Hi folks,
when trading multiple strategies on the same symbol in Portfolio Trader, it is possible for one strategy to exit (at market) and another to enter (at market) at the same moment. This leads to the orders being rejected by Interactive Brokers (or any broker) due to SEC rules which forbids orders that look like you are trading with yourself (to manipulate the market).
While entry orders can be blocked at the MoneyManagement script level, exits cannot. Exit orders from strategies that are in opposite directions can also cause this problem.
Therefore I've coded up a fancy and complicated way of the strategies signalling the MoneyManagement script in Portfolio Trader to consolidate all the buys and sells into one single order, and then send that to the broker, while all the strategies use ChangeMarketPosition to get aligned.
It works, but it wouldn't be my plan A. Plan A would be for MultiCharts to do this automagically. Am I missing a handy setting that exists, or option or something, that will handle this? Is there a way to delay a signal from a strategy in PortfolioTrader? (Portfolio Trader does not operate intrabar at v9.0)
Note that crossed orders could also occur for profit target and stoploss orders if strategies are in opposite positions.
Any input would be appreciated!
saltminer
Portfolio Trader; orders crossing on same or affiliated acc
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Re: Portfolio Trader; orders crossing on same or affiliated
Hello saltminer,
The ability to allow/deny exit orders will be added in MultiCharts .NET 9.1 beta 1.
There is no ETA for the version yet. Please follow our blog to get the latest updates:
https://www.multicharts.com/traders-blog/
In MultiCharts 9.0 you can pause the strategy from the code or from the Portfolio Trader window.
The ability to allow/deny exit orders will be added in MultiCharts .NET 9.1 beta 1.
There is no ETA for the version yet. Please follow our blog to get the latest updates:
https://www.multicharts.com/traders-blog/
In MultiCharts 9.0 you can pause the strategy from the code or from the Portfolio Trader window.