- ago
Knife juggler strategy emits the count of signals the size of the portfolio dataset. So if the value of a position is set to 10K, and the initial capital is for example 100K. And the size of the dataset is for example 100 tickers. The strategy, if I am right, sends limit orders and waiting. But you can't send 100 10K orders if you have 100K money. But the strategy does so, I guess. I mean, the backtester does not prevent doing this.
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Glitch8
 ( 10.62% )
- ago
#1
Some brokers would allow this. So the backtester does allow it. But the simulation will only fill the orders that have sufficient simulated equity.

The way to deal with this in live trading is to send the orders to the Quotes tool, which can be configured to monitor the prices and then automatically send the order that fills to a connected broker.
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- ago
#2
I see, thanks. I guess sending order, triggered by the price is good for some cases, but will not let you get into the fastest spikes. But I get the idea.
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#3
Another possible option - At one time Interactive Brokers allowed limit orders to be submitted without hitting your buying power. I used them for a limit buy dip system. It's been years since then, but it may still be a feature. They were the only broker I found to offer this.
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- ago
#4
It's been a while since this question was originally asked, but is it possible to handle this situation with a Building Block strategy in the latest version of WL8?

To restate the original issue: if you have a strategy that operates on 100 symbols, is it possible to control the maximum "Buy at Limit" signals that will be submitted to the broker in any individual Data Interval?

In my case, I only want to have at most 2 limit buys active at any given time, but my strategy which operates on 100 symbols is trying to send 100 limit buys, which exceeds buying power and causes errors.
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Glitch8
 ( 10.62% )
- ago
#5
Yes there is a new position sizing option to limit the number of entry signals to send each interval.
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Best Answer
- ago
#6
Thanks, I overlooked this new option in October's release notes, trying it out now. How does it decide which symbols get priority when generating an entry signal, does it make use of the "Weight" condition block inside the Strategy?

EDIT: Watched the associated YouTube video and confirmed the above is how it works.
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MIH8
- ago
#7
This topic was already raised here.

https://www.wealth-lab.com/Discussion/Quotes-Triggers-for-Intraday-Trading-8629

@WL Team

1. To limit the number of "limit orders" will give you a better result in the backtest with the restrictions of the broker.

2. What it does not do, however, is improve trading performance. You don't want to limit the number of orders.
You want to execute the first limit order that is triggered.

3. All you need to do is to transmit the limit order when it is triggered and not before. Very simple idea.

EDIT: A preferred solution can be found in #8. A function "PlaceOrderWithTrigger()". The big difference with EOD trading is that the limits are recalculated for each cycle and can therefore change in intraday trading.
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