03:09:46 pm »
Hi, we seem to be encountering some problems when setting up PTL trader with our IB account.

1. We can't seem to get any updated market information from IB.  We keep encountering data service areas like the first attachment.

2. When I update and bind a portfolio, I am getting more pairs than should be available in the portfolio (4 for non paying users).  But still get engine status: "Entry: wait for historical data". 

I dont personally mind paying for the software if we can accurately backtest data with forward walk testing, but I would like to get these small issues taken care of before investing anything in the ideas. 
« Last Edit: December 29, 2015, 04:43:45 pm by Hessum Zangenehpour »

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Re: Trying to get started with a portfolio
« Reply #1 on: December 30, 2015, 09:29:51 am »
Dear Hessum,

from your screenshot it seems you don't have market data permissions at IB side. You need to purchase the market data package for US market equities first.

About "getting more pairs that should be available" - please tell me your portfolio name, so I can take a look.

Thanks,
Karel

Hessum Zangenehpour

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Re: Trying to get started with a portfolio
« Reply #2 on: December 30, 2015, 11:06:09 am »
Dear Hessum,

from your screenshot it seems you don't have market data permissions at IB side. You need to purchase the market data package for US market equities first.


OK.  We will purchase the extra data from IB.

It also looks like after resetting the PTL application, the number of slots went down from 6 to 4 where it should be.

D.J. Vorreyer

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Re: Trying to get started with a portfolio
« Reply #3 on: July 25, 2016, 12:23:48 pm »
Sorry to bounce this older topic, but I had a similar situation that Hessum reported and this thread helped.  At this point, everything appears to be operating as expected with my PTL portfolio, I've added the IB Market Data Package, and I'm working on a single pair now to become comfortable with PTL and IB.  Two questions.  1) What does "No activity at the exchange" mean?  I can't imagine there are actually no trades against my pair but if I look at my pair legs in the center section, both of my symbols are reporting 0.0 bid/ask/last/etc.  what am I missing? 
2) In the upper right action, settings tab, I see where I can allocate a percentage of my account in a bound account against my selected pair.  Have I overlooked the opportunity to allocate a specific $ amount in a bound account against my selected pair?

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Re: Trying to get started with a portfolio
« Reply #4 on: July 27, 2016, 10:54:52 am »
Dear D.J. Vorreyer,

ad 1) - something is wrong with your market data...can you see real-time quotes when you run TWS?
ad 2) - you can allocate portion of your account to the whole portfolio (in percents). More info about money management here: https://wiki.pairtradinglab.com/wiki/Pair_Trading_Lab_Portfolios

D.J. Vorreyer

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Re: Trying to get started with a portfolio
« Reply #5 on: July 27, 2016, 12:03:46 pm »
Market data appears to be correct, I talked with IB and I had the proper permissions for real time market data.

I bounced both the API and the PTL screen, and when I tried to bind my pair today after talking with IB, I now see data in the pair legs (Last/Bid/Ask/etc...), but in the pairs box, the error message now reads "Suspicious Market Data"

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Re: Trying to get started with a portfolio
« Reply #6 on: July 28, 2016, 02:21:28 pm »
This happens if bid/ask prices are too far from the last trade price (>5%) or if bid/ask quotes are not from the same day (=too old). PTL Trader is trying to protect the trader from suspicious quotes. It is quite likely you are attempting to trade very illiquid stocks.

D.J. Vorreyer

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Re: Trying to get started with a portfolio
« Reply #7 on: August 02, 2016, 03:50:32 pm »
Makes sense.  The Suspicious data error has come and gone, and it appears that I am now able to execute my pair trading as planned when pricing aligns with liquidity.

Everything appears to be in order.  Thanks for the advice.

Piotr Arendarski

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Re: Trying to get started with a portfolio
« Reply #8 on: November 02, 2016, 10:11:06 am »
"Suspicious Market Data" is shown in PTL, but there is no issue with bid/ask spreads.

Maybe this rule is too restrictive ?

Piotr Arendarski

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Re: Trying to get started with a portfolio
« Reply #9 on: November 02, 2016, 10:18:58 am »
this error is also due to the lack of trade at one of leg, especially at first hour of trading
but this restriction makes no sense to me ... more important is bid-ask spread.

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Re: Trying to get started with a portfolio
« Reply #10 on: November 02, 2016, 02:44:32 pm »
Correct. This is just an additional protection element (last trade must be present and bid-ask quotes should not to be too far from it).

We are also thinking about lifting this rule or making it configurable.

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Re: Trying to get started with a portfolio
« Reply #11 on: November 23, 2016, 11:08:15 am »
This restriction has been removed in v1.3.1.