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Dear List,
I have been autotrading using TS6 and IB for several months now.
While IB executes faster (and cheaper) there are main issues missing in both
setups.
Every trades starts with a signal in TS, which can be a stop, limit or
market order.
A stop order simply becomes a marketorder (TS6 doesn't do actual stoporders
it just stays on your system untill the stop gets hit).
For auto-execution limit orders don't work that well (since you have no
guarantee that you will get completely filled).
After a buy or a sell signal, only a small part of the job is completed.
You now need to find a way to fill your order, I think we all agree that a
market order is in general a poor substitute for that.
While in my experience market orders work fine in highly liquid markets, on
various stocks my slippage would get up to the point where it ate away my
potential profit (on average).
What is needed is an execution "script" language.
Based on the bid/ask/last prices, on timing (fast timing so 1-10 second
range) and filters (like something from a related tick chart) you should be
able to program your execution the way you program your strategy.
Like:
1. On Buy order, issue buy at ask price - 0.50 limit, after 10 seconds
change limit price to ask price and repeat that every 10 seconds tll order
is filled.
2. Or on buy order wait till tick filter turns positive, than issue market
order.
3. When Ask price Equals stop price issue buy order at ask price (self
fullfilling !, since this price will become a new tick and raise your TS
signal).
4. Or some correction logic like:
When TSposition<>Position and Time since Position > 30 seconds than issue
market order to change position to TSposition.
That with simulation (or bid/ask/last test tickdata for backtesting) would
be my ultimate goal.
I am working on such an execution tool, although for now it all scipts are
hardcoded into the program.
Just to share some of my ideas on this topic,
Have a nice weekend
Robert
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Robert Linders
Orlando
Robert@xxxxxxxxxxxxxx
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