I am trading a rule based system where I want to execute at a specific time if the price is equal or better than a certain level. The way I do it on GLOBEX is to set a limit order which is Good After Time and expires 20 seconds later. The problem with ECBOT is that if I have a Buy Limit order say at 12550 and the market is trading 12450 then it wouldn't execute because the price is too far from the limit order. Does anybody know how to sail around this problem?
I don't have a solution (I'll think about it some more though) but also watch out with stops -- if the good after time is a time when it's already trading and the stop price has already been hit then the order will fail (it will sit pending and never trigger). You could try a conditional market order....
If you're using IB you could write a pretty simple API application that waits for your good after time, then checks the price and submits either a limit order (if the last price is above the current price) or a market order (if the last price is below the limit price). You could also try a stop limit, IB simulates that so it's possible they'd submit it as a simple stop -- although that might fail too. Just wait, as businessman says ECBOT will soon be on the scrap heap.....
Thanks guys For the moment I have gone the conditional market order route. A bit more hassle to set it up, but it works. The only downfall is that if the market is happening to trade very close to level that I am prepared to trade at, I wouldn't have a limit order in place. I am learning Java at the moment, and are hoping to write my first true automated trading application soon.