Scott’s Journal

[ScottMcNab]

Amibroker backtest had 4 trades last night…3 losers and 1 winner…..TWS trade record took only 3 trades….any guesses which one I missed….deliberately screwing with me now

had a buy limit order for BERY for 40.32

Just because you’re not paranoid doesn’t mean they’re not watching you !

[ScottMcNab]

Levente sent through the new software key last night so I could use the MOC Batchtrader in new regT account.Once I loaded it I decided to go live. I didn’t change the equity in exploration however and instead of trading with no margin as I was planning I ended up with 20 positions at 10%….take luck when I can….made 6% return overnight. The closing fills for all positions were exactly the same as Amibroker close values so MOC worked correctly.

[TrentRothall]

Boom! Nice one

[Anonymous]

Scott McNab wrote:

Levente sent through the new software key last night so I could use the MOC Batchtrader in new regT account.Once I loaded it I decided to go live. I didn’t change the equity in exploration however and instead of trading with no margin as I was planning I ended up with 20 positions at 10%….take luck when I can….made 6% return overnight. The closing fills for all positions were exactly the same as Amibroker close values so MOC worked correctly.

giddy up! :woohoo:

[ScottMcNab]

Damn thing lost 60 dollars last night…must be broken…might try pairs trading

[ScottMcNab]

Not sure why exposure % drops when change backtest from compounding (20 positions at 5%) to fixed amount (20 positions at $5000) …total number of trades remains unchanged !!….so exposure % depends on portfolio equity ?

[ScottMcNab]

When I went live I switched from RUI to SPX to see if the number of “phantom trades” (ones showing on AB low price and therefore appearing in backtest but not actually tradable) decreased. So far have had none of these events with SPX. Will continue to monitor. May simply be due to smaller universe of stocks or chance.

[ScottMcNab]

Not sure why I missed out on this entry…had buylimit order for FTV at 48.82 placed several hours before the open. Does the fact that it is not the primary exchange have an impact ?

[Nick Radge]

Scott,
I’ve explained this before. The US markets is based on a group of ETN’s, like electronic market makers. The IB SMART system will send the orders to what it perceives is the best ECN to execute your full order. If an ECN is trading an inferior quantity then your order may not be routed there by SMART.

You can set IB to execute outside normal market hours which means you can get fills in the pre market.

[ScottMcNab]

This wasn’t in the pre market though was it ? Meaning that less than 50 shares (my buy limit size) were traded in the transactions listed ?

[Nick Radge]

Either way your order wasn’t routed.

You can get onto the IB Chat and request an execution check.

[ScottMcNab]

Thanks Nick. I will ask them.

[ScottMcNab]

Watched price bounce in KLAC last night after short sale restriction came in…not sure how could possibly backtest or trade (maybe with advanced api) but would be interesting to see results for a system that bought stocks at the time that they had short sale restrictions implemented and then sell at MOC same day (maybe with added filter that Index is also up for the day) hoping for the shorts to have to buy stocks back at the close

[ScottMcNab]

Scott McNab wrote:

Not sure why I missed out on this entry…had buylimit order for FTV at 48.82 placed several hours before the open. Does the fact that it is not the primary exchange have an impact ?

After several days of correspondence with IB and PDU:
if trading during regular hours (RTH), there must be a trade at the primary exchange for my order to be active…so even if it is 9.33 and there have been a dozen trades on the other exchanges, until a trade is made on the primary exchange nothing will happen with IB RTH orders
to trade the consolidated tape (which Amibrokers data consists of) IB recommended selecting “trade in the pre-open” and then also to set the start time (found in stock presets) to 9.30 US (which needs to be equivalent time in your own time zone)
this then allows trades to be taken after 9.30 on all ETN even when none have yet occured on the primary exchange so entries will match backtest
BUT
the version of Batchtrader you are using then becomes important…if you are using a system where all orders were placed before 9.30 US then all is fine…but if you are using one of the MOC versions it falls apart…as any orders placed during the trading day (ie the MOC orders) are delayed until the start time of 9.30 the following day..

:S

[ScottMcNab]

Starting MOC (mkt at 15:59) system live on ASX today :unsure:

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