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Date/Time: Sat, 22 Jun 2024 05:57:11 +0000

Post From: orders disappear/not transmitted to IB

[2015-11-19 18:57:06]
Sierra Chart Engineering - Posts: 104368
We now recognize the reason for the problem.

We are working on a solution to this.

The problem is that the expiration year and month that Interactive Brokers specifies for a particular commodity contract is in the prior month. So therefore to determine the true delivery Year and Month, we use the "Local Symbol" and that has a single digit year.

So in the case of 16 it is specified as 6 and that it was mistranslated within Sierra Chart to 2006 because that particular block of code which was written many years ago did not consider the current year. This was a patch we put in many years ago when Interactive Brokers changed how they transmit the expiration for a futures contract, that is now creating a problem. Normally you would expect the expiration to be 201601 for CL at this time. Instead it is 20151221 which does not directly correspond to CL-201601-NYMEX.

We can fix this, and we will today, but still there is not an ideal solid solution to this kind of issue. The real root of the just has to do with complex and inconsistent symbology from Interactive Brokers.

It really is a mistake for Interactive Brokers to be doing what they are doing. If they want to provide the true expiration date for a speculator, that should be a separate field in a security definition. It should not be transmitted as the year and month identifier for a futures contract for positions and fills especially when subscribing to market data and trading a symbol they accept 201601. This just does not make sense.

Furthermore, when you look at the contract specifications and quotations from the CME for these markets, this is specified as a January 2016 Crude oil contract. That is how it is identified, using January 2016. Not as December 2015.
Sierra Chart Support - Engineering Level

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Date Time Of Last Edit: 2015-11-19 19:00:58