Automated REL/Pegged-to-primary/AutoChase etc

[AntiMatter]

Hi,

I'm currently making use of the IB order type "REL/Pegged to primary" on stocks:
http://www.interactivebrokers.com/en/trading/orders/relative.php?ib_entity=llc
This tracks the current bid/ask by a set offset. I would like to automate this function, as the rest of the strategy is essentially mechanical, all I currently have to do is enter the orders through TWS.

So far I have played with several options, but none are satisfactory:
1) The NinjaScript autochase function. This seems to be too slow for the fast-moving markets I am trading. The order needs to be placed as "REL" with IB, or some sort of equivalent with another broker. E.g. the chase function needs to be implemented on the exchange/broker, rather than my machine, due to lag.
2) The "SetPeg" function in TradeStation. However, this does not appear to have the ability to choose an offset, which I need.
3) Program the feature with the TWS API. Unfortunately, this is beyond my meagre skills. However, a simple script which simply fired off REL orders generated by e.g. NinjaScript would suffice. I would be happy to pay a TWS API guru for their services.

Any other ideas? What other automated trading platforms will allow me to place a server side REL order?

 

[amnonco]

you can alter any tradestation function and add the offset as an input.

 

[AntiMatter]

you can alter any tradestation function and add the offset as an input.

Oh wow, thanks very much.

I have actually been speaking to TradeStation support about this, who were very helpful... but failed to point this out. They just stated that "we do not offer primary peg orders with an offset, however we do have standard peg-mid and peg-best."

Not sure if you could elaborate? Are you confident that this order type can be altered to contain an offset, especially given that the functionality is presumably implemented server-side?

 

[amnonco]

I'm sorry - I missed the server side part.
if the functionality isn't offered by the broker then it has to be on your machine.
if speed is THAT important to you, then you probably have a real problem. cause really fast peg orders come from the big guns out there, the really fast ones sitting really close to the exchange.
even if you use the TWS API you'd still be slower than most "market makers" out there.
so try to analyze how fast you really need to be

 

[AntiMatter]

Thanks for the input.

You make some good points - I was also worried about the same potential issues. However, based on a good sample size of my real-life results, the slippage from IB REL orders is totally acceptable.

However, when I implement it on my computer (e.g. using NinjaTrader Autochase) the lag caused by Exchange-->IB-->My Comp --> NinjaTrader--> MyScript --> NinjaTrader -->IB etc means that by the time my script changes my order, the market has often moved, and my script ends up playing catch-up.

Thus I need a script that fires off a REL order (or equivalent with another broker) to let them handle it. This can definitely be done using the IB API, but perhaps there is an easier way....?

 

[amnonco]

well...sorry but...nope, the fastest way is using your broker api, and even that won't guarantee it.

other than that - if you don't use market making to make the dough, you can just hit the bid/ask...