How to: Algo order logic to be long above X and short below X?

costs2340straddle.png
 
half the costs recouped if you put a profit target of 50 ticks on the active straddle. Still have days till expiration, you have to 'hope' it doesn't hang around 2340 till June expiry. If it moves away from this zone. You will pocket half the premium collected or 2500 per contract. But if you didn't use active profit taking around the pivot, you would be at breakeven by now.

Profit taking 'unhedges' your straddle, so ideally, you wouldn't, if you don't than you already at breakeven, and significant time till expiration.

halfcosts.png
 
Last edited:
BrandNewTrader said:
For background, I have about 10 years experience trading futures and options but I'm just now getting into automated systems via TT's ADL.

I'm developing an algorithm to trade a particular futures and futures options strategy I have designed. I've been trading it manually or a few months and now want to automate it. Problem is, there is a particular order logic that I execute manually that I am having a hell of a time ensuring happens automatically. It seems like a common issue so I am just not seeing the trees from the forest.

Suppose S&P is at 2400. I want to be LONG X contracts above 2400 and SHORT X contracts below 2400. That is the entire goal. This also applies to any other futures market. When trading manually I use a combo of OCO orders, buy/sell stops and alerts to manage the position. However, my fear is that automatically I will end up in a situation where the market moves one way or the other and I will not get filled on all X of my contracts, but the market will continue to move. Yes, I can use if/then logic at particular market levels to do a "check" and make sure my position quanitity is indeed X number of contracts (and not something less than X), but that seems like something I should be doing as a backup rather than the primary means of ensuring I am getting filled.
More...
I am not familiar with TT's ADL. At Interactive Brokers's TWS there is a field called "all or none (AON)" which you can add to a limit order. Either your entire order gets filled, or it is not executed at all. Maybe ADL has something similar?
 
You must log in or register to reply here.
Back
Top