Interactive brokers hard coded into Nautilus itself

[paulhwatson]

Hi there. New to this.

I have nearly completed an adapter for IG Index but I have a couple of questions.

1. At the bottom of the TradingNodeBuilder class in the 'build_exec_clients' method at the bottom of the file, there are a couple of lines of code specifically dealing with the Interactive Brokers platform using a Portfolio 'set_specific_venue' method. I am unsure why this code is there.
2. I am asking this because my LiveExecutionClient adapter fails when handling the OrderFilled event. 'ExecEngine: Cannot handle order fill: no account found for ....' This error is raised by the ExecEngine '_handle_order_fill' method. The account variable is None despite me setting an account_id.

Am I missing something here. Should I be putting a platform specific piece of code into TradingNodeBuilder as well?

Many thanks
Paul

[cjdsellers]

Hi @paulhwatson

Thanks for your interest and I'm glad to hear about this progress you're making!

So this code is a temporary work around due to the fact that Interactive Brokers can handle many venues, so is not a straight forward integration like for instance Binance, where the venue BINANCE will match the account, instrument provider and client IDs. Interactive Brokers can also require some routing setup.

If you look through Portfolio and follow the references to self._venue you'll see its referred to when fetching accounts, instruments, mainly with code like this:

account = self._cache.account_for_venue(self._venue or instrument.id.venue)

I've had a quick look and it seems that IG Index can also handle multiple venues, so I would suggest you also have to call set_specific_venue in a similar way to IB. An unfortunate limitation here is that there can only be one of these set per trader instance, which I hope isn't an issue for you.

Please let me know if any of this doesn't make sense, also @rsmb7z wrote the Interactive Brokers adapater and may have more specific information regarding this too 🙏 .

[rsmb7z]

@paulhwatson
The hard-coded lines you referring in TradingNodeBuilder are so it doesn't require the user to set_specific_venue. However you can simply set the venue for portfolio same as what you are using within IG adapter and it would behave as expected.

node.portfolio.set_specific_venue(IG_VENUE)
node.run()