API Beta, Build 9.72 - Release Notes

New Order Types Support in API

Adjustable Stops, Pegged-to-Benchmark and Conditional orders are now supported in the API.

Adjustable Stops: Attach one-time adjustments to stop, stop limit, trailing stop and trailing stop limit order using the following new attributes within the Order class:

• triggerPrice: When this price is penetrated, the adjustment will take place.
• adjustedOrderType: Parent order will be changed to the given type (i.e. STP, STP LMT, TRAIL, etc).
• adjustedStopPrice: Adjusted parent's order stop price.
• adjustedStopLimitPrice: Adjusted parent order's stop limit price.
• adjustableTrailingUnit: Set to 0 to indicate amount, set to 1 for percentage.
• adjustedTrailingAmount: Trailing amount/percent of the adjusted order.

For examples, go to http://xavierib.github.io/twsapidocs/adjustable_stops.html

Pegged-to-Benchmark: Peg your order to a reference contract's movement in the market using the following new attributes within the Order class.

• startingPrice: When the reference contract reaches this price.
• isPeggedChangeAmountDecrease: True if decrementing order's price.
• peggedChangeAmount: Amount by which the order price will move.
• referenceContractId: The reference contract's conId.
• referenceExchange: Exchange on which reference contract needs to be tracked.
• stockRefPrice: Starting reference price.
• stockRangeLower & stockRangeUpper: Pegged-to-benchmark order will remain active as long as the reference price remains within this threshold.

For examples go to: http://xavierib.github.io/twsapidocs/basic_orders.html#pegged_benchmark

Conditional: Specify conditions that must be met before the order will trigger. Uses the following classes and new attributes within each class:

Order class

• conditionsCancelOrder: set to true to cancel the order when the conditions are met.
• conditions: list of conditions to be met.

PriceCondition (new class)

• conId: conId of the contract to be used as reference.
• exchange: exchange in which to track the reference contract.
• isMore: true when condition requires the price to be “higher than”.
• price: reference contract's price to be met for the condition to trigger.
• isConjunctionConnection: use "AND" or "OR" to concatenate to next condition.

ExecutionCondition (new class)

• Symbol: the reference contract's symbol for which the execution is expected.
• Exchange: exchange in which to track the reference contract.
• SecType: reference contract's security type.
• isConjunctionConnection: use "AND" or "OR" to concatenate to next condition.

MarginCondition (new class)

• isMore: true if margin has to be greater than the given margin's percent.
• percent: margin percent to be checked by the condition.
• isConjunctionConnection: use "AND" or "OR" to concatenate to next condition.

PercentageChangeCondition (new class)

• isMore: true if the percentage change is greater than what the condition specifies.
• changePercent: the percent amount change the condition requires.
• conId: conId of the contract to be used as reference.
• exchange: exchange in which to track the reference contract.
• isConjunctionConnection: use "AND" or "OR" to concatenate to next condition.

TimeCondition (new class)

• isMore: before (false) or after (true) a given time.
• time: time to trigger the condition
• isConjunctionConnection: use "AND" or "OR" to concatenate to next condition.

VolumeCondition (new class)

• conId: conId of the contract to be used as reference.
• exchange: exchange in which to track the reference contract.
• isMore: true if volume has to be greater than what is given.
• volume: volume amount to trigger condition.

For examples go to: http://xavierib.github.io/twsapidocs/order_conditions.html

Fields Renamed from "Expiry" to "LastTradingDay" or “LastTradingDayorContractMonth”

Within TWS, we use the last trading day and not the actual expiration date for futures, options and futures options contracts. To more accurately reflect this data, we have changed all of the “expiry” fields throughout the API to either “LastTradingDay” or “LastTradingDayorContractMonth” as noted below.

For TWS messages being sent to the API client, the values is always Last Trading Day, and so the "Expiry" field has been changed to "LastTradingDay":

OPEN_ORDER = 5;
PORTFOLIO_VALUE = 7;
CONTRACT_DATA = 10;
EXECUTION_DATA = 11;
SCANNER_DATA = 20;
TICK_EFP = 47;
POSITION = 61;

For messages sent from the API to TWS, if the value length is 8, TWS understand it as the Last Trading Day. If the value length is 6, TWS understand it as the Contract Month. For these, the “Expiry” field has been renamed to “LastTradingDayorContractMonth”:

REQ_MKT_DATA = 1;
PLACE_ORDER = 3;
REQ_CONTRACT_DATA = 9;
REQ_MKT_DEPTH = 10;
REQ_HISTORICAL_DATA = 20;
EXERCISE_OPTIONS = 21;
REQ_REAL_TIME_BARS = 50;
REQ_CALC_IMPLIED_VOLAT = 54;
REQ_CALC_OPTION_PRICE = 55;

For the above, the expiry field is wrapped in the Contract class. We have renamed Contract.expiry to Contract.lastTradingDayOrContractMonth.

New Order Fields for Volatility Orders

Two new attributes are supported for Volatility and Pegged to Volatility orders. These are available in all API platforms

• randomizeSize - Boolean
• randomizePrice - Boolean

Clients and Sample Applications

Beginning with this release, we have made the following changes to our API clients and sample applications:

• The C++ MFC-based client and sample applications have been deprecated.
• The ActiveX Control is now written in C#.
• PosixClient has been renamed to CppClient, and is located in the source directory of your API installation folder.
• In the Java client, the AnyWrapper interface has been removed. Its methods have been incorporated into the EWrapper interface.
• The ApiController-specific classes (e.g. NewOrder) have been merged into the main Java client.

Solicited Flag

We have added a new Order attribute, Solicited to the Order object. Solicited is a boolean attribute with the following values:

• True = solicited (orders initiated by a broker through the brokers research and design).
• False = unsolicited (those instigated by a broker's customer either through their actions or by the broker at their direction).

primaryExchange Field

Beginning with this release, we have made the following changes to the primaryExchange field:

• TWS serverVersion=75 and above supports the new dedicated field primaryExchange.
• TWS builds 939, 942 and above (note that this corresponds to a subset of serverVerion=69 and above; not all serverVersion=69 support this) support this new behavior:
• The exchange field is formatted as follows:
  exchange= SMART:LSEIOB1
  In this example, the colon ( : ) is a default separator that is configurable in TWS.
• For new builds, you can set primaryExchange either in the new dedicated field or by using the separator, but not both. If primaryExchange is set in both places, the request will be rejected.