Fully automated futures trading

Discussion in 'Journals' started by globalarbtrader, Feb 11, 2015.

  1. In the case of (3) I'd treat the spread as a synthetic instrument, and calculate it's costs accordingly.

    GAT
     
    #2671     Apr 14, 2021
    Japan_trader likes this.
  2. Elder

    Elder

    For this scenario, you might want to look into Market-to-Limit (MTL) orderTypes, at IB, if you haven't already. This ensures that any subsequent fills after a initial partial fill will be no worse than the initial fill. It doesn't deal with spoofing, but I will leave that to the SEC to deal with.
     
    #2672     Apr 15, 2021
    Kernfusion likes this.
  3. Kernfusion

    Kernfusion

    Yes, there's actually several order types which seem suitable. Though, with all of them there will be a risk that in that 15 minute delay the price(whole spread) moved to some "very wrong direction" and we don't actually want to buy\sell at this price this anymore., But if the signal is calculated only daily anyway, 15 minute is really nothing.

    here's the IB's general description page (filer by "futures"):
    https://www.interactivebrokers.ca/en/index.php?f=4985
    and the actual API code for how to submit these different types:
    https://interactivebrokers.github.io/tws-api/basic_orders.html

    Market-to-Limit seems exactly what Rob is describing, it attempts to execute at current market and converts to limit if only partially filled (https://www.interactivebrokers.ca/en/index.php?f=597)
    But there's also these 2 order types which allow to specify an offset (towards a better price) from either bid\ask or mid-point:
    Snap to Market: https://www.interactivebrokers.ca/en/index.php?f=5933
    Snap to Midpoint: https://www.interactivebrokers.ca/en/index.php?f=5934

    - I also checked if it's possible to make the offset negative (to essentially allow a limited worse-than-market execution) - TWS doesn't allow this, but it does allow 0 offset, which essentially transforms "Snap to Market" to "Market-to-Limit" and allows to place limit order to the exact current mid-point with "Snap to Midpoint".

    Interestingly, "peg" order types which continue to move with the price aren't available for futures, these "snap" orders don't move with the price but stay at the same level that existed during submission., which is still good enough for us..

    But, there should still be some logic to cancel\resubmit these orders if they don't execute in a certain amount of time, although, I'd imagine that Market-to-Limit or Snap-to-Market with zero offset should almost always execute immediately if we're just buying 1-3 contracts at a time..
     
    #2673     Apr 15, 2021
    globalarbtrader and Elder like this.
  4. Kernfusion

    Kernfusion

    Kahneman's new book is coming out in May..
     
    #2674     Apr 20, 2021
  5. Hello Rob,

    Suppose you were starting trading today. A lot of commodity markets had a good run up and are at "inconvenient" highs right now. You would get max signals on a lot of stuff. Would you follow it blindly and enter the markets as the system tells you or would you consider another approach? Why?
     
    #2675     Apr 21, 2021
  6. I'd do what the system tells me.... having said that I wouldn't deploy all my money in one go; I'd probably add instruments and potentially risk capital gradually. But that's about reducing operational risk rather than market risk.

    GAT
     
    #2676     Apr 21, 2021
    test_user likes this.
  7. Thank you for your response. Would you mind elaborating on what you mean by operational risk? A risk of mistakes having to open so many positions in one day?
     
    #2677     Apr 21, 2021
  8. Risk that I have bugs in my code, I've entered a parameter wrong... you name it.

    GAT
     
    #2678     Apr 22, 2021
    test_user likes this.
  9. That's a good point. I think I will use your suggestion and spread initial entries across a few days.
     
    #2679     Apr 30, 2021
  10. blink18

    blink18

    @globalarbtrader do you use any sort of position check?
    1. you should be invested in X, but you're not (reason: bad connection, maintenance, holiday ...)
    2. you shouldn't be invested in X anymore, but you still are (reason: bad connection, maintenance, holiday ...)
     
    #2680     May 4, 2021