Combining Orders for the Same Symbol before Sending

Hi,

If you wish to trade several strategies on one symbol, my understanding is that if multiple orders are generated on one bar, that those orders are sent as separate orders. This meas that I am going to pay a higher commission at Interactive Brokers than I would if I just sent one order based on the combined signals (because of the order minimums). For example if 3 strategies fire on the same bar, each trading 10 shares, then I am going to pay $3.00. However, if I were able to combine the orders and send just 1 order for 30 shares, I would pay only $1.00.

I have tried unsuccessfully to combine all the orders within 1 strategy and send the sum....however, the code is quite complex. Does anyone know of a better way of doing this? Does the new Portfolio Trader software combine orders from the same symbol of the various strategies before sending....or are they separate orders as well.

Thanks in advance!

Hi,
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I have tried unsuccessfully to combine all the orders within 1 strategy and send the sum....
::
Thanks in advance!

What have you tried?

I have tried combining all my systems within one strategy. I attempt to calculate when a buy or sell happens, assign those signals a value (ie 10 shares) and then for each bar all add up all the buys and place one order and then do the same with the sells.

However, you run into all kinds of complex issues. It is much cleaner if you can tie each sell order to its corresponding buy. That way you can start out in sync and remain that way. But executing in that manner produces a minimum commission for each strategy and for the way I am trading that will get costly.

It a perfect world, you could plug all these strategies into the portfolio trader and the software would figure out the total amount of shares you wanted to buy for a given symbol and place one order. This would be a good improvement to the software if it does not already exist. I have not looked at the portfolio trader software yet.

Hello trader0311,

Here is a simple example of the code that should do what you want:

Hi Andrew,

Thanks for the code example. My problem is that I have numerous strategies trading one symbol....many more than 3. It is just a lot cleaner and the strategy stays in sync much better when you can tie a specific entry to a specific exit. When you consolidate orders within a giant set of code, and send one "batch" order and then you have to also consolidate your sell orders and send those, things get messy.

It would be great for MultiCharts to offer some option or functionality that would group orders, in the case that there are several orders being fired on the same security so that you could avoid paying multiple commissions at your broker.

Therefore, you could apply multiple strategies to one chart and pay fewer dollars in commissions, while still being able to manage and have control over the individual strategies. It would be easy to add a strategy or remove one without having to rewrite your code.

You wont have minimum fees with interactive broker unbundled orders - just in case you are looking for a workaround the fees.

Thanks Siscop. I will look into that. Unfortunately, I only have a $50K account and am trading the SPY at $200/share. So I won't be buying much more than ~200 shares. I will definitely look into this though. I will give them a call today and will report back with my findings.

It would be great for MultiCharts to offer some option or functionality that would group orders, in the case that there are several orders being fired on the same security so that you could avoid paying multiple commissions at your broker.

Therefore, you could apply multiple strategies to one chart and pay fewer dollars in commissions, while still being able to manage and have control over the individual strategies. It would be easy to add a strategy or remove one without having to rewrite your code.

Please leave us such feature request.