Scott’s Journal

[ScottMcNab]

used live prices with Batchtrader for ASX closing auction (MOC system) for first time today…worked fine …as to be expected I guess but nice to see it work anyway

[ScottMcNab]

Launched updated (“selection bias” version) MOC tonight for US…volatility returned it seems so the tighter parameters may be timely

[ScottMcNab]

Launched updated (“selection bias” version) MOC tonight for US…volatility returned it seems so the tighter parameters may be timely

[ScottMcNab]

I know I shouldn’t have but I checked anyway…

previous MOC would have made $450 last night
new MOC lost $100….

[JulianCohen]

:sick:

[Nick Radge]

:woohoo:

A lesser person will tell you the market is rigged.

[LeeDanello]

Nick Radge wrote:

:woohoo:

A lesser person will tell you the market is rigged.

Donald Trump

[ScottMcNab]

Hmm…qin.au showing up in backtest on ASX on 23 and 24 march but was not an actual trade…when I checked my saved excel files for the batchtrader explorations it was not even on the list as a possible buy on those days…hmmm…can see it underwent a name change recently

anyone found similar ? Can’t see what I have done wrong here

[ScottMcNab]

Results dont quite agree with US market quite either..

if do backtest on “S&P500” the results agree exactly with the live results for all 17 trades overnight
if i do backtest on “S&P 500 Current and Past” then one of the live trades that the system actually took is left off but the other 16 agree exactly…more work to do here

on a positive note the new system that I started last week made 1.2% more for the night than the previous MOC would have…makes up for last week…swings and roundabouts

[ScottMcNab]

Random question…when we place a buy limit order before the open and then the open is below this prices, what is to stop some party filling this order above the ask but below the limit price ? I thought I read somewhere on IB website that SMART has a requirement that the price is at the displayed bid/ask or better but cant find it now

Thanks in advance

[Nick Radge]

If you route the order via ASX rather than SMART then that will not occur. You will always be involved in the Open Auction and therefore the official open price.

If you route through SMART you may go via Chi-X and that could get you a worse fill.

I always exit using ASX rather than SMART.

[ScottMcNab]

Thanks Nick. In the US I use SMART and the fills have been good on the open but I have had a bit of a brain freeze and have confused myself why the buy limit order is filled at the ask in those cases when the buy limit is way above the asking price

[TrentRothall]

Like Nick said, I was exiting via SMART then for some reason the open was delayed and got routed via Chi-x and filled 10% below the actual official open.

Live and learn

[Nick Radge]

Australia is just too small to rely on ETN’s. The US has significantly more so they’re more competitive and provide tighter pricing.

[ScottMcNab]

US MOC for March: +11.2%

there’s always one !

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