Order entering at lower volume (ETH-RTH times) - Position Sizing / Order Type

August 21st, 2012, 08:47 AM

Hello,

i've found very good setups during my strategy testing which appearing outside the RTH session (Metals). Due to lower volume i couldn't assume proper fills at my order volume. It's not a big problem to get a worse price but it should stay within reason and the trade should be triggered. The first question is how i can estimate how big my position can be without a huge market price impact. My first thought was to grab the historical average volume at these specific time and use this as reference. I own the books "Trading + Exchanges" and Algorithmic Trading & DMA" but (very sadly) couldn't read all of the stuff yet (I'm neither a computer nor my name is Fat Tails

) ). It seems that i can enter the market better with an enhanced order enter tactic using the DOM at the entering time to find the right levels + times to scaling in my position with the help of the market depth information. I've read about "guaranteed fills" thru marketable limit orders above/below the current price. But i don't understand if this is a own order type or not and how this works within ninja script. I'm also a DOM newbee.

Short: How do you enter in thin markets?

Thanks, Koepisch

August 22nd, 2012, 06:48 AM

How thin of a market are you talking about? If you're sweeping the books with a large market order, obviously you're going to have slippage, but if you're scaling in over time, then you can average a price area.

Why trade thin markets/times?

August 22nd, 2012, 07:03 AM

Thanks lsubeano for your reply. I want to check if there is an approbiate approach to enter in thin markets. Standard market orders with the full position causing to high slippage so this type isn't valuable. I need to find other approaches like iceberg orders which i studied yesterday or marketable limit orders.

The WHY is easily explained. My strategy gets 2/3 of the profits in the ETH (-RTH) session and only 1/3 in the RTH session. Currently i want to figure out if i can gain a portion of the 2/3 thru enhanced order tactics. I never can use the "normal" psoition size but the question is: How big can a position be/what scale in tactics i can use, without change the price a lot. There are a few alghorithms but i thougt anybody can give my a rough estimate about it. Perhaps 50% of the last 10 bar volume mean (for instance).

August 22nd, 2012, 04:12 PM

I know thru IB you can sen iceberg orders...not sure about other brokers.

easy solution.....only trade rth and triple your trading size and you'll make the same profits

lol

while not always that easy I'm sure, something to think about.

Order entering at lower volume (ETH-RTH times) - Position Sizing / Order Type

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Order entering at lower volume (ETH-RTH times) - Position Sizing / Order Type