Best practice for Bid/Ask auto trading.  [SOLVED]

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JustMe2021
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Best practice for Bid/Ask auto trading.

Postby JustMe2021 » 29 Jun 2021

Hi All, I have underlying “system” logic based on 5 minute bars, but instead of using stops, stop limits and limits based upon last price, I want to be able to access the Bid/Ask pricing for simple analysis and to fire off market orders based upon that.

I see I can use InsideBid and InsideAsk in association with my studies and charts. Near as I can tell, I will need to create a 1 tick chart as data1 and move my 5 minute bars to data2 and run the system logic on that data series, if data2 sees that I want to buy at x then

if InsideAsk >=x then buy at market.

I haven’t put this into practice, but I assume this is the process.

Two questions;
  • Am I off on this? is this as good as it gets or is there a more direct way of accomplishing the above? Is so please point me in that direction. I would like to actually look at the stream of Bid and Ask not be limited to the snapshot of what is happening when a tick occurs. Thoughts?

    Is MC.NET better suited for this? If so, can you explain what that flow would look like?
Thank you.

Just me

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TJ
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Re: Best practice for Bid/Ask auto trading.  [SOLVED]

Postby TJ » 30 Jun 2021

There are many ways to achieve what you want to do . . .
You don't have to have data2.
You can try IOG IntraBarOrderGeneration.

JustMe2021
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Re: Best practice for Bid/Ask auto trading.

Postby JustMe2021 » 30 Jun 2021

OMG, ofcourse!

Thanks so much TJ, you are a tremendous asset here!

Axel
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Re: Best practice for Bid/Ask auto trading.

Postby Axel » 30 Jun 2022

There are many ways to achieve what you want to do . . .
You don't have to have data2.
You can try IOG IntraBarOrderGeneration.
Hi,

Will IOG IntraBarOrderGeneration result in realistic markets order fills, as in buying on the ask and selling on the bid, when backtesting?

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TJ
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Re: Best practice for Bid/Ask auto trading.

Postby TJ » 01 Jul 2022

Lots of help in FAQ as well as in the Wiki

viewtopic.php?t=10811


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