Automatic Order Placement - Timing and Threading Issues

[DayvanCowboy 10]

Hello everyone,

 

I've had this account for a while and have been browsing the forums, but I believe that this is my first post. I'm using Interactive Brokers, and programming in Java, using the TWS Java API. The specifics probably don't matter, since I'm sure these issues arise no matter which platform/programming language is being used.

 

My question is this:

I haven't started trading with actual money yet, and have just been using their simulated trading (which is an excellent feature of IB btw) with good results. Part of my system involves changing a trailing stop loss on fairly short time intervals. When programming the change in stop loss there is a problem. In IB you can only 'update' a stop loss once. In my system I update it many many times while holding a position. So, I'm faced with two options: I can cancel the stop loss and then submit a new stop loss, or submit a new stop loss and then cancel the older one. If I cancel first, then there is a point in time (less than a second, but important in the long run) where I have no protection. Alternatively, I can have two stop orders active for a point in time, during which it is possible that both are triggered, and I end up a holding on the opposite side.

 

Have any of you found this to be a real problem? If so, how have you approached it?

 

Thanks,

Dayvan Cowboy

[SIUYA 11]

to be honest I have never really thought about it as I am using an off the shelf system and not the IB API directly.

On that I have noticed that sometimes while manually moving a take profit, it has been hit whilst I was moving it - so I guessed that means it was still sitting live in the market as a limit order until I transmitted it. Makes sense.

 

My guess off the top of my head is that unless the market is really close to the stops then does it make much difference in reality?

 

The best way to test it - and I assume you are doing this automatically- and hence it can make a difference is to see what happens if a stop is hit twice (ie; you stop and reverse the order), v what happens if you increase the slippage.

These two scenarios would most likely closely replicate the two choices you have.

[Mikhoul 10]

Hello everyone,

 

 

...Part of my system involves changing a trailing stop loss on fairly short time intervals. When programming the change in stop loss there is a problem....

 

If so, how have you approached it?

 

Thanks,

Dayvan Cowboy

 

I'm not sure of your trading strategy but I think you refer to the "magic" "Trailing Stop Orders"

http://www.interactivebrokers.com/en/trading/orders/trailingStops.php

 

My broker is not IB I'm with TDW and ATraders + ToS platform to trade and don't use the API but if I can find some time I will learn JS... I've programmed in tha past and just konwing HTML and small amount of JavaScript give me an edge make tools that suit my needs.

 

Let me know if it was a VTSO or Trailing Stop Orders that you look for...

 

Regards

[DayvanCowboy 10]

I'm not sure of your trading strategy but I think you refer to the "magic" "Trailing Stop Orders"

http://www.interactivebrokers.com/en/trading/orders/trailingStops.php

 

My broker is not IB I'm with TDW and ATraders + ToS platform to trade and don't use the API but if I can find some time I will learn JS... I've programmed in tha past and just konwing HTML and small amount of JavaScript give me an edge make tools that suit my needs.

 

Let me know if it was a VTSO or Trailing Stop Orders that you look for...

 

Regards

 

These aren't what I mean, but thanks for the message. I don't think that what I'm trying to exists as a conventional order/stop-loss type.