Scott’s Journal

[Nick Radge]

Quote:

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

The ASX doesn’t have a MOC facility but it might be an IB native function – check with IB.

[JulianCohen]

Nick Radge wrote:

Quote:

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

The ASX doesn’t have a MOC facility but it might be an IB native function – check with IB.

What happens in the closing auction?

[LEONARDZIR]

Scott, when time does the batch trader cancel all open orders before placing MOC orders? Can you control that time?

[Nick Radge]

Quote:

What happens in the closing auction?

So what you would do is instruct the API to use a MKT order after 4:00pm which will most likely execute in the closing auction.

[JulianCohen]

Nick Radge wrote:

Quote:

What happens in the closing auction?

So what you would do is instruct the API to use a MKT order after 4:00pm which will most likely execute in the closing auction.

Sounds good.

[ScottMcNab]

Len Zir wrote:

Scott, when time does the batch trader cancel all open orders before placing MOC orders? Can you control that time?

My understanding is that if the order if completely filled then the MOC order is sent immediately. The time setting relates to the time for which orders that only received partial fills remain …after the time (that the user sets in the preferences), then the remaining partially filled orders are cancelled and MOC orders are then sent for the partial fills

[ScottMcNab]

Just re-read my answer….unfilled orders are also cancelled at the nominated time too

[ScottMcNab]

Hmm…which makes me think about testing some intra-day data…may be that buy limit orders triggered in last hour have a low probability of turning around before the close….might find best to cancel all outstanding orders much earlier…eg 1pm

[ScottMcNab]

Isn’t min comm with IB US $1 ?

[Nick Radge]

Quote:

Isn’t min comm with IB US $1 ?

If that’s the paper trade account it’s probably set on the wholesale commission rate.

Quote:

My understanding is that if the order if completely filled then the MOC order is sent immediately. The time setting relates to the time for which orders that only received partial fills remain …after the time (that the user sets in the preferences), then the remaining partially filled orders are cancelled and MOC orders are then sent for the partial fills

So ask the developer to look at my suggestion. Won’t work otherwise.

Intra day data is not really an option – very expensive and coding becomes significantly more complex.

[ScottMcNab]

Nick Radge wrote:

Quote:

Isn’t min comm with IB US $1 ?

If that’s the paper trade account it’s probably set on the wholesale commission rate.

Thanks Nick

Quote:

My understanding is that if the order if completely filled then the MOC order is sent immediately. The time setting relates to the time for which orders that only received partial fills remain …after the time (that the user sets in the preferences), then the remaining partially filled orders are cancelled and MOC orders are then sent for the partial fills

So ask the developer to look at my suggestion. Won’t work otherwise.

Is this for the ASX sorry…got a bit lost there ?

Intra day data is not really an option – very expensive and coding becomes significantly more complex.

Thanks again…will not waste time pursuing.

[JulianCohen]

Nick Radge wrote:

Quote:

Isn’t min comm with IB US $1 ?

If that’s the paper trade account it’s probably set on the wholesale commission rate.

Quote:

My understanding is that if the order if completely filled then the MOC order is sent immediately. The time setting relates to the time for which orders that only received partial fills remain …after the time (that the user sets in the preferences), then the remaining partially filled orders are cancelled and MOC orders are then sent for the partial fills

So ask the developer to look at my suggestion. Won’t work otherwise.

Intra day data is not really an option – very expensive and coding becomes significantly more complex.

Scott the developer has sent me exactly the option as Nick suggested today so it is coded and ready to test, which I will be doing in the next few days

[TrentRothall]

Hi Scott, how is slippage looking with the MOC orders?

[LeeDanello]

You guys are on another planet in comparison to what I’m doing. I hope you make a shed load of money with this strategy. What are the backtester stats like?

[ScottMcNab]

Trent Rothall wrote:

Hi Scott, how is slippage looking with the MOC orders?

It seems to vary quite a bit from AB but I suspect that is still due to it being a paper acct. I hope to finally begin some live trading soon once I have paper tested this one for a few weeks.

[Author]

Posts