automatic trades to keep the total dollar value of a position constant.

[ScroogeMcDuck]

So basically I want to simultaneously short two things and keep the dollar value of each of those two shorts as close as possible to $50k because they hedge each other. But I also want to minimize trading fees so I want it to only trade when the difference from the target exceeds 200 shares. I'm sure I could hack it up with the IB API in a day but I wonder if anyone has already written something like that, or if there is already some hidden feature in TWS to do that?

 

[1245]

Don't you want to aim for a $ amount vs shares? I assume if you are short both, the margin is low like FAS/FAZ. However, you need to adjust to keep margin low. You could just adjust once a day at or near the close.

 

[ScroogeMcDuck]

The target is based on dollar amount but the trade increment should be 200 shares because that's the most shares you can trade for the $1 minimum commission.

 

[bashatrader]

I liked your post because your nickname agrees with your thinking.