Grinding it out, day after day

[fickletrader]

"In 1981, I had financed a trader on the American Stock Exchange who sold out-of-the-money options in a takeover situation. I lost about one third of my capital in that one trade. Emotionally I handled it very well. Unfortunately, about a week later, I had another large loss in a short out-of-the-money call position in Kennecott. Ironically, even though my position was relatively small, the overnight move was so enormous that the loss was substantial. After these two takeovers, I had lost about half my money." --Blair Hull, page 377, The New Market Wizards by Jack Schwager

I hope this helps put your week in perspective. Don't go on tilt next week =)

Jon

 

[shortie]

Quote from achinnes:

Lescor,

Thanks for this thread. Your insights in general principles of RTM trading and psychology of trading have been great.

Upon reading your last post, I thought of a way to perhaps prevent the error that happened. Some prop firms have Soft Buying Power vs. Actual Buying Power. Soft Buying Power is the amount of buying power you can use for sending out orders, and Actual Buying Power is the amount of buying power that will be used to fill orders. For example, you could have $10M soft buying power (send out $10M worth of orders) and $2M actual buying power(Get filled a maximum of $2M in buying power). So if an operator error occurred, you could be filled on no more than $2M in orders. You would still be hurt, but not as bad as if you were filled all $10M.

I don't know if you are already using this, and not familiar with Echo software to know if they have this option. I used to trade with Dimension's Blackwood software and know they have this option. It's not the best trading platform, but they have this option. I'm sure you'll be fine, when the money tap opens again.

Achinnes

I am interested if Echo has a mechanism like this in place.

Another option is to attach OCA (one-cancel-all) attribute to OPG orders. I don't know if Echo or other prop firms have this option, but IB has it. Let's say one sends out 1000 stocks expecting to get filled on 50. One could distribute 100 different OCAs through 1000 stocks so that one may get filled ~100 max (theoretically).

One caveat with OCAs and with what Achinnes suggested is that OPGs are filled in very quickly and even if many orders are canceled by the system some/many will slip through anyways. Still, I think by playing with the number of different OCAs (or with the value of max BP pre-set) one could reasonably expect to get maybe ~2-3X more than max desirable fills (still much better than having 20-30X fills).

Thoughts?

 

[Shreddog]

Quote from shortie:


Another option is to attach OCA (one-cancel-all) attribute to OPG orders. I don't know if Echo or other prop firms have this option, but IB has it. Let's say one sends out 1000 stocks expecting to get filled on 50. One could distribute 100 different OCAs through 1000 stocks so that one may get filled ~100 max (theoretically).


Thoughts?

You don't know ahead of time how your fills will be distributed through those 100 groups. You would be cxling out of legitimate fills if any of those groups had more than 1 fill that day, which would be highly likely over that many groups day after day.

 

[shortie]

Quote from shortie:

I am interested if Echo has a mechanism like this in place.

Another option is to attach OCA (one-cancel-all) attribute to OPG orders. I don't know if Echo or other prop firms have this option, but IB has it. Let's say one sends out 1000 stocks expecting to get filled on 50. One could distribute 100 different OCAs through 1000 stocks so that one may get filled ~100 max (theoretically).

One caveat with OCAs and with what Achinnes suggested is that OPGs are filled in very quickly and even if many orders are canceled by the system some/many will slip through anyways. Still, I think by playing with the number of different OCAs (or with the value of max BP pre-set) one could reasonably expect to get maybe ~2-3X more than max desirable fills (still much better than having 20-30X fills).

Thoughts?

p.s. relevant to NYSE with staggered open. Won't work for ISLAND.

 

[shortie]

Quote from Shreddog:

You don't know ahead of time how your fills will be distributed through those 100 groups. You would be cxling out of legitimate fills if any of those groups had more than 1 fill that day, which would be highly likely over that many groups day after day.

if one is after every single trade within the envelope than canceling unfilled orders is not the way to go. if one is happy with ~80-90% of all possible fills than canceling extra may be ok.

 

[Nexen]

Up to this point I was not impressed, know many profitable traders who make very decent numbers week in week out.

Now, getting beaten down like this and picking back your balls from the floors and all due to input error, that's impressive.

 

[austinp]

Quote from lescor:

But the week was all about Thursday. -81k, over 1.8M shares traded. The single greatest risk with how I trade is operator error or some kind of major system malfunction.

Sadly, that's the one variable that haunts all of us is the dreaded black-swan event... self-imposed or market induced. You did the very best you could in a dreadful situation. Had the market gapped-down at the open and fell off a cliff, you'd be rich(er) and probably enjoy a near record day.

I'm not telling you anything you don't know, and you certainly don't need anything from any of us to help you feel better. By the end of 2010 you'll be up a ton of money, probably have a +$100k day (or more) and build an addition on the new dream home.

One-day speed bump... albeit blew out a tire and rim. Luxury car still has three more left with the spare

 

[pookie]

Hi, Lescor. I am a trader newbie. You said that you've read all of the books that Gary B. Smith recommended. Could you please tell me which books those were? Also, which other books did you find most helpful?

I just ran across your journal. I'm looking forward to reading it.

Thanks!

 

[total_keops]

Quote from lescor:

The volume of fills and messages overwhelmed my system causing freeze ups and slow downs as I frantically tried to cancel all remaining orders.

I used to work as an engineer in the manufacturing sector. One thing that was always there was the panic button. Softwares can have flaws and mechanical systems are not always reliable so there is a need for a safety exit.
When I was doing the OPG I had a panic button. If I hit my space bar it cancells all orders, period. I didn't have to rely on Excel or other systems being up. It was only on the broker platform where I had a shortcut key. Maybe it could be a solution. I used it a couple times and it was very usefull. It has a drawback that it also cancells your profit taking orders.
BTW, thanks for all what I learned in the previous OPG threads and your continuous presence in the background of the thread. It was a lot of inspiration to me and helped me succeed.

 

[lescor]

Week 16 of the 2010 campaign was a good one. +22k on 602,000 shares traded. Daily pl was -2, +4, +3, +7, +10

Traded something approaching normal volume as there was more opportunity from an uptick in volatility and earnings. There are some fierce trends in stocks during the day though, luckily I avoided being on the wrong side of any really bad ones, at least not for long enough to do any serious damage. Intraday mean reversion trading was active and green every day after only trading 8 of the previous 24 days. I just realized after the close today that I'm on a 8 day losing streak with opening orders, which I'm sure is a record. Encouraging to still have a good week with that strat sucking wind.

Mental recovery from last week's fat finger debacle has been way way better than I had hoped for. After the weekend I was pretty much over it. Haven't really thought about it since then and a solid week helps it melt away a little more.

+ 37k since that day and 70k to go to new equity highs.