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Dear List,
I have been autotrading TS6 for >6 weeks now with tens of trades a day.
The great news is that this aspect of the TS6 software is now very much
operational and reliable.
The only problem we have is when you execute reversals (we don't execute
reversals anymore due to bad fills and due to this execution problem).
What I would like requires a major change in TS6 and therefore probably
won't be implemented......
Right now you have NO control over the executions, all orders are kept on
the TS servers (or you own system) and when TS6 hits a stop level a market
order gets executed.
That is often a free ticket for all the sharks to find you the worst
possible fill (which takes anywhere from >20 seconds to >5 minutes !).
The system doesn't allow any kind of stop/limit orders.
I would advocate an extention to the EasyLanguage where you can program your
own "micro execution" strategy. Where you would be able to watch the bid/ask
and execute your orders accordingly. Where you could execute stop/limit
orders etc. Where you can setup timeouts to react to an order that was
filled to early or maybe not filled at all or not filled completely.
By default TS could supply a micro strategy that works identical as the
current auto execution system (=market orders only).
The suspicious person in me than thinks, why have they only enabled market
orders ?
Is somebody making money on order flow (if not TS than Bear Stearns) ?
But that is just me!
We lost money in these six weeks (not a problem given the general market),
>65% however was in slippage and commissions (as you know commissions have
come down recently).
Thanks
Robert
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