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.