I have been playing with NinjaTrader 8 on a SIM101 account and would like to try some of my strategies on Live. I am only looking to trade FX and Index at the moment.
I have no experience of IB but a few searches on this site have thrown up some worrying questions about accuracy of their data feeds and fills. Some of these posts were a few years old so I wondered if they were still relevant ? Are they good for UK clients ?
I am familiar with FXCM however they do not offer some functionality that I desire - the capability to hold concurrent Long and Short positions in the same instrument. This is because I have different strategies which work on multiple timescales. Is this functionality common for Brokers ? Does IB offer this ?
It's not an really accuracy issue, the market data is filtered and you'll get snapshots and not tick by tick data.
I'm not sure for Forex, as you can only compare IB fills to IB fills..., but for other instruments the fills are fine.
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When you run multiple system it is not necessary to have a concurrent long and short on the same instrument. You generally just need to look at your exposure at portfolio level and make your adjustments from there.
Allow me to explain with an example.
System A initiates a long EUR/USD trade at 1.08 with a 10k lot.
Next day system B initiates a short EUR/USD at 1.06 10k lot.
No matter how you view it, the portfolio just locked in a loss of 0.02 on a 10k lot. At this point, there is no need to have 2 positions open and you can merely close the trade of system A which leaves the portfolio with no open trades.
If you use stop-losses, then for System A, you can merely use a sell order at 1.05 and for System B a buy order at 1.09. If either of those gets executed, then that system will be out of play and the portfolio then just has exposure to the active system that was not stopped out. Assuming that System A go stopped out, the portfolio will then be short with an average price of 1.05.
If you wish, you can run the math in excel but you will find that it works out the same. In a portfolio of multiple fx instruments, your profit or loss can be determined by the exposure you have to a currency as a whole. Therefore, unless there is a really compelling reason (taxes for instance) to keep both legs open, I would just look at the total portfolio exposure and work from there.
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If you want to hedge or have many positions on one pair you can simply use MT4.Yest,it is prehistoric platform but could be usefull.FXCM got it as I see.It will be better then IB if you just need it for forex or Index cfd.
I'll have a think about this grausch but my initial thoughts are
1. It would be a lot of additional coding work for me to correctly allocate any PnL to the appropriate strategies.
2. If I am initially intending Short GBPJPY for the week, go Long GBPJPY for 1 day (cancelling my Short) and then have to re-enter Short GBPJPY after that 1 day then that is additional commission.
3. Some other brokers allow this (e.g. IG with Force Open or ProRealTime strategies)
I have the answer to some of your initial thoughts already if you choose to go that way.
I used to run my fx strategies on a portfolio level, thus all position sizing was done on the total value of my account. Using excel and OANDA's FXTrader platform, it was a pain to aggregate orders, but once the template was correct, it worked quite well. I traded on daily bars, so it was quite manageable for me. All of this was done manually.
If you think about it, there is no additional commission since the long GBPJPY still needs to be exited at the end of the day. You are looking at three trades either way.
Since you are not US-based you could always explore this option.
I was exploring automating my strategies and I actually found it easier to use my portfolio balance to size positions as I could get that data easily. Trying to keep track of each individual strategies P&L needed a lot more coding work. However, I can definitely see the benefit of tracking the P&L of each system separately.
I know people using your strategy - especially on forex.
As far as I know there is no way with IB. Only some fx brokers are offering both directions
on a single instrument..
There is one way for a workaround on the futures:
If you have a long in the Dax future you can put a short with 4 Mini Dax futures.
But of course both trades and closings will at least double your commission costs and you
need to calculate the slippage on both (which doubles as well).
Think about your strategy - as @grausch said - it is not really an optimal way.
Last edited by GFIs1; January 14th, 2016 at 06:51 AM.
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