Market if Touched order

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vahalla
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Market if Touched order

Postby vahalla » 04 Jun 2015

I'm currently using Limit Orders as entry for my strategy. I've found out that backtesting tends to be a bit inaccurate (limit orders can still be partially filled at highs/lows in real time trading whereas backtested results shows no trades).

It would be best if there's a Market if Touched Order (MIT) available so that I can pay 1-2 ticks slippage for a more guaranteed/accurate backtested results. Would MC consider MIT in their next version?

TS and MC8.8 China (yes I trade Chinese products) both have this function. Even Interactive Brokers offers this as well.

Alternatively, would someone point me in the right direction as how to encode MIT orders in my strategy instead of waiting for features to be voted?

Many thanks.

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JoshM
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Re: Market if Touched order

Postby JoshM » 04 Jun 2015

Alternatively, would someone point me in the right direction as how to encode MIT orders in my strategy instead of waiting for features to be voted?
You could do so with market orders coupled with Intra-bar order generation, like this untested snippet:

Code: Select all

[IntraBarOrderGeneration = true];

Variables:
mitTriggerPrice(100);

if (Close >= mitTriggerPrice) then
Buy 1 contract next bar at market;
This does have a few disadvantages though, including:
* This approach is always running at least one tick behind the price action (with more volatile market the slippage will be more, obviously),
* And you might have a worse position in the order queue. IB, for example, keeps MIT orders on their system before submitting them, so I suspect it's FIFO based, and since you're running at least 1 tick behind, the MIT orders on IB servers quite probably beat you to it.

You could, by the way, also use a stop limit order with a wide range between the stop and limit order. Then it should act like a MIT order, but might be fare better in terms of order queue/execution speed (depending on how your broker & MultiCharts deal with the stop-limit order, of course).

waveslider
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Re: Market if Touched order

Postby waveslider » 04 Jun 2015

MIT and Iceberg orders would be extremely helpful, they have been suggested before.
Please start a new poll/request and I would vote for it!

vahalla
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Re: Market if Touched order

Postby vahalla » 17 Jun 2015

You could do so with market orders coupled with Intra-bar order generation, like this untested snippet:

Code: Select all

[IntraBarOrderGeneration = true];

Variables:
mitTriggerPrice(100);

if (Close >= mitTriggerPrice) then
Buy 1 contract next bar at market;
This does have a few disadvantages though, including:
* This approach is always running at least one tick behind the price action (with more volatile market the slippage will be more, obviously),
* And you might have a worse position in the order queue. IB, for example, keeps MIT orders on their system before submitting them, so I suspect it's FIFO based, and since you're running at least 1 tick behind, the MIT orders on IB servers quite probably beat you to it.

You could, by the way, also use a stop limit order with a wide range between the stop and limit order. Then it should act like a MIT order, but might be fare better in terms of order queue/execution speed (depending on how your broker & MultiCharts deal with the stop-limit order, of course).
I'll try the 1st approach that you provided me. Many thanks!
MIT and Iceberg orders would be extremely helpful, they have been suggested before.
Please start a new poll/request and I would vote for it!
Eh how do I start a new request?

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Henry MultiСharts
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Re: Market if Touched order

Postby Henry MultiСharts » 17 Jun 2015

Eh how do I start a new request?
Such requests already exist. You can vote for them here:
https://www.multicharts.com/pm/viewissu ... no=MC-1115
https://www.multicharts.com/pm/viewissu ... e_no=MC-40

vahalla
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Re: Market if Touched order

Postby vahalla » 17 Jun 2015

All right voted for it.


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