[ScottMcNab]

missed AET list night….checked time and sales …seems a bit strange the price drop that occurred but I had an buy limit order for 55 at $142.69 placed before the open that didn’t get filled….the red arrow indicates a normal trade I believe

[ScottMcNab]

Thanks Nick

[ScottMcNab]

This is the question I asked:

[ScottMcNab]

Nick Radge wrote:

LIT should be ok with a cash account because the order is kept on the server and not sent to the exchange

Been going backwards and forwards through message centre as IB now saying credit check is done when LIT orders are sent to IB and not when limit order triggered and sent to exchange…so I could only place 20 LIT orders (at 5%) in a cash account…of which only a few may be triggered…need to be able to place multiple LIT orders and then have the API (and IB credit check) to then limit to 20 positions at 5%…confused that it works for clients of yours Nick with MIT but would not for LIT orders…anyone else you recommend I contact Nick

[ScottMcNab]

May ASX/US MOC

+ 0.07%

[ScottMcNab]

Julian Cohen wrote:

Instead of using LOO orders the API could be set to cancel any unfilled orders at open time + n minutes. That should be an easy code fix.

Sounds good…what would you give it…1 or 2 min ?

[ScottMcNab]

Yep..limit on open order does this for you

https://www.interactivebrokers.com/en/index.php?f=590

[ScottMcNab]

Sorry for rambling on group call…will try and explain it here…(with more rambling)

When thinking about selection bias , I tested using open<=buylimit (would require a limit on open order) The first impact is a significant reduction in selection bias by dropping the number of possible buy orders each day. The second impact on system metrics, which I did not explain well, was not in reducing the selection bias further but looking at the potential impact of selection bias on backtest results. This type of entry (open <=buylimit) may make the backtest results more closely aligned with live results on those days when buysignals outnumber positions available. In currect MOC systems, my understanding is that a random selection of possible stocks are selected by Amibroker when in reality (as per Nick's posts and modules) this is not the case when using buylimit orders with EOD data. If a limit on open order is used, then the live results and the backtest results should both be selecting stocks on a "random" basis on these rare days when buysignals outnumber positions available. Going forward, the two results (backtest v live) should be more closely aligned (I think ?) The reason I brought it up in the online call in the first place was I thought it may be of interest to some who had tossed out some of their MOC systems due to problems with selection bias. Try changing entry to:
LE = Ref(buysetup,-1) AND open<=Ref(buylimit,-1) AND NOT OnLastTwoBarsOfDelistedSecurity ;
LEPrice = open;

Maybe some of those discarded systems can be resurrected ? For those not on the call, Nick mentioned there are hurdles trying to trade this way (gap down on open) so it may not work live still

Clear as mud ?

[ScottMcNab]

Anyone tried a similar type of ranking system that Said has described with rotational systems on stocks ?

[ScottMcNab]

What is the benefit of having Norgate and Ab on the VPS Len rather than your own laptop and uploading the csv only to the VPS ? Is it the ability to log on from a public computer to the VPS if you travel a lot ?

[ScottMcNab]

Found Said’s positionscore formula again..please ignore above post

[ScottMcNab]

Any thoughts on using the following to determine the impact selection bias will have on your MOC system much appreciated…

PositionScore = 1/(Close-Low);

Look at drop in performance verses when use
PositionScore = mtRandom();

[ScottMcNab]

often looks confusing …if in doubt right click the portfolio tab and click “clear zero position rows”

[ScottMcNab]

How can you tell Trent ? Is there a function that logs attempted log-ins ?

[ScottMcNab]

Same for me now…hmmm…link to reset password is sus in light of what happened in NHS

[Author]

Posts