Pending Orders Are Eating Up My Buying Power In My Multichart Strategy

September 18th, 2012, 10:52 PM

Hi,

I am using Interactive Brokers as my broker and MultiCharts as my charting and automated trading platform, data is IQFeed.

I have a strategy that if it finds a "setup" will issue a long order and a short order. These orders may or may not be filled, depending if price crosses the trigger level for long or short. When one order is filled (either long or short), it cancels the other pending order.

The problem is, each pending order "eats up" my buying power. If I have this strategy attached to multiple stocks, then when a setup is found for each stock, it issues both the the long and short order - which may or may not be filled in 1 direction only -- but it eats up my buying power for both orders the moment a setup on each chart is detected.

This limitation makes it not possible for me to attach a live strategy to many stocks as my buying power is eaten up, regardless if I actually enter the market, because the stop or limit order (unfilled) eats up my buying power.

Any ideas how I can make it such that pending orders dont eat up my buying power?

September 18th, 2012, 11:07 PM

KhaosTrader

Hi,

I am using Interactive Brokers as my broker and MultiCharts as my charting and automated trading platform, data is IQFeed.

I have a strategy that if it finds a "setup" will issue a long order and a short order. These orders may or may not be filled, depending if price crosses the trigger level for long or short. When one order is filled (either long or short), it cancels the other pending order.

The problem is, each pending order "eats up" my buying power. If I have this strategy attached to multiple stocks, then when a setup is found for each stock, it issues both the the long and short order - which may or may not be filled in 1 direction only -- but it eats up my buying power for both orders the moment a setup on each chart is detected.

This limitation makes it not possible for me to attach a live strategy to many stocks as my buying power is eaten up, regardless if I actually enter the market, because the stop or limit order (unfilled) eats up my buying power.

Any ideas how I can make it such that pending orders dont eat up my buying power?

you can always use IOG.

September 18th, 2012, 11:18 PM

I am using [IntrabarOrderGeneration = true] already...

But in my strategy i do the following on each tick

Code

if MarketPosition = 0 and EnterTrade and OpenEntriesCount=0 and TradeTimeOk then begin
	
	Buy ("Enter Long") 3*ShareLotSize Shares next Bar at LongEntryPrice stop;
	SellShort("Enter Short") 300  Shares Next Bar at (ShortEntryPrice) stop;

end;

so this is "updated" each tick.. But once the setup is detected, this code is working (setup detected will make EnterTrade=True).

September 19th, 2012, 12:40 AM

KhaosTrader

I am using [IntrabarOrderGeneration = true] already...

But in my strategy i do the following on each tick

Code

if MarketPosition = 0 and EnterTrade and OpenEntriesCount=0 and TradeTimeOk then begin
	
	Buy ("Enter Long") 3*ShareLotSize Shares next Bar at LongEntryPrice stop;
	SellShort("Enter Short") 300  Shares Next Bar at (ShortEntryPrice) stop;

end;

so this is "updated" each tick.. But once the setup is detected, this code is working (setup detected will make EnterTrade=True).

you are doing it wrong
wait till the price hit the entry price, then send in the order.

September 19th, 2012, 12:54 AM

Oh, ok that makes sense, but I would like to have my order submitted PRIOR to it hitting such that my order wont get in late and I get a worse price....

Therefore here are some ideas...

1) I better put limits on these orders...

2) When price gets CLOSE to my entry I should submit the order,

3) when price is not close, the order will not be submitted, and therefore if price was close and the order existed before, it will not be resubmitted, so the order will be cancelled

Is that correct?

September 19th, 2012, 01:04 AM

KhaosTrader

Oh, ok that makes sense, but I would like to have my order submitted PRIOR to it hitting such that my order wont get in late and I get a worse price....

Therefore here are some ideas...

1) I better put limits on these orders...

2) When price gets CLOSE to my entry I should submit the order,

3) when price is not close, the order will not be submitted, and therefore if price was close and the order existed before, it will not be resubmitted, so the order will be cancelled

Is that correct?

IOG is for market orders

September 19th, 2012, 01:07 AM

so there is no way to put a limit on the order to protect my entry price?

Pending Orders Are Eating Up My Buying Power In My Multichart Strategy

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Pending Orders Are Eating Up My Buying Power In My Multichart Strategy