Keeping Limit order amounts after entry from other side

February 3rd, 2020, 12:22 PM

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!

ABCTG · February 3rd, 2020, 12:42 PM

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

February 15th, 2020, 11:37 PM

ABCTG,

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

Keeping Limit order amounts after entry from other side

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Keeping Limit order amounts after entry from other side