[ChrisThong]

November 2022

US Market

MOC#1 +0.98% 
MR#2 +0.81%

AU Market
ASX100 Rotational  0%
Growth Portfolio +1.30%

Total account: +3.09%
Total account YTD: -36.15%

ASX 100 rotational switched on for December 2022!!

[ChrisThong]

October 2022

US Market

MOC#1 +0.9% 
MR#2 -0.34%

AU Market
ASX100 Rotational  -1.67
Growth Portfolio -0.35%

Total account: -1.46%

[ChrisThong]

I think recently there are some tickers have had a big gap down, something more than 20%.

[ChrisThong]

Thanks Julian. 

@Ben Yes, TS rejected my order and gave a message of “order is greater than the maximum extra-marketable price permitted for current market conditions for this product”. My limit order price was $77.76. At 09:00 US time, RHI was opened at $68.55 and by 09:30 it was traded at $65.835. API placed my order at 09:30 and it was rejected by TS prompting the above message. There were no oders filled at the time the limit order was rejected and I have plenty of capital and margin to have for RHI, hence it is not an issue with capital and margin. The difference between open price and my limit order is 15% at 09:30, perhaps this is the threshold for TS to reject orders. 

Also, thank you @Ben for the warning, I totally missed that one. Not sure whether Harrison can do something to prevent that happening like API monitors the live price and put in a market order so long as the last traded price is below the limit order, and cancel the market order if the last traded price is within certain % of the limit price, and activate the limit order again. It is too much to ask? Anyway, Harrison is busy with other projects and will have get back to me later.  

[ChrisThong]

Thanks Julian and yeah, I would place that trade myself, if I were awake, but sadly I was not. It is for my MOC system. As far as I aware, the API monitors the price in live action, as I have to subscribe to live pricing to start with, so this option is enabled. 

For those that are using the TradeStation API, you would come across this option named “OrderActivationDistPct”, as I understand, it allows me to set the distance from my limit price for the order to be place. From the API notes, 0.1 means 0.1%. In this case, RHI was trading 17% below my limit order, hence, I suppose I should set it as 20% or more, but then it apply generally across the board for every oders. 

I asked Harrison, the developer, whether a market order can be placed when the share opened with a gap down and below the limit price, which he said “yes”. I will provide more info.  

[ChrisThong]

A note to my future self. 

Ticker: RHI

1. I loaded a set of limit orders using TradeStation API, including the limit order for RHI to buy at $77.76;
2. RHI had a gap down and opened at $65.4;
3. TradeStation API sent my order to the market and was rejected due to the difference between my limit order and the market price (which I understand and accept it, and no complaint about it too!);
4. RHI closed at $73.01. 
5. Reconciliation of trades for the session using AB and it shows that the trade of RHI was entered and this is because it was coded to buy either at limit order, or at open. 

In reality, I could intervene and put in a market order (if I were awake, I slept at 10pm), but I did not as I was asleep. I have sent an email to API developer asking whether the API could do the following:

6. Forget about my limit order as ticker opened much lower than limit price;
7. API to send a new market order. 

I have sent an email to the API developer and let’s see whether this can be done. 

To the readers of my post, may I know what would you do? Thanks and keep trading!! 
 

[ChrisThong]

September 2022

US Market

MOC#1 -0.49% (DD 14.56%)
MR#2 +1.68 (DD -16.65%)

AU Market
ASX100 Rotational  +1.27%
Growth Portfolio -5.29% (DD 5.88%)

DD = Draw down from equity high/capital for newly started system. 

So far the DD for MOC is more than the historical max DD, it is uncomfortable but not need to alarm for the moment. Also, September 2022 is the month where I started using the TradStation API, so far it is working as expected. For that, I thank Ben and Craig. 

For Rotational, lithium stocks like PLS and AKE did the heavy lift. All opened position will be sold on Tuesday when market open and back to cash. 

For Growth portfolio, I did a very stupid thing and lesson learned. Nick says not to chase the position and I did, and lost some money there. Greed took over. 

Good thing for October 2022 is that I am heading for a cruise on 5/10/2022 for 4 days to Moreton Island. It is my virgin trip for cruise and I am looking forward to it and do nothing! However, it will be tricky to trade while on the ship. Carnival says that there will be Wifi on board, so let’s see!

Good luck to all those read my post for October 2022 and keep pushing the buttons!!

[ChrisThong]

Thanks Ben and you have been very helpful by sharing the contact of Harrison and the above. 

At the moment the API is still in testing mode and so far, the result of the simulation is same as live account. For 1/9/2022 US session, I have set the order percentage from 0 to 0.5 for simulation, let’s see what will happen!

Also, at the moment, I am unable to copy and paste the symbols from the Symbol only CSV file to TS and Harrison has setup a notepad, and I have to add the symbol by Data>Other Symbol>select the note pad.  

[ChrisThong]

August 2022

US Market

MOC#1 % -6.38% (DD 14.14%)
MR#2 -3.3% (DD -18.02%)

AU Market
ASX100 – Nil – 100% cash 
Growth Portfolio -0.39% (DD 3.44%)

DD = Drawdown from equity high

For MOC, there were a number of small losses, however CAL and CLAR did the most damage. 

For MR#2, it was CLAR that did the most damage. 

Monthly rotation turned on in Sept and here we go!!

Also, I took advantage of the EOFY deal that Nick offered and subscribed to The Chartist. 

[ChrisThong]

Also, I am keen to know what would it do if I set it to 0.5. Does it means, I will get more fills? By doing this, I may deviating from my system’s plan. 

For other readers, it is a setting that the developer made so that users can set the percentage when the limit will be placed in the market. Setting “0” means limit order will be placed when the last traded price is >= the limit order. It works in percentage so, 0.5 is 50% means the order will be sent when the last traded price is within 50% of the limit order. I hope I get it right with the explanation. 

 

[ChrisThong]

This is interesting!

[ChrisThong]

Thanks Ben. I am testing it in Simulation and have the exit set to with time = 15:59:55. Just need to remember to change it to “1” when I go live.

[ChrisThong]

Firstly, I would like to thank Ben and Craig for sharing the contact of Harrison. I bought the API from him and testing it tonight’s session. 

Ben and Craig, may I know what setting have you set for the OrderActivationDistPct? the default is 0. 

[ChrisThong]

Thank you for the input!! Also, my apologies that I got it wrong in that the entry price is the open price. For those that use TradeStation, it shows you the limit price and the filled price. In my initial post, I was looking at limit price instead of filled price. I have amended my records. My apologies for this. 

Ben, how do you get the list of traded price for a ticker in TradeStation? Something like Time & Sale report from IB. I ask this because the picture that you uploaded appears to be the time and sale report. 

[ChrisThong]

Dear All, 

As you know I am trading a MOC system using TradeStation. I am not using the API (but will contact Harrison for more details). Hence, I am entering my order manually using the OSO order type, and that means I would enter orders with GTC and cancel those that not filled the next day. I have noticed the followings:

1. $ECPG which had a gap down and my order of 4/8/2022 from AB was $67.35 and it opened at $65.02. My order was filled at $67.35. 
2. $ZWS which had a gap down and my order of 27/7/2022 from AB was $30.05 and it opened at $28.80. My order was filled at $30.05.

Backtest coding is such that AB will buy either at the buy limit or open (whichever is lower). I am not complaining about TradeStation filling my orders at a higher price and this because it is merely executing my orders. My question is will this be eliminated by using the TradeStation API? If so, is it because the API put in the order based on the time set by user? Also, may I know which virtual server do you use? 

Thank you and happy trading!

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