Something very simplistic
- Thread starter Quah
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More,
I'm programming auto-stochastic sampling into my autotrader and also have it update the system clock to the US atomic clock.
My program can measure the stochastic at Quah's time periods, put in a long or short order and also put in two OCA orders (Limit +1.0 and Stop -1.25)
It does all of this in 2/10'ths of a second.
I'm just resolving some issues with bad code here and there so this thing is top-notch.
The procedure I'm using for Quah's method is:
1) Event Triggered from time.
2) Query Stochastic
3) Submit LONG or SHORT position
4) Event Tiggered from FILL
4a) Submit OCA STOP {Price_Filled - 1.25}
4b) Submit OCA Limit {Price_Filled + 1.00}
5) Event Triggered from STOP FILL
5b) Resubmit Reverse Order
5c) Resumbit new OCA orders
You can do this by clicking the P+ P- buttons or hitting F1. Or, if you are away from the computer, you can set it on auto-execution mode.
I'm programming auto-stochastic sampling into my autotrader and also have it update the system clock to the US atomic clock.
My program can measure the stochastic at Quah's time periods, put in a long or short order and also put in two OCA orders (Limit +1.0 and Stop -1.25)
It does all of this in 2/10'ths of a second.
I'm just resolving some issues with bad code here and there so this thing is top-notch.
The procedure I'm using for Quah's method is:
1) Event Triggered from time.
2) Query Stochastic
3) Submit LONG or SHORT position
4) Event Tiggered from FILL
4a) Submit OCA STOP {Price_Filled - 1.25}
4b) Submit OCA Limit {Price_Filled + 1.00}
5) Event Triggered from STOP FILL
5b) Resubmit Reverse Order
5c) Resumbit new OCA orders
You can do this by clicking the P+ P- buttons or hitting F1. Or, if you are away from the computer, you can set it on auto-execution mode.
First of all, Quah, thanks for creating an effective thread where we all can participate with our suggestions.
Now, I am going to test the QuahTrade but start counting Fibs from 10:00am rather than 9:30am
There two main reasons.
1. 930-1000 time period is well known for its chaotic and overvolatile behavior. Lots of MOO and overnite orders are being filled, specialist are playing opening games, Maria is bubbling from the floor etc. In other words those times are of market infancy where the parents have not even come up with the name for the child (no trend est) yet.
2. The second reason is that the economic news are often scheduled for 10am release and it often will influence the main intraday trend giving you the more clear stochs read.
These trades will be real (1 contract) and I'll report the results so we can compare it with the original 9:30.
Now, I am going to test the QuahTrade but start counting Fibs from 10:00am rather than 9:30am
There two main reasons.
1. 930-1000 time period is well known for its chaotic and overvolatile behavior. Lots of MOO and overnite orders are being filled, specialist are playing opening games, Maria is bubbling from the floor etc. In other words those times are of market infancy where the parents have not even come up with the name for the child (no trend est) yet.
2. The second reason is that the economic news are often scheduled for 10am release and it often will influence the main intraday trend giving you the more clear stochs read.
These trades will be real (1 contract) and I'll report the results so we can compare it with the original 9:30.
Here is a little Excel spreadsheet that uses the TWS DDE link to submit a set or orders based on what has been discussed on this thread.
All this thing does is submit a set of 5 orders. You enter the price and click the right button. It will submit the following (for example, on a LONG 1 ES @ 900):
1. BUY 1 LIMIT 900 (transmitted)
2. SELL 1 LIMIT 901 and SELL 2 STOP 898.75 (not transmitted and linked together via OCA group quahESEXIT)
3. BUY 1 LIMIT 897.50 and BUY 1 STOP 900 (not transmitted and linked together via OCA group quahESREVERSE)
If you change your TWS layout to include a column for OCA, it will make it much easier to identify which order is what. The original entry order transmits on submission. Once that is filled, you can then transmit the "quahESEXIT" pair - when one of those fills, the other will be cancelled because of the OCA. If it was the stop that filled, you would then transmit the "quahESREVERSE" pair. If no reversal was required, you simply cancel that pair.
This is not intended to be some fancy order entry and tracking system - just a very simple and VERY crude method of getting the orders into TWS. They can be managed from TWS from that point.
Disclaimer - Everything I said above may or may not actually work in this spreadsheet - use at your own risk and it is for educational purposes only as a simple sample of how DDE works with TWS. Don't mess with the spreadsheet columns/positions - the cells are hard coded in the VBA code.
http://home.carolina.rr.com/quah/QuahOrder.xls
(editted to add: This will NOT WORK properly if the previous position is still open)
All this thing does is submit a set of 5 orders. You enter the price and click the right button. It will submit the following (for example, on a LONG 1 ES @ 900):
1. BUY 1 LIMIT 900 (transmitted)
2. SELL 1 LIMIT 901 and SELL 2 STOP 898.75 (not transmitted and linked together via OCA group quahESEXIT)
3. BUY 1 LIMIT 897.50 and BUY 1 STOP 900 (not transmitted and linked together via OCA group quahESREVERSE)
If you change your TWS layout to include a column for OCA, it will make it much easier to identify which order is what. The original entry order transmits on submission. Once that is filled, you can then transmit the "quahESEXIT" pair - when one of those fills, the other will be cancelled because of the OCA. If it was the stop that filled, you would then transmit the "quahESREVERSE" pair. If no reversal was required, you simply cancel that pair.
This is not intended to be some fancy order entry and tracking system - just a very simple and VERY crude method of getting the orders into TWS. They can be managed from TWS from that point.
Disclaimer - Everything I said above may or may not actually work in this spreadsheet - use at your own risk and it is for educational purposes only as a simple sample of how DDE works with TWS. Don't mess with the spreadsheet columns/positions - the cells are hard coded in the VBA code.
http://home.carolina.rr.com/quah/QuahOrder.xls
(editted to add: This will NOT WORK properly if the previous position is still open)
one cancels all
so say you enter a position at 10. you put a stop at 9 and a target at 12. if the 9 gets hit, the 12 gets canceled. if 12 gets hit, the 9 gets canceled.
Quah,
Just to be sure, I meant absolutely no criticism of your great method by suggesting that order entry would be the weak link. I know my limitations and can see myself fumbling around, ultimately ending up long about 20 contracts as the market is tanking! Oooops, my bad.
Perhaps I need to change my name to keyboard klutz!
Just to be sure, I meant absolutely no criticism of your great method by suggesting that order entry would be the weak link. I know my limitations and can see myself fumbling around, ultimately ending up long about 20 contracts as the market is tanking! Oooops, my bad.
Perhaps I need to change my name to keyboard klutz!
Updated Workbook to correct total system equity graphs:
http://home.carolina.rr.com/quah/quah1web.xls for .xls file
-or-
http://home.carolina.rr.com/quah/quah1web.htm for web viewable workbook
http://home.carolina.rr.com/quah/quah1web.xls for .xls file
-or-
http://home.carolina.rr.com/quah/quah1web.htm for web viewable workbook
i officially give this thread the...
COOL THREAD AWARD!
congratulations quah!
lol
COOL THREAD AWARD!
congratulations quah!
lolquah,
i was wondering.. if your account continues to grow, are you going to start increasing the contract size?
i was wondering.. if your account continues to grow, are you going to start increasing the contract size?
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