ActiveX@IB futures-scalping: automated strategy for exits

Discussion in 'Automated Trading' started by allesim, Feb 26, 2002.

  1. allesim


    I use IB to day-trade (mostly scalp) emini futures NQ and ES.
    I am not a programmer.
    But I wish to implement the following strategy using new tools Excel ActiveX

    Can somebody help? I can pay for the service.

    I wish to create a small application, no matter in excel or else, to fully automate trade-exits after entering (I usually automatically enter trades, using TWS, when my STOP LIMIT orders are hit).

    I enter a trade when resistances and supports are hit and slightly penetrated: in these circumstances generally the volume increases a lot, especially in the 9:30-10:45 time frame.
    Also the tape speed increases very fast: in my opinion automated exits (provided the quotes in IB updates well) are much better then manual ones.

    This is principles of the module-application I wish to create:

    ; since I have a subsctiption to esignal I wonder if it¡¯s better to
    - receive quotes from esignal using DDE and transmit order to IB using ActiveX
    - receive quotes from IB and transmit order to IB

    I know that esignal has DDE available, but I am not sure about activeX!

    Here the module

    ; ¡®p¡¯ = either NQ or ES
    ; ¡®n¡¯ = 4 (this is my usual number of traded contracts)
    ¡® xx = is the price I set for the STOP LIMIT BUY (based on technical analysis, support and resistance)
    ; the following module is for LONG entries (for SHORT simply reverse it)

    cond-A = my stop order BUY LIMIT at xx of ¡®n¡¯ contracts of ¡®p¡¯ is filled?

    if cond-A is true then
    m = n/2
    ; immediately a sell LMT order must be issued:
    cond-B = sell m contracts of ¡®p¡¯
    LMT price = <filled price> +.5

    ; a timer must be setup as a control
    after 10 sec is COND-B accomplished?

    yes? then sell the remaining via a
    TRAIL STOP ORDER with trailing = 1

    no? then
    cancel LMT Sell order at <filled price> +.5
    sell all remaining contracts via a
    TRAIL STOP ORDER with trailing = 1

    ;the trailing stop order, when the trailing is met, will trigger a stop limit order (not stop market order) with Election Price and Limit Price to be the same!

    for example if trailing is hit at NQ = 1380, then a stop limit order to sell all remaining contracts must be issued at:
    ; of course there is a risk of trade not executed, but I will monitor manually.

    Thanks and waiting for your kind suggestions.