Pair Trading Strategy Journal

Discussion in 'Journals' started by jonnysharp, Aug 18, 2008.

  1. waltbx

    waltbx

    I'll check the IB Excel API sample. Thanks.
    TWS is open through the trading hours as it is, so that's not a problem.
    Walt B
     
    #1321     Jul 8, 2009
  2. I have tried to manually get the 'generic combo' to work with stocks. I can create the combo, but rarely get any worthwhile bid/offer prices on the instrument. Sometimes I have set limit orders on these combos, seen prices fall outside the trigger price, and yet not get the order filled. Very Unreliable. Stick the the stocks themselves, and code that way.

    Adrian
     
    #1322     Jul 9, 2009
  3. I use the combo order everyday with good success.

    Best way to create a combo is to drag each stock from the main screen to the combo window.

    You can create ratio orders although you must use whole numbers. You cannot say buy 1.5 of stock A and sell 1 of stock B. You must say buy 3 stock A and 2 stock B.

    And you can create limit orders which will execute when your predefined price is reached. You can even set alarms on a combo order, but there is a TWS bug that causes you to re-enter the alarms every time TWS is started.

    In fast moving markets, like at the open, the combo order can be slow in executing even if your price has been reached. At most other times it works pretty well. BTW, I have submitted conventional Market orders at the open that have taken minutes to execute so the problem is not exclusive to Combos.

    Don
     
    #1323     Jul 9, 2009
  4. #1324     Jul 9, 2009
  5. waltbx

    waltbx

     
    #1325     Jul 9, 2009
  6. Midas

    Midas

    #1326     Jul 9, 2009
  7. closed this for a small profit, not a paper trade
     
    #1327     Jul 9, 2009
  8. dealmaker

    dealmaker

    Trading pairs in a tight range is not very rewarding. Best method is go with a strong edge and trade naked or scalp a liquid pair.
     
    #1328     Jul 9, 2009
  9. make look at:

    -GIS
    +PEP

    1:1

    probably pass because not know where is ratio, if it far away from mean.

    finviz and gummy say GIS go far away from PEP, but maybe not too much
     
    #1329     Jul 9, 2009
  10. So whats the link to your site then ?
     
    #1330     Jul 9, 2009