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ATM dynamic share sizing
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ATM dynamic share sizing
May I ask for an ATM enhancement to enable dynamic share sizing. For people who trade stocks, or large numbers of contracts, it would be good to be able to specify the initial number of shares/contracts using 'atmStrategyCreate()', and also in ATM Strategy, and Stop Strategy dialogs, be able to specify Target 1,2,3, and Stop 1,2,3 as a percentage of the initial Order quantity. This would allow people to do R-Multiple dynamic share sizing.Tags: None
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That is what I am saying. Right now atmStrategyCreate cannot change the initial size of the order. With R-Multiples share sizing, you keep your trade risk the same on every trade by varying the number of shares per trade (Shares = Risk/StopSize) See http://www.iitm.com/sm-risk-and-r-multiples.htm If I want to only risk $100 on every trade I take, then I vary the number of shares I trade based on the stop size of the trade using the formula. If I want to risk $100 on every trade, If my stop is $.10 from my entry then I am trading 1000 shares, if my stop is $.20 from my entry then I am trading 500 shares, etc. That way your risk is deterministic. I am asking for the feature to be able to dynamically change the initial order size of an ATM using atmStrategyCreate() to enable R-Multiple dynamic share sizing.
Originally posted by Josh View PostWith AtmStrategyCreate() you determine the size via how the particular ATM strategy you are referencing has it setup. If your ATM uses 100 then it will assume the 100 share/contract order.Last edited by monpere; 06-17-2008, 12:34 AM.
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Sure I can work around it. But I don't think I should, because I don't think this is an unreasonable request. There are numerous traders that use R-Multiples for trading, but they tend to be stock traders. I think the reason you have not had other requests for this is because I believe most NT users tend to be small lot futures traders. I trade stocks and futures. When I trade stocks, I can trade anywhere from 100 to 10,000 shares. The workaround would be to create ATM's for each share lot that I trade, if I use 10 share increments, I will have to create 1000 ATM's, 100 share increments 100 ATM's. That is unreasonable, and I'm sure NT would croak with 1000 ATM's
Originally posted by Josh View PostI think you can work around this by having different ATM strategies setup and you just call whichever one is the most appropriate for the current situation. But thanks for the suggestion.
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Thanx. Very simple to implement, just add an overload to atmStrategyCreate() with an initial share size argument to override the default share size created by the user. Minimal coding, but will greatly increase the flexibility of ATMs
Originally posted by NinjaTrader_Dierk View PostThanks for your suggestion. We'll add it to the list of future considerations.Last edited by monpere; 06-18-2008, 04:55 AM.
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