[ts-gen] order execution and connectivity problem
Nils Gebhardt
mail at ngebhardt.de
Mon Oct 8 13:20:20 EDT 2007
I get some strange connectivity behavior. I have a script which fires an
order, as it appears in the following log lines (sorry for bad line
wraps):
Oct 8 08:30:58 vneumann : 27815|30657| 5137123|2|26| 0|
order(42,TRAIL,Submit,1,0.00,0.07,0);|
Oct 8 08:30:58 vneumann : 27815|30657| 5137201|3| 3|15|1| 43|
MKT|SELL|FUT.SMART.GBM.
Oct 8 08:30:58 vneumann : 27815|30657| 5463744|3| 3|15|2| 42|
TRAIL|BUY|FUT.SMART.GBM.
However, the next entry in the log is
Oct 8 09:10:09 vneumann : 27815|33009|2099191087|3| 4| 2| -1|1100|
Connectivity between IB and TWS has been lost.|
Oct 8 09:10:10 vneumann : 27815|33010|2100191862|3| 4| 2| -1|2103|
Market data farm connection is broken:eurofarm|
Oct 8 09:10:10 vneumann : 27815|33010|2100194086|3| 4| 2| -1|2103|
Market data farm connection is broken:cashfarm|
repeating ca 200 times with OK and broken messages:
Oct 8 09:10:11 vneumann : 27815|33011|2101030535|3| 4| 2| -1|2103|
Market data farm connection is broken:cashfarm|
Oct 8 09:10:11 vneumann : 27815|33011|2101050590|3| 4| 2| -1|2104|
Market data farm connection is OK:cashfarm|
Oct 8 09:10:11 vneumann : 27815|33011|2101052020|3| 4| 2| -1|2103|
Market data farm connection is broken:eurofarm|
Oct 8 09:10:11 vneumann : 27815|33011|2101053236|3| 4| 2| -1|2104|
Market data farm connection is OK:eurofarm|
then finally the orders are executed 40 minutes later:
Oct 8 09:10:28 vneumann : 27815|33028|2117242444|3|11| 4|1|GBM|FUT|
20071206|0.0||DTB|EUR|FGBM DEC 07|0000e7d2.4522069a.01.01|20071008
08:10:28|U399880|DTB|SLD|1|107.49|1252
408756|27815|0|
Oct 8 09:10:28 vneumann : 27815|33028|2117405009|3| 3| 6|1|Filled|1|0|
107.49|1252408756|0|107.49|27815|
Oct 8 09:10:28 vneumann : 27815|33028|2117405050|3| 3| 6|1|Filled|1|0|
107.49|1252408756|0|107.49|27815|
Oct 8 09:10:28 vneumann : 27815|33028|2117405085|3| 3| 6|2|
PreSubmitted|0|1|0.0|1252408757|0|0.0|27815|
so essentially in terms of the market that means that the original order
is not executed and there is some ghost market order at some undefined
point in time later on. For a productive system this is a somewhat
uncomfortable behavior.
Has anybody a hint what might be the reason behind this and how to make
the connection more reliable?
Thanks
Nils
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