Scott’s Journal

[ScottMcNab]

Is there a restriction on how far from the last traded price it can be to placed for the order be accepted ? Not sure where I got that idea from.

[Nick Radge]

Some brokers do have a restriction but I have never come across it with IB.

[TrentRothall]

think it may be 10%.

on a really volatile stock i placed a SELL LMT at 12% and it said something along the lines of the max is 10.

[JulianCohen]

I had this too but it allows you to change the size of the restriction when you are placing the order in a separate pop up box.

[ScottMcNab]

This is the message I received today when closed AVN on asx. It closed at 2.43 so 10% lower would be 2.20…matches with the 10% Trent suggested…

[JulianCohen]

Oh that’s interesting. When I have this issue it is in the order box and there it allows you to change the limit

[TrentRothall]

yeah that’s it i think. I think what you’re talking about preset warning to a actual IB lmit. If that makes sense..

[ScottMcNab]

Testing HKSE…early stages…using same code as US and gives good results…more stocks with large volumes cf ASX…can get CAGR over 20% with volume filter set to over 2 mill

needed to make afl change for ticks:

Tick = IIf(BuyLimP<0.25,0.001,IIf(BuyLimP<0.5,0.005,IIf(BuyLimP<10,0.01,IIf(BuyLimP<20,0.02,IIf(BuyLimP<100,0.05,IIf(BuyLimP<200,0.1,IIf(BuyLimP<500,0.2,IIf(BuyLimP<1000,0.5,IIf(BuyLimP<2000,1,IIf(BuyLimP<5000,2,5))))))))));
BuyLimVal = round(BuyLimP/Tick);
buylimit = BuyLimVal*Tick;

[Anonymous]

Scott McNab wrote:

New version of BatchTrader for MOC for the ASX arrived tonight…will take it for a trial tomorrow…will set it up to place sell limit order at 16:04 at 1.5% below last traded price.

I haven’t subscribed to live data yet so I am hoping price will not have dropped 1.5% in last 20 minutes (or should I go lower maybe ??)

hi scott. just wondering what settings your placing in batchtrader now for the asx: 1.5% below last @ 16:04 ?

[ScottMcNab]

Hi Darryl,
I place orders at 16:02 but 16:04 would be no different…I am fiddling with % below buy price…was using 8-9% but in cases where prices bounce (like wsa today) then it will be outside the 10% cap (from last traded price before 16:00) IB uses…so I will need to adjust order between 16:02 and 16:10…I suspect long-term that I will subscribe to live data and set it a few % below the last traded price

[Anonymous]

Scott McNab wrote:

Hi Darryl,
I place orders at 16:02 but 16:04 would be no different…I am fiddling with % below buy price…was using 8-9% but in cases where prices bounce (like wsa today) then it will be outside the 10% cap (from last traded price before 16:00) IB uses…so I will need to adjust order between 16:02 and 16:10…I suspect long-term that I will subscribe to live data and set it a few % below the last traded price

i wonder if just using the delayed datat will be good enought… it seems to me that the delay is not that much… im not sure how big the delay is or how consistent the delay is though.

[ScottMcNab]

Darryl Vink wrote:

Scott McNab wrote:

Hi Darryl,
I place orders at 16:02 but 16:04 would be no different…I am fiddling with % below buy price…was using 8-9% but in cases where prices bounce (like wsa today) then it will be outside the 10% cap (from last traded price before 16:00) IB uses…so I will need to adjust order between 16:02 and 16:10…I suspect long-term that I will subscribe to live data and set it a few % below the last traded price

i wonder if just using the delayed datat will be good enought… it seems to me that the delay is not that much… im not sure how big the delay is or how consistent the delay is though.

That was the plan. When I tried it using delayed data it failed to place any orders so I reverted to using the buy limit price.

[JulianCohen]

I don’t know if I messed it up but I subscribed to ASX data only for 25AUD per month.

Don’t need live data for the US

[ScottMcNab]

That seems a good deal. It comes up as $80 a month for me as using pty ltd for regT acct

[Anonymous]

Scott McNab wrote:

That was the plan. When I tried it using delayed data it failed to place any orders so I reverted to using the buy limit price.

did you mention this to levente scott? i would have guessed/hoped there is a way to get the “latest delayed” price somehow…

[Author]

Posts