Avoiding buying gap downs

M

mvalley

Hello all,

I have a order question that I can't figure out. I have an IB account and place a lot of orders (100+) the night before for various stocks at various limit prices.

I only want to buy the stock XYZ if it declines to that price, not if it gaps below it.

For example. I put in a buy limit order for stock XYZ at $10. It gaps down overnight and opens at $7. My order now is filled at $7. I do not want this. I want only it to fill if it slides down to $10 intraday.

How can I do this in IB? I'm using the Excel DDE stuff, so it has to be possible in that.


Thanks!
-Mike
 
The one possible solution I looked at is using Discretionary orders and having the Discretionary amount be $0.001.

I'm not sure if that would work in practice.
 
If you dont want the risk of gaps, only place orders intraday (since thats what you want anyways, intraday moves to certain price levels).


Quote from mvalley:

Hello all,

I have a order question that I can't figure out. I have an IB account and place a lot of orders (100+) the night before for various stocks at various limit prices.

I only want to buy the stock XYZ if it declines to that price, not if it gaps below it.

For example. I put in a buy limit order for stock XYZ at $10. It gaps down overnight and opens at $7. My order now is filled at $7. I do not want this. I want only it to fill if it slides down to $10 intraday.
More...
 
Quote from mvalley:

So, if I put the GAT to be 9:40am EST and the stock opening price is way below my limit buy, then the order will be rejected, right?

-Mike
More...

you can play with GAT and precautionary settings in TWS, but imo best way is custom software application.
 
Quote from mvalley:

Hello all,

I have a order question that I can't figure out. I have an IB account and place a lot of orders (100+) the night before for various stocks at various limit prices.

I only want to buy the stock XYZ if it declines to that price, not if it gaps below it.

For example. I put in a buy limit order for stock XYZ at $10. It gaps down overnight and opens at $7. My order now is filled at $7. I do not want this. I want only it to fill if it slides down to $10 intraday.

How can I do this in IB? I'm using the Excel DDE stuff, so it has to be possible in that.


Thanks!
-Mike
More...

Just a question...why? Gaps tend to fill, or at least bounce, from the opening gap downs (or up)...but when a stock just drifts down, it's generally not a good thing to get involved with. Pre-determined price targets long and short, rarely work. IMO.

A way to do it, if you like, is to simply place a 9:45 start on your Active-X control to submit orders via your Excel link....right?

Don

Don
 
Quote from Don Bright:

Just a question...why? Gaps tend to fill, or at least bounce, from the opening gap downs (or up)...but when a stock just drifts down, it's generally not a good thing to get involved with. Pre-determined price targets long and short, rarely work. IMO.

Don
More...

The reason is my backtesting only tests things that dont gap down & fill. I'm using stockfetcher to backtest and it just avoids those situations.

I guess in theory I could try it in amibroker, but I dont think it would backtest very well.

-Mike
 
I've been looking at more possibilities... Couldn't I just use Limit if Touched Orders and place the Aux price at 0.01 above the limit buy price?

I believe this would guarantee that I couldn't enter on a gap.


-Mike
 
Quote from mvalley:

I've been looking at more possibilities... Couldn't I just use Limit if Touched Orders and place the Aux price at 0.01 above the limit buy price?

I believe this would guarantee that I couldn't enter on a gap.


-Mike
More...
mvalley,

in my understanding this will not work. Let's say you want to buy the stock at 10$ then the limit order (or limit/market if touched order) will be executed as soon as the price is 10$ or LOWER. So if the stock opens with a gap (7$) then the order is filled. Remember a limit price should only protect you to get a worse price (here higher price) but not a better price (7$ is lower and therefore better).

Instead of placing all orders at once at the opening you can also use a stockscreener (like Radarscreen in Tradestation) which alerts you when a stock is approaching your limit but only if it doesn't open with a predetermined gap. This way you have enough time to place your orders.
 
You must log in or register to reply here.
Back
Top