- ago
Hello.

Can I limit the margin used for each individual strategy during live auto-trading?
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Glitch8
 ( 12.31% )
- ago
#1
For live trading limitations see what's available in Preferences/Trading Thresholds.
1
- ago
#2
What I need to do is auto-trading 3 different strategies with equal equity assigned to each one: USD 33000.

Strategy A trades a stock list and uses position size of 50% of equity (assigned equity is USD 33000 for each strategy), and Margin of 1.
Strategy B trades a different list of stocks and uses position size of 16% of equity, and Margin of 1.
Strategy C trades a single symbol and uses position size of 90% of its equity with a Margin of 2.

Can I auto-trade all these strategies as mentioned on a single IB account? Margin in IBKR is 10. I want that the auto-trading respects the individual constrains both in size and Margin. Is it possible? How can I do it?
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Glitch8
 ( 12.31% )
- ago
#3
You could add some code to your Strategy to look at the balance in the account and if it lower than a certain value don't make the trade. But there's nothing like this built into the Preferences, those are handled at the Account not Strategy level.
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- ago
#4
This is one of my strategies settings. The thing is that it is optimized to operate with a position size of 50% and a margin of 1, so if all the 7 members of its dataset enter the buy zone, it should buy only 2 stocks.

My IB account has a margin so right now when all the 7 members of this dataset enter the buy zone, Strategy Manager keeps buying far beyond it's assigned USD 16500 (50% of the USD 33000 assigned to the strategy in the account of USD 100000).

Adding an open position threshold is not suitable due to I want to trade 3 different strategies, two of them should open 2 positions at most, but the third strategy can open up to 6 positions of USD 5300 (aprox. 16% of its assigned equity) from a different dataset.

How can I auto trade these 3 strategies using the same individual sizes and keeping each individual size and margin constrains?

These are my Trading Preferences:
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Cone8
 ( 29.06% )
- ago
#5
You could save data to a file or use global memory (SetGlobal) to save the trades or just of number of trades created by the strategy. Then, check this file/memory item (GetGlobal) and use it as a condition to enter the trade. Should work.

By the way, you're not using Live Positions, which is fine, but your Backtest will depend on hypothetically entering 2 trades with 50% of equity. With no margin, there's a chance of a NST position (albeit small for intraday trading). I'd recommend setting margin to something like 1.05 - it will rarely be used, but will save you from being out-of-sync with the broker when it is used.
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- ago
#6
I am very basic when coding :-( relying on Building Blocks.

I will add an account cash threshold and simulate the portfolio as a metastrategy with these realistic constrains.
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- ago
#7
My immediate solution for a safe auto-trading and realistic simulation of this portfolio is. a) Rising the margin to 1:4 on each strategy. b) creating a meta strategy sharing an equity pool and assigning a 1:1 margin to it; and c) adding a cash threshold of -1000 (or up to 1:2 margin) in my trading preferences.
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