Recent content by jufils

I use R for almost everything related to modelling and testing. It infuriates many 'pure' programmers but it really can't be beaten when it comes to exercising your creativity and testing out new ideas. Anyone who says python is superior in this regard is simply ignorant of one or both of these...

Yeah I could write some code, but monitoring prices on my side through IB's api stream is very slow and inefficient relative to having them sit on IB's side, especially with multiple orders. Slippage galore. But looks like it might be my only option...

I considered that but then I saw this https://quant.stackexchange.com/questions/19597/send-trail-stop-order-when-price-hits-a-certain-level-with-ib-tws which suggests that you can't add conditions to trailing stop orders. Although that was 3 years ago, perhaps it's changed since then.

I know that, I mean I want the trailing stop order to become active without having any parent. So when the price hits the stop price, I am opening a short position of X shares, NOT closing a long position of X shares. I'm not sure how else I can explain it. I've read through all of IB's order...

Right, but it's a trailing stop order without a parent order. I.e. when the price hits the initial limit (110 in my example), I want the trailing stop order to become active, but I don't want any fill until the stop price is hit. Maybe I'm being dumb, i just can't work it out

Pegged orders will move both up and down with the price they pegged to though, no? I want it to move up but not down (and vice versa for buy orders)

Essentially I want to place a trailing stop limit to sell with a trigger above the current market price. Example: XYZ trading at 100. I have no position. When the price rises to 110, I want to trigger a sell limit if touched order @ 105 (same limit/trigger price). If the price rises to 115, I...

You should be able to do what you want with the One-Cancels-All (OCA) order type. Remaining orders within the same OCA group will all be cancelled if one of them is filled. So you had a take profit order and a trailing stop order in the same OCA group, then if the take profit order is filled it...

Well there's strictly no such thing as zero price impact if we are talking about expected values, is there? And even 0.1% is a big deal if you are entering and exiting positions on a daily basis. I understand that the proportion of daily volume that is traded at auction is very...

I trade through IB and the majority of my positions are opened/closed same day using LOO/MOC orders. I typically trade in relatively liquid stocks, and my trades usually represent anywhere from 0.01 - 0.05% of the daily volume. I've been doing this for a while with moderate success but I can...