ASX same day close system

[Anonymous]

new batchtrader arrived today… take it for a spin tonight.
now has auto order entry configuration allowing input for time and name of csv file to load orders from and send at given time

[JulianCohen]

Is that the finished set up? I have the same thing today too. What time zone are you in?

[Anonymous]

Julian Cohen wrote:

Is that the finished set up? I have the same thing today too. What time zone are you in?

yep thats the finished setup julian… so far anyway. im in perth AWST

[Anonymous]

i noticed today that you can place a MOC order through CHI-X and it will settle at the ASX close. is that correct? is there any large disadvantages to why we should be cautious using a CHI-X MOC order?

[JulianCohen]

Darryl Vink wrote:

i noticed today that you can place a MOC order through CHI-X and it will settle at the ASX close. is that correct? is there any large disadvantages to why we should be cautious using a CHI-X MOC order?

I am happy to be corrected but I don’t think it takes part in the opening and closing auctions if it runs through CHI-X

[Anonymous]

Julian Cohen wrote:

Darryl Vink wrote:

i noticed today that you can place a MOC order through CHI-X and it will settle at the ASX close. is that correct? is there any large disadvantages to why we should be cautious using a CHI-X MOC order?

I am happy to be corrected but I don’t think it takes part in the opening and closing auctions if it runs through CHI-X

yes i struggle to get my head around this stuff. i was reading this and got a little excited. also looks like volume is quite a bit less on chi-x depending upon stock.

[LeeDanello]

Darryl Vink wrote:

new batchtrader arrived today… take it for a spin tonight.
now has auto order entry configuration allowing input for time and name of csv file to load orders from and send at given time

That looks pretty sexy.

[SaidBitar]

I have one question regarding MOC on ASX
so here is what i am doing @15:45 I am cancelling and the entry orders and @16:03 i am placing Sell orders for the filled orders
the Sell order is like this
SELL XYZ LMT @ xx.xx TIF DAY

but when i check after i wake up i see that the sell orders were not filled and they are cancelled.

what am i doing wrong ?

[JulianCohen]

Is the limit price 5% under the close?

[SaidBitar]

I am using 8 to 9% lower than the entry since i am still using it on paper trading account
I will test with 5% from the close and i will try to get the close from yahoo finance

[ScottMcNab]

I can’t remember paper trading asx moc but when trade it live and check the sell price between 16:01 and 16:08 there is a warning the comes up if your sell price is outside the parameters to be included in the closing auction…think it comes up when hover mouse over your sell price

Do you need XYZ.asx rather than XYZ ? Bit rusty sorry as not trading asx any more and my goldfish-like awareness fails me

[JulianCohen]

Said Bitar wrote:

I am using 8 to 9% lower than the entry since i am still using it on paper trading account
I will test with 5% from the close and i will try to get the close from yahoo finance

If you are not doing this in live trading, but only the paper trading account it probably won’t work. I had loads of problems testing this part of the API in paper trading. However live it has worked just fine.

[SaidBitar]

thanks Scott and Julian

I checked the logs from both the API and the TWS i saw that the orders were placed and their status was live but somehow they were not filled. So i calculated the difference between the submitted price and the close price and it was in the range of 5%.

anyhow one day i have to wake up early to see what is going on and what is more important is to make the current strategy returns better (which is a bit tough on the ASX)

[JulianCohen]

Said my ASX MOC system is not doing much for the last two months, except creeping into drawdown that is. MCS is the same, so just have to ride it out I guess.

[Anonymous]

I am trading a MOC system on the ASX 300. To close out my positions, I had been entering orders manually after the close of continuous trade since I have been in front of the computer anyway for work.

I am starting a new job next week, and will no longer be in front of the computer at that time, so I was thinking about looking at changes to the system to lengthen the holding period so as to avoid the market-on-close issue in AU.

Before I did this, however I decided to see if I could figure out a solution with the batch trader. I am running v1.4.3, which allows for automatic routing of closing orders based on either the PositionOpenPrice or the LastPrice. Looking to avoid having to purchase live data through IB, I decided to set the API to send orders to close open positions at PositionOpenPrice – 95%.

My reasoning is as follows: Since there is a closing auction and my orders will not be big enough to move the market, by putting in orders that are much lower than where I opened them, I am effectively putting in a market order to participate on the closing auction by putting the limit that low. IB does put a floor on those prices, but even when I was entering the closing orders manually there was a floor, so there is no getting around that floor outside of speaking to customer support on a trade-by-trade basis. I spoke with IB customer service about the floor, and they told me that it is determined based on recent market and stock volatility, and that it changes regularly based on these factors.

I have been running the API like this for the past week, and it has worked smoothly.

I’d be interested if anyone sees some sense of naivety in handling orders like this, but so far, it is working for me.

[Author]

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