Handling Order Rejections With Rust-ibapi: A Practical Guide

Introduction

When working with the Interactive Brokers API (IB API) through the rust-ibapi crate, a common challenge is effectively managing order rejections, particularly in scenarios where you're using a fire-and-forget approach. Order rejections can occur for various reasons, such as insufficient margin, incorrect order parameters, or market conditions. This article addresses how to capture these rejections and handle them gracefully within your rust-ibapi application.

Understanding the Problem

The user's question highlights a specific issue: when an order is submitted using a fire-and-forget approach in the main thread, and a separate thread monitors order updates via order_update_stream, order rejections due to insufficient margin are not always captured. The error messages indicate that the system is receiving rejection messages, but these messages are not being routed to the appropriate handler in the monitoring thread. This can lead to a situation where the application is unaware that an order has failed, potentially causing further issues.

The core of the problem lies in ensuring that all relevant order updates, including rejections, are correctly captured and processed by the monitoring thread. Let's delve into potential solutions and best practices to address this issue effectively.

Analyzing the Code Snippets

Before diving into solutions, let's examine the provided code snippets to understand the context better.

Thread 1 (Order Submission):

client
    .submit_order(order_id, &contract, &order)
    .expect("error in submitting orders");

This code snippet shows the order submission process. The submit_order function is called, and any immediate errors during submission are caught using .expect(). However, this only catches errors that occur during the submission process itself, not rejections that occur later due to IB Gateway/Server validation.

Thread 2 (Order Update Monitoring):

let updates = &client.order_update_stream().expect("hi");

for update in updates {
    match update {
        OrderUpdate::Message(notice) => {..}
        OrderUpdate::OpenOrder(order_data) => {..}
        OrderUpdate::ExecutionData(exec) => {..}
        OrderUpdate::OrderStatus(status) => {..}
        OrderUpdate::CommissionReport(report) =>{..}
   }
}

This snippet demonstrates how order updates are being monitored. The order_update_stream() is used to receive updates, and a match statement is used to handle different types of updates. The problem is that the OrderUpdate::Message(notice) arm might not be correctly handling the rejection messages, or the messages might not be routed to this stream at all.

Solutions and Best Practices

Here are several strategies to capture and handle order rejection events effectively using rust-ibapi:

1. Implement Robust Error Handling in the OrderUpdate::Message Arm

Ensure that the OrderUpdate::Message arm is correctly parsing and interpreting the rejection messages. Rejection messages from IB Gateway/Server often come in the form of text strings within the Message type. You'll need to parse these strings to identify rejections and extract the reason for the rejection.

Here’s how you can enhance the OrderUpdate::Message handling:

OrderUpdate::Message(notice) => {
    let message_text = notice.fields.join(" ");
    if message_text.contains("Order rejected") {
        eprintln!("Order Rejected: {}", message_text);
        // Add custom logic here to handle the rejection
        // For example, retry the order with adjusted parameters,
        // notify the user, or log the error.
    }
}

In this example, we check if the message text contains "Order rejected". If it does, we log the message and include a placeholder for custom handling logic. This is a crucial step to ensure that rejections are identified and acted upon.

2. Check OrderStatus Updates

Order status updates are critical for tracking the lifecycle of an order. An order that has been rejected will typically have its OrderStatus updated to a status indicating rejection (e.g., Cancelled, Rejected). Make sure you are handling the OrderUpdate::OrderStatus arm in your monitoring thread.

Here’s an example:

OrderUpdate::OrderStatus(status) => {
    if status.status == "Cancelled" || status.status == "Rejected" {
        eprintln!("Order Status: {:?}", status);
        // Handle the rejection based on the status
    }
}

This code checks the status field of the OrderStatus update. If the status is Cancelled or Rejected, it logs the status and includes a placeholder for custom handling logic. By monitoring order statuses, you can reliably detect rejections and take appropriate action.

3. Consider Using Asynchronous Error Handling

If you're using a fire-and-forget approach, consider incorporating asynchronous error handling mechanisms to capture rejections. You can use channels to communicate between the order submission thread and the monitoring thread.

Here’s a basic example:

use std::sync::mpsc::channel;
use std::thread;

fn main() {
    let (tx, rx) = channel();

    // Thread 1: Order Submission
    thread::spawn(move || {
        let result = client.submit_order(order_id, &contract, &order);
        match result {
            Ok(_) => { /* Order submitted successfully */ }
            Err(e) => {
                tx.send(format!("Order submission error: {:?}", e)).unwrap();
            }
        }
    });

    // Thread 2: Order Update Monitoring
    thread::spawn(move || {
        let updates = client.order_update_stream().expect("hi");

        for update in updates {
            match update {
                OrderUpdate::Message(notice) => {
                    let message_text = notice.fields.join(" ");
                    if message_text.contains("Order rejected") {
                        eprintln!("Order Rejected: {}", message_text);
                        // Handle the rejection
                    }
                }
                OrderUpdate::OrderStatus(status) => {
                    if status.status == "Cancelled" || status.status == "Rejected" {
                        eprintln!("Order Status: {:?}", status);
                        // Handle the rejection based on the status
                    }
                }
                _ => { /* Handle other order updates */ }
            }
        }
    });

    // Main thread: Error Handling
    loop {
        match rx.try_recv() {
            Ok(error_message) => {
                eprintln!("{}", error_message);
                // Handle the error message
                break; // Or continue to retry, etc.
            }
            Err(_) => { /* No error received */ }
        }
        // Add a small delay to avoid busy-waiting
        std::thread::sleep(std::time::Duration::from_millis(100));
    }
}

In this example, a channel is used to send error messages from the order submission thread to the main thread. The main thread continuously checks for error messages and handles them accordingly. This approach ensures that even if the order submission thread encounters an error, it can communicate it to the main thread for handling.

4. Leverage IB API's Error Codes

The IB API provides specific error codes for different types of rejections. Utilize these error codes to identify the exact reason for the rejection and handle it accordingly. The error codes are usually embedded in the message text within the OrderUpdate::Message.

For example, the error message provided in the original question includes the text "Order rejected - reason:We are unable to accept your order. Your Available Funds are insufficient...". You can parse this message to extract the specific reason for the rejection and implement specific handling logic for insufficient funds.

5. Rate Limiting and Retries

Implement rate limiting to avoid overwhelming the IB Gateway/Server with too many requests in a short period. If an order is rejected due to temporary issues (e.g., network congestion), implement a retry mechanism with exponential backoff. This can help improve the resilience of your application.

6. Logging and Monitoring

Implement comprehensive logging to track order submissions, updates, and rejections. Effective logging is essential for debugging and monitoring the behavior of your application. Use structured logging to make it easier to analyze the logs and identify patterns.

Additional Considerations

• API Version: Ensure that you are using a supported version of the IB API and the rust-ibapi crate. Regularly update to the latest versions to take advantage of bug fixes and new features.
• IB Gateway/Server Configuration: Check the configuration of your IB Gateway/Server to ensure that it is properly configured to handle your order types and trading permissions.
• Margin Requirements: Understand the margin requirements for the instruments you are trading. Use the IB API to query margin requirements before submitting orders to avoid rejections due to insufficient margin.

Conclusion

Handling order rejections effectively is crucial for building robust and reliable trading applications with rust-ibapi. By implementing the strategies outlined in this article, you can ensure that your application correctly captures and handles rejections, leading to a more stable and predictable trading experience. Remember to focus on comprehensive error handling, monitoring order statuses, and leveraging the IB API's error codes to address specific rejection scenarios.

For additional information, see the Interactive Brokers API documentation.