Pending orders eating up my buying power

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KhaosTrader
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Pending orders eating up my buying power

Postby KhaosTrader » 18 Sep 2012

Hi,

I am using Interactive Brokers as my broker.

I have a strategy that if it finds a "setup" will issue a long order and a short order. These orders may or may not be filled, depending if price crosses the trigger level for long or short. When one order is filled (either long or short), it cancels the other pending order.

The problem is, each pending order "eats up" my buying power. If I have this strategy attached to multiple stocks, then when a setup is found for each stock, it issues both the the long and short order - which may or may not be filled in 1 direction only -- but it eats up my buying power for both orders the moment a setup on each chart is detected.

This limitation makes it not possible for me to attach a live strategy to many stocks as my buying power is eaten up, regardless if I actually enter the market, because the stop or limit order (unfilled) eats up my buying power.

Any ideas how I can make it such that pending orders dont eat up my buying power?

SUPER
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Re: Pending orders eating up my buying power

Postby SUPER » 19 Sep 2012

Only thing I can think of is not to issue both types of orders at same time, allow your script to monitor current price and only issue one of the orders(Buy/Short) which is more likely to be filled.
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JoshM

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furytrader
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Re: Pending orders eating up my buying power

Postby furytrader » 20 Sep 2012

The other strategy might be not to work orders in the market but rather have the strategy monitor trade levels and enter orders either (a) when the market gets close to your key level ("close" being a term defined by you) or (b) once the market trades at your level (or the prevailing bid or offer hits your level).

Option (b) clearly introduces the opportunity for greater slippage or missed trades, however. For option (a), you could run some meta-studies that determine whether, after a setup is identified, if the market trades within "x" points or "y" percentage of the entry level, the entry level is likely to be hit, and only then place the order (either long or short) in the market, kind of what 'super' was suggesting.
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Re: Pending orders eating up my buying power

Postby JoshM » 22 Sep 2012

SUPER wrote:Only thing I can think of is not to issue both types of orders at same time, allow your script to monitor current price and only issue one of the orders(Buy/Short) which is more likely to be filled.


furytrader wrote:The other strategy might be not to work orders in the market but rather have the strategy monitor trade levels and enter orders either (a) when the market gets close to your key level ("close" being a term defined by you) or (b) once the market trades at your level (or the prevailing bid or offer hits your level).

Option (b) clearly introduces the opportunity for greater slippage or missed trades, however. For option (a), you could run some meta-studies that determine whether, after a setup is identified, if the market trades within "x" points or "y" percentage of the entry level, the entry level is likely to be hit, and only then place the order (either long or short) in the market, kind of what 'super' was suggesting.

Good advice. :)

Perhaps there's a third alternative, by letting the strategy keep track (through a global variable) of the amount of buying power that is reserved, and if this approaches the maximum, to start cancelling a) the oldest order or b) the order with the limit price most away from the current price.
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Re: Pending orders eating up my buying power

Postby Andrew MultiCharts » 26 Sep 2012

You may be interested in the Optimize Order Flow feature.
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