The DANGER of market orders

[TWI]

jmr - I wish I had the C++ coding skills to be able to do this. As it is I have not really progressed beyond VBA so I am finding Easylanguage and TS an easy and convenient option right now albeit with some limitations. Naturally when I am more comfortable with this style of trading and wish to place more than a little equity into it I will get help to implement a bespoke system the only problem I have is wrestling with my conscience about having to eliminate the guy who I get to code it.
I do agree it is the only long term professional solution.

 

[jmreeve]

jmr - I wish I had the C++ coding skills to be able to do this. As it is I have not really progressed beyond VBA so I am finding Easylanguage and TS an easy and convenient option right now albeit with some limitations. Naturally when I am more comfortable with this style of trading and wish to place more than a little equity into it I will get help to implement a bespoke system the only problem I have is wrestling with my conscience about having to eliminate the guy who I get to code it.
I do agree it is the only long term professional solution.

Make sure when you hire a programmer that they have no dependents or next of kin.
I decided it was easier to learn to program.

 

[JTrader]

Trade entry and trade exit order type preferences

Trade entry and trade exit order type preferences
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Thanks twalker

so TS need to enable the limit part of the order to a stop order. It sounds easy enough.

I would want to be able to enter a trade with a limit attached to it - in order to avoid the slippage such as twalkers 23 ticks of earlier on. However, upon exiting the trade, I would want to/be happy to exit the trade with a market order - to avoid a non-fill - when my mechanical system is telling me that the market may imminently turn against me. Do you agree with this reasoning?

Merry Christmas!

jtrader.

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Last edited by jtrader : 18-12-2004 at 02:55 PM. Reason: More detail

Hi

i posted this message earlier in the thread and fear that it may have got lost within my myriad of question!.......... Because it is addressing an important matter, i would greatly value some feedback - so here it is again!

..........The reason that i am thinking limited orders on exits from trades may not be a good idea -particularly when automating a mechanical trading strategy is that - although you would avoid slippage on the trade, you may not get filled, and as a result be left in a trade that your system told you that you should longer be in - perhaps leading to double-trouble if the market turns against you. Whereas at least a market order will ensure that the trade is filled and that you exit a trade that your system is telling you needs to be exited, even though there is a risk of slippage.

How do you/would you approach this matter?

Thanks agian

jtrader

 

[TWI]

jt- TS gives you an option to go to market on limit orders if not filled in a specified time period. I agree with you that it is a gamble whichever way you approach it. After thinking over the weekend I have decided to stick with market orders anyway and just use a confirm when I am in the office and depth is thin. I will not be using any real volume in BP and will slowly integrate Eur/SF and JY into portfolio. Hope soon TS will sort it so I can automate on cash CFD's as then at least I know worst is 4 ticks and price is guaranteed. funny how after 20+ ticks slip 4 ticks starts to look attractive.

 

[JTrader]

jt- TS gives you an option to go to market on limit orders if not filled in a specified time period. I agree with you that it is a gamble whichever way you approach it. After thinking over the weekend I have decided to stick with market orders anyway and just use a confirm when I am in the office and depth is thin. I will not be using any real volume in BP and will slowly integrate Eur/SF and JY into portfolio. Hope soon TS will sort it so I can automate on cash CFD's as then at least I know worst is 4 ticks and price is guaranteed. funny how after 20+ ticks slip 4 ticks starts to look attractive.

Thanks twalker. I did not know about the TS facility to go to market on limit orders if not filled in a specified time period. This could help bail you out of further trouble if the market does pass your limit price.

what do you mean by cash CFD's and how do you know that 4 ticks is the worst slippage that you could suffer?

Cheers

jtrader.

 

[TWI]

http://www.tradestation.com/fees/forex_trading.shtm

 

[JTrader]

jtrader - Thanks twalker. I did not know about the TS facility to go to market on limit orders if not filled in a specified time period. This could help bail you out of further trouble if the market does pass your limit price.

Thanks again twalker - I thought you were referring to the RJOFX spot forex.

if tommorrow you were to implement the TS EL facility to switch limit orders to market orders if not filled within a specified time period - with regard to trade exits - how long (in seconds) would you allow between the limit order being sent into the market, and the limit order being filled, before the limit order was converted to a market order?
and would your chosen time delay vary depending upon which market/exchange you were trading - say between cash fx and futures fx? if so, how?

Many thanks

jtrader.

 

[MartinD]

twalker
you might want to investigate such programs as tradebolt and hypertrader - these are order intercept programs that take instructions from TradeStation and send them to other brokers - currently tradebolt does MBtrader, interactive brokers and PATS. It will do working stops and I believe you can set it up to do stoplimits by converting your strategy stopmkt to a limit...

Might solve your problem temporarily until TradeStation can fix theirs

 

[TWI]

MartinD - Thanks I will investigate these options

jt - I do not know how long I would leave. It seems to be a big variable. In conditions like the other day a delay of about 2 seconds would have saved me 10 ticks slippage a delay of about 8 secs would have saved me 15ticks. If however the market was really breaking down it could have cost a lot more than the 23 ticks. I will be leaving everything as market orders for now but until I have a more reliable execution solution will not be investing more equity into the programme, or at least diversifying through more liquid contracts..

 

[JTrader]

Originally posted by twalker on 17/12/2004 -
The DANGER of market orders
Had a stop go in BPH05 this morning at 1.9235. this was at 11:56hrs
I started using automated trading on TS8 last week so have been testing its reliability. TS Automation does nt allow Stop Limit orders to be placed and I do not like to place limit orders when it comes to stops.
Stop was entered as first 1.9235 traded. I got filled at 1.9212......23 ticks slippage!!!
Problem is, that is reported in time and sales as a legit trade, it is the low. I sold it.
F*ckers, at least that is what I called them on the phone. This is scary, thank God I am only testing it with 1 lot. Not sure that there is a solution really. If Globex is thin what can you do apart from go back to manual confirm?
I am truly b*ll*cked off.

Hi twalker

for what reason was the market so thin at this time last friday morning, that 23 pips slippage could occur in the first place? was this as a result of an economic news release ? if so, which economic news release?

Many thanks

jtrader.

 

[TWI]

OK, I just had exactly the opposite happen in BPH05
I had a profit buy stop go off at 9139 this morning and got a fill at .... 9094. Not bad, I feel better now about the slippage from the other day. I was so unsure aboout the fill I did not believe it until the voice brokers had confirmed the Time and Sales.
Nice way to end before closing system down until the new year.

 

[jmreeve]

I have been tracking my fills for a few years quite carefully and have found that the good and bad fills roughly average out over time and I more or less end up paying the average market spread on each trade.
Would like to improve on this by using some smarter order placement code.

 

[TWI]

jmr - If I could make TS operate on currentbar orders I would probably check bid/offer spread and volume depth and use this to assess best probability criteria when placing what would be a Market order in a volume liquid environment. Quite frankly with the current TS8 limitation trading anything more than a few lots could be terrifying.
I know you code your own systems and since it was mentioned earlier in the thread I am seriously considering sorting out some C++ classes to get me kicked off on that route too.

 

[JTrader]

twalker - I had a profit buy stop go off at 9139 this morning and got a fill at .... 9094. Not bad, I feel better now about the slippage from the other day.

Hi

It is pleasing to see evidence that such slipage - positive and negative - can even itself out. Nevertheless, 45 pips is still a lot of slippage and I would find such uncertainty over where my orders were to be filled - very scary indeed!
............What was the cause of this slippage? were the market conditions normal, was it during the main UK trading hours, or was it following an economic news release?

Many thanks

jtrader.

 

[JTrader]

A major highlight of the conference was the preview of TradeStation 8.1 – the next version of the company's award-winning trading platform. In a keynote presentation, many of the new features and enhancements to be included were displayed to the entire conference. Some of the new features and enhancements for TradeStation 8.1 include:

·Market Data Enhancements, including real-time insertions, corrections and deletions of market data made by the exchanges to improve the accuracy of the data; historical and real-time implied volatility and put/call market volume data; and the addition of stock symbols no longer trading to the company's historical database to improve the accuracy of back-testing results by eliminating survivorship bias
·Order Execution Enhancements, including server-based trailing stops and activation triggers for conditional orders; and basket trading with only a 100-share per symbol volume minimum requirement
·Strategy Trading Enhancements, including the ability to back-test and automate strategies that monitor intra-bar events and place/cancel orders immediately
·Advanced Charting Enhancements, including advanced scaling, color and plotting enhancements
TradeStation expects to begin the roll-out of TradeStation 8.1 later this year.

http://www.tradestation.com/aboutus/10262004.shtm

 

[TWI]

Just happened that as the system sent in the "buy to cover" order the market collapsed. Then it came all the way back up so it looked like a spike. Made me little unsure whether it was bad data or not as I was not at my desk when it occured.

 

[jmreeve]

I know you code your own systems and since it was mentioned earlier in the thread I am seriously considering sorting out some C++ classes to get me kicked off on that route too.

Would strongly recommend you look at C# as this will do everything you want but is a little easier to code in than C++.

Just happened that as the system sent in the "buy to cover" order the market collapsed. Then it came all the way back up so it looked like a spike. Made me little unsure whether it was bad data or not as I was not at my desk when it occured.

I think that getting a fast, perfectly clean absolutely reliable data datafeed is two thirds of the battle with automated trading. A problem I am still working on.

 

[JumpOff]

form the outside looking in..

Order Execution Enhancements, including server-based trailing stops and activation triggers for conditional orders;

I am not a tradestation user, but was considering them as my entry level broker/platform when I get ready to trade with real money. How could this company have gotten to this level and not had server based trailing stops?

Or for that matter, a two step process for entering the trade, enter and *then* put on the stop loss?

What if your machine quit or you lost your internet connection? For most people, the loss of internet connection means a backhoe or tree took our the semi-local phone line. It's not like you could just pick up the phone (which has no dial tone) to ask the nice folks to close all your positions....

I want an order execution platform that does these basic things, and doesn't have to wait for the "next bar" to do it. I've heard nothing but good things about tradestation's backtesting capability, but it sure sounds weak on the execution side..
JO

 

[rog1111]

JumpOff

There's no way I would trade with the limitations that you mention, which I also find quite surprising. I can't see why anyone would tolerate this when there are competitive platforms such as IB's TWS ? Unless there are any other dynamic advantages ?

rog1111

I am not a tradestation user, but was considering them as my entry level broker/platform when I get ready to trade with real money. How could this company have gotten to this level and not had server based trailing stops?

Or for that matter, a two step process for entering the trade, enter and *then* put on the stop loss?

What if your machine quit or you lost your internet connection? For most people, the loss of internet connection means a backhoe or tree took our the semi-local phone line. It's not like you could just pick up the phone (which has no dial tone) to ask the nice folks to close all your positions....

I want an order execution platform that does these basic things, and doesn't have to wait for the "next bar" to do it. I've heard nothing but good things about tradestation's backtesting capability, but it sure sounds weak on the execution side..
JO

 

[TWI]

Reason I use TS8.0 is because I have used it for many years and know how to quickly implement systems on their platform. So far, so good. Actual execution is currently ahead of system. I agree that all exit orders should be server based but do any server based.
Mostly if there is a problem when I am in the office this can be sorted out very quickly, potential problem will come if it goes down overnight. I hope TS8.1 will do all they say.