Order by Account Size triggers confusion
(apologies for posting this initially in the wrong forum
)
Since posting these questions I have discovered a possible source of the problems listed below in order placements.
I noticed at
that
.
I am running TWS895.3 Jun3, 2009. Could this account for the discrepancies in order placements listed below between the default quantity and account size settings of the order properties options?
I am running six strategies live trading through IB.
All strategies are moving average crossovers (unders), among which one has a stop loss setting @ 0.1, and all exit 90 seconds before close of trade set at 4:00 pm EST.
All six strategies performed flawlessly when the Order Properties were set to default quantity.
But when I changed the order properties to By Account Size setting the amount at 5000 problems arose.
Of the six strategies three triggered, which is correct and therefore not problematic.
But of the three strategies two entered trades without triggers (moving average crossovers); none entered the close of day exit trade at the designated time; one entered a trade marked close of day @ 4:28; the other two tried to enter trades well after 4:00 pm, were rejected by IB and then closed the two strategies.
Around 10:00 am I changed the trade order setting on IB to raise the limit on trades to 2000. The highest order placed on the day was for 1008 shares, which had been rejected before I changed the setting. After the change, I placed the order manually just to confirm that the system would accept the order.
The only change in the strategy setting was to shift from order by default quantity to order by account size -- the former worked wonderfully, the latter led to the errors listed.
Any advise?
Best regards,
tooearly
(apologies for posting this initially in the wrong forum
)Since posting these questions I have discovered a possible source of the problems listed below in order placements.
I noticed at
HTML Code:
http://www.ninjatrader.com/webnew/support_interactivebrokers.htm
Critical: You must use standalone TWS 892 with the current production
release of NinjaTrade
release of NinjaTrade
I am running TWS895.3 Jun3, 2009. Could this account for the discrepancies in order placements listed below between the default quantity and account size settings of the order properties options?
I am running six strategies live trading through IB.
All strategies are moving average crossovers (unders), among which one has a stop loss setting @ 0.1, and all exit 90 seconds before close of trade set at 4:00 pm EST.
All six strategies performed flawlessly when the Order Properties were set to default quantity.
But when I changed the order properties to By Account Size setting the amount at 5000 problems arose.
Of the six strategies three triggered, which is correct and therefore not problematic.
But of the three strategies two entered trades without triggers (moving average crossovers); none entered the close of day exit trade at the designated time; one entered a trade marked close of day @ 4:28; the other two tried to enter trades well after 4:00 pm, were rejected by IB and then closed the two strategies.
Around 10:00 am I changed the trade order setting on IB to raise the limit on trades to 2000. The highest order placed on the day was for 1008 shares, which had been rejected before I changed the setting. After the change, I placed the order manually just to confirm that the system would accept the order.
The only change in the strategy setting was to shift from order by default quantity to order by account size -- the former worked wonderfully, the latter led to the errors listed.
Any advise?
Best regards,
tooearly
Comment