Scott’s Journal

[ScottMcNab]

Thanks Nick. I hadn’t used that resource before. It was in pre-open and there is a note in TWS saying it was not displayed as last price due to special conditions as you mentioned.

[ScottMcNab]

Housekeeping night….going over the trades for the week.. the new API seems to be working well…had 2 issues this week but neither seem related to API…first was the trade for EIX in pre-open and second was an issue where I ended up short at the close…instead of just selling long positions at close I ended up short (sold position and then some more) but review of logs showed API sent correct order….probably a bug with paper trading. I am finding in the paper account that the fills for the buy limit orders are correlating with Amibroker backtest but the sell on close have the variation (as expected) which I have mentioned previously. Anyway…so far so good.

23 trades
14 winners and 9 losers
av profit/loss 10 (am I rich yet!)
av profit/loss% 0.25
Sharpe ratio 3.69 (if only)

[SaidBitar]

Scott McNab wrote:

23 trades
14 winners and 9 losers
av profit/loss 10 (am I rich yet!)
av profit/loss% 0.25
Sharpe ratio 3.69 (if only)

Very Nice

[ScottMcNab]

IB approved margin acct…

[ScottMcNab]

Exploring the idea of modifying BatchTrader so can use buy limit orders without a margin account. The API would hold the orders and monitor live prices…and then when the ask price hits or is below the buy limit price it then sends the order to TWS. Levente says this should be possible but that IB will only allow monitoring of max of 100 stocks at a time (live prices). Up till now have been loading up to 250 buy limit orders at a time for RUI…..might look at SP500 and see how the numbers come out.

I imagine there is the potential for lag to play a small part here but if the price is falling that may not be a big deal. The API would also need to have a ranking system (alphabetical ?) for those times when the market opens significantly lower and a heap of buy orders are triggered so that it only sends the required 20 or 25.

Anyone see what other factors I need to incorporate into the API please ?

[TrentRothall]

Can’t you place aa large number of limit orders in a cash account? i thought you could?

Then you would only need batch trader for bulk uploads..

[Nick Radge]

You cannot place orders into TWS that exceed your cash balance, which is why a cash account can’t be used. Ideally you need a Reg-T account.

The alternate is using a MIT order instead of LMT. A MIT order will only be sent when the trade price is hit. It’s not ideal because if 1 share trades at the trade price then your order will become a market order and hit the offer. You could use a small discount where your wanted LMT price is $32.50 and you place the MIT at $32.45.

Why wouldn’t you want to use a margin account?

[ScottMcNab]

Accountant suspects ATO may have issue (ie will not allow) trading super from a margin account, even if not trying to “leverage”….eg 25 positions at 4%….but on those days when multiple buy orders are triggered when market opens lower, will be on margin briefly before BatchTrader cancels outstanding orders. I was hoping for a solution where I could use the systems I have with buy limit orders as they are by far the best ones I have been able to come up with (are other issues regarding sole purpose test etc that I am doing due diligence on)…just looking into possibilities at this time..the MIT may be one option… thanks Nick

[Nick Radge]

You’re trading this in your SMSF? No wonder your accountant has concerns and I’d agree.

Wasn’t this something that should have been addressed back in the Facilitation section?

[ScottMcNab]

I’m not trading this in my smsf but my father has recently asked me if it is possible for me to do so for his. I am trying to explore whether it is possible.

[ScottMcNab]

Had buy limit order for FNF at 36.75….looks like just missed out this time

[Nick Radge]

You can’t use leverage with a SMSF. You may need to explore the MIT order else have your father structure a different account.

[ScottMcNab]

Just downloaded latest version of MOC BatchTrader…has a new entry in preference in which user specifies a time at which the remainder of partially filled orders will be cancelled and MOC orders placed for the partial fills

Will see how it goes tonight

[SaidBitar]

As far as i know MOC is not supported by ASX isn’t it

[ScottMcNab]

Not sure Said…I haven’t traded it

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