Trailing Entry Order (Both ways, e.g. so the order always remains XYZ ticks away)?

[spearchew]

Hi there.

This may sound a little strange, bear with me. Hope I can explain it clearly enough.

I saw a video showing the "Chase Market" feature, whereby you can specify a limit order to follow the inside price for X number of ticks. This isn't quite what I'm after, but not far off.

I would like to instruct a limit order to, at all times, remain X number of ticks away from the inside price. This works both ways... so when price moves up, the limit order chases it - while remaining X ticks away. But when the price moves down, the limit order backs off - maintaining the X ticks distance.

Q: "Your order will never be filled, so why bother?"
A: In certain markets, occasionally, there will be a sudden spike in volume, and price will move instantly X number of ticks. I am exploring the possibility of placing speculative orders far enough away from market that I am occasionally filled at favourable prices, when these spikes occur.

My assumption is that during these rare occurences, the price will have spiked too quickly for my Ninjatrader platform to move the "shadow limit order", thereby giving me a fill. Alternatively, if that assumption is false, I could programme some sort of 0.5 second delay between price moving, and my "shadow limit order" moving.

Hope this was clear - much appreciated any advice on this!

[NinjaTrader_Bertrand]

spearchew, thanks for the post here - how would you like to implement this, via a custom automated strategy or manual / discretionary trading?

For the spike assumption, I think you're correct - the order would likely be filled at the exchange before you've seen the price reported to your local chart / platform, since the event would come very quick and you'd be likely be early in the q at this level.

[spearchew]

hi thanks for your response

I would like to have some sort of automated assistance in terms of constantly re-positioning my limit orders away from the inside price... but after an order is filled I would manage the trade myself.

Today I have attempted to manually manage both limit offer + limit bid, 10 ticks away from inside price... just to experiment on SIM.
As you can imagine, doing this for several consecutive hours is not really feasible.

Perhaps the only way to achieve this is via 3rd party programming, but I figured I would post the query here for some feedback either way.

much obliged any ideas.

[NinjaTrader_Bertrand]

This could be achieved via custom coding a NinjaScript strategy that would call ATM templates for exit management, this way the script could reposition the entry orders and once triggered you could manually manage from the DOM as desired while the strategy would also attach a preconfigured exit strategy then to your automatic trade.

A code example to get started could be found in NT with the 'SampleAtmStrategy', it's installed per default - however would surely need modifications to work your order placement / chasing aspects in - if you're not a programmer or would like to look into this area, then a certified NinjaScript consultant could assist in the professional creation -

http://www.ninjatrader.com/partners#NinjaScript-Consultants

[spearchew]

thanks a lot for your help.