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Keeping Limit order amounts after entry from other side


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Keeping Limit order amounts after entry from other side

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  #1 (permalink)
 Phil18 
Antwerp Belgium
 
Experience: Intermediate
Platform: oec
Trading: ES
 
Posts: 9 since Sep 2015
Thanks: 2 given, 0 received

Hi everyone,

I have a strategy which identifies a range-bound market and then sells the top of the range and buys at the bottom of the range. The strategy utilizes limit orders. So, for example, the market keeps bouncing from 500 to 510 and then back. After selling at 510, I anticipate that the market will go down to 500 where I will buy, and then back to 510, where I will sell again.

In order to get into the limit order queue as early as possible, I'm trying to enter a limit sell order for 510 while I'm still in the previous short. So say I sold at 510 and the market goes down to 508, I then enter another sell limit at 510

 
Code
if MarketPosition_at_Broker = -1 then sellshort ("s1") 1 contract next bar at 510 limit
The problem is, when I enter my long at 500, the sell limit at 510 changes from 1 contract to 2 contracts (in order to get me net short 1), and I lose my place in the queue. Can anyone think of a way that I can get around this?


 
Code
if MarketPosition_at_Broker = -1 then sellshort ("s1") 2 contracts next bar at 510 limit
doesn't help, because once I go long, that 2 contract order will just be changed to 3 contracts, and I lose my place in the queue again..

Thanks in advance!

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 ABCTG   is a Vendor
 
 
Posts: 2,268 since Apr 2013
Thanks: 419 given, 1,512 received

Phil18,

since you can't change this platform behavior one way might be to use two charts - one for long and one for short.
However, this would add an extra bit of complexity most likely since you might have to close out your positions yourself that would otherwise be reversed by MC.

Regards,

ABCTG

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  #3 (permalink)
 Phil18 
Antwerp Belgium
 
Experience: Intermediate
Platform: oec
Trading: ES
 
Posts: 9 since Sep 2015
Thanks: 2 given, 0 received


ABCTG,

It took some creative magic to finally make it work, but your suggestions was the key to the solution, so thanks :-)

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Last Updated on February 15, 2020


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