ASX same day close system

[Anonymous]

after running some backtests with decent results im thinking of starting an asx same day close system but have a few remaining questions im still fuzzy on:

– is there a worthwhile avantage to using the latest version of batchtrader (with i dont have) mentioned in scott’s journal here here or can i just the use the version previous with the option “Auto-close positions with market orders”, ASX=15:45

– how much margin is available on the asx during the day. from what i have gathered this is not a straight forward thing to answer as different stocks have different margin allowances. what are others doing? can we go to SetOption(“AccountMargin”,25) as in the US market?

[Nick Radge]

1. Can’t see why the current MOC version won’t be suitable. Works okay for me – not that I’m trading an ASX EOD strategy.

2. Margin will be limited on shares outside the ASX-300 and I’m quite sure the maximum LVR that IB offers is 50% when it is available.

The only way to get higher margin is via CFDs

[ScottMcNab]

I am trading ASX with MOC system. I asked for Levente to design the new API as I had tried using market orders to sell (ASX doesn’t have MOC order) at 15:59 but I was losing money compared with results from Amibroker (which were using the closing price). To get the closing price requires a (sell) limit order to be placed in the pre-CSPA between 16:01 and 16:09. The CSPA then occurs at 16:10 and an algorithm determines the final sell price (which you will be given if your sell limit order is in the range). I asked Levente to add 2 different options to set the price for the sell limit order. The first (which I am using at the moment) sets the price based on the buy price (I am using 8% below buy price). The second option (if you have subscribed to data feed) sets the sell limit order price based off the last traded price.

I am not confident I have this correct so please look into it further as I find the closing auctions (and their associated order requirements) for different markets quite confusing. The new API has been working for me and giving me the exact same prices as the Amibroker system running alongside the live trading system since I started using it.

I did try using sell order (mkt) at 16:01 and strangely enough it did work on the first day but for the next few days it did not.

[Anonymous]

Scott McNab wrote:

I am trading ASX with MOC system. I asked for Levente to design the new API as I had tried using market orders to sell (ASX doesn’t have MOC order) at 15:59 but I was losing money compared with results from Amibroker (which were using the closing price). To get the closing price requires a (sell) limit order to be placed in the pre-CSPA between 16:01 and 16:09. The CSPA then occurs at 16:10 and an algorithm determines the final sell price (which you will be given if your sell limit order is in the range). I asked Levente to add 2 different options to set the price for the sell limit order. The first (which I am using at the moment) sets the price based on the buy price (I am using 8% below buy price). The second option (if you have subscribed to data feed) sets the sell limit order price based off the last traded price.

I am not confident I have this correct so please look into it further as I find the closing auctions (and their associated order requirements) for different markets quite confusing. The new API has been working for me and giving me the exact same prices as the Amibroker system running alongside the live trading system since I started using it.

I did try using sell order (mkt) at 16:01 and strangely enough it did work on the first day but for the next few days it did not.

Agreed that this is all pretty confusing, but i now understand alot more from your explanation of it… thanks scott! i guess if there is a significant and consistent jump from the near market close (until 15:59) to the close price then its worth paying for extra costs of getting the new API. i was hoping it might be a case of swings and roundabouts where sometimes you win and sometimes you lose and the gap between near close and close was not so big.

also, regarding the choice of a sell limit at 8% below the buy price, presumably you could choose any large % value and it will be “in the range” most of the time unless there is a large drop below. what then? sell on the open?

[Anonymous]

Nick Radge wrote:

1. Can’t see why the current MOC version won’t be suitable. Works okay for me – not that I’m trading an ASX EOD strategy.

2. Margin will be limited on shares outside the ASX-300 and I’m quite sure the maximum LVR that IB offers is 50% when it is available.

The only way to get higher margin is via CFDs

ok thanks nick… back to the backtesting… my “decent results” may not be as decent without a LVR 33%

[LeeDanello]

Can you get 50% LVL on all ASX shares in the All Ords?

[Nick Radge]

Quote:

Can you get 50% LVL on all ASX shares in the All Ords?

No

[Nick Radge]

I should say I stand corrected on my comments above – not sure what I was thinking!

The ONLY way to participate in the closing ASX auction is using a LIMIT order below the current price.

So unless the API can do that, then you’re relegated to the 3:59PM option which quite frankly is inferior.

[LeeDanello]

I imagine I can download that list off Commsec

[Anonymous]

Nick Radge wrote:

I should say I stand corrected on my comments above – not sure what I was thinking!

The ONLY way to participate in the closing ASX auction is using a LIMIT order below the current price.

So unless the API can do that, then you’re relegated to the 3:59PM option which quite frankly is inferior.

thanks nick… new API now installed

[ScottMcNab]

Darryl Vink wrote:

Scott McNab wrote:

I am trading ASX with MOC system. I asked for Levente to design the new API as I had tried using market orders to sell (ASX doesn’t have MOC order) at 15:59 but I was losing money compared with results from Amibroker (which were using the closing price). To get the closing price requires a (sell) limit order to be placed in the pre-CSPA between 16:01 and 16:09. The CSPA then occurs at 16:10 and an algorithm determines the final sell price (which you will be given if your sell limit order is in the range). I asked Levente to add 2 different options to set the price for the sell limit order. The first (which I am using at the moment) sets the price based on the buy price (I am using 8% below buy price). The second option (if you have subscribed to data feed) sets the sell limit order price based off the last traded price.

I am not confident I have this correct so please look into it further as I find the closing auctions (and their associated order requirements) for different markets quite confusing. The new API has been working for me and giving me the exact same prices as the Amibroker system running alongside the live trading system since I started using it.

I did try using sell order (mkt) at 16:01 and strangely enough it did work on the first day but for the next few days it did not.

Agreed that this is all pretty confusing, but i now understand alot more from your explanation of it… thanks scott! i guess if there is a significant and consistent jump from the near market close (until 15:59) to the close price then its worth paying for extra costs of getting the new API. i was hoping it might be a case of swings and roundabouts where sometimes you win and sometimes you lose and the gap between near close and close was not so big.

also, regarding the choice of a sell limit at 8% below the buy price, presumably you could choose any large % value and it will be “in the range” most of the time unless there is a large drop below. what then? sell on the open?

It has to be less than 10% from the last traded price or IB does not accept the limit order in the pre-CSPA. Ideally, the API would use the last traded price rather than the buy price as the reference point but that is another $80 a month for the live data feed….not wanting to pay that while still in early live testing stages

[JulianCohen]

Darryl and Scott are you using the new ASX MOC batch trader now?

Happy with it if you are?

I have spent a whole day working on an ASX MOC and I think I might have one at last.

[ScottMcNab]

Happy with it I am !

[Anonymous]

Julian Cohen wrote:

Darryl and Scott are you using the new ASX MOC batch trader now?

Happy with it if you are?

I have spent a whole day working on an ASX MOC and I think I might have one at last.

too soon to tell for me julian… planning on launching the asx-moc-MOC tomorrow!

[JulianCohen]

Best of luck then old boy.

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