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Catching breakouts using OCO stop limit bracket orders for entries
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Catching breakouts using OCO stop limit bracket orders for entries

  #1 (permalink)
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Catching breakouts using OCO stop limit bracket orders for entries

I was always wondering if anyone here uses OCO orders to catch a breakout of high volume. If you ever look at some days where it will be flat for an hour, and then all of a sudden a big spike up or down will occur. However using a typical OCO order that surrounds the last price in the DOM trader will not really be the best idea to just place the order and leave it be, since I don't want to go long at the highs, or short at the lows.

I was thinking if the volume is slow, you could modify the OCO order to "float" around the last price by 1 point. For example, lets say the ES is at 1100 and you want to go long at 1101, or go short at 1099. but if the ES slowly moves to 1100.75, you might not want to go long if it just ticks up another .25 points and you go long, only to have it dump on you the other way after you fill the order. Like I said, I want to avoid longs at the highs or shorts at the lows on normal trading volume.

Is there a way to say, have the OCO order adjust the bracket order 1 or 2 seconds behind any last price change? Lets say you have the stop limit order to go long 1 point above the last price. If the last price moves .50 in the next 2 seconds, then your OCO order bracket will also move up by half a point. Only if the market just pops up, that is, when you see the ES jump up 2 or more points in half a second, then you would have caught that long, or vice-versa for shorts.

Is there a way to implement a bracket order to adjust each stop limit order to increment or decrement away from the last price with a time delay of 1 or 2 seconds? I was not sure whether to post this in programmer's paradise or here, since I don't have any actual code yet. My idea however, was manually tested a few times on volatile trading hours such as the open, or on economic releases. But manually adjusting two orders all the time is not what I want to do. Also keep in mind that the OCO orders may never get filled if the market moves too slow, which is ok, since I am only interested in large breakouts.

Am I being clear enough as to what I want to get done? I'm sure a lot of people already do this but I'm having trouble finding such a trading system. Also I use IB so the OCO orders are actually on the server side, but keeping the orders locally on your side might be safer since nobody can see it. Another thing to mention is that this strategy might not require any indicators at all, although you could combine the use of them at some point. Your stop limit orders could also be adjusted to be 1 point away from last, or maybe .75. But being too close could also screw you up too, so I want to be safe and stay somewhat far away from the noise, but also not too far as to never catch anything.

I would have loved to have caught a long on the umemployment report on last Friday (12/4) cause it was a huge spike of 10 points at least, if you held on it would have been 15 points. As soon as the order is filled, the stop could be chasing the last price, or auto break even once you're up 1 or 2 points, its all a matter of when you want to take profits. My main goal here is focusing on entries.


Last edited by dennho; December 7th, 2009 at 07:42 AM.
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  #2 (permalink)
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still working on this setup?

hello dennho,

im wondering that there havent been any replies to your post. i used a almost simular setup to skalp a cfd marketmaker in germany 2 years ago until they kicked me and changed their operating software. but from my experience im sure that catching breakouts should be interesting if there is enough volatility energy in the market.

have you or has anybody else coded or seen a simple strategy catching only breakouts by time with NT or is still interested in?

r.

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I am guess you only want to get abroad when volatility get really high like just after news event.

Why do you want to do that? If volatility pick up, you will have slipperage and price might swing both directions in the matter of seconds.

I have been using price action for some months and go live recently, my view is, if you don't already know what direction price will be going, you should be in the market.

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dennho View Post
I was always wondering if anyone here uses OCO orders to catch a breakout of high volume. If you ever look at some days where it will be flat for an hour, and then all of a sudden a big spike up or down will occur. However using a typical OCO order that surrounds the last price in the DOM trader will not really be the best idea to just place the order and leave it be, since I don't want to go long at the highs, or short at the lows.

I was thinking if the volume is slow, you could modify the OCO order to "float" around the last price by 1 point. For example, lets say the ES is at 1100 and you want to go long at 1101, or go short at 1099. but if the ES slowly moves to 1100.75, you might not want to go long if it just ticks up another .25 points and you go long, only to have it dump on you the other way after you fill the order. Like I said, I want to avoid longs at the highs or shorts at the lows on normal trading volume.

Is there a way to say, have the OCO order adjust the bracket order 1 or 2 seconds behind any last price change? Lets say you have the stop limit order to go long 1 point above the last price. If the last price moves .50 in the next 2 seconds, then your OCO order bracket will also move up by half a point. Only if the market just pops up, that is, when you see the ES jump up 2 or more points in half a second, then you would have caught that long, or vice-versa for shorts.

Is there a way to implement a bracket order to adjust each stop limit order to increment or decrement away from the last price with a time delay of 1 or 2 seconds? I was not sure whether to post this in programmer's paradise or here, since I don't have any actual code yet. My idea however, was manually tested a few times on volatile trading hours such as the open, or on economic releases. But manually adjusting two orders all the time is not what I want to do. Also keep in mind that the OCO orders may never get filled if the market moves too slow, which is ok, since I am only interested in large breakouts.

Am I being clear enough as to what I want to get done? I'm sure a lot of people already do this but I'm having trouble finding such a trading system. Also I use IB so the OCO orders are actually on the server side, but keeping the orders locally on your side might be safer since nobody can see it. Another thing to mention is that this strategy might not require any indicators at all, although you could combine the use of them at some point. Your stop limit orders could also be adjusted to be 1 point away from last, or maybe .75. But being too close could also screw you up too, so I want to be safe and stay somewhat far away from the noise, but also not too far as to never catch anything.

I would have loved to have caught a long on the umemployment report on last Friday (12/4) cause it was a huge spike of 10 points at least, if you held on it would have been 15 points. As soon as the order is filled, the stop could be chasing the last price, or auto break even once you're up 1 or 2 points, its all a matter of when you want to take profits. My main goal here is focusing on entries.



I think constantly trailing the market for an possible breakout might be a bit dangerous.
What does work though, is to do that, as close as possible to economic data. Lets say 5 seconds before
the data ES trades at 1135. A Strategy could enter a buy / sell stop at 1134 / 1136.
There are only four possible outcomes 10 seconds past data release:

Nothing markets trades at 1135 - No Position / So strategy deletes orders.

Market made a strong move in either one of the directions - Your have a position ( yes with slippage ), but you should be ahead / So use the other order to protect and trail your profit.

Market went up and down - You got executed on both sides at the same time - you lost 2 points plus slippage.

And boring data but the market just etched towards your limit - You got a position in a quite market, just try to get out at entry.

There are a few modifications and tweaks you could with placing the entry stops set profit targets etc...

The strategy itself works pretty well.

Locust

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Example for a slow event.

01. Oct. 2010 14:30 ( gmt+1 )
Personal income/spending

FDAX:
6268

Orders 14:29:56
BuyStp : 6269
SellStp : 6267

Bought with 6270 ( 1 points slippage )

Market moves up to 6275
SellStp adjusted to 6274

4 Points profit.

That was a non event. But you never know, what the next eco. data has in store....

Locust


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