Opening Only's 2010

[saico]

Quote from total_keops:

Here is a sample but you could have figure it out with the IB docs. Take it as an example and modify it according to your needs. It may not be exactly what I would use.

Enjoy

Hi total_keops,

I'm refering to cell AA14 in your sample, which includes the following string: =WENN(T12>0,"SELL",WENN(T13>0,"BUY",0)).

What I noticed in live trading is, that in some cases, when I get filled in partials, excel writes the amount of the very first portion. So the shares that get filled after that, dont appear anymore in the cell that determines the entire amount of shares for closing the position.

I'm not using the API for OPG's at the moment, but for another strategy that uses SMART routed Limit orders.

Do you have an idea how to fix that problem?

Much thanks in advance!
Saico

 

[total_keops]

Quote from saico:

Hi total_keops, ...

Do you have an idea how to fix that problem?

Not really. I was dealing with partials manually. Like I would get filled a buy of 80/100 and would close 100 and get short 20 shares in the process. I would just close the 20 shares manually.
But you could add another line or a couple lines to close the positions and calculate how many shares where filled and how many where closed.
For example, you get filled on 25/100 and AB14 use that 25 shares to close. Then if you get filled on another 25 you have another order line on line 15 that use the difference between the quantity filled and the one on the order on line 14.
But it's not totally clean.
Another way, if the first closing order is not filled yet you could modify this order with the new qty. In Z you have to have MOD instead of ADD.
There is no easy way out.

 

[Daal]

I've been using this strategy now for over 6 months. Here are some thoughts

-You have to be a monk in terms of focus. I made a few mistakes in my spreadsheets that end up costing me several weeks of profits. The other day I forgot to update the closes of my stock list and of course the previous day the market had tanked as a result I got filled in almost every stock. After liquidating everything I was down about 1 month worth of profits.

I also made a mistake of messing my spreadsheet and 'crossing' my buy sell orders, at the opening action I was filled in the buy and sell side at the same time in almost every stock. I had to pay commissions for all that

-There are hidden costs if your execution is not well planned. I was using IB's 'smart' router to take profits through limit orders. Problem is SMART is a fucking dumbass when it comes to adding liquidity, it was sending to ECNs and exchanges where my costs where higher while at the same time my order in inherently going against the mini-trend and thus should not have that. Once I started using BATS I cut down my costs

I understand that if someone has orders larger than 2000 shares it could be better to use ARCA or others because its more likely to get filled but in my case the trading was being done in the 200 to 600 share size and against the mini-trend, its almost sure to get a fill if the price starts trading at the same price

-News can hurt a ton. I lost weeks worth of profits a while back in a stock with a news item that I couldn't find anywhere. Every 2-3 weeks or so this will happen. Nowdays I use yahoo, google, flyonthewall plus a number of other sites for upgrades/downgrades. I still get screwed on occasion

Overall, the strategy is up a bit(And I mean little bit). It if wasn't for the mistakes it could have been up more but still would not have been a nice profit. The $hourly rate is downright dismal. Why do I keep doing it?Overall I find it helps me to learn more about order execution, how news items impact stocks, stock trading among other things. I consider this cheap education by doing it rather than reading books

I would not recommend it if someone is trying to earn a living

 

[gmst]

Quote from Daal:

I've been using this strategy now for over 6 months. Here are some thoughts

-You have to be a monk in terms of focus. I made a few mistakes in my spreadsheets that end up costing me several weeks of profits. The other day I forgot to update the closes of my stock list and of course the previous day the market had tanked as a result I got filled in almost every stock. After liquidating everything I was down about 1 month worth of profits.

I also made a mistake of messing my spreadsheet and 'crossing' my buy sell orders, at the opening action I was filled in the buy and sell side at the same time in almost every stock. I had to pay commissions for all that

-There are hidden costs if your execution is not well planned. I was using IB's 'smart' router to take profits through limit orders. Problem is SMART is a fucking dumbass when it comes to adding liquidity, it was sending to ECNs and exchanges where my costs where higher while at the same time my order in inherently going against the mini-trend and thus should not have that. Once I started using BATS I cut down my costs

I understand that if someone has orders larger than 2000 shares it could be better to use ARCA or others because its more likely to get filled but in my case the trading was being done in the 200 to 600 share size and against the mini-trend, its almost sure to get a fill if the price starts trading at the same price

-News can hurt a ton. I lost weeks worth of profits a while back in a stock with a news item that I couldn't find anywhere. Every 2-3 weeks or so this will happen. Nowdays I use yahoo, google, flyonthewall plus a number of other sites for upgrades/downgrades. I still get screwed on occasion

Overall, the strategy is up a bit(And I mean little bit). It if wasn't for the mistakes it could have been up more but still would not have been a nice profit. The $hourly rate is downright dismal. Why do I keep doing it?Overall I find it helps me to learn more about order execution, how news items impact stocks, stock trading among other things. I consider this cheap education by doing it rather than reading books

I would not recommend it if someone is trying to earn a living

Daal, very helpful commentary, much appreciated!

 

[trend2009]

Could you explain a little more why"Once I started using BATS I cut down my costs"? you said with IB SMART, it always goes again a mini-trend to have the order filled, is not that should be the case if the order is limited?

Quote from Daal:

I've been using this strategy now for over 6 months. Here are some thoughts

-You have to be a monk in terms of focus. I made a few mistakes in my spreadsheets that end up costing me several weeks of profits. The other day I forgot to update the closes of my stock list and of course the previous day the market had tanked as a result I got filled in almost every stock. After liquidating everything I was down about 1 month worth of profits.

I also made a mistake of messing my spreadsheet and 'crossing' my buy sell orders, at the opening action I was filled in the buy and sell side at the same time in almost every stock. I had to pay commissions for all that

-There are hidden costs if your execution is not well planned. I was using IB's 'smart' router to take profits through limit orders. Problem is SMART is a fucking dumbass when it comes to adding liquidity, it was sending to ECNs and exchanges where my costs where higher while at the same time my order in inherently going against the mini-trend and thus should not have that. Once I started using BATS I cut down my costs

I understand that if someone has orders larger than 2000 shares it could be better to use ARCA or others because its more likely to get filled but in my case the trading was being done in the 200 to 600 share size and against the mini-trend, its almost sure to get a fill if the price starts trading at the same price

-News can hurt a ton. I lost weeks worth of profits a while back in a stock with a news item that I couldn't find anywhere. Every 2-3 weeks or so this will happen. Nowdays I use yahoo, google, flyonthewall plus a number of other sites for upgrades/downgrades. I still get screwed on occasion

Overall, the strategy is up a bit(And I mean little bit). It if wasn't for the mistakes it could have been up more but still would not have been a nice profit. The $hourly rate is downright dismal. Why do I keep doing it?Overall I find it helps me to learn more about order execution, how news items impact stocks, stock trading among other things. I consider this cheap education by doing it rather than reading books

I would not recommend it if someone is trying to earn a living

 

[Daal]

Quote from trend2009:

Could you explain a little more why"Once I started using BATS I cut down my costs"? you said with IB SMART, it always goes again a mini-trend to have the order filled, is not that should be the case if the order is limited?

BATS have better rebates for adding liquidity. SMART was sending me to ARCA, BSX and god knows where else. They both go against the mini-trend, difference is with BATS you pay less taking a small chance you won't get filled if the price reverses at that same exact price. With ARCA and others you tend to get filled first(at that price) so that risk is reduced but the additional costs are not worth for small orders

Those rebates add up, this is not a high margin strategy

 

[trend2009]

In the IB smart routing configuration, you can check "seeking highest rebate", does that work?

Quote from Daal:

BATS have better rebates for adding liquidity. SMART was sending me to ARCA, BSX and god knows where else. They both go against the mini-trend, difference is with BATS you pay less taking a small chance you won't get filled if the price reverses at that same exact price. With ARCA and others you tend to get filled first(at that price) so that risk is reduced but the additional costs are not worth for small orders

Those rebates add up, this is not a high margin strategy

 

[Daal]

Quote from trend2009:

In the IB smart routing configuration, you can check "seeking highest rebate", does that work?

I tried that. I remember it messed up my market orders. I could be wrong, I was assured by someone from IB in the forum that would not affect the market orders but I remember it did. I also don't trust that system, I rather put the orders in the ECN I choose rather than let them pick and choose

 

[trend2009]

if i am not wrong, I remember that if you specify the ecn yourself instead of using "smart" routing, either you can not use unbundled fee structure or you would be charged for an additional fee.

Quote from Daal:

I tried that. I remember it messed up my market orders. I could be wrong, I was assured by someone from IB in the forum that would not affect the market orders but I remember it did. I also don't trust that system, I rather put the orders in the ECN I choose rather than let them pick and choose

 

[Joman]

Quote from Daal:
this is not a high margin strategy

Thanks for the very informative post.

I'm testing similar opening strategies (automated) and achieved a 0.3% average trade after commissions in backtests.

I'm trading it live with small size right now but I don't have enough sample size to conclude if this is a valid strategy, would you care to tell us what is your average win per trade ?