I usually trade ES and ZB futures through IB. I want to setup orders that will execute (say at market price for simplicity) once the contract corrects say 5% from its all-time peak. Any ideas how to implement this? Many Thanks.
I would do this manually, not in any auto mode. Why - you (i) don't want to have a standing (or even auto induced) order out there at 5% below the market as you risk buying into a true black swan event, probably terrorist related (use your worst imagination) or some "act of God" that knocks out electricity or communications. Even if you have a stop loss order attached to the buy, there is a decent chance it would not get filled before the markets closed (worst case scenario, hopefully very unlikely but .... there are lots of fervent humans running around out there now.) The terrorist event in particular, is something that would cause the market to quickly go limit down and then close for days and days. When the markets reopened, there would be no buyers initially except maybe for oil, gas and currencies. And even in normal selling, rather than pick an arbitrary percentage like 5%, I would use support and resistance zones to make the buying decisions. GL.
This is an easily implemented manually entered position through Multicharts using trailing stops. This can be done automatically using MC trailing stop position basis true percent set to 5.
You never know the all-time high. Only the period high. This cannot be done. You must specify the look back period.
Ok. Lets say that I have a look back period defined. How can I then simply specify an order that is 5% correction from the peak during that period . Multicharts is an expensive option. I currently trade with IB but can switch if find a better trading platform. Thanks to all who replied. I am not concerned about a black-swan correction as it can be an opportunity.
since you didn't' specified the options-the easiest\simplest way is to do it manually,using limit buy order and replace it every day. then you can try some sort of semi automatic with let say IB's Excel example. request a data for last # days,calculate your 5 % from last 'peak' and place order. even in this semi automatic approach you will face numerous challenges such as maintaining current contract,dealing with data(either for contract or indices,from with you are going to calculate your 5%),order status etc. it's not hard,but it's not that simple either.
Putting in a gtc % trailing sell order is very simple. So why not simply put in the same order except change sell to buy. The look back period would be "since the order was placed."
There is mainly only one black swam that is not an opportunity and that is the nuking of a major city, probably by terrorists or, a nuclear war. Extremely unlikely hopefully but the components of that are out there. I try and disregard that one also ...
With multicharts when you activate a position you can give it the high point or peak number to calculate from, then it would just be a matter of inputting that with the 5% trail stop and it would run automatically.