How to: Algo order logic to be long above X and short below X?

Discussion in 'Order Execution' started by BrandNewTrader, Mar 14, 2017.

  1. costs2340straddle.png
     
    #11     Apr 13, 2017
  2. active straddle of 2340 since 2/22/2017 using June contract. (1 contract)
     
    #12     Apr 13, 2017
  3. reference 60min.png
     
    #13     Apr 13, 2017
  4. premium collected

    2340options.png
     
    #14     Apr 13, 2017
  5. half the costs recouped if you put a profit target of 50 ticks on the active straddle. Still have days till expiration, you have to 'hope' it doesn't hang around 2340 till June expiry. If it moves away from this zone. You will pocket half the premium collected or 2500 per contract. But if you didn't use active profit taking around the pivot, you would be at breakeven by now.

    Profit taking 'unhedges' your straddle, so ideally, you wouldn't, if you don't than you already at breakeven, and significant time till expiration.

    halfcosts.png
     
    Last edited: Apr 13, 2017
    #15     Apr 13, 2017
  6. volumeprofile.png

    Is 2340 a 'statistical outlier'?.. volume profile says possibly.
     
    #16     Apr 13, 2017
  7. Using other macro markets to decipher 'statistical outliers'... based on other markets, we are in the 'statistical outlier' zone.

    macromarkets.png
     
    #17     Apr 13, 2017
    tommcginnis likes this.
  8. I am not familiar with TT's ADL. At Interactive Brokers's TWS there is a field called "all or none (AON)" which you can add to a limit order. Either your entire order gets filled, or it is not executed at all. Maybe ADL has something similar?
     
    #18     Apr 13, 2017
  9. Hello @HobbyTrading. ADL does not have an AON order type however you may build a synthetic AON order type.

    You are welcome to try ADL in our free demo environment which comes with 10 minute delayed data from CME. Please use the following link to create your own account. https://www.tradingtechnologies.com/try-tt/

    Screen Shot 2017-04-13 at 8.46.52 AM.png
     
    #19     Apr 13, 2017
  10. @patrickrooney Thank you but no thanks. I am satisfied with the API that IB offers. However, the topic starter @BrandNewTrader might be interested in your explanation on how to make a synthetic AON limit order in ADL.
     
    #20     Apr 13, 2017