Don's Openings and More for 2006

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thanks to all for the feedback and some very useful points for me - i use Interactive Brokers, they simulate stop and stop-limit orders for stocks - rather than taking slippage on a stop, i will test what may be a more efficient scenario: put a stop limit, if the stop is hit but the limit is not executed within a short time window, exit at market - i will need to test to determine the limit offset and the time window.

also, i think risk control parameters change depending on portfolio composition - if i my capital is committed to only a couple of stocks, i want to have tight execution on stops/exits - but if i am holding dozen(s) of stocks, the impact of each exit on the portfolio is less significant.

all the best.
 
Quote from fader:

thanks to all for the feedback and some very useful points for me - i use Interactive Brokers, they simulate stop and stop-limit orders for stocks - rather than taking slippage on a stop, i will test what may be a more efficient scenario: put a stop limit, if the stop is hit but the limit is not executed within a short time window, exit at market - i will need to test to determine the limit offset and the time window.

also, i think risk control parameters change depending on portfolio composition - if i my capital is committed to only a couple of stocks, i want to have tight execution on stops/exits - but if i am holding dozen(s) of stocks, the impact of each exit on the portfolio is less significant.

all the best.
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I'm just curious, are there any others on this thread who trade the openings as a retail trader? IB is fine (the only retail firm that I have ever recommended), and I am pretty sure that most retail firms don't allow opening only orders.

Do they somehow waive margin requirements for this strategy? It is so capital intensive that I have rarely seen anyone take part at the retail level.

Just curious...

Don :confused:
 
Quote from Don Bright:

I'm just curious, are there any others on this thread who trade the openings as a retail trader? IB is fine (the only retail firm that I have ever recommended), and I am pretty sure that most retail firms don't allow opening only orders.

Do they somehow waive margin requirements for this strategy? It is so capital intensive that I have rarely seen anyone take part at the retail level.

Just curious...

Don :confused:
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I traded OO's at IB for quite a while before going prop. They do allow OPG orders.

And you can enter as many OO orders as you wish without affecting your margin. But if you overfill you'll be autoliquidated, so you need to be careful.
 
Quote from Don Bright:

I'm just curious, are there any others on this thread who trade the openings as a retail trader? IB is fine (the only retail firm that I have ever recommended), and I am pretty sure that most retail firms don't allow opening only orders.

Do they somehow waive margin requirements for this strategy? It is so capital intensive that I have rarely seen anyone take part at the retail level.

Just curious...

Don :confused:
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no problem with ib. ib works great for opens. you can program a hot key and do one entry for both the buy and if filled a sell slingshot will be automatically entered .same for shorts. i dont know how they calculate the margin but have never hit a point where i couldnt enter an order.
 
Thanks guys, I get this question a lot. So, basically IB allows the entering of as much as you like $$$ wise, but if you get filled past your account size (margin) then they automatically liquidate you? How do they determine which position they will close?

Assume $25K account $50K margin, maybe $100K PDT rule.

You place 1000 shares buy and sell short on 10 stocks, assuming around $30 price. 2,000 x 10=20,000 x $30 = $600,000 worth of orders entered. You know full well that you can't get filled on both sides (unless you're trading with yourself, LOL)...so that brings it down to $300K max potential capital usage. If your "fill rate" is 30%, then you're down to your $100K limit. (right?)

Now, I guess they would use the LIFO system to close out anything over and above that $100K amount. So, theoretically, stock 4-10 would be automatically liquidated if filled.

Is this pretty much how it works? Thanks for the help.

Don
 
Quote from Don Bright:

Thanks guys, I get this question a lot. So, basically IB allows the entering of as much as you like $$$ wise, but if you get filled past your account size (margin) then they automatically liquidate you? How do they determine which position they will close?

Assume $25K account $50K margin, maybe $100K PDT rule.

You place 1000 shares buy and sell short on 10 stocks, assuming around $30 price. 2,000 x 10=20,000 x $30 = $600,000 worth of orders entered. You know full well that you can't get filled on both sides (unless you're trading with yourself, LOL)...so that brings it down to $300K max potential capital usage. If your "fill rate" is 30%, then you're down to your $100K limit. (right?)

Now, I guess they would use the LIFO system to close out anything over and above that $100K amount. So, theoretically, stock 4-10 would be automatically liquidated if filled.

Is this pretty much how it works? Thanks for the help.

Don
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I've never actually been autoliquidated. I understand it kicks in at 9:40 so you have a chance to get out if you're watching your margin. My understanding is that its stock selection is random but will only liquidate what it need to.

You can tag positions that you might be holding longer term as "liquidate last".
 
Quote from vhehn:

you can program a hot key and do one entry for both the buy and if filled a sell slingshot will be automatically entered .
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I've been working on something that will do this using the Java API. How do you do this using hotkeys?
 
i have not had to deal with autoliquidate, but here is a recent post from IB's discussion board shedding some light; i don't know about the logistics involved in managing the liquidation algorithm, but certainly it's not great to see some potentially unnecessary liquidations/churning:



I was autoliquidated once before, for $-0.80 undermargined, and IB sold a long position in a spread, leaving the short uncovered, making me way undermargined, then sold the short, then 2 more longs. Absolutly no intelligenge in autoliquidate, seems alphabetic liquidation.

IMO seems it should Autoliquidate the offending position causing undermargin. This would result in less commission to IB, so don't hold your breath.

KEEP you LiquidateLast settings up to date, just in case.
 
Quote from kwancy:

What are some stocks that experienced Opening only traders recommend for a newbie?
Lescor recommends the Dow components as I remember from one of the threads concerning this topic, what else?

thanks
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This is good advice for the Dow 30 stocks & then also maybe look to stocks within the same sectors to see how they are acting relative to your opening stock.
e.g. if you have T then maybe look at BLS and/or S also.
 
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