Scott’s Journal

[TrentRothall]

Yeah, Scott what is a MKT OPG order?

[ScottMcNab]

From what I can gather its the market on open order for IB…..OPG being the abbreviation for opening…..I just placed tomorrows buy orders manually as I’m too ignorant to be able to change dde api….so I better go read up on which column to change on dde api . I will try and post the results for the 7 buy market on open orders tomorrow…my fills against “official” opening price again so can compare with mkt order…based on my track record there is a good chance I’m barking up the wrong tree though

[TrentRothall]

Is this in the US? A MKT order should just fill at the first available price i think…

[Nick Radge]

In the US just use MKT

[ScottMcNab]

Still digging to learn more about the variation in the fills I’m getting on open with mkt orders compared with Amibroker open prices…OHLC prices from NYSE and NASDAQ websites match amibroker data for relevant stocks so the issue may lie with me selecting SMART as routing for the mkt order… I may in fact be getting opening price but it is simply not the NYSE opening price (which is the data Amibroker uses for NYSE stock)…so live/future trading may more accurately reflect my backtesting if I select NYSE in the order ticket rather than leave it as SMART….will test

[ScottMcNab]

This would indicate that IB not so much wanting ppl to use directed API orders ? Cant imaging it costs them more….may be it reflects commissions IB receives by routing orders in certain ways…beyond me …but added this commission into the backtester and it knocked 3% off CAR…this may more realistically reflect future results though than having uncertainty in open price

[ScottMcNab]

Went over trades for the week

28 buy at mkt (at open)
31 sell LOC

average cost of commission per trade on buy: $1.78
average cost of slippage per trade on buy: $25.88

interestingly the average slippage on the sell orders was in my favor….so on very limited data may balance out ok….will continue to investigate reducing slippage on buy orders

[Nick Radge]

The reference to the API is not applicable to you.

[ScottMcNab]

Thanks Nick

[ScottMcNab]

Piggybacked some of Nick’s orders over the last few days and found my slippage on (sell) mkt orders lot higher than his…turns out this is essentially a reflection of inherent limitation of a paper trading verses live account…so will move on from slippage issue which has consumed my attention for a while now….. but will have to monitor closing when start live trading

Live trading delayed while seek further advise re setting up necessary structures needed for RegT margin acct

Picked up Nick’s API for buy limit orders to manage MRV system….so next step is to learn this new piece of kit

[ScottMcNab]

36 buy limit orders placed with BatchTrader for paper trading acct for MRV

[LeeDanello]

Scott, How do you define passed? Are they just your minimum metrics being met?

[ScottMcNab]

Is this in relation to my first post Maurice ? I was referring to the stress testing….I was wanting to see that the metrics that I had for system were not degraded significantly by the different stress tests listed at the end of the course. For me I guess this meant I would still consider system acceptable with worst results returned from the stress tests.I guess another way of saying this is that the CAR must not drop significantly and the maxDD must not increase too much…so in essence, yes !

[LeeDanello]

Yep, with relation to stress testing cos that’s where I’m at the moment. Where the results that good that you decided the best test was to paper trade it for a few months.
Just wondering whether to test it live and then go back to the lab to tweak it more?

[ScottMcNab]

I wouldn’t take a system live without at least a month of paper trading. The paper trading is a further test that there are no errors in either the system code, the exploration afl or the exploration for the api. I found that paper trading the system taught me almost as much about the system as designing it did.

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