Keeping It Simple

[Bankedout]

I have been working on understanding TWS. From what I understand, the OCA group feature could not be used the way I imagined. I think if I entered the market, I could create exit instructions like this:

Let's say I'm long.

Sell X contracts ES Limit (average daily range figure or target)
Sell X contracts ES auto trailing stop (whatever amount of points)
Sell X contracts ES market on close (in case the first two don't trigger)

From what I understand I would have to submit that after entry, it could not be tied to my entry order. The three orders would be grouped together and if one fills, the other two would get automatically cancelled.

Or, if I want to tie my entry to my exit order, it seems the only way with TWS directly would be to attach an auto trailing exit stop to an entry limit order.

So basically if I wanted to get long, but sell if my trailing stop was triggered, I would do this:

Buy X contracts ES Limit (whatever price I determine)
attach auto trailing Sell stop (whatever amount I determine)

My question is, if I did the above, where is the auto trailing stop located? Meaning, if my computer crashes, does my stop keep trailing somewhere? If IB loses their connection to GLOBEX, do I have a hard stop at the exchange?

Maybe I'm missing something. Def wasn't too helpful, and the User's guide for TWS isn't that great either.

Banker

 

[Bankedout]

Oops, I don't think there is a market on close option for futures. I tried building a sample OCA group in TWS and I can't find MOC as an option. So I guess you would have to attach a regular stop, or a trailing stop to a limit order, and skip the MOC option for an exit. Sorry about that.

Banker

 

[dbphoenix]

After two days of no trades, it would seem as though there's no money to be made here. However, today presents a good example of how important it is to avoid becoming bored and miss excellent opportunities.

I've attached a chart to show the trades called for by the "system" I've posted. You'll note the three TLs explained a few days ago - Stage 1, 2, and 3 - and the double top made at 0803 (1003 EST). The reversal is entered at 1031 (price) then stopped out at 1036. It's re-entered at 1029. When the day's target - 1011.5 - is reached, end-of-bar stops exit the trade at 1008. This yields +16 with two trades and you're done by 1100.

If there are any questions, feel free to ask.

--Db

 

[GD2KNO]

ALL THIS SEEMS RATHER COMPLEX - SEND ME PM AND I'LL TELL YOU ABOUT "SIMPLE"

HAPPY HOLIDAYS

 

[jstormbo]

db.. maybe I missed it somewhere in the thread but how to you determine your targets?

 

[dbphoenix]

Quote from GD2KNO:

ALL THIS SEEMS RATHER COMPLEX - SEND ME PM AND I'LL TELL YOU ABOUT "SIMPLE"

Why not post your strategy here? That's what the thread is for.

--Db

 

[dbphoenix]

Quote from jstormbo:

db.. maybe I missed it somewhere in the thread but how to you determine your targets?

I use the average range over 10 days. It's tightened quite a bit over the last few weeks. As of yesterday, it stands at 28 for the NQ. I add that to the opening low or subtract it from the opening high. Since the high was 1039.5, the target was 1011.5.

The target isn't always reached, of course, which is why the stop is moved to the last reaction high/low when the trendline is broken. But it's reached more often than you might expect.

--Db

 

[QQQBALL]

Quote from dbphoenix:



I use the average range over 10 days. It's tightened quite a bit over the last few weeks. As of yesterday, it stands at 28 for the NQ. I add that to the opening low or subtract it from the opening high. Since the high was 1039.5, the target was 1011.5.

The target isn't always reached, of course, which is why the stop is moved to the last reaction high/low when the trendline is broken. But it's reached more often than you might expect.

--Db

this is may sound stupid, but here goes. are you defining opening high as an open above prior day's close, or is it the 30-minute high? if we open flat, do you then bracket the range?

 

[dbphoenix]

Quote from QQQBALL:



this is may sound stupid, but here goes. are you defining opening high as an open above prior day's close, or is it the 30-minute high? thanx

Not stupid at all. I don't consider the previous day except as it relates to opening gaps. Used to, but don't anymore. Generally speaking, the opening high and low are found within the first 30 minutes, but I don't focus on the "30m high" or a "breakout" of the 30m bar. If the initial impulse finds what looks to be a high before the first half hour is up, retraces, and looks to continue the advance before 1000, I see no reason to wait until the 30 minutes are up before entering a position. On the other hand, if there's a report due at 1000, I may have to wait two or three or more minutes before entering. So my concern is with the buyer-seller struggle rather than with time.

I suppose I could have entered at 0939 this morning and captured around ten points, but I was reluctant to consider a "high" made in three minutes to be real resistance. Since I couldn't assign a risk level to it, I just left it alone and waited for the reversal. If anyone else who's trying this had the risk tolerance to go for that upleg, congratulations.

--Db

 

[dbphoenix]

Quote from QQQBALL:



this is may sound stupid, but here goes. are you defining opening high as an open above prior day's close, or is it the 30-minute high? if we open flat, do you then bracket the range?

Sorry, I seem to have missed the second part of your question somehow. Yes, if we open flat, I bracket the range, but I like to see a range Everybody has his own definition of "noise", or should. To me, if price is dribbling up and down by only four or five points, that's noise. And that hasn't been unusual lately. I want to see an effort made by bulls or bears in one way or the other so that I have some sort of benchmark. If price simply drifits, as it has the last couple of days, I tend to stay out.

--Db