Combined vs. Multiple Trades

W

walterjennings

Hey.

Iv been debating this issue for a while now. Im wondering if anyone here have any insights.

Say I am long 100 of a stock, and my system decides it is going to reverse direction. Would it be better to sell my 100. and also sell another 100 to catch the down trend in a separate order, executing at the same time or possibly slightly after. or is it better to combine the orders and just sell 200?

I use IB so i know there are slight discounts for bigger order sizes. But I have a feeling that having separate orders somewhat diversifies my risk of slippage between the trades. Also it allows for half the order to be filled and the other half not to since my system often uses limit orders. It also forces all-or-none orders since im using these positions to hedge and require the whole amount.

Does anyone have any experience or thoughts on this?
 
I think it entirely depends on your system and how you have back tested it. For example, some systems are always in the market. Given this type of system you would be selling 200 shares so that you are net short 100 shares. However, there are other systems that would go neutral. Further, many systems that I have seen will differentiate between a "take profit" and a "short" signal. Again, it all depends on your system, how you have designed it, and how you have back tested it.

Best regards,

lrm
 
Quote from lrm:

I think it entirely depends on your system and how you have back tested it. For example, some systems are always in the market. Given this type of system you would be selling 200 shares so that you are net short 100 shares. However, there are other systems that would go neutral. Further, many systems that I have seen will differentiate between a "take profit" and a "short" signal. Again, it all depends on your system, how you have designed it, and how you have back tested it.

Best regards,

lrm
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agreed. my system drifts between going neutral and staying in market depending on market conditions. I am interested in the fundamental performance / costs differences (or any other benefits / drawbacks that people know, ie partial fill issues) when deciding between two sell orders for 100 vs one sell order for 200. thanks.
 
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