Would Limit Orders / Stop Limit Orders Be Missed?

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Spaceant
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Would Limit Orders / Stop Limit Orders Be Missed?

Postby Spaceant » 21 May 2011

MC supporting staff,

Would Limit Orders / Stop Limit Orders still be missed if "Replace to Market Partially Fillted Order" is checked" as mentioned in the scenario 3 as mentioned here viewtopic.php?t=6803&highlight=execution ??


Regards,

Sa

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Stan Bokov
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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby Stan Bokov » 24 May 2011

As the signal is not plotted on the bar


To make sure the signal fires when it should, you should use IOG - you won't have to wait for the next bar. If that is not the answer you are looking for, please clarify your question.

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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby Spaceant » 25 May 2011

Stan Bokov wrote:
As the signal is not plotted on the bar


To make sure the signal fires when it should, you should use IOG - you won't have to wait for the next bar. If that is not the answer you are looking for, please clarify your question.

S

Stan,

It is not IOG issue although my code is end-of-bar signals.

Please re-read the scenario 3 of viewtopic.php?t=6803&highlight=execution.

Imagine at the close of last bar, price is 1000, my strategy has a big signal. If I code it to buy at a limit order at next bar (i.e. buy next bar at close, or 1000) and the prices surge from an open, say at 1002, and then all the way to 1020 at close. MC wouldn't amend the limit order to a market orrder when the following is checked:

Convert unexecuted limit/stop ENTRY / EXIT orders to market orders after 30 seconds

It is because the prices at current bar have not touched 1000 and MC won't convert the limit order to a market order.

To me, I would treat the signal to issue the limit order as the "final trigger", i.e. must execute the order no matter what the price is; while MC won't execute this order.

Compare it to an order to "buy next bar at market", MC will surely get it executed.

What I want is to execute the strategy in (i) limit orders to have a better overall execution in prices; and (ii) make sure MC doesn't missed in all occassions.

Sa

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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby SUPER » 25 May 2011

Spacent,

Looking at your scenario 3, I don't understand how can you expect a sell limit order to get filled when the price does not trade at that level, even in manual trade this is not possible so how do you expect to see this trade on MC.

So based on above, I don't think the conversion to market is valid.

If you don't want to miss out on trade then try using Stop or market orders.....that will guarantee you a fill.

Super

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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby Spaceant » 25 May 2011

Super,

Thanks for your note.

If you want to develop and autotrade a strategy, you have a different choices to send the orders, namely a market order, a stop order, a limit order or a stop limit order.

I think most of you will agree that you will want to get the orders filled, even if there are some slippage, once the "signals are triggered".

For those who choose the former two, you are almost 100% sure that all orders will be executed with an expectation of a slight slippage in some if not all of the executions. For those who choose the last two types of orders, you are probably the ones who want to execute the orders as close as the backtested result. I have been trading with the limit order for quite some time, with the option to "Convert unexecuted limit/stop ENTRY / EXIT orders to market orders after XX seconds", to make sure the orders are executed. I satisfy with the results most of the time. BUT, there is a risk that limit orders are missed as mentioned in scenario 3, especially in a fast and one-sided market. These are the most profitable trades!!

Image that you are autotrading YM and place an limit order to buy 1 contract next bar at 12350 limit. The price opens next bar at 12351 and surges all the way to 12500 in less than 10 mins. You miss the trade because of 1 pip and it is because you choose the order type as a limit order, with a hope to minimize the slippage and execute as close as to the backtested reault..... Does it sound stipud because of this one pip!!?? I have this kind of experience.

What I am saying is that: MC should provide an option to "Convert unexecuted limit/stop ENTRY / EXIT orders to market orders after 30 seconds" even the price doesn't tounch the limit/stop order price.

Sa
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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby SUPER » 26 May 2011

Spacent,

Thanks for your detailed explanation and the big picture is much clear now, you are looking for “New feature” in auto trading.

What I am saying is that: MC should provide an option to "Convert unexecuted limit/stop ENTRY / EXIT orders to market orders after 30 seconds" even the price doesn't tounch the limit/stop order price.

It is not clear to me how will your proposed system automation will be profitable, I can imagine majority of your limit order will get converted into market orders and will be placed at prices far away from your back tested/desired levels. How would you backtest such a system?

I think the best way to accomplish what you really want is to develop IOG system and you will be able to control trades closes to your desired price levels. Just like you I auto trade with IOG system on MC and TS without any problem.

Regards
Super

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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby Spaceant » 26 May 2011

Hi Super,

I backtest my 5-min end-of-bar (EOB) strategy using stop orders and limit order (buy this bar at close). I did re-check the profitability by using "buy next bar at market" instead of using "buy this bar at close".

I expect conversions of unexecuted limit orders to market orders with slippage charges.

p/s I have send a message to you, pls check.

Stan,

Please consider to add this feature into MC.

Sa

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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby Spaceant » 28 May 2011

Stan,

Do you understand what I mean? and will you consider to add this feature on MC 7.0?

Sa

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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby Stan Bokov » 31 May 2011

Spaceant wrote:Super,

Thanks for your note.

If you want to develop and autotrade a strategy, you have a different choices to send the orders, namely a market order, a stop order, a limit order or a stop limit order.

I think most of you will agree that you will want to get the orders filled, even if there are some slippage, once the "signals are triggered".

For those who choose the former two, you are almost 100% sure that all orders will be executed with an expectation of a slight slippage in some if not all of the executions. For those who choose the last two types of orders, you are probably the ones who want to execute the orders as close as the backtested result. I have been trading with the limit order for quite some time, with the option to "Convert unexecuted limit/stop ENTRY / EXIT orders to market orders after XX seconds", to make sure the orders are executed. I satisfy with the results most of the time. BUT, there is a risk that limit orders are missed as mentioned in scenario 3, especially in a fast and one-sided market. These are the most profitable trades!!

Image that you are autotrading YM and place an limit order to buy 1 contract next bar at 12350 limit. The price opens next bar at 12351 and surges all the way to 12500 in less than 10 mins. You miss the trade because of 1 pip and it is because you choose the order type as a limit order, with a hope to minimize the slippage and execute as close as to the backtested reault..... Does it sound stipud because of this one pip!!?? I have this kind of experience.

What I am saying is that: MC should provide an option to "Convert unexecuted limit/stop ENTRY / EXIT orders to market orders after 30 seconds" even the price doesn't tounch the limit/stop order price.

Sa


Thanks for the explanation Spaceant.

There is a feature that might help you - see attached image Timer_from_chart.png. From what I understand, you are using AA trading mode and you want to convert your limit and stop to market after 30 seconds. The options highlighted in GREEN, will allow you to "Convert unexecuted limit/stop ENTRY / EXIT orders to market orders after 30 seconds".

The option highlighted in red sets the timer for the 30 seconds, after which the orders will be converted. If you choose "Broker", it will start counting 30 seconds from the moment that your orders get placed on the broker, but since you indicated that your problem revolves around your orders NOT being placed on the broker, this won't work for you. The second option of "Chart" will start the 30 timer once the order is executed on your chart. If you are in SA mode, this won't work because orders appear on the chart only after they happen at the broker. However, if you are in AA mode, the order will appear on your chart right after it's generated by your script (even if you missed it at the broker). The 30 second timer will start and should place a market order 30 seconds after the limit order was generated on your chart.

Try this out, and let me know if it works for you.
Attachments
Timer_from_Chart.png
Timer_from_Chart.png (242.86 KiB) Viewed 303 times

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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby Spaceant » 31 May 2011

Stan,
The second option of "Chart" will start the 30 timer once the order is executed on your chart.


I have tried it before.

The KEY PROBLEM is that say for example, a signal is generated at a bar close of 10000:
Buy next bar at Close Limit;

The price on the next bar, opens at 10001 and surges all the way up and closes at 10030 at close. To MC, no signal is generated either on broker or on chart, because price doesn't tounch on 10000 at any time on the next bar. Therefore, no conversion (limit order to market order) will be done on the next bar. As a result, the execution will be MISSED.

Sa

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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby TJ » 31 May 2011

Spaceant wrote:Stan,
The second option of "Chart" will start the 30 timer once the order is executed on your chart.


I have tried it before.

The KEY PROBLEM is that say for example, a signal is generated at a bar close of 10000:
Buy next bar at Close Limit;

The price on the next bar, opens at 10001 and surges all the way up and closes at 10030 at close. To MC, no signal is generated either on broker or on chart, because price doesn't tounch on 10000 at any time on the next bar. Therefore, no conversion (limit order to market order) will be done on the next bar. As a result, the execution will be MISSED.

Sa


Pardon me for saying this...

You are not pushing the program to do extraordinary things,
you are pushing trading to the limit.
And the limit is in a place I would not go there myself.

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Re: Would Limit Orders / Stop Limit Orders Be Missed?

Postby Spaceant » 31 May 2011

TJ,
Pardon me for saying this...

You are not pushing the program to do extraordinary things,
you are pushing trading to the limit.
And the limit is in a place I would not go there myself.


Of course, I am not pushing the program to do extraordinary things.

I just want MC to provide "an extra option" to users to choose. Please re-read Post #5 of this thread. To me, or may be some of you, I treat the signal to generate a limit order as the utimate signal for execution, i.e. must execute next bar even on a high slippage. To you or some other users, this may be okay if MC misses the execution as the situation described.

You may say, why don't you market order, I still prefer limit order....

Sa


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