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Direct MessagesDate/Time: Sun, 05 May 2024 11:47:13 +0000
Post From: Limit v Chase Market Orders using spreadsheet
| [2019-06-10 16:01:55] |
| MotoMoto - Posts: 47 |
|
Hi, there seems to be a few options that could be used when using an automated spreadsheet for trading strategy that is used to capture spikes, BUT is fraught with issues when market become thin and gappy when 'at market' is used. This happened the other day (ECB rate decision 6th June 13:45 Paris time). The EUR.AUD gapped and traded very thinly, and I wanted to check on the best way to minimise issues from this in the future....and to ensure I am understanding some of the features given the extensive documentation. (The other reason I ask is that simulated trading v live is often different so replicating this unless its exactly the same is unlikely to help, plus maybe because I am using range bars, reply always freezes my system so is pretty dead to me.) ///// setup -- connected to and using Interactive brokers data and a paper trading account at IB (not simulated within SC). The strategy relies on capturing spikes like this, but using 'at market' is fraught with issues. 1) I use a basic rule that should a range bar close above a line (I manually enter) from below, send a buy signal to trade at market. Everything works perfectly normally most times. 2) The spreadsheet buy order triggered at price level 1.6080 (time 13:45:13), BUT the market order filled at 1.6102 (at 13:45:14). The spreadsheet was set to trade at market. The Buy Entry (Col K) was set as a true and false response. This all happened pretty quickly and I understand there are lags and gapping markets etc. Q: if I wanted to ensure that a PURE limit order was entered so that the price if entry was at 1.60857 (the actual close of the range bar), do I need to a) ensure the Settings at J71, J73 are set at 'L', and b) ensure that the close of the bar is returned as a number rather than a simple (true or false) in Col K? OR Q: am I better setting it as a limit order (the first option above), BUT returning a number that is slightly more than that returned by the close in Col K? eg; add 5 ticks, thus rather than col K returning the close of 1.60857 it returns 1.60887 (and thus becomes like a limit order and if the market happens to be lower at the time of entry you are filled at market) OR Q: if I wanted to give myself some leeway to ensure I was set in the trade (but not necessarily at market) do I make this a Limit Chase Order, and thus a) ensure settings at J71, J73 are set at 'L' and b) ensure that the close of the bar is returned as a number rather than a simple (true or false) in Col K? c) ensure there is a limit to the number of ticks to chase in J46 (eg; 5) - thus the max the limit price would have been approximately 1.60857+25 = 1.60882 (as opposed the actual market order fill of 1.6102 d) ensure that Menu/M >> Orders >> Use Limit Chase Orders is also ticked. Thanks in advance for any help. |