I am finally getting around to programming a gamepad for executing trades with IB. (See Puffygums fine thread here: http://www.elitetrader.com/vb/showthread.php?s=&threadid=18655&highlight=gamepad Right now, I am setting it up to trade Globex futures and I have a few questions about my hotkey setup. I want to program a panic button to exit all positions quickly with the assumption that the market is moving away from me at top speed. If I understand correctly, a market order is NOT the most effective method of execution in this case since it is not native to globex and the process of matching the order takes valuable time. So if I place a marketable limit order, how far away from the market should I place it to be reasonably confident of an execution? Of course I know it depends on market conditions, but in practice what would be a good margin of safety? If I place a marketable limit order on globex with a lot of wiggle room, what are the chances I would get a fill outside the market? How about discretionary orders? Do they have the same effectiveness as a marketable limit order? Also, is there a way to run the IB demo account from the standalone program or do you need to use the browser based TWS?
In terms of market orders, it doesn't matter what you send in. Since you aren't in the queue, a market order will be just as effective as a limit order. If the price moves really fast away from you and you really want a fill, a market order will eventually fill. There might be a chance that your limit order would never fill. Since there is no advantage to a limit order as compared to a market order in the situation you are proposing, I would use the market order. As for discretionary orders, I wouldn't use them if you want to get out of the market quickly. They will essentially behave like limit orders, especially when talking about liquid contracts trading on Globex. If you are talking about stop orders, then stop-limit orders are native to Globex and you will have a better queue number when they get hit as compared to a simulated stop. Of course, I don't trade futures so take all this advice with a grain of salt. It is just what I understand takes place on Globex.
sprstpd: He's talking specifically about how IB handles market orders for GLOBEX. brokershopping's point is valid - a well-marketable limit order may be able to save multiple retry iterations that IB goes through. It seems that most spikes I see (in ES) are <3 points. I'd guess that 5 points will catch almost all of them, but you'd do well do implement your own logic to resubmit if you don't get a fill in about 2-3 seconds and the prices continue to run away from you. Really, the IB market order logic is valid - you just want to be able to speed up the iterations and increase the amount by which the order is marketable.
I see this on IB's website: .3% is a little more than 3 ES points right now. How long does IB wait to resubmit their order at a less favorable price if it doesn't get executed? Thanks.
You could also try the market with protection order on globex: Market with Protection Orders Description A Market with Protection order is sent in as a market order to execute at the current best price. If the entire order does not immediately execute at the market price,the remainder of the order is re-submitted as a limit order with the limit price set by Globex to a price slightly higher/lower than the current best price.
Thanks for the info! Another question, I thought I read that you could set a maximum cumulative position size, so that folk of diminutive mental capacities like myself don't accidentally blow through their entire bankroll due to programming errors. Or maybe, while I take a coffee break, the dog decides he wants to lick the hamburger juice of the fire trigger and buys me a few hundred contracts on the wrong day. Can I set a maximum position of a few contracts?