Scott’s Journal

[SaidBitar]

What about the positions that will be entered in the last 20 minutes they should be closed on market in the last minute. I think this condition should be added as well

[JulianCohen]

Said Bitar wrote:

What about the positions that will be entered in the last 20 minutes they should be closed on market in the last minute. I think this condition should be added as well

That’s a good point Said. Scott do let us know how this testing goes as I am also working on a MOC same day as entry system. Do we call this a CSDAE for short? Maybe CLSDAE to make it easier to say

[JulianCohen]

Said Bitar wrote:

What about the positions that will be entered in the last 20 minutes they should be closed on market in the last minute. I think this condition should be added as well

Maybe the API can be set to remove any working orders at a particular time before the close?

[LeeDanello]

Buy on the open, sell at the close? Excuse my ignorance but is this as simple as it sounds?
I’m only a beginner systems trader! Is this to enable the system to use the maximum leverage in IB?

[JulianCohen]

Maurice Petterlin wrote:

Buy on the open, sell at the close? Excuse my ignorance but is this as simple as it sounds?
I’m only a beginner systems trader! Is this to enable the system to use the maximum leverage in IB?

It is buying on the limit buy price, or open, whichever is the better price and closing MOC same day as entry no matter what. This allows use of up to 4x leverage. I have built a system that gives me approx 30% CAGR and -10% MDD using this. It suits me very well as I can’t necessarily trade every day and the trade frequency is so large using this system that missing a day here or there doesn’t really matter too much, unlike trend following where missing one trade could be the one that makes your year.

I’m sure it’s a case of “horses for courses” and it’s not for everyone. I could have tweaked it to give me over 40% returns if I ran it at 40/10 but I have it running at 30/10 and when the Index filter is down it switches the system to 20/10 and also looks for an uptrend in the ADX over the last few days to try to pick up a better trade.

I will also run other systems alongside this, that do not exit same day, so I’m not so highly geared with all the account.

[Nick Radge]

Quote:

Maybe the API can be set to remove any working orders at a particular time before the close?

I have added the API devleopers details HERE as this is something that can be done.

My understanding is that MOC orders need to be placed no later than 15 mins before the end of the session. You will need the API to therefore cancel pending orders prior to that cut off then execute the MOC orders.

[Anonymous]

Scott McNab wrote:

First trial of new version of Batch Trader API that enters same as previous (buy limit order) but also sells all positions market on close…will see how it goes overnight

hi scott… can i ask how much it cost to get the batchtrader with moc developed for you?

[ScottMcNab]

Darryl Vink wrote:

Scott McNab wrote:

First trial of new version of Batch Trader API that enters same as previous (buy limit order) but also sells all positions market on close…will see how it goes overnight

hi scott… can i ask how much it cost to get the batchtrader with moc developed for you?

Hi Darryl…..500 CHF

Worked well last night…I only downloaded it and installed it last night just in time to catch the US market open. I will check with Levente when the MOC order is placed and post the answer.

I also need to get my head around better what happens with such a buylimit/ MOC system such as this one with regards to trading halts on days when stocks tank and how it impacts backtest results.

[ScottMcNab]

Levente’s reply regarding the timing of placement of MOC orders is attached below. I’d be keen to hear your thoughts.
Cheers

Hi,

I am glad that the position closing mechanism works!

As soon as an order FULLY fills, a MOC order is created for it.

There is a possible issue which is not addressed at the moment:
What should happen with partially filled orders? At the moment for such
orders no corresponding MOC orders are sent. The issue here is that at
most venues MOC orders must be placed a certain time before the market
closes, but the application does not really know if and when the order
will fully fill. It would also require some knowledge of the latest
entry time for each venue.

One solution could be to send MOC orders for the partial fills, as soon
as they happen, but this will incur additional commissions.
Another option would be to set a time (per venue) at which for all
partially filled orders corresponding MOC orders would be generated, but
only for the filled quantities, and cancel the remaining quantity for
the still pending orders.

I am curious about your thoughts regarding this. Maybe it is also worth
discussing this on Nick’s forum, to see what would be the best way to
address this issue.

Best regards,
Levente

[SaidBitar]

i think to be time based is better and you need to cancel all the remaining orders.

if you want to keep the remaining orders that are unfilled then all should be closed 5 minutes before the close and they should be sold on market on the last minute.

[JulianCohen]

I agree with Said. I would want all unfilled orders cancelled at a set time, say 30 mins before the time the MOC orders need to be entered. We are only working on two markets, US and Oz, so hardcoding the times won’t be a major problem.

[Anonymous]

i agree with said and julian but would lean towards having an adjustable parameter to allow some control over the time before “unfilled partial orders” are cancelled.

im guessing after some testing you will have a better feel for the best setting so some control might be good…

[TrentRothall]

Another option could be to just leave it as it is, if you have to exit a partial position the next day on open it probably isn’ going to cause major issues with your account.

[ScottMcNab]

Was looking through trades taken verses Amibroker “backtest”..Amibroker took trade in EIX as buy limit order was 75.20 (open 76.92, low 74.45 and close 77.41)….TWS didn’t take trade as low during regular hours didn’t go below 76…..got myself bit confused here…does this mean that the low (74.45) reflects trades before the regular open but the open (76.92) is still the 10.00am open/cross and not the first trade for the day ?
Thanks

[Nick Radge]

There could be a few reasons but you can look at the time and sales in TWS and see how many shares traded below the price and at what time.

It may have been an off market option combo trade, i.e. stock and options together whereby the stock price had to be done outside the range. Rare but it does happen.

The alternate is that is was in the pre-market and only a handful of shares traded. If it was just a handful then SMART may not have routed your order as it wasn’t sufficient to fill the volume.

Check the time and sales…

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