Autotrade with IOG Enabled Questions

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Spaceant
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Autotrade with IOG Enabled Questions

Postby Spaceant » 07 Jun 2009

Hi Folks and TSSupport Team,

I have just used MC to autotrade with IOG disabled. However, there are a lot of questions on my mind when using IOG enabled which may provide me with some solutions to what I can't get now.

Understanding:
MC doesn’t support Stop Limit order now.
With IOG enabled, MC will treat every tick as every bar.

For example, with IOG enabled and settings under strategy are set as follows:
Trade size: Fixed Share/Contracts = 10

And a strategy for a future, say ES, is created something like this:

If condition1=true then buy next bar at Close Limit; //limit order

Clarifications:

1. If there is no limit set on the “Position limits” under the Strategy Properties, MC would send the order every tick as long as condition1=true. Is that right?

2. If the “Position limits” is set to “Allow up to 10 entry orders in the same direction as the currently help position regardless of the entry that generated the order”, will MC just execute a total of 10 contracts ever though the condition1=true in the coming 100 or 1000 ticks?

3. If my understanding on 2) is right, this would cover the stop order something like this:
If condition1=true then buy next bar at MyPrice Stop;

MC will execute upto the max number of entry orders [in the coming ticks] if it doesn't execute in the first tick as for condition1-true, as long as condition1=true.

If this is true, does it mean that it is omething versy similar to] a Stop Limit order. Thoeretically it is not, but think about that if the max number of entry is 100 or even 1000 using a stop order, the actual executed prices will be likely off from the trigger price. But with IOG enabled and the above settings, it should try to [fill upto the max number of contracts and will] be better / closer to the trigger price.

Is this understanding right?

4. How much computer resources are needed with IOG enabled in comparison with IOG disabled?

Sa

edited as indicated as []
Last edited by Spaceant on 08 Jun 2009, edited 1 time in total.

SUPER
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Postby SUPER » 08 Jun 2009

Spacent,

1) Yes

2) As long as condition1=true MC will execute your orders (10 in this case)

3) I am not able to understand your question (sorry)

4) Yes IOG will use more resources as your code is uptaded every tick.
I use IOG in my System and have about 20 charts without any resource
problem.


You may want to try running IOG system on IB simulated account....

Spaceant
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Postby Spaceant » 08 Jun 2009

Hi Super,

Thanks for info. I will test it later with simulated trading account.

Some more questions:-

1) Can I have a system using an entry with IOG enabled while exit with IOG disabled? .... by creating two signals one entry (IOG enabled) and one exit (IOG disabled).

2) What type of orderdo you use with your strategy? market, limit or stop; or both?

3) Will MC be able to change order every tick with first my example? say with max number of contract set at 10, the first tick MC can only execute 2....

Sa

SUPER
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Postby SUPER » 08 Jun 2009

Spacent,

1) Yes you can use two system IOG enabled and IOG disabled on same chart.

2) Stop and Limit Orders

3) You are probably talking about partial fill - in which case search for threads on this forum concerning it.

Regards
Super

Spaceant
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Postby Spaceant » 09 Jun 2009

Spacent,

1) Yes you can use two system IOG enabled and IOG disabled on same chart.

2) Stop and Limit Orders

3) You are probably talking about partial fill - in which case search for threads on this forum concerning it.

Regards
Super
Hi Super,

1) May I know what specification of your computer that you are having?

2) How do you handle partial fill order? Or what mode (Sync or ASync Mode) do you prefer to use?

For me I am still autotrading with IOG disabled codes with ASync mode, in which I checked the box to change limit / stop order after 20 seconds. I am using 5 min chart.

Sa

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Postby SUPER » 09 Jun 2009

I use pentium 4, 3ghz, 4gb ram -its quite old but does the job.

Use option "Replace to market partially filled orders" under auto trade settings to handle Partial fill issue.

I use Async mode as it offers posibility to convert orders to market.

In IOG mode your conversion timeout has to be set to "0" seconds, as at present timeout facility is not available.

Spaceant
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Postby Spaceant » 11 Jun 2009

I use pentium 4, 3ghz, 4gb ram -its quite old but does the job.

Use option "Replace to market partially filled orders" under auto trade settings to handle Partial fill issue.

I use Async mode as it offers posibility to convert orders to market.

In IOG mode your conversion timeout has to be set to "0" seconds, as at present timeout facility is not available.
Super,

I need clarification:
With IOG mode, conversion timeout has to be set to "0" second. Say with a limit order of a order size of 15 contracts say at price = 105, does it mean that if the order is filled only for 5 contracts at 105 at the next tick, MC will convert the limit order to market order without waiting for any more tick to come?

Sa

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Postby SUPER » 11 Jun 2009

Spaceant,

Yes, your assumption is right on the track.

I have requested MC to allow timeout > 0 for IOG orders-similar to what you get on non-IOG system. This is quite essential for IOG users under Async Mode.

Regards
Super

oakshadows
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Postby oakshadows » 24 Jun 2009

Assume that IOG is on.

Assume further that 5 minute bars are displayed on the chart.

Call the current 5 minute bar the "Active Bar".

Call the prior 5 minute bar the "Prior Bar".

If I want to enter on a buy Stop Order one point above the high of the Prior Bar, how is that code written?

I ask this question because with IOG on, the Signal treats every tick within the Active Bar as a separate "new bar". Thus, a buy Stop Order at the" high[1] + 1 point" may refer to one point above the the prior tick price, rather than one point above the high of the Prior Bar.

Thanks for your insights.

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Postby SUPER » 25 Jun 2009

with IOG.... H, L, O, C refer to current bar in progress, to refer previous completed bar you use H[1],L[1], O[1], C[1].

In your case to buy High of previous completed bar + 1 point, your code
H[1] + 1 point is correct.


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