Brian - I'm running some strategies and received the following error from IBKR:
quantrocket.blotter: WARNING ibg2 client 6001 got IBKR message code 202: Order Canceled - reason:In accordance with our regulatory obligations, we have rejected this order because it is too large compared to the liquidity that is generally available for this product. If you would like to submit an order of this size, please submit an algorithmic order (such as VWAP, TWAP, or Percent of Volume)
I know from the Usage Guide that using IBKRs VWAP algo is the answer when you receive this error message / rejected order. That said, a couple of comments / questions:
- It's hard to know in advance which orders will be rejected. Can the order instructions be conditional so that the first attempt is to (for example) buy Market on Open and if it's rejected then use the VWAP algo? Or, does that strategy have to be all or nothing with the IBKR order instructions?
- Does the "usstock-1min" price history include VWAP?
- Any rules of thumb or observations about order sizes that tend to get rejected?
Thanks.