Posted By: Gloria
IB: Error 075: Difficulty with a specific future (6J, JY, JPY) - 01/09/18 13:41
Hi,
I'd be most grateful if you could help me with the Japanese Yen future. This is "JPY, Future, March 2018" at IB, "6J" at the Globex or the FX-future "JY" at Bloomberg.
I have live data and can indeed trade the contract in a simulated account using the IB TWS. Zorro, however, produces an error when I try to trade that contract. Here is a test case.
Zorro gets plausible minute bars, and so the instrument specification seems to be correct. In Zorro, I get the output
Why cannot I open the position? The IB API log file at c:\Jts\something.Day.log says
Somehow the trade parameters are wrong here because the margin requirement in the API error message does not make sense. I want to buy only one contract, and it seems this is what Zorro is trying.
When I click on the bid or the ask price in the TWS, can trade +1 or -1 contract without any problem.
I use Zorro S with the 1.74 beta version (because I eventually need time series with the traded prices rather than bid/ask).
Any help would be much appreaciated.
Kind regards,
gloria
I'd be most grateful if you could help me with the Japanese Yen future. This is "JPY, Future, March 2018" at IB, "6J" at the Globex or the FX-future "JY" at Bloomberg.
I have live data and can indeed trade the contract in a simulated account using the IB TWS. Zorro, however, produces an error when I try to trade that contract. Here is a test case.
Code:
#include <stdio.h> #include <r.h> static int count = 0; function run () { if (is (INITRUN)) { Verbose = 7; History = ".t6"; LookBack = 100; BarPeriod = 1; TimeFrame = 1; TickTime = 1; StartDate = 2016; EndDate = 2017; asset ("JPY-FUT-20180319-6J-GLOBEX-USD"); brokerCommand (SET_PRICETYPE,2); // use trade rather than bid/ask Entry = 0; Stop = 0; TakeProfit = 0; Trail = 0; Margin = 0.0001; // position size is not controlled by margin Risk = 0; // position size is not controlled by risk limit Lots = 1; LotAmount = 12500000*0.0088; PIP = 0.0000005; PIPCost = 6.25; MarginCost = Margin/Lots; count = 0; return; } if (wdate (NOW) - wdate () < 1.0/(24*60)) { count++; printf ("nL %04d-%02d-%02d %02d:%02d:%02d USDJPY O=%.6f, H=%.6f, L=%.6f, C=%.6f [count %d]", year (),month (),day (),hour (),minute (),(int)floor (second ()), priceOpen (),priceHigh(),priceLow(),priceClose (),count); if (count == 3) { enterLong (); } if (count == 5) { exitLong (); } } else { printf ("nB %04d-%02d-%02d %02d:%02d:%02d USDJPY O=%.6f, H=%.6f, L=%.6f, C=%.6f", year (),month (),day (),hour (),minute (),(int)floor (second ()), priceOpen (),priceHigh(),priceLow(),priceClose ()); } }
Zorro gets plausible minute bars, and so the instrument specification seems to be correct. In Zorro, I get the output
Code:
[584: Tue 18-01-09 13:13] 0.0089140/0.0089150 .0089140/0.0089145 B 2018-01-09 13:13:00 USDJPY O=0.008914, H=0.008915, L=0.008914, C=0.008914 [585: Tue 18-01-09 13:15] 0.0089145/0.0089145 .0089145/0.0089145 L 2018-01-09 13:15:01 USDJPY O=0.008915, H=0.008915, L=0.008915, C=0.008915 [count 1] [586: Tue 18-01-09 13:16] 0.0089177/0.0089177 .0089177/0.0089177 L 2018-01-09 13:16:01 USDJPY O=0.008918, H=0.008918, L=0.008918, C=0.008918 [count 2] [587: Tue 18-01-09 13:17] 0.0089214/0.0089214 .0089214/0.0089214 L 2018-01-09 13:17:06 USDJPY O=0.008921, H=0.008921, L=0.008921, C=0.008921 [count 3] Enter 1L JPY-FUT-2018031 at 13:17:06 BrokerBuy JPY-FUT-20180319-6J-GLOBEX-USD: 156 ms Error 075 ((JPY-FUT-2018031::L)): Can't open 1@0.0089214 at 13:17:06 [588: Tue 18-01-09 13:18] 0.0089256/0.0089256 .0089256/0.0089256 L 2018-01-09 13:18:01 USDJPY O=0.008926, H=0.008926, L=0.008926, C=0.008926 [count 4] [589: Tue 18-01-09 13:19] 0.0089160/0.0089261 .0089160/0.0089261 L 2018-01-09 13:19:01 USDJPY O=0.008916, H=0.008926, L=0.008916, C=0.008926 [count 5]
Why cannot I open the position? The IB API log file at c:\Jts\something.Day.log says
Code:
14:17:05:176 <- 1-11-33911-0-JPY-FUT-20180319-0---GLOBEX--USD--6J-0--1-- 14:17:05:208 -> 1-6-33911-1-0.0089145-29--1-1-6-33911-2-0.0089150-21--1- 14:17:09:872 -> 57-1-33910- 14:17:12:181 <- 3-43-33912-0-JPY-FUT-20180319-0---GLOBEX--USD--6J---BUY-110000-MKT-0--DAY---O-0-Zorro-1-0-0-0-0-0-1-0--0-------0---1-0---0-110000--1-1--0------0-----0-----------0---0-0---0-- 14:17:12:212 -> 4-2-33912-2109-Order Event Warning:Attribute 'Outside Regular Trading Hours' is ignored based on the order type and destination. PlaceOrder is now being processed.- 14:17:12:274 -> 5-32-33912-132757349-JPY-FUT-20180319-0-?-12500000-GLOBEX-USD-6JH8-6J-BUY-110000-MKT-0.008915-0.0-DAY--DU640042-O-0-Zorro-101-903574924-0-0-0--903574924.-1/DU640042/100---------0---1-0-------0-0-0-110000-3-1-1--0-0--0-None--0----?-0-0--0-0------0-0-0-----0--IB-0-0--0-Inactive-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308------3-6-33912-Inactive-0-110000-0-903574924-0-0-101-- 14:17:12:321 -> 4-2-33912-201-Order rejected - reason:YOUR ORDER IS NOT ACCEPTED. IN ORDER TO OBTAIN THE DESIRED POSITION YOUR NET LIQ [45696.99 EUR] MUST EXCEED THE MARGIN REQ [362973184.28 EUR]- 14:17:12:321 -> 5-32-33912-132757349-JPY-FUT-20180319-0-?-12500000-GLOBEX-USD-6JH8-6J-BUY-110000-MKT-0.008915-0.0-DAY--DU640042-O-0-Zorro-101-903574924-0-0-0--903574924.-1/DU640042/100---------0---1-0-------0-0-0-110000-3-1-1--0-0--0-None--0----?-0-0--0-0------0-0-0-----0--IB-0-0--0-Inactive-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308------3-6-33912-Inactive-0-110000-0-903574924-0-0-101-- 14:17:12:337 <- 4-1-33912- 14:17:12:337 -> 4-2-33912-161-Cancel attempted when order is not in a cancellable state. Order permId =903574924- 14:17:12:337 <- 1-11-33913-0-JPY-FUT-20180319-0---GLOBEX--USD--6J-0--1-- 14:17:12:384 -> 1-6-33913-1-0.0089145-29-1-
Somehow the trade parameters are wrong here because the margin requirement in the API error message does not make sense. I want to buy only one contract, and it seems this is what Zorro is trying.
When I click on the bid or the ask price in the TWS, can trade +1 or -1 contract without any problem.
I use Zorro S with the 1.74 beta version (because I eventually need time series with the traded prices rather than bid/ask).
Any help would be much appreaciated.
Kind regards,
gloria