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RE: [amibroker] Using Bid Ask in RT trading



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Herman,

I am using:

StaticVarSet( "bidRT", GetRTData( "Bid" ) );

StaticVarSet( "askRT", GetRTData( "Ask" ) );

bidRT = StaticVarGet( "bidRT" );

askRT = StaticVarGet( "askRT" );

 

Then I buy (through ibc) at a limit price of lastvalue(askRT) or short at the lastvalue(bidRT) limit price.

It almost always executes immediately, in fact, I can’t recall missing an execution although there may have been a few.

 

I have played around a little bit with shaving off a ticksize or two, but then in a fast market, you miss the trade.  And how do you know when the market is going to take off?

I have used this mainly in trading the futures on my paper account with IB, though it should work with stocks as well.

I really like the idea of using limit orders instead of market orders.

 

Best regards,

Grover

 

 

 

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Herman
Sent: Friday, January 30, 2009 3:25 AM
To: AmiBroker User Group
Subject: [amibroker] Using Bid Ask in RT trading

 

Would anyone have coded rules on using Bid Ask prices to improve trade execution?

 

Is it worth the effort?

 

ideas and/or links would be appreciated,

 

herman

 

 

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