StockFetcher Forums · General Discussion · Auto/Mechanical Trading<< 1 2 >>Post Follow-up
hraghav
12 posts
msg #63194
Ignore hraghav
6/1/2008 4:36:37 AM

Folks:

I have a query. Say, I have developed a strategy for trading, backtested and optimized it. I would like to autotrade/mechanical trade. The strategy is based on placing a limit order and is purely based on the price at which the limit order was placed.

I know that I could place a OTO (One-Triggers-Other) kind of order with the first leg being a limit buy order and if the order is executed/the other order sell order will execute. But I would like to place the sell order at a % of the price at which the first leg was executed. Not on the price at which I placed the limit order (hope I make sense).

To illustrate further, here is an example. Say, a stock closed at 100. I see the ask price (say around 102 EOD) and place an OTO order with first leg a limit buy of 102. The second order is placed but I would like to place it (preferably automatically based on my algorithm) based on the price at which the limit order was executed.

Say, it opened less say around 97(at which point, my limit order would have executed), in which case my sell order should be based on 97 (actual executed price) and not 100 (price at which the trade was placed).

Do you know of any brokers/systems that let you place an order based on the executed price? Any help/tips is greately appreciated.

nikoschopen
2,824 posts
msg #63205
Ignore nikoschopen
6/1/2008 3:07:30 PM

You would prolly be better off sticking with the bracket order.

hraghav
12 posts
msg #63221
Ignore hraghav
6/2/2008 2:39:40 AM

Hi Nick:

Thanks for your guidance. It is much appreciated. The Bracket order seems great. However, I still do not think that if I place the order EOD the Bracket limits will be calculated on the executed price; I believe (based on the manual) that the limits will be pre-calculated based on that days' close.

I want an automatic sell to placed on the stock once the limit buy is executed -- but on the actual executed price instead of the limit buy price.

If Bracketing is the right method and if my understanding is incorrect, please let me know.

Also, is IB the only broker that providers Bracket orders?

bielyplafon
42 posts
msg #63222
Ignore bielyplafon
6/2/2008 3:30:05 AM

hraghav,
in the bracket order you can change to bracket it from absolute numbers precalculation to %-tage from executed price. So if you place an order to buy at 100 and bracket it with sell limit 10% and stop loss 5% it should take your execution price 97 and use percentage to calculate brackets. Actually, I'm starting to use bracket orders from today and based on % so if you wait week or two I'll tell you my experience


niko,
did you find some structure of orders with IB you would be able to submit a bracket order but... instead of sell limit to place trailing stop-loss. I mean, once the price went up by 15% it would put 5% trailing stop
Thank you in advance

bp


nikoschopen
2,824 posts
msg #63230
Ignore nikoschopen
6/2/2008 10:57:59 AM


Quote from hraghav:

To illustrate further, here is an example. Say, a stock closed at 100. I see the ask price (say around 102 EOD) and place an OTO order with first leg a limit buy of 102.... Say, it opened less say around 97 (at which point, my limit order would have executed)

First of all, a limit order becomes a market order once the price is either lower than ure bid or higher than ure offer. In this case, the market opened lower than ure bid, so the limit order of 102 would have been executed as a market order at or near 97. Once that order has been filled, another order would be automatically placed in the form of an OCO (one-cancels-other) order. Basically, it will place 1% bracket (by default) above and below ure initial order. However, you can manually change these values to ure liking (eg. 3% for price target and 2% for stop-loss).

Bracket orders are also provided by others like TradeStation, but IB is by far the only broker that provides the most comprehensive set of order types. Or so I'm told.



Quote from bielyplafon:

did you find some structure of orders with IB you would be able to submit a bracket order but... instead of sell limit to place trailing stop-loss. I mean, once the price went up by 15% it would put 5% trailing stop

Once you bracket the initial order, you can then change the type of order from a stop-limit to a trailing-stop. In addition, you could opt for OCO orders via the conditional order to fine-tune ure exit strategy.

nikoschopen
2,824 posts
msg #63232
Ignore nikoschopen
6/2/2008 11:38:21 AM

Create a Trailing Stop Limit Order


A trailing stop limit order lets you create a trailing stop order that works in conjunction with a dynamically-updating limit order. When the stop order triggers, a limit order is submitted at the last calculated price (instead of a market order which would be submitted with a regular trailing stop order).

The Trailing Stop Limit order uses four components: Stop price, Trail amount, Limit price, and Limit Offset.

To enter a trailing stop limit SELL order
  1. Click in the Bid Price to initiate a SELL order.

  2. Click in the Type field and select TRAIL LIMIT.

  3. If not already visible, display the Stop Price and Lmt Offset fields (right-click in the column headers and select Customize Layout, then use the Order Columns tab to add fields).

  4. Enter values in the following fields:
    1. Aux Price (Trailing Amt) - This value is subtracted from the bid price to continually recalculate the stop price, if the market price rises. Use the dropdown to choose Amt or %. The trailing percent is calculated off the current best bid/ask. Note that you can define a default Trailing Amount in the Order Defaults Default Order Offset Amounts area.

    2. Stop Price - You must enter an initial stop price. Unlike a trailing stop order, the initial stop price is not automatically calculated by TWS when you transmit the order, since the stop price is needed to calculate the limit price or limit offset. The stop price is continually recalculated when the market price rises. If the initial stop price is higher than the (market price - trail amount) it will not be modified.

    3. Limit Price/Limit Offset - The limit order piece of the trailing stop limit is submitted once the stop price is penetrated. While the market price and stop price continue to rise, the limit price is also recalculated (with an optional offset) and moves with the stop price. If you want to specify a limit offset amount, enter it in the Lmt Offset field. when the order is submitted, this value is subtracted from the stop price to calculate the limit price. If you want to enter a limit price, when the order is submitted the limit price is subtracted from the Stop price to calculate the Limit Offset. If the limit price and stop price are equivalent, they will move together with no offset.


hraghav
12 posts
msg #63280
Ignore hraghav
6/3/2008 5:08:31 AM

Thanks Niko. Just to double check again: When you mean:

"Basically, it will place 1% bracket (by default) above and below ure initial order."

the "ure initial order" is not the limit price at which the order was placed but rather the actual executed price right?

Sorry to be picky. I am currently with couple of discount brokers (that are pretty good except for this new strategy that I'm exploring) and do not want to go through the rather length process of signing up with IB, if it really does not meet my needs :( Thanks for your understanding.

bielyplafon: Thanks for volunteering to share your experiences. Please do :)

nikoschopen
2,824 posts
msg #63312
Ignore nikoschopen
6/3/2008 5:17:17 PM

That's correct. The OCO orders will be automatically sent as soon as the limit order is filled. If ure broker doesn't provide a bracket order, I suggest that you send the OCO orders manually.

vic1
21 posts
msg #63314
Ignore vic1
6/3/2008 8:25:58 PM

I have the same question with TradeStation. I would like to place a limt order then a trailing stop and a stop loss from their Matrix window.
I posted this question on their forum and the TS Rep, said it could't be done and directed to back to the order bar to enter the stop loss and trailing stop there. I have looked at their training tutorials and user guide and Stop loss seems to be mentioned only as it relates to Easy Language. Any help would be appreciated. The TS Rep didn't get back with me when I asked for further clarification.

Thanks,

Vic

ludowillems
90 posts
msg #63322
Ignore ludowillems
6/4/2008 7:23:21 AM

Vic1
Have a look at Saxobank.com: great place to trade. You can open a demo account and check it out. Mail to: dis@saxobank.com and use promocode 2190373. Bets regards, Ludo Willems

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