| 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
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.
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 AMCreate a Trailing Stop Limit OrderA 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
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| 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 111 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 |
| StockFetcher Forums · General Discussion · Auto/Mechanical Trading | << 1 2 >>Post Follow-up |
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