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Hi, Bob.
I'm curious as to what the fills have been like using the pseudo MIT order
compared to a limit order. I would imagine you may get as much positive
slippage as negative. Limit orders are great ...except when they are the
exact high/low of the bar and your order is too far down in the queue to get
filled ;-) So.. I'm wondering if you prefer the MIT approach over the limit
order for overall better fill prices as well as mitigating the problem of
how/where the orders are stored?
Thanks,
Ray
----- Original Message -----
From: "Bob Fulks" <omegalist@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, December 03, 2008 12:35 PM
Subject: Re: Russ2K trading
If you are using the TradeStation brokerage and having TradeStation enter
trades automatically, the situation is more complicated than that.
If you are using a stop order that does not move more than once a minute
and no limit orders then you can choose to have the stop stored on the
TradeStation stop servers. If the stop moves more often than once a
minute, it stays on your machine.
But if you also are trying to bracket your position and also have a limit
order in place, TradeStation applies and removes the stop and limit orders
dynamically as the price gets close to one or the other level. This can
cause you to lose your place in the queue on the limit order.
I usually keep the stop order in place on their servers and program the
profit target exit as the equivalent of a market-if-touched order using
intrabar order generation:
if Close >= MyTarg then Sell next bar at market;
Using intrabar order generation this is executed on every tick. This is
fine for trading but lousy for backtesting unless you test using 1-tick
resolution inside the bar. For backtesting with no inside-the-bar testing
it will show the entries and exits at the highs and lows, distorting the
results.
There is a way to use these market-if-touched orders for trading and limit
orders for backtesting. This is the most accurate combination I have
found. It is described at:
https://www.tradestation.com/discussions/Topic.aspx?Topic_ID=83381
(I was the unnamed person he was replying to in the message.)
Bob Fulks
At 10:21 AM 12/3/2008, Tom wrote:
Hi Jan,
I wasn't aware of stop orders being held on our computers for TFZ / ICE
stop orders. Thank you for mentioning it in your post. I agree that it
is a problem but also like yourself, I've noted good performance with the
Russell as compared to at least ES with the system that I am using.
The risk for me is also out weighted by the reward.
I have a couple of questions for you, or anyone else that might care to
jump in, if you don't mind.
How did you know or discover that TFZ stop orders are held on our
computers vs. ES stop orders being sent at once to the CME?
I use profit target orders generated automatically by TS 8.3, for example
sell or buy TFZ at Five handles above entry price. Do you know if these
automatically generated "profit target" orders are handled or held in the
same fashion as the Stop orders that you are speaking of?
I'm assuming the answer is yes but wanted to be sure.
Finally, When Trade Station 8.3 automatically enters these "profit target"
orders on one of my computers at the point when the original position is
created: If I shut down that particular computer, but then I quickly log
on to a different computer with TS, I see the original order As well as a
duplicate order created by the new log on. This may be a repeat of my
question above but are both of these orders still being held on my
computer?
Thanks!
Tom Brun
JHP wrote:
I switched from the Merc to ICE and the only issue I have with them is
that they don't accept
stop orders. When I set it ("synthetic stop order") it's held on my
computer and released
as market order resulting in average of 20-30 pt slippage. That problem
is made up many times
by RL's $1.00/pt value and good performance, much better for me than ES
or NQ.
Jan Philipp
----- Original Message ----- From: "Liam" <46p771v02@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, December 02, 2008 7:39 AM
Subject: Russ2K trading
Since leaving Russ2K trading for NQ recently, I've been wondering where
other traders wandered off to.
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