Hi,
Just wonder any pros have done such stuff b4, especially with IB twsdde Excel VBA.
Previously for most of my equities/futures, I've implemented some successful equities and futures trading on my Excel VBA. They are on very liquid products, so in my systems im purely using last done quotes, as it almost reflects the exact current price.
Even though, i do have some problems when I used tickers such as GS or LNKD where the b/a are sometimes a mile away. (still thinking whether i want to bring in bid/ask + last done for my systems which means I'll hv to check Ask for buying, Bid for selling.)
So #1:
But as for options, theres a chance where bid/ask can move significant lower away from last done if no trade done, and its quite troublesome. My solution is to bring in Bid/Ask to replace Last done for my systems. Is that how u guys do it ?
So #2:
Then there's another problem to determine the appropriate Options strike to trade. I am still hesitating on this algo, where I have to:
- check the current equity price
- get a round off to higher and lower or even $0.5
- refer back to the call/put options strike prices and determine to match the higher or lower strike
- grab the bid/ask, then calculate the max contracts based on a risk amount eg. $2000.
- And then now, add this particular ticker, contract details, strike price into Twsdde sheets with tickers (request market data) and basic orders dynamically, before I am able to trade it (else I have to prepare beforehand)
At least this is what I do manually if I were to trade any options. Any better ways out there going, even if its on Java or C with IB tws API etc ?
Just wonder any pros have done such stuff b4, especially with IB twsdde Excel VBA.
Previously for most of my equities/futures, I've implemented some successful equities and futures trading on my Excel VBA. They are on very liquid products, so in my systems im purely using last done quotes, as it almost reflects the exact current price.
Even though, i do have some problems when I used tickers such as GS or LNKD where the b/a are sometimes a mile away. (still thinking whether i want to bring in bid/ask + last done for my systems which means I'll hv to check Ask for buying, Bid for selling.)
So #1:
But as for options, theres a chance where bid/ask can move significant lower away from last done if no trade done, and its quite troublesome. My solution is to bring in Bid/Ask to replace Last done for my systems. Is that how u guys do it ?
So #2:
Then there's another problem to determine the appropriate Options strike to trade. I am still hesitating on this algo, where I have to:
- check the current equity price
- get a round off to higher and lower or even $0.5
- refer back to the call/put options strike prices and determine to match the higher or lower strike
- grab the bid/ask, then calculate the max contracts based on a risk amount eg. $2000.
- And then now, add this particular ticker, contract details, strike price into Twsdde sheets with tickers (request market data) and basic orders dynamically, before I am able to trade it (else I have to prepare beforehand)
At least this is what I do manually if I were to trade any options. Any better ways out there going, even if its on Java or C with IB tws API etc ?
