Multiple concurrent strategies

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syswizard
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Multiple concurrent strategies

Postby syswizard » 31 Jan 2013

http://www.elitetrader.com/vb/showthread.php?s=&threadid=100858&perpage=6&pagenumber=3
I was surprised to hear about this. Has it been fixed in the latest release ?
IOW can I have two strategies active with a single Interactive Brokers account...and sell 1 contract via strategy "A" and Buy another contract via Strategy "B"...without getting flattened.
IOW: both positions are maintained, albeit a logical hedged position.

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TJ
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Re: Multiple concurrent strategies bug - has this been fixe

Postby TJ » 31 Jan 2013

syswizard wrote:http://www.elitetrader.com/vb/showthread.php?s=&threadid=100858&perpage=6&pagenumber=3
I was surprised to hear about this. Has it been fixed in the latest release ?
IOW can I have two strategies active with a single Interactive Brokers account...and sell 1 contract via strategy "A" and Buy another contract via Strategy "B"...without getting flattened.
IOW: both positions are maintained, albeit a logical hedged position.

before you query MultiCharts as a bug, do you think Interactive Brokers would let you do that? --ie. let you hold a long and a short in the same account at the same time?

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Re: Multiple concurrent strategies bug - has this been fixe

Postby syswizard » 01 Feb 2013

Well, TJ - I hear you....but that means each strategy needs a separate account at the same broker ?

Interesting...I never thought about that limitation before. Why couldn't a broker allow a simultaneous long/short position ? Is there a reg against that ?
If not, is it their accounting software preventing it ?

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TJ
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Re: Multiple concurrent strategies bug - has this been fixe

Postby TJ » 01 Feb 2013

syswizard wrote:Well, TJ - I hear you....but that means each strategy needs a separate account at the same broker ?
...


No, go back to your link and read sbokov's answer.



ps. The elite thread is 5 yrs old (2007). Many things have changed, eg. MultiCharts has added new keywords to the EasyLanguage extensions, you can do advanced trade managements that are not possible before.
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Re: Multiple concurrent strategies bug - has this been fixe

Postby JoshM » 02 Feb 2013

syswizard wrote:Interesting...I never thought about that limitation before. Why couldn't a broker allow a simultaneous long/short position ? Is there a reg against that ?
If not, is it their accounting software preventing it ?

There's no account structure for such a thing:

Can I be long and short the same underlying contract simultaneously?

IB does not offer this particular account structure. While IB does offer stock and option trading in the same account as futures/commodities trading, there is no account structure here where traders can be short and long the same underlying contract simultaneously.

Source.


This is apparently called a 'wash trade', which is illegal even if you use multiple accounts.

It is, for example, in violation of CME's trading rules:
Rule 534 (“Wash Trades Prohibited”)

No person shall place or accept buy and sell orders in the same product and expiration month, and, for a put or call option, the same strike price, where the person knows or reasonably should know that the purpose of the orders is to avoid taking a bona fide market position exposed to market risk (transactions commonly known or referred to as wash trades or wash sales). Buy and sell orders for different accounts with common beneficial ownership that are entered with the intent to negate market risk or price competition shall also be deemed to violate the prohibition on wash trades. Additionally, no person shall knowingly execute or accommodate the execution of such orders by direct or indirect means.

Source.


But what are you trying to achieve? I don't understand why you want to be both long and short at the same time in the exact same contract (even if it would be allowed).

Of course, if you have a stop-loss order on both legs, and one gets stopped out you might hope for a continuation of that move so that the other contract will be profitable. But in that case, if you don't have a clear opinion about the direction of the move, why open a position? Wouldn't a long straddle or strangle be a better idea for such a thing? Or a position in a 'long etf' and an 'inversed etf'?
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