Batchtrader ‘Unack’ trade order

[JulianCohen]

Rob Giles wrote:

Julian, does this code need to be added to a MOC MR system that trades the Russell 1000?

yes it does

This is my Limit Buy code

Code:

//=====================================================================
//Limit Buy

BuyLimP = L – (ATR(5)* 0.7);
TickLo = iif(inwatchlistname(“5_Cent”),0.05,Iif(L<0.10,0.001,IIf(L<2.00,0.005,0.01)));
BuyLimVal = round(BuyLimP/TickLo);
BuyLim = BuyLimVal * TickLo;

//---------------------------------------------------------------------

This is my DDE Code

Code:

//=================================================================================
//DDE Exploration
//=================================================================================

//DDE template example based on fixed % position sizing
//BuyLim = Buy Limit price
//LESetUp = setup bar after excess signals are dealt with – e.g. LESetup = (IIf(LBIT==0 OR Sell==1,BuySetUp,0));

AccountBalance = Param(“Account Balance”,10000,1,5000000,1);
PercentRisk = Param(“Explorer: % Equity”,10,1,100,0.01);
NumOfShares = round((AccountBalance*PercentRisk/100)/BuyLim);

SetOption(“NoDefaultColumns”,True);
Filter = LESetup;

Width = 65;
Width1 = 75;
if(Status(“action”)==4)
{
SetSortColumns(1);
}
If(inwatchlistname(“IB_SHITE”) )
{
AddTextColumn(WriteIf(LESetup,”” + StrReplace(Name(),”.”,” “),””),”Symbol”,1.3,29,55,90);
}
else
{
AddTextColumn(WriteIf(LESetup,”” + Name(),””),”Symbol”,1.3,29,55,90);
}

AddTextColumn(WriteIf(LESetup,”STK”,””),”Type”,1.3,29,55,80);
AddTextColumn(WriteIf(LESetup,””,””),”Expiry”,1.3,29,55,Width);
AddTextColumn(WriteIf(LESetup,””,””),”Strike”,1.3,29,55,Width);
AddTextColumn(WriteIf(LESetup,””,””),”P/C”,1.3,29,55,Width);
AddTextColumn(WriteIf(LESetup,””,””),”Multiplier”,1.3,29,55,Width);
AddTextColumn(WriteIf(LESetup,””,””),”Trading Class”,1.3,29,55,Width);
/* Corrections for Batch Trader Unack error */
AddTextColumn(WriteIf(LESetup,WriteIf(inwatchlistname(“ISLAND”),”ISLAND”,”SMART”),””),”Exchange”,1.3,29,55,80);
AddTextColumn(WriteIf(LESetup,””,””),”Primary Exchange”,1.3,29,55,Width);
AddTextColumn(WriteIf(LESetup,”USD”,””),”Currency”,1.3,29,55,Width);
AddTextColumn(WriteIf(LESetup,””,””),”Comb Legs”,1.3,29,55,Width);
AddTextColumn(WriteIf(LESetup,””,””),”Leave This Empty”,1.3,29,55,Width1);
AddTextColumn(WriteIf(LESetup,”BUY”,””),”Action”,1.3,29,55,Width);
AddTextColumn(WriteIf(LESetup,””+NumOfShares,””),”Quantity”,1.0,29,55,Width);
AddTextColumn(WriteIf(LESetup,”LMT”,””),”Order Type”,1.3,29,55,Width1);
AddTextColumn(WriteIf(LESetup,””+BuyLim,””),”Lmt Price”,1.3,29,55,Width);
AddTextColumn(WriteIf(LESetup,””,””),”Aux Price”,1.3,29,55,Width);
AddTextColumn(WriteIf(LESetup,””,””),”Ctrl”,1.3,29,55,Width1);
AddTextColumn(WriteIf(LESetup,””,””),”Id”,1.3,29,55,Width1);
AddTextColumn(WriteIf(LESetup,””,””),”Status”,1.3,29,55,Width1);
AddTextColumn(WriteIf(LESetup,””,””),”Filled”,1.3,29,55,Width1);
AddTextColumn(WriteIf(LESetup,””,””),”Remaining”,1.3,29,55,Width1);
AddTextColumn(WriteIf(LESetup,””,””),”Ave Fill Price”,1.3,29,55,Width1);
AddTextColumn(WriteIf(LESetup,””,””),”Last Fill Price”,1.3,29,55,Width1);
AddTextColumn(WriteIf(LESetup,””,””),”Parent Id”,1.3,29,55,Width1);
AddTextColumn(WriteIf(LESetup,”DAY”,””),”Time in Force”,1.3,29,55,Width1);

//=================================================================================
_SECTION_END();

[JulianCohen]

Rob Giles wrote:

thanks for listing these stocks. For good order’s sake, is this the current list?
NWS
DISCK
BF.B
CMW.AU
NWSA
USW-200006
FOXA
CSCO
FGX.AU
INTC
FCE.A
MSFT
LNG.AU
BRK.B
FIVE
WCC
OIS
FRGI
IIVI
SGMS
NTCT
AMAG
WCIC-201702
TIVO
LITE
IDCC
LPLA
KEX

You have more on there than I have.

Actually I have three lists

ISLAND (shares that are listed on the island exchange)
MSFT
INTC
CSCO
FIVE

IB_SHITE (shares where the Amibroker names and the IB names don’t match up)
BRK.B
BF.B
LGF.A

5_Cents(Shares that have to be rounded to 5 cents)
WCC
NWS
OIS
FRGI
IIVI
SGMS
NTCT
AMAG
TIVO
LITE
IDCC
KEX
AWI
TKR
INOV

Then I have one watchlist that holds any shares that have Class A & B or any other double classes that I don’t want to trade. I exclude this watchlist from my entry signals

BF.B
HEI.A
LEN.B
FOXA
GOOGL
NWSA
UAA
DISCK
LBRDK
LSXMB
LSXMA

[RobGiles]

Cheers Julian,

So for a US based MR system on the Russell 1000, would you use all 3 exclude lists?

Please excuse my ignorance, but Re Island exchange (called INET now I believe?), is that NASDAQ stocks only?

[JulianCohen]

Rob Giles wrote:

Cheers Julian,

So for a US based MR system on the Russell 1000, would you use all 3 exclude lists?

Yes I do. I have it set for any US based product.

Rob Giles wrote:

Please excuse my ignorance, but Re Island exchange (called INET now I believe?), is that NASDAQ stocks only?

I’m not sure but I have the same code for all US based products and it has worked so far

[RobGiles]

sounds good. cheers

[ZachSwann]

SHLM – 5 Cent List

[ScottMcNab]

http://www.finra.org/investors/tick-size-pilot-program

excel file in link below

http://www.finra.org/industry/tick-size-pilot-program-implementation-plan

[JulianCohen]

Exceptional find!

[ScottMcNab]

I think we had most of them

[SaidBitar]

for me still i modify them manually when i see the order rejected in the API, the reason is that maybe later they will be with 1 cent increment. So because i do not want to track these stocks i modify them manually

[Author]

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