- ago
I may also want this attribute as a feature request. However, I am not sure yet if I understand it correctly.

Background is that this week I have run WL and TWS with strategies in the time frame of 5/15/30 minutes. This was excellent to observe the interactions and get to know the tools.

One handicap that has an impact in these time frames is that the orders are filled incrementally/partially. Please keep in mind that i am talking of auto-trading. Using 5/15 minute strategies can easily produce several hundred of orders. The side effects are for example,

* If the orders were not completely filled, there were times between 30 seconds to minutes. In this time span the prices move of course further. Especially in the 5 minute time frame it could happen that orders should be sold again according to strategy rules, but were not even fully filled. Due to the buying power of the paper trading account this became visible.

*I am not absolutely sure with the following point, but I got the following impression yesterday. If someone can confirm or correct me, that would be fine. Now, PartialFills are treated as individual trades, which significantly increases the commissions. This may be unimportant for long term strategy but intraday trading is sensitive to it. The gaps between profits and commissions are very close. (Beside that, a backtest would not take that into account ?!)

Quation 1:

So, the idea is to use an "All or None" Order, to handle it as one trade. The example given at https://www.interactivebrokers.com/en/trading/orders/aon.php is not clear to me. Maybe someone is able to explain it in other words. Why are there +1000 shares?

Question 2:

Would the right idea be to use a "Fill Or Kill" Order? https://www.interactivebrokers.co.uk/de/index.php?f=22898 Unfortunatelly this option would not be available for stocks. I ask that to get a better understandig between the two types.

Well, i would like to avoid partialFills because of the time span and improve the profit/commission ratio for short time frames. Any better ideas out there?

Thanks for any feedback.
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Cone7
- ago
#1
QUOTE:
Now, PartialFills are treated as individual trades, which significantly increases the commissions.
Not true in my experience. If you intervene and change the order in some way, then that's different and would be treated as a separate order.

FOK is time limited and has to fill "immediately" or it will be canceled. I'm not sure how a FOK order attribute would be compatible with a typical trading strategy since we place orders at predetermined intervals.

AON could be a valid optional attribute to attach to orders. to prevent partial fills.
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MIH7
- ago
#2
Ok, it sounds like it (the AON) can be useful in one or the other way. Thanks for the feedback. Now, how can i make a feature request out of the current discussion? Do i need to open another one with FeatureRequest tag?
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- ago
#3
A FOK option could be introduced, it could apply to Market (maybe MarketClose?) orders only, obviously. It would prevent partial fills on the brokers that support it via an API, I don't see any problem with adding this feature eventually.

https://www.investopedia.com/terms/f/fok.asp

But, practically speaking, I don't think a FOK comes onto the radar unless you are placing such huge market orders that they might move the market.
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MIH7
- ago
#4
Hello Glitch,

thanks for the link. The following statement can be found.

QUOTE:
A FOK is essentially an all-or-none (AON) and immediate-or-cancel order (IOC) combined.


AON

* All or none (AON) is an order type with the instruction to fill the order completely or cancel it; partial fills are not allowed.
* AON orders usually take longer to execute than normal orders, especially for larger order sizes.
* Preventing partial fills is particularly useful when transacting with thinly traded securities or when a hedge requires a specific order size.

IOC

* Immediate-or-cancel (IOC) orders attempt to execute immediately and cancel any unfilled portion.
* IOC orders only require a partial fill, and may be designated as limit or market orders.
* Investors use IOC orders when markets are volatile to try to fill as much as possible at current market prices.

Conclusion

For me, the time-critical component is the important point. At first I thought that by avoiding partial fills the duration will be shortened and eventually this will happen in the quantities a normal trader trades.
However, based on the information, the IOC order looks even more interesting. You take what you get in one turn and discard the rest.

Both types, AON and IOC are interesting.

I am aware that for those who are active in EOD, this is probably less important.
I think in the 5/15 minute range it plays a bigger role, but that's just an assumption.
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