Auto Trading PROBLEM

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ppan
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Auto Trading PROBLEM

Postby ppan » 15 Oct 2008

The MC place the stop order for next bar after the next bar is appeared. Sometimes the next bar moves too fast then the slippage become bigger.
For example, the time of current bar is 11:00 in an one hour chart. If there is no trade price before 12:01, the stop order for 12:00 will not be placed. After the first tick of trade price appear at 12:02, MC place the stop order to IB. However, it needs near 1 second to transfer the order from MC to IB.

Can the MC place the stop order at the end of the current bar instead of the beginning of the next bar?

SUPER
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Postby SUPER » 15 Oct 2008

MC's code runs/updates on next tick so the order will get fired only on following tick after your conditions are meet, sometimes it could mean next bar opening.

khalaad
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Postby khalaad » 15 Oct 2008

Lot of traders fret about slippage and look for remedy in the wrong place.

Why not trade only liquid instruments?

For example, the time of current bar is 11:00 in an one hour chart. If there is no trade price before 12:01, the stop order for 12:00 will not be placed.


I wouldn't trade a market where the above is likely.

Khalid

brodnicki steven
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Postby brodnicki steven » 21 Oct 2008

Lot of traders fret about slippage and look for remedy in the wrong place.

Why not trade only liquid instruments?

For example, the time of current bar is 11:00 in an one hour chart. If there is no trade price before 12:01, the stop order for 12:00 will not be placed.


I wouldn't trade a market where the above is likely.

Khalid


* I wouldn't trade a market where that is even possible.

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TJ
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Re: Auto Trading PROBLEM

Postby TJ » 21 Oct 2008

The MC place the stop order for next bar after the next bar is appeared. Sometimes the next bar moves too fast then the slippage become bigger.
For example, the time of current bar is 11:00 in an one hour chart. If there is no trade price before 12:01, the stop order for 12:00 will not be placed. After the first tick of trade price appear at 12:02, MC place the stop order to IB. However, it needs near 1 second to transfer the order from MC to IB.

Can the MC place the stop order at the end of the current bar instead of the beginning of the next bar?

if there were no trades for ONE hour, the ONE second it takes to transmit the order becomes irrelevant.

khalaad
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Postby khalaad » 21 Oct 2008

*I wouldn't trade a market where that is even possible.


Quite right.

I was guilty of an understatement.

Khalid

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Marina Pashkova
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Re: Auto Trading PROBLEM

Postby Marina Pashkova » 27 Oct 2008

The MC place the stop order for next bar after the next bar is appeared. Sometimes the next bar moves too fast then the slippage become bigger.
For example, the time of current bar is 11:00 in an one hour chart. If there is no trade price before 12:01, the stop order for 12:00 will not be placed. After the first tick of trade price appear at 12:02, MC place the stop order to IB. However, it needs near 1 second to transfer the order from MC to IB.

Can the MC place the stop order at the end of the current bar instead of the beginning of the next bar?


Hi ppan,

Here's the way it works:

Stop and limit orders cannot use 'This bar' construction. Only 'Next bar' can be used.

Next bar begins when its first tick arrives. When the tick is received, the order is submitted to TWS.

Regards.


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