[ts-gen] Beware of IB's notion of a position for FX

[Ken Feng]

I have no questions in this post - this post is for informational  
purposes in case others find it useful.

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There are at least two notions of a flat portfolio (I will omit others  
for the sake of clarity/simplicity):

A.  If I buy a security and then sell it later, I go from flat to open  
position to flat.
B.  If my portfolio only holds my book currency, then I am flat.

IB uses A., while a typical fund or risk manager's perspective of flat  
is B.  Now, if you are just trading domestic equities or futures, A.  
and B. are effectively the same.  However, once you start to trade FX  
or foreign securities, A. and B. may be different.

For example, suppose I start with a USD base-currency portfolio funded  
with USD only.  I may buy USDJPY, sell EURJPY, and buy EURUSD, a  
triangular arbitrage.

In case A., it looks like I have a long USDJPY, short EURJPY, and long  
EURUSD position.
In case B., I am flat, because I have no exposure to any foreign  
currencies - I only hold USD, my book currency.

In TWS, you can see an example of A. when you look at any trading tab  
down the "Position" column - IB says I have long and short positions  
when in fact, my portfolio has no exposure to market forces.  If I  
follow what TWS says, I would incur additional commissions and bid-ask  
crossing expenses by trying to liquidate those positions, when in  
fact, I am already all in USD!

This difference has implications on what information I want to pull  
out of IB/TWS.  If I care about B., then I can't rely on Position from  
IB.  Luckily, when doing a select acct; the "CashBalance" entries do  
give sufficient information to tell me if I am flat or not, with  
respect to B.  There may be other places where calculated values for  
FX are no good - you must keep your own accounting from lower level  
raw data like trades or cash balances, and avoid reconciling with  
higher level data.

- Ken