How to perform batch-trading using Interactive Broker API?

External question — Quantitative Finance Stack Exchange Author: user2979010 Original post: https://quant.stackexchange.com/questions/26267 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. My definition of batch-trading: Given $N$ BUY orders, $M$ SELL orders and $O$ ($O < N$) as the max number of open positions to be held. Batch-trading should monitor the orders and when $O$ BUY orders are filled it would cancel the $N-O$ BUY Orders. To perform this, below is the pseudo-code: for every PositionMessage that comes in: if number_of_filled_openpositions >= Max: // cancel is performed only ONCE, I set a "flag" to make sure // cancel is called only once during this entire process cancel_unfilled_BUY_orders_one_by_one() // OpenPositions have a TimeUpdated field, // Sell order will be generated starting from the last filled orders // Sell order is generated only after the position is fully filled Sell_excess_filled_orders() The problem I am facing now is, depending on the day, I might get correct number of cancellations and correct number of excess_positions_sold. But on other days, I sometimes run into max number of messages exceeds limit.. or remote host forcibly disconnected your connection or incorrect number of cancellation or excess_filled_sold. I have tried introducing a time-delay within cancel_unfilled_BUY_orders_one_by_one() so that each cancel order is sent after a time-delay. I am finding it hard to debug because I need the market-to-be-open to test exhaustively, which is 00:00 (midnight) for me and on weekends the markets are not open (this is a hobby project). What else should I consider? what am I missing? Has anyone else tried doing something similar? Happy to elaborate more if required.

External answer — Quantitative Finance Stack Exchange Author: hui Original post: https://quant.stackexchange.com/a/32088 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Interactive Brokers posted a webinar on Dec 13 2016 about using IBridgePy to connect to IB's API. https://www.youtube.com/watch?v=hogXB07OJ_I . It is pretty easy to solve the problem you mentioned. You may check out the website of IBridgePy at www.IBridgePy.com To learn how to use it, you may refer to its documentation.