MOC with Smart API on ASX?

[Anonymous]

Scott McNab wrote:

Hi Terry,
I I then tried Hong Kong Stock Exchange…and then Japan…….so many rabbit holes
Hope something in there helps

Hey Scott – I have been looking at both of these as an alternative to the ASX. Was commission drag too much to bother? From what it looks like, trading TSE/TYO would be .05% in “fee per trade value”, which for a 10k round trip trade would be $10… which is quite a bit more than the about $.75 minimum (80 JPY) for a trade.

Am I doing the math right there?

Were there any other hurdles (well, market data)? Did you just settle on the US exchanges for simplicity?

Thanks

S

[Anonymous]

Actually, has anyone looked at getting India’s NSE EOD data? Commissions there with IB are extremely cheap… Data also seems cheap. Would be important to know if we could exit there with MOC.

[ScottMcNab]

Hi Seth
Variable lot sizes and tick sizes and market data were the 3 main issues..all a bit hazy but there is probably some mention in my journal from back then…(tried to document issues for this reason)…some markets made it quite difficult to determine lot size and tick size for each stock and I was having to look them up every night in an Excel file downloaded from the exchange (HK I think this was)….and then because data from metastock doesn’t include historical constituents then the results from the backtest were constantly changing as stocks entered and exited the index. While this doesn’t sound like a big deal I like to see the live performance tracking with backtest and it bothered me that I could not do this. A solution may be to use all stocks from the entire exchange (would reduce impact but not eliminate it obviously)
Metastock has EOD for two main Indian exchanges but there may be (or used to be) an issue regarding foreigners trading them…?

[Anonymous]

You are correct – you need an account with IB India, so you would need to be a resident or non-resident Indian.

[Anonymous]

I did a small test on Friday trading ASX with MOC.

I made one trade. A whopping 3 dollars profit. Actually it was 15 bucks but 11.60 in commission ate up most of the gross profit.

At least it worked, technically.

I set the closing method to MKT order issued at 3.59 pm. Seemed to work. Actually I think as a safety measure the software developer must have deliberately written in a 60 second buffer. I noticed that even though I set the time to transmit MKT order as 3.59 it actually transmitted it at 3.58pm. No big issue for me, just an observation.

I am running the system on a small $10,000 at the moment. Just to test it on real platform/cash. The paper trading platform is pretty useless for knowing how it is REALLY going to trade. The only way is the real platform with real money.

[TrentRothall]

Hi guys

I’ve been trading my MR on the ASX for ages the biggest issue i face is not getting fills on the low. As Glen or Scott said above i think this not only happens in thinly traded stocks but stocks that also have a reasonable daily turnover.

I also don’t run the CBT code on my mean version system because I want to send as many orders as possible to the exchange to try and get my exposure up. Because of the smaller universe I think running the CBT code you would have quite low exposure because of the minimal orders placed. (I could be wrong about that).

Matthew, you might need to send limit orders I think to get filled in the closing auction as you do with the opening auction. By sending a market order you might just be getting the market price at that time, which would probably be close to the closing price I guess but it might not be exact.

[Anonymous]

Thanks for the tip Trent.

If I send a Limit order, don’t I run the risk of not getting the price right and being stuck with an overnight hold?

[TrentRothall]

oh you might be right actually, it might be worth sticking to the mkt orders and reviewing the fills like you said

[TrentRothall]

You always miss the good ones too ffs

SLC.au

[Anonymous]

I think I’ll start playing around with trying to use the CBT code like in MOC for the entry part, but then combine it with some other method for exit, including an overnight hold, like sell on the next open, or hold for a few days and wait for some other sell indication. I guess you could call it a MR Swing style system with a MOC style entry.

[Author]

Posts