MIH8
- ago
Hi. I just played with the QPT and used several StopLimit orders. When the stops were reached, the limit orders were placed.

I was expecting the limit orders to still run in the QPT tool instead of being transferred (like standard limit orders). There may be good reasons for both approaches.

Do you see a way to make this optional as a user setting for the tool?
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Cone8
 ( 29.06% )
- ago
#1
That's not going to happen. If you want a limit order to trigger when the limit price is attained, use a Limit order. That's the option.
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MIH8
- ago
#2
Are there also factual reasons for this or is this an arbitrary decision?
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Cone8
 ( 29.06% )
- ago
#3
There is only one trigger - the stop price. The Limit order goes live when the stop is triggered. This is the purpose of StopLimit orders. It's how they work, we didn't invent it - it's standard trading protocol.

The issue here is that you're trying to create a strategy out of a StopLimit order. If I've been reading your right, you want to know if a price has been reached (stop) and if it has, start monitoring for a pullback (assuming buy) to a limit. That's not standard use of a StopLimit and instead is a different strategy.
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MIH8
- ago
#4
Yes, your explanation is correct.

I can code an intraday strategy that checks if a bar reaches the stop level according to the scale. If this happens, I can place a limit order. There are a few points why the discussed solution would be better.

1. depending on the scaling, the check is not done in real time. 1-minute bars would be realistic in practice. So the event cannot be observed with the same quality.

2. a low time scaled strategy cannot really be applied with the QT tool. Practically speaking, maybe in a 15-minute context and only if the user is there permanently. It would be necessary to regularly push the new signals (stop limits) into a new QT window.

3. using the QT tool for limit orders (directly or indirectly with a stop limit) has the decisive advantage of being able to process more limit orders than if I place them directly with the broker. The topic is not new. You want to transfer the orders that are practically filled, which almost always happens when they are triggered. In this case, the bet is placed on a triggered order and not on orders that are merely parked with the broker and are not triggered.

4. Point "3." is now also reinforced, since the Strategy Screener can be used to generate a large number of signals, but not all of them can be placed with the broker at the same time (capital restrictions). The use of the screener excludes an implementation as an intraday strategy!

So, I am aware and clear how I can develop an analogous intraday strategy. My first two arguments seriously impair the quality and handling. The last two arguments refer to limit orders in general and make EOD algorithms powerful, even if they apply a StopLimit order.

When having the choice of implementing a strategy as Intraday or as EOD i really want to go with the powerful tools in context of EOD.
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Cone8
 ( 29.06% )
- ago
#5
IB supports the order, you can use it there. Sorry that your limit order is going to go active before you want it to, but that's what a StopLimit order does. There is no mode of StopLimit to trigger Stop and then trigger Limit, but let me help start the text to a convoluted feature request:

This feature request is for a dual-trigger option in the Quotes tool when using StopLimit orders. This option could be automatic when using StopLimits in a non-standard way - putting the Limit price between the current price and the stop price.

I want the Stop price to be used to enable the trigger for a limit order. In reality, I don't want a StopLimit order because if a StopLimit were placed when the limit price triggered after having been enabled by the stop price, it wouldn't work the way I want, because the stop price would have to trigger again in the market. So really, I'm just using the StopLimit order as a vehicle for a limit order strategy in which price achieved a level beyond the limit, but I want to trade when price comes back to the limit. Consequently, under no circumstances use the StopLimit order that my strategy submitted... except if I'm not using the Quotes tool, then I want the StopLimit order.


Do you see why I don't think this will ever happen?
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MIH8
- ago
#9
For me the clue of the QT is that only orders are transferred that will be executed at the broker immediatelly.
(with the best chance taking the threshold into account).

Standard Limit orders are handled that way.
So looking at that property any order that can be managed with the QT tool should behave the same in this context.

I think this is the point i tried to make all the time.
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MIH8
- ago
#10
Now it clicked.

A StopLimit order needs to be triggered twice (at least when the limit price is below the stop price). If the limit is just a guard (above the stop level) i understand that it behaves like i describe it myself. It will be executed directly at the broker if the guard does not kick in.

So you support the "guard" feature but won't support it when it is used when the limit is below the stop. I guess that's your point.

Conclusion:
If the sole purpose of a StopLimit Order was to serve as protection, then by definition a limit below activation would not be possible. If this is the only purpose, then each limit must be raised to the stop level or already be higher.

Obviously, there is no consensus in the market if brokers do not behave uniformly on this point.
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